public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AdjRateDatum(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAssetWeight_Raw(DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(Math.Abs(increment));
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 200);
double kospiFactor = 1.3 - 0.1 * level;
kospiFactor *= _weight;
kospiFactor = MathUtil.CapAndFloor(kospiFactor);
ret = new AdjRateDatum(kospiFactor, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
OperationRow opData = opSet.GetData(_key);
Boolean on = opData.On;
AdjRateDatum others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
AdjRateDatum mine = new AdjRateDatum(_kospiAdjustment, _bondAdjustment, _dollarAdjustment);
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음");
return others;
}
}
else
{
return others;
}
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_ismAdjDic == null || _ismAdjDic.Count == 0)
{
LoadISMEqAdjs();
//TODO: ism 데이터를 월말이 아닌 매일 DB에 넣어준 후에 아래 함수를 사용.
//LoadBSIEqAdjs(data);
}
// ISM 매달초 당월 말일날짜로 발표 -> 당월 중에는 전월 말일날짜 이용가능.
DateTime dataAvailableDate = targetDate.AddDays( - 1 * targetDate.Day); //전월 말일
double curAdj = 1;
if (_ismAdjDic.ContainsKey(dataAvailableDate))
{
curAdj = _ismAdjDic[dataAvailableDate];
_lastReturnedAdjRate = curAdj;
}
else
{
curAdj = _lastReturnedAdjRate;
}
AdjRateDatum ret = new AdjRateDatum(curAdj * _weight, 1, 1);
return ret;
}
public static AdjRateDatum Sum(AdjRateDatum a, AdjRateDatum b)
{
double kospiAdjustment = a.KospiRate + b.KospiRate;
double bondAdjustment = a.KtbRate + b.KtbRate;
double dollarAdjustment = a.DollarRate + b.DollarRate;
AdjRateDatum aa = new AdjRateDatum(kospiAdjustment, bondAdjustment, dollarAdjustment);
return aa;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
if (_adjs.ContainsKey(targetDate))
{
Tuple<double, double, double> t = _adjs[targetDate];
AdjRateDatum aa = new AdjRateDatum(t);
_prev = aa;
return aa;
}
return _prev;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_RealIrAdjDic == null || _RealIrAdjDic.Count == 0)
{
LoadRealIrAdjs(data);
}
double curAdj = 1;
if (_RealIrAdjDic.ContainsKey(targetDate))
{
curAdj = _RealIrAdjDic[targetDate];
}
AdjRateDatum ret = new AdjRateDatum(1, curAdj * _weight, 1);
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = new AdjRateDatum(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
kospiAdjustment = MathUtil.CapAndFloor(kospiAdjustment);
adj = new AdjRateDatum(kospiAdjustment, 1, 1);
}
return adj;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_kospiFutureWeight == null || _kospiFutureWeight.Count == 0)
{
LoadDeltaVolAdjRates(data);
//LoadDeltaVolAdjRates();
}
double kospiWeight = 1;
double ktbWeight = 1;
double dollarWeight = 1;
if (_kospiFutureWeight.ContainsKey(targetDate))
{
kospiWeight = _kospiFutureWeight[targetDate] * _weight;
if (_ktbFutureWeight.ContainsKey(targetDate))
{
ktbWeight = _ktbFutureWeight[targetDate] * _weight;
}
else
{
ktbWeight = _prev.KtbRate;
}
if (_dollarFutreWeight != null && _dollarFutreWeight.ContainsKey(targetDate))
{
dollarWeight = _dollarFutreWeight[targetDate] * _weight;
}
else
{
dollarWeight = _prev.DollarRate;
}
Tuple<double, double, double> t =
