public YieldTermStructure buildQLNet_YieldTS(Excel_irCurveDataViewModel e_irCurveData)
{
QLNet.YieldTermStructure ql_yts = new YieldTermStructure();
List<QLNet.Date> dates = new List<QLNet.Date>();
List<double> yields = new List<double>();
foreach (var item in e_irCurveData.Excel_rateDataViewModelList_)
{
string tenor = item.Tenor_;
if (tenor.Substring(0, 1) == "D")
{
int addDays = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (tenor.Substring(0, 1) == "M")
{
int addMonths = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve<QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve<QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return ql_yts;
}
public YieldTermStructure buildQLNet_YieldTS(Excel_irCurveDataViewModel e_irCurveData)
{
QLNet.YieldTermStructure ql_yts = new YieldTermStructure();
List <QLNet.Date> dates = new List <QLNet.Date>();
List <double> yields = new List <double>();
foreach (var item in e_irCurveData.Excel_rateDataViewModelList_)
{
string tenor = item.Tenor_;
if (tenor.Substring(0, 1) == "D")
{
int addDays = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddDays(addDays));
}
else if (tenor.Substring(0, 1) == "M")
{
int addMonths = Convert.ToInt32(tenor.Substring(1, 3));
dates.Add(ProgramVariable.ReferenceDate_.AddMonths(addMonths));
}
else
{
throw new Exception("unknown type tenor : " + tenor);
}
yields.Add(Convert.ToDouble(item.Value_));
}
QLNet.DayCounter dc = new QLNet.Actual365Fixed();
QLNet.InterpolatedZeroCurve <QLNet.Linear> curve = new QLNet.InterpolatedZeroCurve <QLNet.Linear>(
dates, yields, dc, new QLNet.Linear());
return(ql_yts);
}
public override void load(DateTime refDate, string curveCode, ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAO dao = new TD_MRCURVE_Table_DAO();
e_ircdvmList.Clear();
dao.KeyColumn_RefDate_ = refDate.ToString(StringFormat.DbDateFormat_);
dao.KeyColumn_BOND_CLASS_ID_ = curveCode;
dao.KeyColumn_CURVE_CODE_ = "S";
dao.select(this.conn_);
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
e_ircdvm.Curve_code_ = curveCode;
e_ircdvm.ReferenceDate_ = refDate;
List <string> tenorList = new List <string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
List <string> valueList = new List <string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int i = 0; i < tenorList.Count; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[i];
double value = Convert.ToDouble(valueList[i]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvm.tenorList_ = tenorList;
if (e_ircdvm.Excel_rateDataViewModelList_.Count > 0)
{
e_ircdvmList.Add(e_ircdvm);
}
else
{
throw new Exception("curve load error , STD_DATE : " + dao.KeyColumn_RefDate_ +
" BOND_CLASS_ID : " + dao.KeyColumn_BOND_CLASS_ID_);
}
}
public override void loadInterval(DateTime startDate, DateTime endDate, string curveCode, ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAOManager daoM = new TD_MRCURVE_Table_DAOManager();
e_ircdvmList.Clear();
daoM.KeyColumn_InitialDate_ = startDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_EndDate_ = endDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_BOND_CLASS_ID_ = curveCode;
daoM.KeyColumn_CURVE_CODE_ = "S";
daoM.selectInterval(this.conn_);
List <string> tenorList = new List <string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < daoM.DAOList_.Count; i++)
{
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
TD_MRCURVE_Table_DAO dao = daoM.DAOList_[i];
e_ircdvm.Curve_code_ = dao.CURVE_CODE_;
e_ircdvm.ReferenceDate_ = StringConverter.dbDateToDateTime(dao.STD_DATE_);
List <string> valueList = new List <string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int j = 0; j < tenorList.Count; j++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[j];
double value = Convert.ToDouble(valueList[j]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvmList.Add(e_ircdvm);
}
e_ircdvmList[0].tenorList_ = tenorList;
}
public override void load(DateTime refDate, string curveCode, ObservableCollection<Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAO dao = new TD_MRCURVE_Table_DAO();
e_ircdvmList.Clear();
dao.KeyColumn_RefDate_ = refDate.ToString(StringFormat.DbDateFormat_);
dao.KeyColumn_BOND_CLASS_ID_ = curveCode;
dao.KeyColumn_CURVE_CODE_ = "S";
dao.select(this.conn_);
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
e_ircdvm.Curve_code_ = curveCode;
e_ircdvm.ReferenceDate_ = refDate;
List<string> tenorList = new List<string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
List<string> valueList = new List<string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int i = 0; i < tenorList.Count; i++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[i];
double value = Convert.ToDouble(valueList[i]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvm.tenorList_ = tenorList;
if (e_ircdvm.Excel_rateDataViewModelList_.Count > 0)
{
e_ircdvmList.Add(e_ircdvm);
}
else
{
throw new Exception("curve load error , STD_DATE : " + dao.KeyColumn_RefDate_ +
" BOND_CLASS_ID : " + dao.KeyColumn_BOND_CLASS_ID_);
}
}
public override void loadInterval(DateTime startDate, DateTime endDate, string curveCode, ObservableCollection<Excel_irCurveDataViewModel> e_ircdvmList)
{
TD_MRCURVE_Table_DAOManager daoM = new TD_MRCURVE_Table_DAOManager();
e_ircdvmList.Clear();
daoM.KeyColumn_InitialDate_ = startDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_EndDate_ = endDate.ToString(StringFormat.DbDateFormat_);
daoM.KeyColumn_BOND_CLASS_ID_ = curveCode;
daoM.KeyColumn_CURVE_CODE_ = "S";
daoM.selectInterval(this.conn_);
List<string> tenorList = new List<string>()
{
"1D",
"3M",
"6M",
"9M",
"12M",
"18M",
"24M",
"30M",
"36M",
"48M",
"60M",
"84M",
"120M",
"180M",
"240M",
"360M"
};
for (int i = 0; i < daoM.DAOList_.Count; i++)
{
Excel_irCurveDataViewModel e_ircdvm = new Excel_irCurveDataViewModel();
TD_MRCURVE_Table_DAO dao = daoM.DAOList_[i];
e_ircdvm.Curve_code_ = dao.CURVE_CODE_;
e_ircdvm.ReferenceDate_ = StringConverter.dbDateToDateTime(dao.STD_DATE_);
List<string> valueList = new List<string>()
{
dao.D001_,
dao.M003_,
dao.M006_,
dao.M009_,
dao.M012_,
dao.M018_,
dao.M024_,
dao.M030_,
dao.M036_,
dao.M048_,
dao.M060_,
dao.M084_,
dao.M120_,
dao.M180_,
dao.M240_,
dao.M360_
};
for (int j = 0; j < tenorList.Count; j++)
{
Excel_rateDataViewModel e_rdvm = new Excel_rateDataViewModel();
e_rdvm.Tenor_ = tenorList[j];
double value = Convert.ToDouble(valueList[j]) / 100.0;
e_rdvm.Value_ = value.ToString();
e_rdvm.RateType_ = "spot";
if (value > 0.0)
{
e_ircdvm.Excel_rateDataViewModelList_.Add(e_rdvm);
}
}
e_ircdvmList.Add(e_ircdvm);
}
e_ircdvmList[0].tenorList_ = tenorList;
}