public Handle<YieldTermStructure> dividendCurve(Underlying item)
{
double riskFreeRate = 0.06;
var termStructure = new Handle<YieldTermStructure>(new FlatForward(referenceDate_, riskFreeRate, dayCounter_));
return termStructure;
}
public List<double> volatilityList(DateTime startDate,DateTime endDate, Underlying under, string type)
{
HistoryVolCalculator histVolCal = new HistoryVolCalculator();
OracleDataBaseConnect connect = new OracleDataBaseConnect();
connect.DBSetting_ = DBSettingInfoManger.dbSetting("MRO");
string queryName = "Underlying";
connect.addQuery(queryName,"");
connect.excute();
List<double> resultVol = new List<double>();
foreach (DataRow item in connect.ResultDataSet_.Tables[queryName].Rows)
{
double vol = Convert.ToDouble(item["Value"].ToString());
resultVol.Add(vol);
}
histVolCal.ValueList_ = resultVol;
histVolCal.historyCalVol();
return histVolCal.ValueList_;
}
internal Handle<YieldTermStructure> driftCurve(Underlying item)
{
//var flatTermStructure = new Handle<YieldTermStructure>(new FlatForward(today, riskFreeRate, dayCounter));
//var flatDividendTS = new Handle<YieldTermStructure>(new FlatForward(today, dividendYield, dayCounter));
//var flatVolTS = new Handle<BlackVolTermStructure>(new BlackConstantVol(today, calendar, volatility, dayCounter));
throw new NotImplementedException();
}
public UnderlyingParameterViewModel(Underlying under)
{
// TODO: Complete member initialization
this.Underlying_ = under;
//this.drift_ = item.Drift_;
//this.dividend_ = item.Dividend_;
//this.volatility_ = item.Vol_;
this.drift_ = 0.033;
this.dividend_ = 0.011;
this.volatility_ = 0.332;
this.currentPrice_ = new QuoteInfo(10005);
this.itemCode_ = new CodeManager(under.KRCode_);
//this.underlyingType_ = item.groupType_;
}
// Process1D 생성용 //내부사용함.
private static StochasticProcess1D buildProcess1D(Underlying under)
{
Date today = Settings.evaluationDate();
CurveSetting curveSetting = new CurveSetting();
ProcessSetting processSetting = new ProcessSetting();
ProcessType proType = processSetting.processType(under);
StochasticProcess1D process;
if (proType == ProcessType.BlackScholesMertonProcess)
{
Handle<Quote> quite = new Handle<Quote>();//under.quoteValue(today);
Handle<YieldTermStructure> driftTS = curveSetting.driftCurve(under);
Handle<YieldTermStructure> dividendTS = curveSetting.dividendCurve(under);
Handle<BlackVolTermStructure> volTS = curveSetting.volCurve(under);
process = new BlackScholesMertonProcess(quite,driftTS,dividendTS,volTS);
}
else if (proType == ProcessType.GemetricBrownianMotion)
{
throw new NotImplementedException();
}
else if ( proType == ProcessType.HullWhite )
{
throw new NotImplementedException();
}
else if (proType == ProcessType.Vasicek)
{
throw new NotImplementedException();
}
else
{
throw new NotImplementedException();
}
return process;
}
internal double Ds(Underlying underlying)
{
throw new NotImplementedException();
}
internal ProcessFactory.ProcessType processType(Underlying under)
{
throw new NotImplementedException();
}
public Handle<BlackVolTermStructure> corrCurve(Underlying item)
{
throw new NotImplementedException();
}
public double volatility(DateTime referenceDate, Underlying under, string type)
{
return(0.0);
}
//public UnderlyingInfo(List<string> underCode)
//{
// this.underlyings_ = new List<Underlying>();
// foreach (string item in underCode)
// {
// this.underlyings_.Add(new Underlying(item));
// }
//}
public void addUnderlying(Underlying under)
{
this.underlyings_.Add(under);
}
public void setUnderInfo(Underlying under)
{
this.Underlying_ = under;
}
public Handle <BlackVolTermStructure> corrCurve(Underlying item)
{
throw new NotImplementedException();
}
public double volatility(DateTime referenceDate, Underlying under, string type)
{
return 0.0;
}
//public UnderlyingInfo(List<string> underCode)
//{
// this.underlyings_ = new List<Underlying>();
// foreach (string item in underCode)
// {
// this.underlyings_.Add(new Underlying(item));
// }
//}
public void addUnderlying(Underlying under)
{
this.underlyings_.Add(under);
}
public void underInfoFromXml(XmlNode node)
{
//// product에 종속함. 나중에 어떻게 할지 생각
//XmlNode instCodeNode = node.SelectSingleNode("issueInformation");
//string instCode = instCodeNode["krCode"].InnerText;
//
//XmlNode underInfoNode = node.SelectSingleNode("ELSStepDownRedemptions/underlyingInformation");
XmlNodeList underNodeList = node.SelectNodes("underlying");
this.underlyings_ = new List<Underlying>();
foreach (XmlNode item in underNodeList)
{
Underlying under = new Underlying();
under.loadFromXml(item);
//under.InstCode_ = instCode;
this.underlyings_.Add(under);
}
}
public void setUnderInfo(Underlying under)
{
this.Underlying_ = under;
}