public DefaultStrategy(String strategyName, SimInputData input)
{
this.StrategyName = strategyName;
this.Input = input;
this._allocBase = new StaticAlloc();
this._opSet = new OperationSet();
this._adjustment = new DummyAdjustment();
}
public AssetRateCalculator(IAlloc alloc, List<IAdj> adjs, SimInputData inputData, MixupRule rule)
{
Trace.Assert(alloc != null);
Trace.Assert(adjs != null);
Trace.Assert(inputData != null);
this.Alloc = alloc;
this.Adjs = adjs;
this.InputData = inputData;
this.Rule = rule;
}
public SimCase(String name, IAlloc alloc, List<IAdj> adjs, SimInputData inputData, MixupRule rule, MarketDataSet marketData)
{
Trace.Assert(name != null);
Trace.Assert(alloc != null);
Trace.Assert(adjs != null);
Trace.Assert(inputData != null);
Trace.Assert(marketData != null);
this.Name = name;
this.Alloc = alloc;
this.Adjs = adjs;
this.InputData = inputData;
this.Rule = rule;
this.Calculator = new AssetRateCalculator(alloc, adjs, inputData, rule);
this.MarketData = marketData;
}
public static MarketDataSet GetMarketDataSet(SimInputData input)
{
List<MarketData> l = new List<MarketData>();
MarketData mdKospiFuture = DataUtil.LoadDataAndAddToList("KM1 R:00_0_R Index", input.StartDate, input.EndDate, l);
MarketData mdBond = DataUtil.LoadDataAndAddToList("KE1 R:00_0_R Comdty", input.ReadStartDate, input.EndDate, l);
MarketData mdDollar = DataUtil.LoadDataAndAddToList("KU1 R:00_0_R Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdKrxCreditDepositRate = DataUtil.LoadDataAndAddToList("KrxCreditDepositRate", input.ReadStartDate, input.EndDate, l);
MarketData mdUsdKrwCurncy = DataUtil.LoadDataAndAddToList("USDKRW Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdBokRate = DataUtil.LoadDataAndAddToList("KORP7D Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKospiIndex = DataUtil.LoadDataAndAddToList("KOSPI Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKtbSpotRate = DataUtil.LoadDataAndAddToList("KOTB3YR Index", input.ReadStartDate, input.EndDate, l);
MarketData mdCycleLeadingIndex = DataUtil.LoadDataAndAddToList("SKLILY Index", input.ReadStartDate, input.EndDate, l);
MarketData mdConsumerPriceIndex = DataUtil.LoadDataAndAddToList("KOCPI Index", input.ReadStartDate, input.EndDate, l);
List<MarketData> alignedData = DataUtil.FillByPivotData(mdKospiFuture, l);
Boolean arranged = DataUtil.IsArrangedDateAndIndex(alignedData);
Trace.Assert(arranged);
//Set data
MarketDataSet data = new MarketDataSet();
data.Add(MarketDataSetKey.KospiFuture, alignedData[0]);
data.Add(MarketDataSetKey.KtbFuture, alignedData[1]);
data.Add(MarketDataSetKey.DollarFuture, alignedData[2]);
data.Add(MarketDataSetKey.KrxCreditDepositRate, alignedData[3]);
data.Add(MarketDataSetKey.DollarSpot, alignedData[4]);
data.Add(MarketDataSetKey.BokRate, alignedData[5]);
data.Add(MarketDataSetKey.KospiSpot, alignedData[6]);
data.Add(MarketDataSetKey.KtbSpot, alignedData[7]);
data.Add(MarketDataSetKey.CycleLeadingIndex, alignedData[8]);
data.Add(MarketDataSetKey.ConsumerPriceIndex, alignedData[9]);
data.RegisterPivotData(alignedData[0]);
return data;
}
public SimCaseResultOverview(SimInputData input, int curCaseCount, long totalCaseCount)
{
this.BaseInput = input;
this.CurCaseCount = curCaseCount;
this.TotalCaseCount = totalCaseCount;
}
public GeneralOptimizer(String strategyName, SimInputData input)
{
this.StrategyName = strategyName;
this.Input = input;
}
void RunStaticAllocOptimizerExperiment()
{
SimInputData input = new SimInputData();
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
IStrategy strategy = new StaticAllocOptimizer("StaticAllocOptimizer", input);
strategy.Build();
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunOptimization()
{
SimInputData input = new SimInputData();
input.ReadStartDate = new DateTime(1990, 1, 1);
input.StartDate = new DateTime(2001, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000; // 100억
GeneralOptimizer strategy = new GeneralOptimizer("", input);
strategy.Build();
for (int i = 0; i < 40; ++i)
{
double kospiWeight = 1 + 0.1 * i;
//const String kAdjName = "DeltaVolEqIrAdj_result";
//const String kAdjName = "DeltaVolBaseEqIrAdj_result";
