Esempio n. 1
0
 static double GetOptionMaturityMarketValue(Datum datum, double strike)
 {
     KospiOptionInfo koi = OptionUtil.GetKOI(datum.Code);
     double option_count = datum.Count;
     if (koi.CallPut == CallPutFlag.Call)
     {
         double market_value = Math.Max(strike - koi.Strike, 0) * option_count * Const._100_000;
         return market_value;
     }
     else
     {
         double market_value = Math.Max(koi.Strike - strike, 0) * option_count * Const._100_000;
         return market_value;
     }
 }
Esempio n. 2
0
 static double GetElwMaturityMarketValue(Datum datum, double strike)
 {
     ElwInfo ei = ElwUtil.GetElwInfo(datum.Code);
     double option_count = ElwOptionUtil.ConvertElwCountToOptionCount_Double(ei, datum.Count);
     if (ei.CallPut == CallPutFlag.Call)
     {
         double market_value = Math.Max(strike - ei.Strike, 0) * option_count * Const._100_000;
         return market_value;
     }
     else
     {
         double market_value = Math.Max(ei.Strike - strike, 0) * option_count * Const._100_000;
         return market_value;
     }
 }
Esempio n. 3
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        static Dictionary<String, Datum> GetOptionDict(double strike, ExcelData option_data)
        {
            Excel.Worksheet ws = option_data.xlWorkSheet;

            Dictionary<String, Datum> dict = new Dictionary<string, Datum>();

            //loop without header row.
            for (int i = 2; i <= ws.Rows.Count; ++i)
            {
                Excel.Range rngTicker = ws.Cells[i, 2] as Excel.Range;
                if (rngTicker.Value2 == null || rngTicker.Count == 0)
                {
                    break;
                }

                String ticker = rngTicker.Value2.ToString();

                Excel.Range rngCount = ws.Cells[i, 4] as Excel.Range;
                long count = Convert.ToInt64(rngCount.Value2);

                Excel.Range rngClose = ws.Cells[i, 7] as Excel.Range;
                double close = Convert.ToDouble(rngClose.Value2);

                Excel.Range rngMarketValue = ws.Cells[i, 9] as Excel.Range;
                double market_value = Convert.ToInt64(rngMarketValue.Value2);

                Excel.Range rngCurPnL = ws.Cells[i, 10] as Excel.Range;
                double cur_pnl = Convert.ToInt64(rngCurPnL.Value2);

                Excel.Range rngLongShort = ws.Cells[i, 8] as Excel.Range;
                String longShortKorean = rngLongShort.Value2.ToString();
                TradingDirection long_short = TradingDirection.Short;

                if (longShortKorean.CompareTo("매수") == 0)
                {
                    long_short = TradingDirection.Long;
                }

                double book_value = market_value + cur_pnl;

                KospiOptionInfo koi = OptionUtil.GetKOI(ticker);

                Datum datum = new Datum();
                datum.Code = ticker;
                datum.Close = close;
                datum.Count = count;
                datum.BookValue = book_value;
                datum.MarketValue = market_value;

                datum.CallPut = koi.CallPut;
                datum.MaturityMarketValue = GetOptionMaturityMarketValue(datum, strike);
                datum.LongShort = long_short;

                dict.Add(ticker, datum);
            }
            return dict;
        }
Esempio n. 4
0
        static Dictionary<String, Datum> GetElwDict(double strike, ExcelData elw_data)
        {
            Excel.Worksheet ws = elw_data.xlWorkSheet;

            Dictionary<String, Datum> dict = new Dictionary<string, Datum>();

            //loop without header row.
            for (int i = 2; i <= ws.Rows.Count; ++i)
            {
                Excel.Range rng1 = ws.Cells[i, 1] as Excel.Range;
                if (rng1.Value2 == null || rng1.Count == 0)
                {
                    break;
                }

                String ticker = rng1.Value2.ToString();

                Excel.Range rngCount = ws.Cells[i, 4] as Excel.Range;
                long count = Convert.ToInt64(rngCount.Value2);

                Excel.Range rngBookValue = ws.Cells[i, 12] as Excel.Range;
                long book_value = Convert.ToInt64(rngBookValue.Value2);

                Excel.Range rngClose = ws.Cells[i, 21] as Excel.Range;
                double close = Convert.ToDouble(rngClose.Value2);

                Excel.Range rngMarketValue = ws.Cells[i, 25] as Excel.Range;
                double market_value = Convert.ToInt64(rngMarketValue.Value2);

                ElwInfo ei = ElwUtil.GetElwInfo(ticker);

                Datum datum = new Datum();
                datum.Code = ticker;
                datum.Close = close;
                datum.Count = count;
                datum.BookValue = book_value;
                datum.MarketValue = market_value;

                datum.CallPut = ei.CallPut;
                datum.MaturityMarketValue = GetElwMaturityMarketValue(datum, strike);

                datum.LongShort = TradingDirection.Long;

                dict.Add(ticker, datum);
            }
            return dict;
        }