public void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_yieldCurve serial_Excel_yieldCurve = serial_Class as FpmlSerializedCSharp.Excel_yieldCurve;
this.currency_ = serial_Excel_yieldCurve.Currency_.ValueStr;
this.code_ = serial_Excel_yieldCurve.Code_.ValueStr;
this.name_ = serial_Excel_yieldCurve.Name_.ValueStr;
this.description_ = serial_Excel_yieldCurve.Description_.ValueStr;
FpmlSerializedCSharp.Excel_interpolation serial_excel_interpolation = serial_Excel_yieldCurve.Excel_interpolation_;
string excel_interpolationtype = serial_excel_interpolation.Excel_type_.ValueStr;
this.excel_interpolationViewModel_ = Excel_interpolationViewModel.CreateExcel_interpolation(excel_interpolationtype);
this.excel_interpolationViewModel_.setFromSerial(serial_excel_interpolation);
List <FpmlSerializedCSharp.Excel_rateData> serial_excel_rateData = serial_Excel_yieldCurve.Excel_rateData_;
this.excel_rateDataViewModel_ = new ObservableCollection <Excel_rateDataViewModel>();
foreach (var item in serial_excel_rateData)
{
string type = item.Excel_type_.ValueStr;
Excel_rateDataViewModel viewModel = Excel_rateDataViewModel.CreateExcel_rateData(type);
viewModel.setFromSerial(item);
this.excel_rateDataViewModel_.Add(viewModel);
}
}
//public Control view()
//{
// Control v = new Excel_defaultCurveView();
// v.DataContext = this;
// return v;
//}
public void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_defaultCurve serial_Excel_defaultCurve = serial_Class as FpmlSerializedCSharp.Excel_defaultCurve;
this.code_ = serial_Excel_defaultCurve.Code_.ValueStr;
this.name_ = serial_Excel_defaultCurve.Name_.ValueStr;
this.recovery_ = serial_Excel_defaultCurve.Recovery_.ValueStr;
this.description_ = serial_Excel_defaultCurve.Description_.ValueStr;
FpmlSerializedCSharp.Excel_interpolation serial_excel_interpolation = serial_Excel_defaultCurve.Excel_interpolation_;
this.excel_interpolationViewModel_ = new Excel_interpolationViewModel();
this.excel_interpolationViewModel_.setFromSerial(serial_excel_interpolation);
List <FpmlSerializedCSharp.Excel_rateData> serial_excel_rateData = serial_Excel_defaultCurve.Excel_rateData_;
this.excel_rateDataViewModel_ = new ObservableCollection <Excel_rateDataViewModel>();
foreach (var item in serial_excel_rateData)
{
//string type = item.Excel_type_.ValueStr;
Excel_rateDataViewModel viewModel = new Excel_rateDataViewModel();
viewModel.setFromSerial(item);
this.excel_rateDataViewModel_.Add(viewModel);
}
}
public void loadData(DateTime d, string curveCode)
{
this.rateDataViewModel_.Clear();
for (int i = 1; i < 20; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "spot";
e_rdvm.Tenor_ = (i * 3).ToString() + "M";
e_rdvm.Value_ = (0.03 + i * 0.0007).ToString();
this.rateDataViewModel_.Add(e_rdvm);
}
}
public void loadMarketData(DateTime referenceDate)
{
this.excel_rateDataViewModel_.Clear();
Excel_rateDataViewModel e_rdvm1 = new Excel_rateDataViewModel();
e_rdvm1.Value_ = "0.02";
this.excel_rateDataViewModel_.Add(e_rdvm1);
Excel_rateDataViewModel e_rdvm2 = new Excel_rateDataViewModel();
e_rdvm2.Value_ = "0.03";
this.excel_rateDataViewModel_.Add(e_rdvm2);
}
public void loadCurve(string constRate)
{
this.excel_rateDataViewModel_ = new ObservableCollection <Excel_rateDataViewModel>();
CurveManager cm = new CurveManager();
// 데이터를 로드함
// cm.load(this.code_,this.referenceDate_);
