public virtual void build_emptyResult(DateTime refDate) { clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB(); string refDateStr = refDate.ToString("yyyyMMdd"); List<string> underlyingList = new List<string>(); this.underlyingList(underlyingList); clstb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, refDateStr); clstb.CALC_DT = refDateStr; clstb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID; clstb.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP; int i = 1; foreach (string under in underlyingList) { clstb.UNDERLYING_ID = under; clstb.UNDERLYING_VALUE = 0.0; clstb.SEQ = i; clstb.DELTA = 0.0; clstb.GAMMA = 0.0; clstb.VEGA = 0.0; clstb.CALC_PRICE = 0.0; clstb.CALCULATED_FLAG = 0; clstb.CALCULATED_TIME = ""; clstb.CALCULATE_TYP = 0; clstb.Insert(); i += 1; } // SCENARIO 팀장 미친 개새끼 clsSET_SCENARIO_TB cls_scenario = new clsSET_SCENARIO_TB(); cls_scenario.FP_MASTER_TYP = this.baseDAO_.FP_MASTER_TYP; DataTable dt = cls_scenario.Select(); foreach (DataRow dr in dt.Select()) { clstb.UNDERLYING_ID = clsSET_SCENARIO_TB.Create(dr).SCENARIO_CD; clstb.SEQ = i; clstb.Insert(); i += 1; } // 지워 clsHITM_FP_CASHFLOWRESULT_TB clstb_cf = new clsHITM_FP_CASHFLOWRESULT_TB(); clstb_cf.CALC_DT = refDate.ToString("yyyyMMdd"); clstb_cf.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID; clstb_cf.DeleteInstDateCashFlow(); }
public override void calculate(DateTime calcDate,FP_Parameter fp_parameter) { // market data load clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB(); string calcDateStr = calcDate.ToString("yyyyMMdd"); clstb.REF_DT = calcDateStr; clstb.INDEX_CD = this.indexFuturesDAO_.UNDERLYING_INDEX_CD; int checkNum = clstb.SelectOwn(); if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); } double indexData = clstb.LAST; // calculate // position clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB(); position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID; position_tb.POSITION_DT = calcDateStr; if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); } double accountIndex = position_tb.ACCOUNT_INDEX; clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB(); result_tb.CALC_DT = calcDateStr; // price result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID; result_tb.UNDERLYING_ID = this.indexFuturesDAO_.UNDERLYING_INDEX_CD; result_tb.UNDERLYING_VALUE = indexData; // DateTime maturity = ConvertingTool.ToDateTime(this.indexFuturesDAO_.MATURITY_DT); double t = (maturity - calcDate).TotalDays / 365; result_tb.DELTA = Math.Round(this.indexFuturesDAO_.QUANTITY * indexData * this.indexFuturesDAO_.INDEX_MULTIPLIER * Math.Exp(0.03 * t)); result_tb.CALC_PRICE = Math.Round( this.indexFuturesDAO_.QUANTITY * ( indexData - accountIndex ) * this.indexFuturesDAO_.INDEX_MULTIPLIER ); result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED; result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ; result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; //result_tb.UpdateDateResult(); result_tb.Insert(); // delta // gamma and others : no exist ? }
