public override void fixing_calulate(DateTime refDate)
{
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.INDEX_CD = this.DAO_.FIXING_INDEX_CD;
clstb.REF_DT = this.DAO_.FIXING_DT;
DateTime fixing_date = ConvertingTool.ToDateTime(this.DAO_.FIXING_DT);
if(fixing_date <= refDate)
{
int checkNum = clstb.SelectOwn();
if (checkNum == 0)
//{ throw new Exception("Index doesn't exit : " + clstb.REF_DT + " , " + clstb.INDEX_CD); }
{ throw new Exception("Index doesn't exit : " + clstb.REF_DT + " , " + clstb.INDEX_CD); }
//this.DAO_.LEG_ID
this.DAO_.FIXED_FIXING = clstb.LAST;
this.DAO_.FIXED_FIXING_CALCLATED = (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.FIXED;
this.DAO_.FIXING_CALCLATION_TYP = (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_CALCULATION_TYP.AUTOMATIC;
this.DAO_.UpdateFixing();
}
}
public void IndexData(DateTime refDate)
{
string refDateStr = refDate.ToString("yyyyMMdd");
//string fileName = @"D:\data_etl\INDEX_" + refDateStr + ".TXT";
string fileName = @"C:\batch\INDEX_" + refDateStr + ".TXT";
/* Download a File */
this.FtpConnector_.download("/marketdata/index/INDEX_" + refDateStr + ".TXT", fileName);
if (!File.Exists(fileName))
throw new FileNotFoundException();
DataSet ds = TextToDataSet.Convert(fileName, "testTB", "|");
// db 에 올림.
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.REF_DT = refDateStr;
clstb.DeleteDate();
foreach (DataRow dr in ds.Tables[0].Select())
{
if (dr[0].ToString() != "")
{
if ( dr[1].ToString().Trim().Substring(0,3) != "KRA")
{
clstb.REF_DT = dr[0].ToString().Trim();
clstb.INDEX_CD = dr[1].ToString().Trim();
if (dr[10].ToString().Trim() != "")
{
if (clstb.INDEX_CD == "KOSPI_029") { clstb.INDEX_CD = "KOSPI200"; }
clstb.LAST = Convert.ToDouble(dr[6].ToString().Trim()) / 100.0;
clstb.LOW = Convert.ToDouble(dr[7].ToString().Trim()) / 100.0;
clstb.HIGH = Convert.ToDouble(dr[8].ToString().Trim()) / 100.0;
}
else
{
clstb.LAST = Convert.ToDouble(dr[6].ToString().Trim());
clstb.LOW = Convert.ToDouble(dr[7].ToString().Trim());
clstb.HIGH = Convert.ToDouble(dr[8].ToString().Trim());
}
clstb.Insert();
}
}
}
clstb.INDEX_CD = "CD91";
clstb.LAST = 0.0185;
clstb.LOW = 0.0185;
clstb.HIGH = 0.0185;
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.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 void buildTestData()
{
clsHDAT_MARKETDATA_TB clsTB = new clsHDAT_MARKETDATA_TB();
string[] dateString = { "20130701","20130702","20130703","20130704","20130705","20130708","20130709","20130710","20130711","20130712","20130715","20130716",
#region data
"20130717","20130718","20130719","20130722","20130723","20130724","20130725","20130726","20130729","20130730","20130731","20130801",
"20130802","20130805","20130806","20130807","20130808","20130809","20130812","20130813","20130814","20130815","20130816","20130819",
"20130820","20130821","20130822","20130823","20130826","20130827","20130828","20130829","20130830","20130902","20130903","20130904",
"20130905","20130906","20130909","20130910","20130911","20130912","20130913","20130916","20130917","20130918","20130919","20130920",
"20130923","20130924","20130925","20130926","20130927","20130930","20131001","20131002","20131003","20131004","20131007","20131008",
"20131009","20131010","20131011","20131014","20131015","20131016","20131017","20131018","20131021","20131022","20131023","20131024",
"20131025","20131028","20131029","20131030","20131031","20131101","20131104","20131105","20131106","20131107","20131108","20131111",
"20131112","20131113","20131114","20131115","20131118","20131119","20131120","20131121","20131122","20131125","20131126","20131127",
"20131128","20131129","20131202","20131203","20131204","20131205","20131206","20131209","20131210","20131211","20131212","20131213",
"20131216","20131217","20131218","20131219","20131220","20131223","20131224","20131225","20131226","20131227","20131230","20131231",
"20140101","20140102","20140103","20140106","20140107","20140108","20140109","20140110","20140113","20140114","20140115","20140116",
"20140117","20140120","20140121","20140122","20140123","20140124","20140127","20140128","20140129","20140130","20140131","20140203",
"20140204","20140205","20140206","20140207","20140210","20140211","20140212","20140213","20140214","20140217","20140218","20140219",
"20140220","20140221","20140224","20140225","20140226","20140227","20140228","20140303","20140304","20140305","20140306","20140307",
"20140310","20140311","20140312","20140313","20140314","20140317","20140318","20140319","20140320","20140321","20140324","20140325",
