public GreekPositions greekPositions()
{
//QlArray q_array = new QlArray();
//q_array.set(1, 1.0);
GreekPositions gps = new GreekPositions();
GreekPosition gp1 = new GreekPosition();
gp1.Greek_ = new Greek(Greek.Type.Delta, 1.2);
gp1.Greek_.associated_ID_ = "testAssociated_1";
gp1.Greek_.UnderCode_ = "testUnderCode_1";
gp1.GreekPositionAmount_ = 1.2;
GreekPosition gp2 = new GreekPosition();
gp2.Greek_ = new Greek(Greek.Type.Delta, 2.1);
gp2.Greek_.associated_ID_ = "testAssociated_2";
gp2.Greek_.UnderCode_ = "testUnderCode_2";
gp2.GreekPositionAmount_ = 2.1;
gps.GreekPositionList_.Add(gp1);
gps.GreekPositionList_.Add(gp2);
return gps;
}
// 그냥 셀렉트하면 댐. // 데일리 greekPosition을 direct로 계산해서 쌓아놈.
// modle point로 구분하기 때문에..financial product랑은 다르게 상품이 동일한건 없고 죄다 다름.
// 그냥 공통의 insurance_product는 없다고 보면댐.
// position은 단순 데일리를 쌓기 위한것임.
public GreekPositions greekPositions()
{
GreekPositions gps = new GreekPositions();
// SELECT 함.
//gps.GreekPositionList_ =
// option 별로 그릭이 나옴.
List<Greek> greekList = this.Insurance_product_.greek();
foreach (Greek greek in greekList)
{
GreekPosition gp = new GreekPosition();
gp.Greek_ = greek;
gp.GreekPositionAmount_ = this.Quantity_ * greek.Value_;
gps.merge(gp);
}
return gps;
}
public void merge(GreekPosition greekPosition)
{
//
foreach (GreekPosition grk in this.GreekPositionList_)
{
grk.merge(grk);
}
}
public void merge(GreekPosition greekPosition)
{
if (this.Greek_.type_ == greekPosition.Greek_.type_ &&
this.Greek_.UnderCode_ == greekPosition.Greek_.UnderCode_)
{
this.GreekPositionAmount_ += greekPosition.GreekPositionAmount_;
}
else
{
return;
}
}
private double calculate_tradeQuantity(GreekPosition greekPosition, Financial_instrument financial_instrument)
{
// 100% 매치
// 90% 언더헤지
// 110% 오버헤지
double greekPositionAmount = greekPosition.GreekPositionAmount_;
double quantity = 0.0;
double mathched_fi_greek = 0.0;
List<Greek> fi_greeks = financial_instrument.greeks();
foreach (Greek gp in fi_greeks)
{
if ( gp.UnderCode_ == greekPosition.Greek_.UnderCode_ &&
gp.type_ == greekPosition.Greek_.type_ )
{
quantity = greekPositionAmount / mathched_fi_greek;
quantity = quantity * this.Setting_.HedgeRatio_;
}
}
return quantity;
}
private TradeInfo match_trade(GreekPosition greekPosition)
{
TradeInfo tradeInfo = new VanillaIRSTradeInfo();
tradeInfo.Financial_instrument_ = this.match_hedge_instrument(greekPosition.Greek_);
tradeInfo.Quantity_ = this.calculate_tradeQuantity(greekPosition, tradeInfo.Financial_instrument_);
return tradeInfo;
}