const String kAdjName = "DeltaVolEqIrAggrAdj_result";
//const String kAdjName = "DeltaVolBaseEqIrAggrAdj_result";
ExcelAdjustment adj = new ExcelAdjustment(
String.Format("{0}.xlsx", kAdjName), "Sheet1", kospiWeight);
strategy.AddAdjustment(adj, String.Format("kAdjName ({0:n2})", kospiWeight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunMixUp()
{
SimInputData input = new SimInputData();
input.ReadStartDate = new DateTime(1990, 1, 1);
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("SA", 0.33, 0.33, 0.34));
strategy.Build();
DollarPriceAdjustment dollarPriceAdj = new DollarPriceAdjustment(0.9);
KrxCreditDepositRateAdjustment cdAdj = new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(1.5));
KrxCreditDepositRateAdjustment cdAdj2 = new KrxCreditDepositRateAdjustment(new CreditPolicyWithUpDownMA(1.5));
MaeKoVolAdjustment maeAdj = new MaeKoVolAdjustment(1.2);
MaeBokRateAdjustment maeBokRateAdj = new MaeBokRateAdjustment(new BokRatePolicy_Static(), 1.0);
MacroAA_Adjustment macroAA_Adj = new MacroAA_Adjustment();
strategy.AddAdjustment(cdAdj2, "CD2");
strategy.AddAdjustment(maeAdj, "MaeKoVol");
strategy.AddAdjustment(maeBokRateAdj, "MaeBokRate");
strategy.AddAdjustment(macroAA_Adj, "MacroAA");
ExcelAdjustment deltaVol_Adj = new ExcelAdjustment("DeltaVolEqIrAdj_result.xlsx", "Sheet1", 1.5);
strategy.AddAdjustment(deltaVol_Adj, "DeltaVolEqIr");
//ExcelAdj deltaVolBase_Adj = new ExcelAdj("DeltaVolBaseEqIrAdj_result.xlsx", "Sheet1", 1.5);
//strategy.AddAdjustment(deltaVolBase_Adj, "DeltaVolBaseEqIr");
//ExcelAdj deltaVolAggr_Adj = new ExcelAdj("DeltaVolEqIrAggrAdj_result.xlsx", "Sheet1", 1.0);
//strategy.AddAdjustment(deltaVolAggr_Adj, "DeltaVolEqIrAggr");
//ExcelAdj deltaVolBaseAggr_Adj = new ExcelAdj("DeltaVolBaseEqIrAggrAdj_result.xlsx", "Sheet1", 1.5);
//strategy.AddAdjustment(deltaVolBaseAggr_Adj, "DeltaVolBaseEqIrAggr");
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunKrxCreditDepositRateOptimizerExperiment()
{
SimInputData input = new SimInputData();
//input.StartDate = new DateTime(2001, 1, 1);
input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("KrxCreditDepositRateOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyStatic(weight)),
String.Format("Static ({0:n2})", weight));
strategy.AddAdjustment(new KrxCreditDepositRateAdjustment(new CreditPolicyWithMA(weight)),
String.Format("MA ({0:n2})", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
void RunDollarPriceAdjExperiment()
{
SimInputData input = new SimInputData();
input.StartDate = new DateTime(2001, 1, 1);
//input.StartDate = new DateTime(2006, 1, 1);
input.EndDate = new DateTime(2011, 5, 1);
input.EndDate = DateTime.Now;
input.InitInvestAmount = 1000000000;
GeneralOptimizer strategy = new GeneralOptimizer("DollarPriceOptimizer", input);
strategy.Build();
for (int i = 0; i < 20; ++i)
{
double weight = 0.5 + 0.1 * (double)i;
//double weight = i;
strategy.AddAdjustment(new DollarPriceAdjustment(weight), String.Format("{0:n2}", weight));
}
List<IResultHandler> resultHandlers = new List<IResultHandler>();
//resultHandlers.Add(new CsvOutHandler());
resultHandlers.Add(this);
Experiment experiment = new Experiment(strategy, resultHandlers);
experiment.Run();
}
public StaticAllocOptimizer(String strategyName, SimInputData input)
{
this.StrategyName = strategyName;
this.Input = input;
}
public void SetInputData(long notional)
{
SimInputData data = new SimInputData();
//data.StartDate = DataUtil.GetDateWithDayPrecision(DateTime.Now.AddYears(-10));
data.StartDate = new DateTime(2001, 1, 1);
data.ReadStartDate = DataUtil.GetDateWithDayPrecision(DateTime.Now.AddYears(-100));
data.EndDate = DataUtil.GetDateWithDayPrecision(DateTime.Now.AddDays(-1));
data.InitInvestAmount = notional;
this.InputData = data;
this.Description = "";
logger.Info("{0} session data is ready.", SessionKey);
}
public AdjExcelAdjResultConverter(SimInputData input, List<IAdj> adjs, MarketDataSet dataSet)
{
_input = input;
_adjs = adjs;
_marketData = dataSet;
}
public KrxCreditDepositOptimizer(String strategyName, SimInputData input)
{
this.StrategyName = strategyName;
this.Input = input;
}