"20140326","20140327","20140328","20140331","20140404","20140407","20140408","20140409","20140410","20140411","20140414","20140415",
"20140416","20140417","20140418","20140421","20140422","20140423","20140424","20140425","20140428","20140429","20140430","20140501",
"20140502","20140505","20140506","20140507","20140508","20140509","20140512","20140513","20140514","20140515","20140516","20140519",
"20140520","20140521","20140522","20140523","20140526","20140527","20140528","20140529","20140530","20140602","20140603","20140604",
"20140605","20140609","20140610","20140611","20140612","20140613","20140616","20140617","20140618","20140619","20140620","20140623",
"20140624","20140625","20140626","20140627","20140630","20140701","20140702","20140703","20140704","20140707","20140708","20140709",
"20140710","20140711","20140714","20140715","20140716","20140717","20140718","20140721","20140722","20140723","20140724","20140725",
"20140728","20140729","20140730","20140731","20140801","20140804","20140805","20140806","20140807","20140808","20140811","20140812",
"20140813","20140814","20140815","20140818","20140819","20140820","20140821","20140822","20140825","20140826","20140827","20140828",
"20140829","20140901","20140902","20140903","20140904","20140905","20140908","20140909","20140910","20140911","20140912","20140915",
"20140916","20140917","20140918","20140919","20140922","20140923","20140924","20140925","20140926","20140929","20140930","20141001",
"20141002","20141003","20141006","20141007","20141008","20141009","20141010","20141013","20141014","20141015","20141016","20141017",
"20141020","20141021","20141022","20141023","20141024","20141027","20141028","20141029","20141030","20141031","20141103","20141104",
"20141105","20141106","20141107","20141110","20141111","20141112","20141113","20141114","20141117","20141118","20141119","20141120",
"20141121","20141124","20141125","20141126","20141127","20141128","20141201","20141202","20141203","20141204","20141205","20141208",
"20141209","20141210","20141211","20141212","20141215","20141216","20141217","20141218","20141219","20141222","20141223","20141224",
"20141225","20141226","20141229","20141230","20141231","20150101","20150102","20150105","20150106","20150107","20150108","20150109",
"20150112","20150113","20150114","20150115","20150116","20150119","20150120","20150121","20150122","20150123","20150126","20150127",
"20150128","20150129","20150130","20150202","20150203","20150204","20150205","20150206","20150209","20150210","20150211","20150212",
"20150213","20150216","20150217","20150218","20150219","20150220","20150223","20150224","20150225","20150226","20150227","20150302",
"20150303","20150304","20150305","20150306","20150309","20150310","20150311","20150312","20150313","20150316","20150317","20150318",
#endregion
"20150319","20150320","20150323","20150324","20150325","20150326","20150327","20150330","20150604"
};
double[] rateList = { 0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0269,0.0267,0.0267,0.0267,0.0267,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.026505,0.026503,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0266,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0265,0.0263,0.0262,0.0261,0.0246,0.0246,0.0243,0.0242,0.0242,0.0242,0.0241,0.0241,0.024,0.024,0.024,0.024,0.024,0.0236,0.0236,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0235,0.0231,0.023,0.023,0.0229,0.0228,0.0228,0.0218,0.0217,0.0217,0.0216,0.0215,0.0215,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0214,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0213,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.0212,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.021,0.0191,0.019,0.0189,0.0188,0.0187,0.0187,0.0186,0.0186,0.0186,0.0186,0.0186,0.0186,0.0185,0.0185 };
double[] indexkospi200List = { 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47, 255.47 };
int rateListLength = rateList.Length;
int indexListLength = rateList.Length;
int dateLength = dateString.Length;
clsTB.INDEX_CD = "CD91";
for (int i = 0; i < dateLength; i++)
{
clsTB.REF_DT = dateString[i];
clsTB.LAST = rateList[i];
clsTB.LOW= rateList[i];
clsTB.HIGH= rateList[i];
clsTB.Insert();
}
clsTB.INDEX_CD = "KOSPI200";
for (int i = 0; i < dateLength; i++)
{
clsTB.REF_DT = dateString[i];
clsTB.LAST = indexkospi200List[i];
clsTB.LOW = indexkospi200List[i];
clsTB.HIGH = indexkospi200List[i];
clsTB.Insert();
}
}
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 ?
