예제 #1
0
        public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
        {
            MarketData md = data.GetData(MarketDataSetKey.BokRate);
            DOHLC dohlc = md.GetData(targetDate);

            AssetAdjustment ret = null;

            if (_prevMarketData == null)
            {
                ret = new AssetAdjustment(1, 1, 1);
            }
            else
            {
                double prevValue = _prevMarketData.OHLC.Close;
                double curValue = dohlc.OHLC.Close;

                // changed more than 1 bp
                if (Math.Abs(prevValue - curValue) > 0.01)
                {
                    double increment = curValue / prevValue - 1;
                    // 금리 변동이 있다.
                    BokRateEvent ev = new BokRateEvent();
                    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 = dohlc;

            return ret;
        }
예제 #2
0
 public MarketDataTrace(String ticker, DOHLC data)
 {
     this.Ticker = ticker;
     this.CurData = data;
 }