public double CalculateAssetWeight_Raw(DateTime targetDate)
{
if (!_marketData.ContainsKey(targetDate))
{
//logger.Warn("Invalid {0}", targetDate);
return double.MinValue;
}
double ret = double.MinValue;
double curValue = _marketData[targetDate];
if (_prevMarketData == double.MinValue)
{
ret = 1.0;
}
else
{
double prevValue = _prevMarketData;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / (prevValue + 0.000001) - 1;
// 금리 변동이 있다.
CbrEvent ev = new CbrEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = curValue;
return ret;
}
double GetIncrementEach(
CbrEvent lastEvent,
CbrEvent curEvent,
DateTime curDate)
{
if (curEvent.EndDate < curDate)
{
// 기한이 지났다.
return 0;
}
double doubleDownFactor = GetDoubleDownFactor(lastEvent, curEvent);
double defaultIncrement = GetDefaultIncrement(curEvent, curDate);
double ret = defaultIncrement * doubleDownFactor;
return ret;
}
double GetDefaultIncrement(CbrEvent curEvent, DateTime curDate)
{
int remainDays = (curEvent.EndDate - curDate).Days;
if (remainDays < 0)
{
return 0.0;
}
if (remainDays < 90)
{
double y = (double)remainDays / 90;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
else if (remainDays <= 670)
{
return curEvent.TargetIncrement * (-1);
}
else
{
double daysAfterStart = (365 * 2 + 1) - remainDays;
if (daysAfterStart < 0)
{
return 0.0;
}
double y = daysAfterStart / 60;
double increment = y * curEvent.TargetIncrement * (-1);
return increment;
}
}
double GetDoubleDownFactor(CbrEvent lastEvent, CbrEvent curEvent)
{
double factor = 1;
const double kFactor = 1.3;
//const double kFactor = 1000;
double devide = kFactor;
if (lastEvent.UpDown != curEvent.UpDown)
{
devide = kFactor;
}
int diff = lastEvent.EventKey - curEvent.EventKey;
for (int i = 0; i < diff; ++i)
{
factor /= devide;
}
return factor;
}
public double GetIncrement(
CbrEvent lastEvent,
List<CbrEvent> events,
DateTime curDate,
double weight)
{
List<double> increments = new List<double>();
foreach (CbrEvent ev in events)
{
double curIncrement = GetIncrementEach(lastEvent, ev, curDate);
increments.Add(curIncrement);
}
double totalIncrement = weight * (1.0 + increments.Sum());
totalIncrement = MathUtil.CapAndFloor(totalIncrement, 5, 0);
if (totalIncrement < 0.0)
{
logger.Warn("BokRate TotalIncrement < 0.0 ({0})", totalIncrement);
//Trace.Assert(totalIncrement >= 0.0);
totalIncrement = 0.0;
}
return totalIncrement;
}