public override void loadLegInfo(string inst_id)
{
// leg info
this.LegDAO_.INSTRUMENT_ID = inst_id;
if (this.LegDAO_.SelectOwn() == 0) { throw new Exception("data not exist"); }
// cash flow
this.FP_CashFlowList_.Clear();
clsMAST_CF_VANILLA_FLOATING_TB clstb_vanilla_cf = new clsMAST_CF_VANILLA_FLOATING_TB();
clstb_vanilla_cf.LEG_ID = inst_id;
DataTable resultTb = clstb_vanilla_cf.Select();
foreach (DataRow dr in resultTb.Select())
{
FP_FloatingRateCoupon fp_floating = new FP_FloatingRateCoupon();
fp_floating.DAO_ = clsMAST_CF_VANILLA_FLOATING_TB.Create(dr);
fp_floating.Notional_ = fp_floating.DAO_.NOTIONAL;
fp_floating.CalculationStartDate_ = ConvertingTool.ToDateTime(fp_floating.DAO_.CALC_START_DT);
fp_floating.CalculationEndDate_ = ConvertingTool.ToDateTime(fp_floating.DAO_.CALC_END_DT);
fp_floating.PaymentDate_ = ConvertingTool.ToDateTime(fp_floating.DAO_.PAYMENT_DT);
this.FP_CashFlowList_.Add(fp_floating);
}
}
private void load_fp_vanillaFloating()
{
clsMAST_CF_VANILLA_FLOATING_TB clstb = new clsMAST_CF_VANILLA_FLOATING_TB();
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
FP_FloatingRateCoupon fp_fixed = new FP_FloatingRateCoupon() { DAO_ = clsMAST_CF_VANILLA_FLOATING_TB.Create(dr) };
this.FP_CashFlowList_.Add(fp_fixed);
}
}
public override void buildFromLegInfo(DateTime referenceDate, int payRec)
{
//int maturityYear = ConvertingTool.TenorMuliplier(this.LegDAO_.);
int legTenorMonth = ConvertingTool.TenorMuliplier(this.LegDAO_.LEG_TENOR);
//int cashflowCount = maturityYear * (12 / legTenorMonth);
this.FP_CashFlowList_.Clear();
DateTime roopDate = ConvertingTool.ToDateTime(this.LegDAO_.EFFECTIVE_DT);
DateTime matutiryDate = ConvertingTool.ToDateTime(this.LegDAO_.MATURITY_DT);
DateTime nextDate = roopDate.AddMonths(legTenorMonth);
CalendarManager cm = new CalendarManager(referenceDate, CalendarManager.CountryType.SOUTH_KOREA);
while (nextDate <= matutiryDate)
{
FP_FloatingRateCoupon fp_cashFlow = new FP_FloatingRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_cashFlow.DAO_.LEG_ID = this.LegDAO_.INSTRUMENT_ID;
fp_cashFlow.DAO_.LEG_TYP = 0;
fp_cashFlow.DAO_.NOTIONAL = this.LegDAO_.NOTIONAL;
fp_cashFlow.DAO_.PAY_RECEIVE = payRec;
fp_cashFlow.DAO_.CALC_START_DT = roopDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.CALC_END_DT = nextDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(nextDate).ToString("yyyyMMdd");
fp_cashFlow.DAO_.CASHFLOW_DT = nextDate.ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXING_DT = cm.adjust(roopDate).ToString("yyyyMMdd");
// 우선 DEFAULT로 박고, FIXING은 차후 데일리로 계산함.