//for (int i = 0; i < cm.Tenor_.Count ; i++)
List <string> tenorList = new List <string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < tenorList.Count; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "Spot";
//e_rdvm.Tenor_ = cm.Tenor_[i];
e_rdvm.Tenor_ = tenorList[i];
//e_rdvm.Value_ = cm.Data_[i];
e_rdvm.Value_ = constRate;
this.excel_rateDataViewModel_.Add(e_rdvm);
}
}
public Excel_yieldCurveViewModel discountCurve(DateTime refDate, string currencyCode)
{
//조회함
Excel_yieldCurveViewModel e_ycvm = new Excel_yieldCurveViewModel();
DISCOUNTCURVESETTING_Table_DAO dao = new DISCOUNTCURVESETTING_Table_DAO();
//dao.CURRENCY_ = cvm.CurrencyCode_;
dao.KeyColumn_ = currencyCode;
dao.select(DataBaseConnectManager.ConnectionFactory("myDB"));
string provider = dao.PROVIDER_;
string curveCode = dao.CURVECODE_;
e_ycvm.Code_ = curveCode;
e_ycvm.Currency_ = currencyCode;
IRCurveMarketDataLoader loader = IRCurveMarketDataLoader.CreateMarketDataLoader(provider);
ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList = new ObservableCollection <Excel_irCurveDataViewModel>();
loader.load(refDate, curveCode, e_ircdvmList);
foreach (var item in e_ircdvmList[0].Excel_rateDataViewModelList_)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = item.RateType_;
e_rdvm.Tenor_ = item.Tenor_;
e_rdvm.Value_ = item.Value_;
e_ycvm.Excel_rateDataViewModel_.Add(e_rdvm);
}
e_ycvm.Excel_interpolationViewModel_ = new Excel_interpolationViewModel();
//e_ycvm.loadCurve();
return(e_ycvm);
}
public void loadCurve()
{
this.excel_rateDataViewModel_ = new ObservableCollection <Excel_rateDataViewModel>();
CurveManager cm = new CurveManager();
// 데이터를 로드함
// cm.load(this.code_,this.referenceDate_);
//for (int i = 0; i < cm.Tenor_.Count ; i++)
for (int i = 0; i < 15; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "Spot";
//e_rdvm.Tenor_ = cm.Tenor_[i];
e_rdvm.Tenor_ = i.ToString() + "M";
//e_rdvm.Value_ = cm.Data_[i];
e_rdvm.Value_ = (i * 0.01).ToString();
this.excel_rateDataViewModel_.Add(e_rdvm);
}
}
public void loadCurve()
{
this.excel_rateDataViewModel_ = new ObservableCollection<Excel_rateDataViewModel>();
CurveManager cm = new CurveManager();
// 데이터를 로드함
// cm.load(this.code_,this.referenceDate_);
//for (int i = 0; i < cm.Tenor_.Count ; i++)
for (int i = 0; i < 15 ; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "Spot";
//e_rdvm.Tenor_ = cm.Tenor_[i];
e_rdvm.Tenor_ = i.ToString() + "M";
//e_rdvm.Value_ = cm.Data_[i];
e_rdvm.Value_ = (i * 0.01).ToString();
this.excel_rateDataViewModel_.Add(e_rdvm);
}
}
public void setFromSerial(FpmlSerializedCSharp.ISerialized serial_Class)
{
FpmlSerializedCSharp.Excel_yieldCurve serial_Excel_yieldCurve = serial_Class as FpmlSerializedCSharp.Excel_yieldCurve;
this.currency_ = serial_Excel_yieldCurve.Currency_.ValueStr;
this.code_ = serial_Excel_yieldCurve.Code_.ValueStr;
this.name_ = serial_Excel_yieldCurve.Name_.ValueStr;
this.description_ = serial_Excel_yieldCurve.Description_.ValueStr;
FpmlSerializedCSharp.Excel_interpolation serial_excel_interpolation = serial_Excel_yieldCurve.Excel_interpolation_;
this.excel_interpolationViewModel_ = new Excel_interpolationViewModel();
this.excel_interpolationViewModel_.setFromSerial(serial_excel_interpolation);
List<FpmlSerializedCSharp.Excel_rateData> serial_excel_rateData = serial_Excel_yieldCurve.Excel_rateData_;
this.excel_rateDataViewModel_ = new ObservableCollection<Excel_rateDataViewModel>();
