public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
LogRow row = new LogRow();
row.CurDate = targetDate;
row.PrevAreaNumber = _prevAreaNumber;
row.PrevUpDown = _prevUpDown;
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
double kospiWeight = GetKospiWeight(areaNumber, row);
_logs.Add(row);
if (targetDate > new DateTime(2007, 6, 1))
{
return new AssetAdjustment(kospiWeight, 1, 1);
}
else
{
_prevUpDown = UpDown.Unknown;
}
return new AssetAdjustment(1, 1, 1);
}
public AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AssetAdjustment ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AssetAdjustment(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AssetAdjustment(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
AssetAdjustment CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC dohlc = md.GetData(targetDate);
double cur = dohlc.OHLC.Close;
const double kMax = 1800;
const double kMin = 900;
double rate = (kMax - cur) / (kMax - kMin);
rate = Math.Max(0, rate);
rate = Math.Min(1, rate);
rate = 0.5 + rate;
return new AssetAdjustment(1, 1, rate * _weight);
}
public AssetAdjustment CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AssetAdjustment adj = new AssetAdjustment(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
adj = new AssetAdjustment(kospiAdjustment, 1, 1);
}
return adj;
}
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;
}
void SetPositionInfo(DateTime curDate, MarketDataSet data, RowInfo row)
{
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
double kospiSpotPos = (kospiSpot.OHLC.Close - MagicNumber.KOSPI_SPOT_MIN_RANGE) /
(MagicNumber.KOSPI_SPOT_MAX_RANGE - MagicNumber.KOSPI_SPOT_MIN_RANGE);
double ktbSpotPos = (MagicNumber.KTB_SPOT_MAX_RANGE - ktbSpot.OHLC.Close) /
(MagicNumber.KTB_SPOT_MAX_RANGE - MagicNumber.KTB_SPOT_MIN_RANGE);
double dollarSpotPos = (dollarSpot.OHLC.Close - MagicNumber.DOLLAR_SPOT_MIN_RANGE) /
(MagicNumber.DOLLAR_SPOT_MAX_RANGE - MagicNumber.DOLLAR_SPOT_MIN_RANGE);
row.KospiSpotPosition = kospiSpotPos;
row.KtbSpotPosition = ktbSpotPos;
row.DollarSpotPosition = dollarSpotPos;
}
RowInfo GetCurRowWithBasicInfo(DateTime curDate, MarketDataSet data)
{
MarketData mdKospiFuture = data.GetData(MarketDataSetKey.KospiFuture);
MarketData mdKtbFuture = data.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollarFuture = data.GetData(MarketDataSetKey.DollarFuture);
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiFuture = mdKospiFuture.GetData(curDate);
DOHLC ktbFuture = mdKtbFuture.GetData(curDate);
DOHLC dollarFuture = mdDollarFuture.GetData(curDate);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
RowInfo row = new RowInfo();
row.CurDate = curDate;
row.KospiFuturePrice = kospiFuture.OHLC.Close;
row.KtbFuturePrice = ktbFuture.OHLC.Close;
row.DollarFuturePrice = dollarFuture.OHLC.Close;
row.KospiSpotPrice = kospiSpot.OHLC.Close;
row.KtbSpotPrice = ktbSpot.OHLC.Close;
row.DollarSpotPrice = dollarSpot.OHLC.Close;
return row;
}
Tuple<double, double, double, double> GetDailyPnL(
AssetWeight aw, DateTime prevDate, DateTime curDate, long notional, MarketDataSet marketDataSet)
{
MarketData mdKospi = marketDataSet.GetData(MarketDataSetKey.KospiFuture);
MarketData mdBond = marketDataSet.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollar = marketDataSet.GetData(MarketDataSetKey.DollarFuture);
double kospiUpDoweRate = GetUpDownRate(mdKospi, prevDate, curDate);
double bondUpDoweRate = GetUpDownRate(mdBond, prevDate, curDate);
double dollarUpDoweRate = GetUpDownRate(mdDollar, prevDate, curDate);
double kospiPnL = aw.KospiWeight * notional * kospiUpDoweRate;
double bondPnL = aw.BondWeight * notional * bondUpDoweRate;
double dollarPnL = aw.DollarWeight * notional * dollarUpDoweRate;
double sum = kospiPnL + bondPnL + dollarPnL;
return new Tuple<double, double, double, double>(sum, kospiPnL, bondPnL, dollarPnL);
}
