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.DAO_.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 = "FTP";
result_tb.UNDERLYING_VALUE = this.DAO_.INDEX_RATE;
//
DateTime maturity = ConvertingTool.ToDateTime("21991231");
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = 0.0;
result_tb.CALC_PRICE = this.DAO_.NOTIONAL;
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();
// delta
// gamma and others : no exist ?
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// 돌릴거에 대한 List를 가져옴.
List<ScenarioInfo> scenarioInfoList = new List<ScenarioInfo>();
List<double> scenarioCalcList = new List<double>();
clsSET_SCENARIO_TB clstb_scenario = new clsSET_SCENARIO_TB();
// 이걸로 할건지 아니면 세부 swap 으로 할건지
clstb_scenario.FP_MASTER_TYP = this.baseDAO_.FP_MASTER_TYP;
DataTable dt = clstb_scenario.Select();
foreach ( DataRow dr in dt.Select() )
{
scenarioInfoList.Add(new ScenarioInfo() { DAO_ = clsSET_SCENARIO_TB.Create(dr) });
}
foreach (ScenarioInfo sc_info in scenarioInfoList)
{
fp_parameter.ScenarioInfo_ = sc_info;
//fp_parameter.CurveShift_ = new ParallelCurveShift(0.0);
double v = this.calculateImpl(calcDate, fp_parameter);
sc_info.CalcPrice_ = v;
scenarioCalcList.Add(v);
}
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();
clstb_market.REF_DT = calcDate.ToString("yyyyMMdd");
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.CALC_DT = calcDate.ToString("yyyyMMdd");
clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
//clstb_greekresult.FP_GREEKRESULT_ID = "";
//clstb_greekresult.INSTRUMENT_TYP = 0;
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();
foreach (ScenarioInfo sc_info in scenarioInfoList)
{
//clstb_greekresult.FP_GREEKRESULT_ID = "";
//clstb_greekresult.INSTRUMENT_TYP = 0;
//clstb_greekresult.UNDERLYING_ID = clstb_market.INDEX_CD;
clstb_greekresult.UNDERLYING_ID = sc_info.ScenarioCode_;
clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
//clstb_greekresult.SEQ = 1;
clstb_greekresult.DELTA = sc_info.CalcPrice_ - value;
clstb_greekresult.GAMMA = 0.0;
clstb_greekresult.VEGA = 0.0;
// 시나리오의 경우 시나리오 value를 넣음.
clstb_greekresult.CALC_PRICE = sc_info.CalcPrice_;
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.Insert();
clstb_greekresult.UpdateDateResult();
}
#region CashFlow
// db 지우는 거?
int fixedPayRec = this.SwapDAO_.PAY_REC;
int floatingPayRec = fixedPayRec * (-1);
for (int i = 0; i < this.FixedLegInfo_.FP_CashFlowList_.Count; i++)
{
this.FixedLegInfo_.FP_CashFlowList_[i].cf_insert(calcDate,
i + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
fixedPayRec);
}
for (int j = 0; j < this.FloatingLegInfo_.FP_CashFlowList_.Count; j++)
{
this.FloatingLegInfo_.FP_CashFlowList_[j].cf_insert(calcDate,
j + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
floatingPayRec);
}
#endregion
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// master data load
this.indexOptionDAO_.SelectOwn();
// market data load
// index data
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
QLNet.Settings.setEvaluationDate(calcDate);
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexOptionDAO_.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;
// curveData --------------------------------------------------
string curve_cd = "IRSKRW";
YieldCurve curveManager = new YieldCurve();
curveManager.loadCurveData(calcDate,curve_cd,clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
QLNet.YieldTermStructure yield_ts = curveManager.yieldCurve();
// calculate
string maturityDateStr = this.indexOptionDAO_.MATURITY_DT;
System.Globalization.CultureInfo us
= new System.Globalization.CultureInfo("en-US");
DateTime maturityDate = DateTime.ParseExact(maturityDateStr, "yyyyMMdd", us);
DayCounter dc = new Actual365Fixed();
Calendar cal = new NullCalendar();
double vol = 0.3;
double strike = this.indexOptionDAO_.STRIKE;
PlainVanillaPayoff strikePayoff = new PlainVanillaPayoff(Option.Type.
Call, strike);
Exercise exercise = new EuropeanExercise(maturityDate);
VanillaOption q_option = new VanillaOption(strikePayoff,exercise);
Handle<Quote> x0 = new Handle<Quote>(new SimpleQuote(indexData));
FlatForward flatForward = new FlatForward(calcDate,0.01,dc);
Handle<YieldTermStructure> dividendTS = new Handle<YieldTermStructure>(flatForward);
Handle<YieldTermStructure> riskFreeTS = new Handle<YieldTermStructure>(yield_ts);
BlackConstantVol blackConstVol = new BlackConstantVol(calcDate,cal,vol,dc);
Handle<BlackVolTermStructure> blackVolTS = new Handle<BlackVolTermStructure>(blackConstVol);
GeneralizedBlackScholesProcess process =new GeneralizedBlackScholesProcess(x0 ,dividendTS,riskFreeTS,blackVolTS);
AnalyticEuropeanEngine europeanEngine = new AnalyticEuropeanEngine(process);
q_option.setPricingEngine(europeanEngine);
double value = q_option.NPV();
double indexMultiplier = this.indexOptionDAO_.INDEX_MULTIPLIER;
int quantity = this.indexOptionDAO_.QUANTITY;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.indexOptionDAO_.INSTRUMENT_ID,calcDateStr);
result_tb.CALC_DT = calcDateStr;
result_tb.INSTRUMENT_ID = this.indexOptionDAO_.INSTRUMENT_ID;
result_tb.INSTRUMENT_TYP = this.indexOptionDAO_.INSTRUMENT_TYP;
result_tb.UNDERLYING_ID = "KOSPI200";
result_tb.UNDERLYING_VALUE = indexData;
//result_tb.SEQ = 1;
result_tb.DELTA = (q_option.delta() * indexData / 100) * indexMultiplier * quantity; // 1% Delta
result_tb.GAMMA = 0.5 * (q_option.gamma() * indexData / 100) * indexMultiplier * quantity; // 1% Gamma
result_tb.VEGA = q_option.vega() / 100 * indexMultiplier * quantity; // 1% point Vega
result_tb.CALC_PRICE = value * indexMultiplier * quantity;
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;
// price
if (result_tb.UpdateDateResult() == 0)
{ throw new Exception("update result fail. no exist , calcDate : " + calcDate.ToString("yyyyMMdd") + " , inst_id : " + result_tb.INSTRUMENT_ID); }
// delta
// gamma and others : no exist ?
}