foreach (var item in serial_excel_rateData)
{
Excel_rateDataViewModel viewModel = new Excel_rateDataViewModel();
viewModel.setFromSerial(item);
this.excel_rateDataViewModel_.Add(viewModel);
}
}
public override void load(DateTime refDate, string curveCode, ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAO dao = new TD_MRCURVE_Table_DAO();
e_ircdvmList.Clear();
dao.KeyColumn_RefDate_ = refDate.ToString(StringFormat.DbDateFormat_);
dao.KeyColumn_BOND_CLASS_ID_ = curveCode;
dao.KeyColumn_CURVE_CODE_ = "S";
dao.select(this.conn_);
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
e_ircdvm.Curve_code_ = curveCode;
e_ircdvm.ReferenceDate_ = refDate;
List <string> tenorList = new List <string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
List <string> valueList = new List <string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int i = 0; i < tenorList.Count; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[i];
double value = Convert.ToDouble(valueList[i]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvm.tenorList_ = tenorList;
if (e_ircdvm.Excel_rateDataViewModelList_.Count > 0)
{
e_ircdvmList.Add(e_ircdvm);
}
else
{
throw new Exception("curve load error , STD_DATE : " + dao.KeyColumn_RefDate_ +
" BOND_CLASS_ID : " + dao.KeyColumn_BOND_CLASS_ID_);
}
}
public string add_Rate(string tenor, double rate, RateTypeEnum rateType = RateTypeEnum.Spot)
{
try
{
#region CheckParameter
// 이건 나중에 수정해야함. yield 음수의 경우 yieldcurve class 를 새로 만들어야함. quantlib을 사용안해야함.
if ( !(rate > 0) )
throw new Exception("rate must be positive");
#endregion
if ( this.Excel_yieldCurveViewModel_.hasTenor(tenor) )
{
return tenor + " is aleady exist";
}
else
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = rateType.ToString();
e_rdvm.Tenor_ = tenor;
e_rdvm.Value_ = rate.ToString();
this.Excel_yieldCurveViewModel_.Excel_rateDataViewModel_.Add(e_rdvm);
return "add complete";
}
}
catch (Exception e)
{
return "add fail : " + e.Message;
}
}
public override void load(DateTime refDate, string curveCode, ObservableCollection<Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAO dao = new TD_MRCURVE_Table_DAO();
e_ircdvmList.Clear();
dao.KeyColumn_RefDate_ = refDate.ToString(StringFormat.DbDateFormat_);
dao.KeyColumn_BOND_CLASS_ID_ = curveCode;
dao.KeyColumn_CURVE_CODE_ = "S";
dao.select(this.conn_);
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
e_ircdvm.Curve_code_ = curveCode;
e_ircdvm.ReferenceDate_ = refDate;
List<string> tenorList = new List<string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
List<string> valueList = new List<string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int i = 0; i < tenorList.Count; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[i];
double value = Convert.ToDouble(valueList[i]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvm.tenorList_ = tenorList;
if (e_ircdvm.Excel_rateDataViewModelList_.Count > 0)
{
e_ircdvmList.Add(e_ircdvm);
}
else
{
throw new Exception("curve load error , STD_DATE : " + dao.KeyColumn_RefDate_ +
" BOND_CLASS_ID : " + dao.KeyColumn_BOND_CLASS_ID_);
}
}
public override void loadInterval(DateTime startDate, DateTime endDate, string curveCode, ObservableCollection<Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAOManager daoM = new TD_MRCURVE_Table_DAOManager();
e_ircdvmList.Clear();