fp_cashFlow.DAO_.FIXING_INDEX_CD = this.LegDAO_.FIXING_INDEX_CD;
fp_cashFlow.DAO_.GREARING = this.LegDAO_.GREARING;
fp_cashFlow.DAO_.SPREAD = this.LegDAO_.SPREAD;
fp_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_cashFlow.DAO_.FIXED_FIXING_CALCLATED
= (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED;
this.FP_CashFlowList_.Add(fp_cashFlow);
roopDate = roopDate.AddMonths(legTenorMonth);
nextDate = roopDate.AddMonths(legTenorMonth);
}
}
private void cashflow(string legID,int type,List<FP_CashFlow> fp_cfList)
{
CultureInfo us = new CultureInfo("en-US");
if (type == 0)
{
clsMAST_CF_FIXED_TB tb = new clsMAST_CF_FIXED_TB();
tb.LEG_ID = legID;
DataTable resultTb = tb.Select();
foreach ( DataRow dr in resultTb.Select() )
{
FP_FixedRateCoupon fp_fixed = new FP_FixedRateCoupon();
fp_fixed.DAO_ = clsMAST_CF_FIXED_TB.Create(dr);
fp_fixed.Notional_ = fp_fixed.DAO_.NOTIONAL;
fp_fixed.CalculationStartDate_ = DateTime.ParseExact(fp_fixed.DAO_.CALC_START_DT,"yyyyMMdd",us);
fp_fixed.CalculationEndDate_ = DateTime.ParseExact(fp_fixed.DAO_.CALC_END_DT, "yyyyMMdd", us);
fp_fixed.PaymentDate_ = DateTime.ParseExact(fp_fixed.DAO_.PAYMENT_DT, "yyyyMMdd", us);
fp_cfList.Add(fp_fixed);
}
}
else if (type == 1)
{
clsMAST_CF_VANILLA_FLOATING_TB tb = new clsMAST_CF_VANILLA_FLOATING_TB();
tb.LEG_ID = legID;
DataTable resultTb = tb.Select();
foreach (DataRow dr in resultTb.Select())
{
FP_FloatingRateCoupon fp_floating = new FP_FloatingRateCoupon();
fp_floating.DAO_ = clsMAST_CF_VANILLA_FLOATING_TB.Create(dr);
fp_floating.Notional_ = fp_floating.DAO_.NOTIONAL;
fp_floating.CalculationStartDate_ = DateTime.ParseExact(fp_floating.DAO_.CALC_START_DT, "yyyyMMdd", us);
fp_floating.CalculationEndDate_ = DateTime.ParseExact(fp_floating.DAO_.CALC_END_DT, "yyyyMMdd", us);
fp_floating.PaymentDate_ = DateTime.ParseExact(fp_floating.DAO_.PAYMENT_DT, "yyyyMMdd", us);
fp_cfList.Add(fp_floating);
}
this.FixingIndexCD_ = ((FP_FloatingRateCoupon)fp_cfList[0]).DAO_.FIXING_INDEX_CD;
}
else
{
}
}
public static VanillaIRS_instrument CreateTradableCode(string availableTradeCD,
bool fixedPayFlag,
double notional,
int quantity,
DateTime effective,
double fixedRate,
double spread)
{
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
clstb.INST_CD = availableTradeCD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception( availableTradeCD + " : is not tradable."); }
int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR);
int legTenorMonth = ConvertingTool.TenorMuliplier(clstb.LEG_TENOR);
VanillaIRS_instrument inst = new VanillaIRS_instrument();
int cashflowCount = maturityYear * (12 / legTenorMonth);
// Master
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, effective,inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.INSTRUMENT_NM = (fixedPayFlag) ? fixedRate + " Pay " + clstb.MATURITY_TENOR : fixedRate + " Receive " + clstb.MATURITY_TENOR;
inst.baseDAO_.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS;
inst.baseDAO_.NOTIONAL = Math.Abs(notional);
inst.baseDAO_.PRICE = fixedRate;
inst.baseDAO_.QUANTITY = Math.Abs(quantity);
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
//inst.baseDAO_.BUY_SELL = (quantity > 0) ? (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Buy :
// (int)clsMAST_FP_INSTRUMENT_TB.BUY_SELL_Type.Sell;
inst.baseDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.baseDAO_.BOOKED_DT = "";
inst.baseDAO_.CLOSED_DT = "20991231";
inst.SwapDAO_.INSTRUMENT_ID = inst_ID;
inst.SwapDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_);
inst.SwapDAO_.NOTIONAL_PAY = Math.Abs(notional);
inst.SwapDAO_.PAY_CURR = "KRW";
inst.SwapDAO_.NOTIONAL_REC = Math.Abs(notional);
inst.SwapDAO_.REC_CURR = "KRW";
inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.SwapDAO_.PAY_LEG_TYP = 0;
inst.SwapDAO_.PAY_LEG_TENOR = "3M";
inst.SwapDAO_.PAY_LEG_BDC = 0;
inst.SwapDAO_.PAY_LEG_DC = 0;
inst.SwapDAO_.REC_LEG_TYP = 1;
inst.SwapDAO_.REC_LEG_TENOR = "3M";
inst.SwapDAO_.REC_LEG_BDC = 1;
inst.SwapDAO_.REC_LEG_DC = 1;
CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA);
// CF_FixedDAO_
for (int i = 0; i < cashflowCount; i++)
{
FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB();
fp_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.LEG_ID = inst_ID;
fp_cashFlow.DAO_.LEG_TYP = 0;
fp_cashFlow.DAO_.NOTIONAL = Math.Abs(notional);
fp_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); ;
fp_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXED_RATE = fixedRate;
if (fixedPayFlag) { inst.FP_PayCashFlowList_.Add(fp_cashFlow); }
else { inst.FP_RecCashFlowList_.Add(fp_cashFlow); }
}
for (int i = 0; i < cashflowCount; i++)
{
FP_FloatingRateCoupon fp_floating_cashFlow = new FP_FloatingRateCoupon();
fp_floating_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_floating_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.LEG_ID = inst_ID;
fp_floating_cashFlow.DAO_.LEG_TYP = 0;
fp_floating_cashFlow.DAO_.NOTIONAL = Math.Abs(notional);
fp_floating_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_DT = cm.adjust(effective.AddMonths(3 * i)).ToString("yyyyMMdd");
// 우선 DEFAULT로 박고, FIXING은 차후 데일리로 계산함.
