// #CreateInstrument_ItemAdd public static Financial_instrument CreateInstrument(clsMAST_FP_INSTRUMENT_TB tb) { int type = tb.FP_MASTER_TYP; Financial_instrument fi = new Unknown_fi_instrument(); if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexFutures) { fi = new Kospi200Index_futures(); } else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Call || type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Put) { fi = new Kospi200Index_option(); } else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS) { fi = new VanillaIRS_instrument(); } else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaSwap) { fi = new Vanilla_Swap(); } else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Ftp_DepositLoan) { fi = new Ftp_DepositLoan(); } else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash) { fi = new CurrencyCash(); } else { //fi = new Unknown_instrument(); } fi.baseDAO_ = tb; fi.loadDetail(tb.INSTRUMENT_ID); return fi; }
public static Vanilla_Swap CreateTradableCode(string availableTradeCD, bool fixedPayFlag, long notional, DateTime effective, double fixedRate) { clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB(); clstb.INST_CD = availableTradeCD; int checkNum = clstb.SelectOwn(); if (checkNum == 0) { throw new Exception(availableTradeCD + " : is not tradable."); } int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR); int legTenorMonth = ConvertingTool.TenorMuliplier(clstb.LEG_TENOR); Vanilla_Swap inst = new Vanilla_Swap(); int cashflowCount = maturityYear * (12 / legTenorMonth); // Master string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, effective, inst); inst.baseDAO_.INSTRUMENT_ID = inst_ID; inst.baseDAO_.INSTRUMENT_NM = (fixedPayFlag) ? fixedRate + " Pay " + clstb.MATURITY_TENOR : fixedRate + " Receive " + clstb.MATURITY_TENOR; inst.baseDAO_.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaSwap; inst.baseDAO_.NOTIONAL = notional; inst.baseDAO_.PRICE = fixedRate; inst.baseDAO_.QUANTITY = 1.0; inst.baseDAO_.CURR = "KRW"; inst.baseDAO_.FX_RATE = 1.0; inst.baseDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd"); inst.baseDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd"); inst.baseDAO_.BOOKED_DT = ""; inst.baseDAO_.CLOSED_DT = "20991231"; // swap part inst.SwapDAO_.INSTRUMENT_ID = inst_ID; inst.SwapDAO_.INSTRUMENT_TYP = inst.baseDAO_.FP_MASTER_TYP; inst.SwapDAO_.NOTIONAL = notional; inst.SwapDAO_.CURR = "KRW"; inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd"); inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd"); inst.SwapDAO_.COUPON_TENOR = "3M"; inst.SwapDAO_.MATURITY_TENOR = maturityYear.ToString() + "Y"; inst.SwapDAO_.PAY_REC = (fixedPayFlag) ? (int)clsMAST_VANILLA_SWAP_INFO_TB.PAY_REC_Type.Pay : (int)clsMAST_VANILLA_SWAP_INFO_TB.PAY_REC_Type.Rec; inst.SwapDAO_.FLOATING_LEG_BDC = 0; inst.SwapDAO_.FLOATING_LEG_DC = 0; inst.SwapDAO_.FIXED_LEG_BDC = 0; inst.SwapDAO_.FIXED_LEG_DC = 0; //CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA); // CF_FixedDAO_ inst.FixedLegInfo_.LegDAO_.INSTRUMENT_ID = inst_ID; inst.FixedLegInfo_.LegDAO_.LEG_TYP = 0; inst.FixedLegInfo_.LegDAO_.NOTIONAL = notional; inst.FixedLegInfo_.LegDAO_.CURR = "KRW"; inst.FixedLegInfo_.LegDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd"); inst.FixedLegInfo_.LegDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd"); inst.FixedLegInfo_.LegDAO_.LEG_TENOR = "3M"; inst.FixedLegInfo_.LegDAO_.FIXED_RATE = fixedRate; inst.FixedLegInfo_.buildFromLegInfo(effective, inst.SwapDAO_.PAY_REC); #region Comment //--------------------------------- leg info 를 만들어야함. //for (int i = 0; i < cashflowCount; i++) //{ // FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon(); // fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB(); // fp_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd"); // fp_cashFlow.DAO_.LEG_ID = inst_ID; // fp_cashFlow.DAO_.LEG_TYP = 0; // fp_cashFlow.DAO_.NOTIONAL = Math.Abs(notional); // fp_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); ; // fp_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd"); // fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd"); // fp_cashFlow.DAO_.FIXED_RATE = fixedRate; // inst.FixedLegInfo_.FP_CashFlowList_.Add(fp_cashFlow); //} #endregion inst.FloatingLegInfo_.LegDAO_.INSTRUMENT_ID = inst_ID; inst.FloatingLegInfo_.LegDAO_.LEG_TYP = 0; inst.FloatingLegInfo_.LegDAO_.NOTIONAL = notional; inst.FloatingLegInfo_.LegDAO_.CURR = "KRW"; inst.FloatingLegInfo_.LegDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd"); inst.FloatingLegInfo_.LegDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd"); inst.FloatingLegInfo_.LegDAO_.LEG_TENOR = "3M"; inst.FloatingLegInfo_.LegDAO_.FIXING_INDEX_CD = clstb.FLOATING_INDEX_CD; inst.FloatingLegInfo_.LegDAO_.GREARING = 1.0; inst.FloatingLegInfo_.LegDAO_.SPREAD = 0.0; inst.FloatingLegInfo_.LegDAO_.CAP = 10.0; inst.FloatingLegInfo_.LegDAO_.FLOOR = -10.0; inst.FloatingLegInfo_.LegDAO_.INARREAR = 0; inst.FloatingLegInfo_.buildFromLegInfo(effective, inst.SwapDAO_.PAY_REC*(-1)); #region Comment //for (int i = 0; i < cashflowCount; i++) //{ // FP_FloatingRateCoupon fp_floating_cashFlow = new FP_FloatingRateCoupon(); // fp_floating_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB(); // fp_floating_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd"); // fp_floating_cashFlow.DAO_.LEG_ID = inst_ID; // fp_floating_cashFlow.DAO_.LEG_TYP = 0; // fp_floating_cashFlow.DAO_.NOTIONAL = Math.Abs(notional); // fp_floating_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); // fp_floating_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd"); // fp_floating_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd"); // fp_floating_cashFlow.DAO_.FIXING_DT = cm.adjust(effective.AddMonths(3 * i)).ToString("yyyyMMdd"); // // 우선 DEFAULT로 박고, FIXING은 차후 데일리로 계산함. // fp_floating_cashFlow.DAO_.FIXING_INDEX_CD = clstb.FLOATING_INDEX_CD; // fp_floating_cashFlow.DAO_.GREARING = 1.0; // fp_floating_cashFlow.DAO_.SPREAD = 0.0; // fp_floating_cashFlow.DAO_.FIXED_FIXING = 0.0; // fp_floating_cashFlow.DAO_.FIXED_FIXING_CALCLATED // = (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED; // inst.FloatingLegInfo_.FP_CashFlowList_.Add(fp_floating_cashFlow); //} #endregion return inst; }