daoM.KeyColumn_InitialDate_ = startDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_EndDate_ = endDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_BOND_CLASS_ID_ = curveCode;
daoM.KeyColumn_CURVE_CODE_ = "S";
daoM.selectInterval(this.conn_);
List<string> tenorList = new List<string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < daoM.DAOList_.Count; i++)
{
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
TD_MRCURVE_Table_DAO dao = daoM.DAOList_[i];
e_ircdvm.Curve_code_ = dao.CURVE_CODE_;
e_ircdvm.ReferenceDate_ = StringConverter.dbDateToDateTime(dao.STD_DATE_);
List<string> valueList = new List<string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int j = 0; j < tenorList.Count; j++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[j];
double value = Convert.ToDouble(valueList[j]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvmList.Add(e_ircdvm);
}
e_ircdvmList[0].tenorList_ = tenorList;
}
public void loadData(DateTime d,string curveCode)
{
this.rateDataViewModel_.Clear();
for (int i = 1; i < 20; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "spot";
e_rdvm.Tenor_ = (i*3).ToString() + "M";
e_rdvm.Value_ = (0.03 + i*0.0007).ToString();
this.rateDataViewModel_.Add(e_rdvm);
}
}
public void loadMarketData(DateTime referenceDate)
{
this.excel_rateDataViewModel_.Clear();
Excel_rateDataViewModel e_rdvm1 = new Excel_rateDataViewModel();
e_rdvm1.Value_ = "0.02";
this.excel_rateDataViewModel_.Add(e_rdvm1);
Excel_rateDataViewModel e_rdvm2 = new Excel_rateDataViewModel();
e_rdvm2.Value_ = "0.03";
this.excel_rateDataViewModel_.Add(e_rdvm2);
}
public void loadCurve(string constRate)
{
this.excel_rateDataViewModel_ = new ObservableCollection<Excel_rateDataViewModel>();
CurveManager cm = new CurveManager();
// 데이터를 로드함
// cm.load(this.code_,this.referenceDate_);
//for (int i = 0; i < cm.Tenor_.Count ; i++)
List<string> tenorList = new List<string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < tenorList.Count ; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.RateType_ = "Spot";
//e_rdvm.Tenor_ = cm.Tenor_[i];
e_rdvm.Tenor_ = tenorList[i];
//e_rdvm.Value_ = cm.Data_[i];
e_rdvm.Value_ = constRate;
this.excel_rateDataViewModel_.Add(e_rdvm);
}
}
public override void loadInterval(DateTime startDate, DateTime endDate, string curveCode, ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAOManager daoM = new TD_MRCURVE_Table_DAOManager();
e_ircdvmList.Clear();
daoM.KeyColumn_InitialDate_ = startDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_EndDate_ = endDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_BOND_CLASS_ID_ = curveCode;
daoM.KeyColumn_CURVE_CODE_ = "S";
daoM.selectInterval(this.conn_);
List <string> tenorList = new List <string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < daoM.DAOList_.Count; i++)
{
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
TD_MRCURVE_Table_DAO dao = daoM.DAOList_[i];
e_ircdvm.Curve_code_ = dao.CURVE_CODE_;
e_ircdvm.ReferenceDate_ = StringConverter.dbDateToDateTime(dao.STD_DATE_);
List <string> valueList = new List <string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int j = 0; j < tenorList.Count; j++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[j];
double value = Convert.ToDouble(valueList[j]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvmList.Add(e_ircdvm);
}
e_ircdvmList[0].tenorList_ = tenorList;
}