}
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 clsHDAT_MARKETDATA_TB Clone()
{
try
{
clsHDAT_MARKETDATA_TB cloneTB = new clsHDAT_MARKETDATA_TB();
cloneTB._REF_DT = this._REF_DT;
cloneTB._INDEX_CD = this._INDEX_CD;
cloneTB._LAST = this._LAST;
cloneTB._LOW = this._LOW;
cloneTB._HIGH = this._HIGH;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
//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 static clsHDAT_MARKETDATA_TB Create(DataRow dr)
{
try
{
clsHDAT_MARKETDATA_TB tb = new clsHDAT_MARKETDATA_TB();
tb._REF_DT = Convert.ToString(dr[0]);
tb._INDEX_CD = Convert.ToString(dr[1]);
tb._LAST = Convert.ToDouble(dr[2]);
tb._LOW = Convert.ToDouble(dr[3]);
tb._HIGH = Convert.ToDouble(dr[4]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
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 ?
}
//public void historyIndexData(GBMParameter para, DateTime startDate, DateTime endDate)
//{
// DayCounter dc = new SimpleDayCounter();
// CalendarManager cm = new CalendarManager(DateTime.Now,CalendarManager.CountryType.SOUTH_KOREA);
// double initialValue = para.Initial_;
// double preValue = initialValue;
// double drift = para.Drift_;
// double vol = para.Vol_;
// double t0 = 0.0;
// double dt = 0.0;
// double x0 = preValue;
// double dw = 0.0;
// DateTime roopDate = startDate;
// GeometricBrownianMotionProcess gbm = new GeometricBrownianMotionProcess(initialValue, drift, vol);
// PseudoRandom random = new PseudoRandom();
// //RandomSequenceGenerator<MersenneTwisterUniformRng> randGen = random.make_sequence_generator(1000, 1) as RandomSequenceGenerator<MersenneTwisterUniformRng>;
// int genNum = Convert.ToInt32((endDate - startDate).TotalDays);
// IRNG randGen = random.make_sequence_generator(genNum, Convert.ToUInt64( this.random_.Next())) as IRNG;
// int i = 0;
// Sample<List<double>> sample = randGen.nextSequence();
// //Sample<List<double>> sample = new Sample<List<double>>();
// clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
// clstb.INDEX_CD = para.Name_;
// while (roopDate < endDate)
// {
// clstb.REF_DT = roopDate.ToString("yyyyMMdd");
// DateTime nextDate = cm.adjust(roopDate,"1D");
// t0 = dc.yearFraction(startDate, roopDate);
// dt = dc.yearFraction(roopDate, nextDate);
// dw = sample.value[i];
// double v = Math.Round(gbm.evolve(t0, x0, dt, dw),2);
// clstb.LAST = v;
// clstb.LOW = v;
// clstb.HIGH = v;
// clstb.Insert();
// roopDate = nextDate;
// x0 = v;
// i += 1;
// }
//}
//public void historyIRData(VasicekParameter para, DateTime startDate, DateTime endDate)
//{
// DayCounter dc = new SimpleDayCounter();
// CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
// double initialValue = para.Initial_;
// double preValue = initialValue;
// double longTermRate = para.LongTermRate_;
// double spreed = para.Speed_;
// double vol = para.Vol_;
// double t0 = 0.0;
// double dt = 0.0;
// double x0 = preValue;
// double dw = 0.0;
// DateTime roopDate = startDate;
// SquareRootProcess vasicek = new SquareRootProcess(longTermRate, spreed, vol, initialValue);
// PseudoRandom random = new PseudoRandom();