fp_floating_cashFlow.DAO_.FIXING_INDEX_CD = clstb.FLOATING_INDEX_CD;
fp_floating_cashFlow.DAO_.GREARING = 1.0;
fp_floating_cashFlow.DAO_.SPREAD = spread;
fp_floating_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING_CALCLATED
= (int)clsMAST_CF_VANILLA_FLOATING_TB.FIXED_FIXING_CALCLATED_Type.NOT_FIXED;
if (fixedPayFlag) { inst.FP_RecCashFlowList_.Add(fp_floating_cashFlow); }
else { inst.FP_PayCashFlowList_.Add(fp_floating_cashFlow); }
}
return inst;
}
//private void ql_FixedlegSet(List<FP_CashFlow> cashFlow, Leg leg, double notioal, DayCounter dc)
//{
// double fixedRate = 0.0;
// for (int i = 0; i < cashFlow.Count; i++)
// {
// fixedRate = ((FP_FixedRateCoupon)cashFlow[i]).DAO_.FIXED_RATE;
// Date accrualStartDate = new Date(cashFlow[i].CalculationStartDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date accrualEndDate = new Date(cashFlow[i].CalculationEndDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date paymentDate = new Date(cashFlow[i].PaymentDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// FixedRateCoupon fixedRateCoupon =
// new FixedRateCoupon(paymentDate,
// notioal,
// fixedRate,
// dc,
// accrualStartDate,
// accrualEndDate);
// leg.Add(fixedRateCoupon);
// }
//}
//private void ql_FloatinglegSet(List<FP_CashFlow> cashFlow, Leg leg, double notioal, YieldTermStructure indexCurve, DayCounter dc,QuantLib.Calendar calendar)
//{
// Compounding forwardCompounding = Compounding.Compounded;
// Date evalDate = Settings.instance().getEvaluationDate();
// Console.WriteLine("year : " + evalDate.year());
// Console.WriteLine("month : " + evalDate.month());
// Console.WriteLine("day : " + evalDate.dayOfMonth());
// for (int i = 0; i < cashFlow.Count; i++)
// {
// // hard coding 함. 미친 코딩할 시간을 안줘. 호떡같은..
// //string periodStr = "3M"; // CD91
// FP_FloatingRateCoupon fp_frc_i = (FP_FloatingRateCoupon)cashFlow[i] as FP_FloatingRateCoupon;
// Date accrualStartDate = new Date(cashFlow[i].CalculationStartDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date accrualEndDate = new Date(cashFlow[i].CalculationEndDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// Date paymentDate = new Date(cashFlow[i].PaymentDate_.ToString("yyyyMMdd"), "yyyyMMdd");
// double forwardRate = 0.0;
// int calculated = fp_frc_i.DAO_.FIXED_FIXING_CALCLATED;
// Date fixingDate = new Date(fp_frc_i.DAO_.FIXING_DT,"yyyyMMdd");
// if (fixingDate < evalDate || fixingDate == evalDate)
// {
// if (calculated == 1)
// {
// forwardRate = fp_frc_i.DAO_.FIXED_FIXING;
// }
// else
// {
// // 계산함
// clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
// clstb.INDEX_CD = fp_frc_i.DAO_.FIXING_INDEX_CD;
// clstb.REF_DT = fp_frc_i.DAO_.FIXING_DT;
// DataTable tb = clstb.Select();
// double fixed_fixing = 0.0;
// int uniqueSelectCheck = 0;
// foreach (DataRow dr in tb.Select())
// {
// clsHDAT_MARKETDATA_TB resulttb = clsHDAT_MARKETDATA_TB.Create(dr);
// fixed_fixing = resulttb.LAST;
// uniqueSelectCheck += 1;
// }
// if (uniqueSelectCheck > 1)
// {
// throw new Exception("market data is multiple: " + clstb.REF_DT + " " + clstb.INDEX_CD);
// }
// else if (uniqueSelectCheck == 0)
// {
// throw new Exception("market data does not exist : " + clstb.REF_DT + " " + clstb.INDEX_CD);
// }
// // ID 랑 CASHFLOW는 SETTING이 이미 되어 있음.