new Tuple<double, double, double>(kospiWeight, ktbWeight, dollarWeight);
AdjRateDatum adjRateDatum = new AdjRateDatum(t);
_prev = adjRateDatum;
return adjRateDatum;
}
return _prev;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AdjRateDatum ret = null;
if (_prevMarketData == null)
{
ret = new AdjRateDatum(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public AssetRateDataLog Execute(long caseNumber)
{
IAlloc allocBase = this._allocBases[(int)caseNumber];
DateTime curDate = this.Input.StartDate;
AssetRateDataLog log = new AssetRateDataLog();
_curKey = String.Format("SAO({0})", allocBase.GetKey());
while (curDate <= this.Input.EndDate)
{
if (this._readyData.IsExistDate(curDate))
{
AssetRateDatum aw = allocBase.CalculateAndGetAssetRateDatum(curDate, this._readyData);
AdjRateDatum aa = new AdjRateDatum(1, 1, 1);
aw.Multiply(aa);
aw.SetScale();
log.Add(curDate, aw);
}
curDate = curDate.AddDays(1);
}
return log;
}
public static AdjRateDatum Calculate(
int key,
AdjRateDatum mine,
IAdjustment next,
OperationSet opSet,
DateTime targetDate,
MarketDataSet data)
{
if (next == null)
{
return mine;
}
OperationRow opData = opSet.GetData(key);
Boolean on = opData.On;
AdjRateDatum others = next.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
Trace.Assert(false);
return others;
}
}
else
{
return others;
}
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_cycleAdjDic == null || _cycleAdjDic.Count == 0)
{
LoadCycleEqAdjs();
//TODO: cycle 데이터를 월말이 아닌 매일 DB에 넣어준 후에 아래 함수를 사용.
//LoadCycleEqAdjs(data);
}
// 경기선행지수 매달 말일 발표 -> 당월에는 전전월 말일자 데이터를 이용할 수 있다.
DateTime dataAvailableDate = targetDate.AddDays(1 - 1 * targetDate.Day).AddMonths(-1); //전월 1일
dataAvailableDate = dataAvailableDate.AddDays(-1); //전전월 말일
// 당월 말일에는 전월 말일자
if (targetDate == DataUtil.GetMonthEndWeekDay(targetDate))
{
dataAvailableDate = DataUtil.GetMonthEndDate(dataAvailableDate.AddDays(1));
}
dataAvailableDate = DataUtil.GetLastTradingDay(_mdPivot, dataAvailableDate); // 월말이 주말인 경우 마지막 금요일로 변환
double curAdj = 1;
if (_cycleAdjDic.ContainsKey(dataAvailableDate))
{
curAdj = _cycleAdjDic[dataAvailableDate];
_lastReturnedAdjRate = curAdj;
}
else
{
curAdj = _lastReturnedAdjRate;
}
AdjRateDatum ret = new AdjRateDatum(curAdj * _weight, 1, 1);
return ret;
}
public void Multiply(AdjRateDatum adjRate)
{
this.KospiRate *= adjRate.KospiRate;
this.KtbRate *= adjRate.KtbRate;
this.DollarRate *= adjRate.DollarRate;
}
AdjRateDatum SetBaseAdjRateDatum()
{
AdjRateDatum ret = null;
if (this.Rule == MixupRule.Multiply)
{
ret = new AdjRateDatum(new Tuple<double,double,double>(1, 1, 1));
}
else if (this.Rule == MixupRule.Sum)
{
ret = new AdjRateDatum(new Tuple<double, double, double>(0, 0, 0));
}
else
{
Trace.Assert(false);
}
return ret;
}
AdjRateDatum GetOperatedAdjRateDatum(AdjRateDatum datum1, AdjRateDatum datum2)
{
if (this.Rule == MixupRule.Multiply)
{
return AdjUtil.Multiply(datum1, datum2);
}
else if (this.Rule == MixupRule.Sum)
{
return AdjUtil.Sum(datum1, datum2);
}
Trace.Assert(false);
return null;
}
public void Sum(AdjRateDatum adjRate)
{
this.KospiRate += adjRate.KospiRate;
this.KtbRate += adjRate.KtbRate;
this.DollarRate += adjRate.DollarRate;
}
