public static Boolean IsSame(AssetRateDatum datum1, AssetRateDatum datum2)
{
if (!MathUtil.IsSameDouble(datum1.KospiRate, datum2.KospiRate, 2))
{
return false;
}
if (!MathUtil.IsSameDouble(datum1.KtbRate, datum2.KtbRate, 2))
{
return false;
}
if (!MathUtil.IsSameDouble(datum1.DollarRate, datum2.DollarRate, 2))
{
return false;
}
return true;
}
Tuple<double, double, double, double> GetDailyPnL(
AssetRateDatum 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.KospiRate * notional * kospiUpDoweRate;
double bondPnL = aw.KtbRate * notional * bondUpDoweRate;
double dollarPnL = aw.DollarRate * notional * dollarUpDoweRate;
double sum = kospiPnL + bondPnL + dollarPnL;
return new Tuple<double, double, double, double>(sum, kospiPnL, bondPnL, dollarPnL);
}
public AssetRateDatum CalculateAndGetAssetRateDatum(DateTime targetDate, MarketDataSet data)
{
AssetRateDatum aw = new AssetRateDatum(this.KospiWeight, this.BondWeight, this.DollarWeight);
return aw;
}