// int genNum = Convert.ToInt32((endDate - startDate).TotalDays);
// IRNG randGen
// = random.make_sequence_generator(genNum, Convert.ToUInt64(this.random_.Next())) as IRNG;
// int i = 0;
// Sample<List<double>> sample = randGen.nextSequence();
// clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
// clstb.INDEX_CD = para.Name_;
// while (roopDate < endDate)
// {
// clstb.REF_DT = roopDate.ToString("yyyyMMdd");
// DateTime nextDate = cm.adjust(roopDate, "1D");
// t0 = dc.yearFraction(startDate, roopDate);
// dt = dc.yearFraction(roopDate, nextDate);
// dw = sample.value[i];
// double v = Math.Round(vasicek.evolve(t0, x0, dt, dw));
// clstb.LAST = v;
// clstb.LOW = v;
// clstb.HIGH = v;
// clstb.Insert();
// roopDate = nextDate;
// x0 = v;
// i += 1;
// }
//}
public void getData(DateTime refDate)
{
// 전일자 구함.
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.REF_DT = refDate.ToString("yyyyMMdd");
clstb.DeleteDate();
DateTime preDate = clstb.SelectMaxDate();
// ㄱㄱ
this.build_indexHistoryData(preDate,refDate,false);
this.build_irHistoryData(preDate, refDate, false);
this.build_curveHistoryData(preDate, refDate, false);
}
public void irData(string name,
SquareRootProcess process,
double rand,
DateTime preDate,
DateTime nextDate)
{
DayCounter dc = new SimpleDayCounter();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
clstb.INDEX_CD = name;
clstb.REF_DT = preDate.ToString("yyyyMMdd");
clstb.SelectOwn();
clstb.REF_DT = nextDate.ToString("yyyyMMdd");
double x0 = clstb.LAST;
double t0 = 0.0;
double dt = dc.yearFraction(preDate, nextDate);
double v = Math.Round(process.evolve(t0, x0, dt, rand), 8);
clstb.LAST = v;
clstb.LOW = v;
clstb.HIGH = v;
clstb.Insert();
}
public void build_irHistoryData(DateTime startDate, DateTime endDate, bool withClear)
{
CalendarManager cm = new CalendarManager(DateTime.Now, CalendarManager.CountryType.SOUTH_KOREA);
PseudoRandom random = new PseudoRandom();
//RandomSequenceGenerator<MersenneTwisterUniformRng> randGen = random.make_sequence_generator(1000, 1) as RandomSequenceGenerator<MersenneTwisterUniformRng>;
int genNum = Convert.ToInt32((endDate - startDate).TotalDays) * this.sampleIR_.Count;
IRNG randGen = random.make_sequence_generator(genNum, Convert.ToUInt64(this.random_.Next())) as IRNG;
int i = 0;
Sample<List<double>> sample = randGen.nextSequence();
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
foreach (VasicekParameter para in this.sampleIR_)
{
SquareRootProcess vasicek = new SquareRootProcess(para.LongTermRate_, para.Speed_, para.Vol_ , para.Initial_);
clstb.INDEX_CD = para.Name_;
if (withClear)
{
clstb.DeleteIndex();
clstb.REF_DT = startDate.ToString("yyyyMMdd");
clstb.LAST = para.Initial_;
clstb.LOW = para.Initial_;
clstb.HIGH = para.Initial_;
clstb.Insert();
}
DateTime roopDate = startDate;
DateTime nextDate = cm.adjust(roopDate, "1D");
while (nextDate < endDate)
{
clstb.REF_DT = roopDate.ToString("yyyyMMdd");
nextDate = cm.adjust(roopDate, "1D");
this.irData(para.Name_, vasicek, sample.value[i], roopDate, nextDate);
roopDate = nextDate;
i += 1;
}
}
}