//public override void calculate(DateTime calcDate) //{ // //try // //{ // // this.marketDataCheck(calcDate); // //} // //catch (Exception e) // //{ // // Console.WriteLine(e.Message); // // return; // //} // //double pay_notional = this.SwapDAO_.NOTIONAL_PAY; // //double rec_notional = this.SwapDAO_.NOTIONAL_REC; // //Date ql_calcDate = new Date(calcDate.ToString("yyyyMMdd"), "yyyyMMdd"); // //QuantLib.Settings.instance(). setEvaluationDate(ql_calcDate); // ////Date evalDate = Settings.instance().getEvaluationDate(); // ////Console.WriteLine("year : " + evalDate.year()); // ////Console.WriteLine("month : " + evalDate.month()); // ////Console.WriteLine("day : " + evalDate.dayOfMonth()); // //Date effectiveDate = new Date(this.SwapDAO_.EFFECTIVE_DT, "yyyyMMdd"); // //Date maturityDate = new Date(this.SwapDAO_.MATURITY_DT, "yyyyMMdd"); // //DayCounter dc = new Actual365Fixed(); // //CurveManager cm = new CurveManager(); // //QuantLib.Calendar calendar = new QuantLib.SouthKorea(); // //// --------------------------------------- // //List<int> regTypeIDs = new List<int>() { this.SwapDAO_.PAY_LEG_TYP, this.SwapDAO_.REC_LEG_TYP }; // //List<Leg> legs = new List<Leg>(); // //for (int i = 0; i < 2; i++) // //{ // // int legID = regTypeIDs[i]; // // Leg ql_leg = new Leg(); // // if (legID == 0) // // { // // this.ql_FixedlegSet(this.FP_PayCashFlowList_, ql_leg, pay_notional, dc); // // } // // else // // { // // string curveID = cm.indexCurveMapping(this.FixingIndexCD_); // // cm.loadCurveData(calcDate, curveID); // // YieldTermStructure indexCurve = cm.yieldCurve(); // // this.ql_FloatinglegSet(this.FP_RecCashFlowList_, ql_leg, rec_notional, indexCurve, dc, calendar); // // //indexCurve.Dispose(); // // } // // legs.Add(ql_leg); // //} // //Swap swap = new Swap(legs[0], legs[1]); // //cm.loadDiscountCurveData(calcDate, SwapDAO_.PAY_CURR); // //YieldTermStructure discountCurve = cm.yieldCurve(); // //YieldTermStructureHandle ysh = new YieldTermStructureHandle(discountCurve); // //DiscountingSwapEngine dse = new DiscountingSwapEngine(ysh); // //swap.setPricingEngine(dse); // //double npv = swap.NPV(); // //Console.WriteLine("NPV : " + npv ); // ////discountCurve.Dispose(); // ////ysh.Dispose(); // //// 평가함. // //// db 에 박음. // //// price // //clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB(); // //clstb.CALC_DT = calcDate.ToString("yyyyMMdd"); // //clstb.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID; // //clstb.INSTRUMENT_TYP = this.SwapDAO_.INSTRUMENT_TYP; // //clstb.UNDERLYING_ID = ""; // //clstb.SEQ = 1; // //clstb.DELTA = 0.0; // //clstb.GAMMA = 0.0; // //clstb.VEGA = 0.0; // //clstb.CALC_PRICE = npv; // //clstb.Insert(); //} public override void calculate(DateTime calcDate, FP_Parameter fp_parameter) { // 돌릴거에 대한 List를 가져옴. //List<ScenarioData> scenarioDataList = new List<ScenarioData>(); fp_parameter.ScenarioInfo_ = ScenarioInfo.BaseParallelShift(); double value_up = this.calculateImpl(calcDate, fp_parameter); fp_parameter.ScenarioInfo_ = ScenarioInfo.NullScenario(); double value = this.calculateImpl(calcDate,fp_parameter); clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB(); clsHDAT_MARKETDATA_TB clstb_market = new clsHDAT_MARKETDATA_TB(); string calcDateStr = calcDate.ToString("yyyyMMdd"); clstb_market.REF_DT = calcDateStr; clstb_market.INDEX_CD = "CD91"; if (clstb_market.SelectOwn() == 0) { throw new Exception("market data does not exist : " + clstb_market.REF_DT + " " + clstb_market.INDEX_CD); } clstb_greekresult.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, calcDateStr); clstb_greekresult.CALC_DT = calcDate.ToString("yyyyMMdd"); clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID; clstb_greekresult.