public void read_instrument(VanillaIRS_instrument inst)
{
this.masterTabItem_.DataContext = inst;
this.payLegCashFlowDataGrid_.ItemsSource = inst.FP_PayCashFlowList_;
this.receiveLegCashFlowDataGrid_.ItemsSource = inst.FP_RecCashFlowList_;
}
private void Button_Click(object sender, RoutedEventArgs e)
{
VanillaIRS_instrument inst = new VanillaIRS_instrument();
inst.loadFPMaster("KRS1A7002789");
inst.loadDetail("KRS1A7002789");
this.read_instrument(inst);
}
public void loadInstrument()
{
this.Financial_instrumentList_.Clear();
clsMAST_SWAP_TB swap_tb = new clsMAST_SWAP_TB();
DataTable dt = swap_tb.Select();
foreach (DataRow dr in dt.Select())
{
VanillaIRS_instrument v_irs_inst = new VanillaIRS_instrument();
v_irs_inst.SwapDAO_ = clsMAST_SWAP_TB.Create(dr);
v_irs_inst.loadCashflow();
this.Financial_instrumentList_.Add(v_irs_inst);
}
}
// #CreateInstrument_ItemAdd
public static Financial_instrument CreateInstrument(clsMAST_FP_INSTRUMENT_TB tb)
{
int type = tb.FP_MASTER_TYP;
Financial_instrument fi = new Unknown_fi_instrument();
if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexFutures)
{
fi = new Kospi200Index_futures();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Call
|| type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Kospi200_IndexOption_Put)
{
fi = new Kospi200Index_option();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaIRS)
{
fi = new VanillaIRS_instrument();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.VanillaSwap)
{
fi = new Vanilla_Swap();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Ftp_DepositLoan)
{
fi = new Ftp_DepositLoan();
}
else if (type == (int)clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type.Money_Cash)
{
fi = new CurrencyCash();
}
else
{
//fi = new Unknown_instrument();
}
fi.baseDAO_ = tb;
fi.loadDetail(tb.INSTRUMENT_ID);
return fi;
}
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;
}