public void setInterestRateInfo(Excel_interestRateViewModel e_irvm)
{
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
e_rateInfoVM.Tenor_ = e_irvm.Tenor_;
e_rateInfoVM.LegTenor_ = e_irvm.LegTenor_;
e_rateInfoVM.IndexType_ = e_irvm.RateType_;
e_rateInfoVM.Currency_ = e_irvm.Currency_;
this.Excel_rateInfoViewModel_ = e_rateInfoVM;
}
public override Excel_underlyingInfoViewModel underlyingInfoVM()
{
Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel();
e_irvm.KrCode_ = this.Symbol_; // curve code....
e_irvm.Tenor_ = this.Tenor_;
e_irvm.NameTrans_ = new NameTrans(this.name_eng_);
return(e_irvm);
}
public override Excel_underlyingInfoViewModel underlyingInfoVM()
{
Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel();
e_irvm.KrCode_ = this.Symbol_;
e_irvm.Tenor_ = this.Tenor_;
e_irvm.NameTrans_ = new NameTrans(this.name_eng_);
e_irvm.Currency_ = this.Currency_;
e_irvm.LegTenor_ = this.Leg_tenor_;
e_irvm.RateType_ = this.Rate_type_;
e_irvm.LinkedCurveCode_ = this.Linkedcurve_;
return(e_irvm);
}
public override Excel_underlyingInfoViewModel underlyingInfoVM()
{
Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel();
e_irvm.KrCode_ = this.Symbol_;
e_irvm.Tenor_ = this.Tenor_;
e_irvm.NameTrans_ = new NameTrans(this.name_eng_);
e_irvm.Currency_ = this.Currency_;
e_irvm.LegTenor_ = this.Leg_tenor_;
e_irvm.RateType_ = this.Rate_type_;
e_irvm.LinkedCurveCode_ = this.Linkedcurve_;
return e_irvm;
}
public override Excel_yieldCurveViewModel value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm)
{
Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel;
ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList = new ObservableCollection <Excel_irCurveDataViewModel>();
Excel_yieldCurveViewModel e_ycvm = new Excel_yieldCurveViewModel();
e_ycvm.Excel_interpolationViewModel_ = Excel_interpolationViewModel_;
e_ycvm.Code_ = "constDefaultCurve";
e_ycvm.loadCurve(constRate_);
return(e_ycvm);
}
public override Excel_underlyingModel_paraViewModel underModel(Excel_underlyingInfoViewModel excel_uivm, Excel_instrumentViewModel excel_instrumentViewModel, DateTime dateTime)
{
Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel();
Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel;
string value = Excel_loaderViewModel.loadMarketData(dateTime, excel_uivm.Excel_type_, excel_uivm.KrCode_);
e_hwofvm.CurrentValue_ = value;
e_hwofvm.Alpha_ = this.HullWhite_AlphaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
e_hwofvm.Volatility_ = this.HullWhite_SigmaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
e_hwofvm.setInterestRateInfo(e_irvm);
e_hwofvm.Excel_yieldCurveViewModel_ = this.HullWhite_FittingCurveSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm);
return(e_hwofvm);
}
public Excel_underlyingInfo_paraViewModel getUnderlyingParameterModel(Excel_underlyingInfoViewModel e_uivm)
{
Excel_underlyingInfo_paraViewModel e_uipvm = new Excel_underlyingInfo_paraViewModel();
if (e_uivm.Excel_type_.ToUpper() == "STOCK")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "GBM";
Excel_geometricBMViewModel e_gbmvm = new Excel_geometricBMViewModel();
e_gbmvm.Code_ = e_uivm.KrCode_;
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_gbmvm;
}
else if (e_uivm.Excel_type_.ToUpper() == "INTERESTRATE")
{
e_uipvm.KrCode_ = e_uivm.KrCode_;
//e_uipvm.UnderName_ = e_uivm.Name_;
//e_uipvm.Model_ = "HullWhiteOne";
Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel();
Excel_interestRateViewModel e_irvm = e_uivm as Excel_interestRateViewModel;
e_hwofvm.Code_ = e_uivm.KrCode_;
e_hwofvm.setInterestRateInfo(e_irvm);
e_uipvm.Excel_underlyingModel_paraViewModel_ = e_hwofvm;
}
else
{
throw new NotImplementedException();
}
e_uipvm.Excel_underlyingModel_paraViewModel_.parameterLoad(
this.ParameterSettingManager_);
return(e_uipvm);
}
public override Excel_yieldCurveViewModel value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm)
{
IRCurveMarketDataLoader curveLoader = IRCurveMarketDataLoader.CreateMarketDataLoader("MRO");
Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel;
ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList = new ObservableCollection <Excel_irCurveDataViewModel>();
curveLoader.load(dateTime, e_irvm.LinkedCurveCode_, e_ircdvmList);
//e_icsvm.Symbol_ = excel_uivm.KrCode_;
//e_icsvm.dataLoad(dateTime, e_irvm.LinkedCurveCode_);
Excel_yieldCurveViewModel e_ycvm = new Excel_yieldCurveViewModel();
e_ycvm.Excel_interpolationViewModel_ = Excel_interpolationViewModel_;
e_ycvm.Code_ = e_ircdvmList[0].Curve_code_;
e_ycvm.Excel_rateDataViewModel_ = e_ircdvmList[0].Excel_rateDataViewModelList_;
return(e_ycvm);
}
public void setInterestRateInfo(Excel_interestRateViewModel e_irvm)
{
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
e_rateInfoVM.Tenor_ = e_irvm.Tenor_;
e_rateInfoVM.LegTenor_ = e_irvm.LegTenor_;
e_rateInfoVM.IndexType_ = e_irvm.RateType_;
e_rateInfoVM.Currency_ = e_irvm.Currency_;
this.Excel_rateInfoViewModel_ = e_rateInfoVM;
}
public override Excel_underlyingInfoViewModel underlyingInfoVM()
{
Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel();
e_irvm.KrCode_ = this.Symbol_; // curve code....
e_irvm.Tenor_ = this.Tenor_;
e_irvm.NameTrans_ = new NameTrans(this.name_eng_);
return e_irvm;
}