// fp_frc_i.DAO_.FIXED_FIXING_CALCLATED = 1;
// fp_frc_i.DAO_.FIXED_FIXING = fixed_fixing;
// fp_frc_i.DAO_.UpdateFixing();
// forwardRate = fixed_fixing;
// //((FP_FloatingRateCoupon)cashFlow[i]).DAO_.FIXED_FIXING =
// }
// }
// else
// {
// forwardRate = indexCurve.forwardRate(fixingDate,
// calendar.advance(fixingDate,3,TimeUnit.Months),
// dc,
// forwardCompounding).rate();
// }
// FixedRateCoupon floatingRateCoupon =
// new FixedRateCoupon(paymentDate,
// notioal,
// forwardRate,
// dc,
// accrualStartDate,
// accrualEndDate);
// leg.Add(floatingRateCoupon);
// }
//}
// Vanilla maker
public static VanillaIRS_instrument CreateFixedFloating(bool fixedPayFlag,double notional,
DateTime effective, int maturityYear, double fixedRate, bool fixedPaySide)
{
VanillaIRS_instrument inst = new VanillaIRS_instrument();
int cashflowCount = maturityYear * (12 / 3);
// Master
string inst_ID = IDGenerator.getNewInstrumentID(inst.InstrumentType_, effective,inst);
inst.baseDAO_.INSTRUMENT_ID = inst_ID;
inst.baseDAO_.FP_MASTER_TYP = (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS;
inst.baseDAO_.NOTIONAL = notional;
inst.baseDAO_.PRICE = fixedRate;
inst.baseDAO_.QUANTITY = 1.0;
inst.baseDAO_.CURR = "KRW";
inst.baseDAO_.FX_RATE = 1.0;
inst.baseDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.baseDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.baseDAO_.BOOKED_DT = "";
inst.baseDAO_.CLOSED_DT = "20991231";
inst.SwapDAO_.INSTRUMENT_ID = inst_ID;
inst.SwapDAO_.INSTRUMENT_TYP = Convert.ToInt32(inst.InstrumentType_);
inst.SwapDAO_.NOTIONAL_PAY = Math.Abs(notional);
inst.SwapDAO_.PAY_CURR = "KRW";
inst.SwapDAO_.NOTIONAL_REC = Math.Abs(notional);
inst.SwapDAO_.REC_CURR = "KRW";
inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.SwapDAO_.PAY_LEG_TYP = 0;
inst.SwapDAO_.PAY_LEG_TENOR = "3M";
inst.SwapDAO_.PAY_LEG_BDC = 0;
inst.SwapDAO_.PAY_LEG_DC = 0;
inst.SwapDAO_.REC_LEG_TYP = 1;
inst.SwapDAO_.REC_LEG_TENOR = "3M";
inst.SwapDAO_.REC_LEG_BDC = 1;
inst.SwapDAO_.REC_LEG_DC = 1;
CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA);
// CF_FixedDAO_
for (int i = 0; i < cashflowCount; i++)
{
FP_FixedRateCoupon fp_cashFlow = new FP_FixedRateCoupon();
fp_cashFlow.DAO_ = new clsMAST_CF_FIXED_TB();
fp_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3*(i+1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.LEG_ID = inst_ID;
fp_cashFlow.DAO_.LEG_TYP = 2800;
fp_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd"); ;
fp_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_cashFlow.DAO_.FIXED_RATE = fixedRate;
if (fixedPayFlag) {inst.FP_PayCashFlowList_.Add(fp_cashFlow); }
else { inst.FP_RecCashFlowList_.Add(fp_cashFlow); }
}
for (int i = 0; i < cashflowCount; i++)
{
FP_FloatingRateCoupon fp_floating_cashFlow = new FP_FloatingRateCoupon();
fp_floating_cashFlow.DAO_ = new clsMAST_CF_VANILLA_FLOATING_TB();
fp_floating_cashFlow.DAO_.CASHFLOW_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.LEG_ID = inst_ID;
fp_floating_cashFlow.DAO_.LEG_TYP = 0;
fp_floating_cashFlow.DAO_.CALC_START_DT = effective.AddMonths(3 * i).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.CALC_END_DT = effective.AddMonths(3 * (i + 1)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.PAYMENT_DT = cm.adjust(effective.AddMonths(3 * (i + 1))).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_DT = cm.adjust(effective.AddMonths(3 * i)).ToString("yyyyMMdd");
fp_floating_cashFlow.DAO_.FIXING_INDEX_CD = "CD91";
fp_floating_cashFlow.DAO_.GREARING = 1.0;
fp_floating_cashFlow.DAO_.SPREAD = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING = 0.0;
fp_floating_cashFlow.DAO_.FIXED_FIXING_CALCLATED = 0;
if (fixedPayFlag) { inst.FP_RecCashFlowList_.Add(fp_floating_cashFlow); }
else { inst.FP_PayCashFlowList_.Add(fp_floating_cashFlow); }
}
return inst;
}