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP; clstb_greekresult.UNDERLYING_ID = clstb_market.INDEX_CD; clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST; clstb_greekresult.SEQ = 1; clstb_greekresult.DELTA = value_up - value; clstb_greekresult.GAMMA = 0.0; clstb_greekresult.VEGA = 0.0; clstb_greekresult.CALC_PRICE = value; clstb_greekresult.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED; clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); clstb_greekresult.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; // 패러럴 쉬푸투 or 그냥 구한거 머 등등.. //clstb_greekresult.UpdateDateResult(); clstb_greekresult.Insert(); #region CashFlow // db 지우는 거? for (int i = 0; i < this.FP_PayCashFlowList_.Count; i++) { if ( !this.FP_PayCashFlowList_[i].hasOccurred(calcDate) ) { this.FP_PayCashFlowList_[i].cf_insert(calcDate, i + 1, this.SwapDAO_.INSTRUMENT_ID, this.SwapDAO_.INSTRUMENT_TYP, (int)clsHITM_FP_CASHFLOWRESULT_TB.PAY_REC_Type.Pay); } } for (int j = 0; j < this.FP_RecCashFlowList_.Count; j++) { if (!this.FP_RecCashFlowList_[j].hasOccurred(calcDate)) { this.FP_RecCashFlowList_[j].cf_insert(calcDate, j + 1, this.SwapDAO_.INSTRUMENT_ID, this.SwapDAO_.INSTRUMENT_TYP, (int)clsHITM_FP_CASHFLOWRESULT_TB.PAY_REC_Type.Rec); } } #endregion }
public void makeEmptyResult(DateTime calcDate) { // 상품 master를 load함. this.loadInstrument(); clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB(); clstb.FP_GREEKRESULT_ID = "testGreekResult_ID"; clstb.CALC_DT = calcDate.ToString("yyyyMMdd"); clstb.UNDERLYING_ID = ""; clstb.UNDERLYING_VALUE = 0.0; clstb.SEQ = 0; clstb.DELTA = 0.0; clstb.GAMMA = 0.0; clstb.VEGA = 0.0; clstb.CALC_PRICE = 0.0; clstb.CALCULATED_FLAG = 0; clstb.CALCULATED_TIME = ""; clstb.CALCULATE_TYP = 0; foreach (Financial_instrument fi in this.Financial_instrumentList_) { clstb.INSTRUMENT_ID = fi.baseDAO_.INSTRUMENT_ID; clstb.INSTRUMENT_TYP = Convert.ToInt32(fi.InstrumentType_); clstb.Insert(); } }
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter) { // market data load clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB(); string calcDateStr = calcDate.ToString("yyyyMMdd"); clstb.REF_DT = calcDateStr; clstb.INDEX_CD = this.Currency_; double currencyRate = 1.0; if ( this.Currency_ != "KRW") { int checkNum = clstb.SelectOwn(); if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); } currencyRate = clstb.LAST; } // cash amount load clsHITM_CASH_INSTOCK_TB clstb_cash = new clsHITM_CASH_INSTOCK_TB(); clstb_cash.BOOK_CD = this.baseDAO_.BOOK_CD; clstb_cash.CURR = this.Currency_; double total_cash_amount = 0.0; DataTable tb = clstb_cash.Select(); foreach (DataRow dr in tb.Select() ) { total_cash_amount += clsHITM_CASH_INSTOCK_TB.Create(dr).CASHFLOW; } // calculate // position clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB(); result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, calcDateStr); result_tb.CALC_DT = calcDateStr; result_tb.SEQ = 1; // price result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID; result_tb.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP; result_tb.UNDERLYING_ID = this.Currency_; result_tb.UNDERLYING_VALUE = currencyRate; result_tb.DELTA = 0.0; result_tb.CALC_PRICE = total_cash_amount; result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED; result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ; result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; //if (result_tb.UpdateDateResult() == 0) // { throw new Exception("update fail : " + this.baseDAO_.INSTRUMENT_ID + " " + calcDate.ToString("yyyyMMdd")); }; result_tb.Insert(); // delta // gamma and others : no exist ? }