double GetDefaultIncrement(MaeBokRateAdj.BokRateEvent curEvent, DateTime curDate)
{
int remainDays = (curEvent.EndDate - curDate).Days;
if (remainDays < 0)
{
return 0.0;
}
if (remainDays < 90)
{
double y = (double)remainDays / 90;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
else if (remainDays <= 670)
{
return curEvent.TargetIncrement * (-1);
}
else
{
double daysAfterStart = (365 * 2 + 1) - remainDays;
Trace.Assert(daysAfterStart <= 60);
if (daysAfterStart < 0)
{
return 0.0;
}
Trace.Assert(daysAfterStart >= 0);
double y = daysAfterStart / 60;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
}
double GetDoubleDownFactor(MaeBokRateAdj.BokRateEvent lastEvent, MaeBokRateAdj.BokRateEvent curEvent)
{
Trace.Assert(lastEvent.UpDown != UpDown.Same);
Trace.Assert(lastEvent.UpDown != UpDown.Unknown);
Trace.Assert(curEvent.UpDown != UpDown.Same);
Trace.Assert(curEvent.UpDown != UpDown.Unknown);
double factor = 1;
const double kFactor = 1.3;
//const double kFactor = 1000;
double devide = kFactor;
if (lastEvent.UpDown != curEvent.UpDown)
{
devide = kFactor;
}
int diff = lastEvent.EventKey - curEvent.EventKey;
for (int i = 0; i < diff; ++i)
{
factor /= devide;
}
return factor;
}
public AssetAdjustment GetIncrement(
MaeBokRateAdj.BokRateEvent lastEvent,
List<MaeBokRateAdj.BokRateEvent> events,
DateTime curDate,
double weight)
{
List<double> increments = new List<double>();
foreach (MaeBokRateAdj.BokRateEvent ev in events)
{
double curIncrement = GetIncrementEach(lastEvent, ev, curDate);
increments.Add(curIncrement);
}
double totalIncrement = weight * (1.0 + increments.Sum());
if (totalIncrement < 0.0)
{
logger.Warn("BokRate TotalIncrement < 0.0 ({0})", totalIncrement);
//Trace.Assert(totalIncrement >= 0.0);
totalIncrement = 0.0;
}
return new AssetAdjustment(totalIncrement, 1, 1);
}
void RunTemp()
{
StrategyBaseInput input = new StrategyBaseInput();
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
//input.EndDate = DateTime.Now;
input.InitInvestAmount = (long)100 * 100000000;
DefaultStrategy strategy = new DefaultStrategy("", input);
strategy.SetBaseAlloc(new StaticAlloc(0.33, 0.33, 0.34));
strategy.Build();
DollarPriceAdj dollarPriceAdj = new DollarPriceAdj(0.9);
KrxCreditDepositRateAdjustment cdAdj = new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(1.5));
KrxCreditDepositRateAdjustment cdAdj2 = new KrxCreditDepositRateAdjustment(new CreditPolicyWithUpDownMA(1.5));
MaeKoVolAdj maeAdj = new MaeKoVolAdj(1.2);
MaeBokRateAdj maeBokRateAdj = new MaeBokRateAdj(new BokRatePolicy_Static(), 1.0);
MacroAA_Adj macroAA_Adj = new MacroAA_Adj();
ExcelAdj excelAdj = new ExcelAdj("data\\LinMacEquityAdj.xlsx", "Sheet1", 0.8);
//ExcelAdj excelAdj = new ExcelAdj("LinMacEquityAdj.xlsx", "LinMacEquityAdj_result");
//strategy.AddAdjustment(dollarPriceAdj, "DP");
////strategy.AddAdjustment(cdAdj, "CD1");
strategy.AddAdjustment(cdAdj2, "CD2");
strategy.AddAdjustment(maeAdj, "MaeKoVol");
strategy.AddAdjustment(maeBokRateAdj, "MaeBokRate");
strategy.AddAdjustment(macroAA_Adj, "MacroAA");
strategy.AddAdjustment(excelAdj, "LinMacEquityAdj");
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
double GetIncrementEach(
MaeBokRateAdj.BokRateEvent lastEvent,
MaeBokRateAdj.BokRateEvent curEvent,
DateTime curDate)
{
if (curEvent.EndDate < curDate)
{
// 기한이 지났다.
return 0;
}
double doubleDownFactor = GetDoubleDownFactor(lastEvent, curEvent);
double defaultIncrement = GetDefaultIncrement(curEvent, curDate);
double ret = defaultIncrement * doubleDownFactor;
return ret;
}
