// #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 Vanilla_Swap CreateTradableCode(string availableTradeCD,
bool fixedPayFlag,
long notional,
DateTime effective,
double fixedRate)
{
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);
Vanilla_Swap inst = new Vanilla_Swap();
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.VanillaSwap;
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";
// swap part
inst.SwapDAO_.INSTRUMENT_ID = inst_ID;
inst.SwapDAO_.INSTRUMENT_TYP = inst.baseDAO_.FP_MASTER_TYP;
inst.SwapDAO_.NOTIONAL = notional;
inst.SwapDAO_.CURR = "KRW";
inst.SwapDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.SwapDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.SwapDAO_.COUPON_TENOR = "3M";
inst.SwapDAO_.MATURITY_TENOR = maturityYear.ToString() + "Y";
inst.SwapDAO_.PAY_REC = (fixedPayFlag) ? (int)clsMAST_VANILLA_SWAP_INFO_TB.PAY_REC_Type.Pay :
(int)clsMAST_VANILLA_SWAP_INFO_TB.PAY_REC_Type.Rec;
inst.SwapDAO_.FLOATING_LEG_BDC = 0;
inst.SwapDAO_.FLOATING_LEG_DC = 0;
inst.SwapDAO_.FIXED_LEG_BDC = 0;
inst.SwapDAO_.FIXED_LEG_DC = 0;
//CalendarManager cm = new CalendarManager(effective, CalendarManager.CountryType.SOUTH_KOREA);
// CF_FixedDAO_
inst.FixedLegInfo_.LegDAO_.INSTRUMENT_ID = inst_ID;
inst.FixedLegInfo_.LegDAO_.LEG_TYP = 0;
inst.FixedLegInfo_.LegDAO_.NOTIONAL = notional;
inst.FixedLegInfo_.LegDAO_.CURR = "KRW";
inst.FixedLegInfo_.LegDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.FixedLegInfo_.LegDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.FixedLegInfo_.LegDAO_.LEG_TENOR = "3M";
inst.FixedLegInfo_.LegDAO_.FIXED_RATE = fixedRate;
inst.FixedLegInfo_.buildFromLegInfo(effective, inst.SwapDAO_.PAY_REC);
#region Comment
//--------------------------------- leg info 를 만들어야함.
//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;
// inst.FixedLegInfo_.FP_CashFlowList_.Add(fp_cashFlow);
//}
#endregion
inst.FloatingLegInfo_.LegDAO_.INSTRUMENT_ID = inst_ID;
inst.FloatingLegInfo_.LegDAO_.LEG_TYP = 0;
inst.FloatingLegInfo_.LegDAO_.NOTIONAL = notional;
inst.FloatingLegInfo_.LegDAO_.CURR = "KRW";
inst.FloatingLegInfo_.LegDAO_.EFFECTIVE_DT = effective.ToString("yyyyMMdd");
inst.FloatingLegInfo_.LegDAO_.MATURITY_DT = effective.AddYears(maturityYear).ToString("yyyyMMdd");
inst.FloatingLegInfo_.LegDAO_.LEG_TENOR = "3M";
inst.FloatingLegInfo_.LegDAO_.FIXING_INDEX_CD = clstb.FLOATING_INDEX_CD;
inst.FloatingLegInfo_.LegDAO_.GREARING = 1.0;
inst.FloatingLegInfo_.LegDAO_.SPREAD = 0.0;
inst.FloatingLegInfo_.LegDAO_.CAP = 10.0;
inst.FloatingLegInfo_.LegDAO_.FLOOR = -10.0;
inst.FloatingLegInfo_.LegDAO_.INARREAR = 0;
inst.FloatingLegInfo_.buildFromLegInfo(effective, inst.SwapDAO_.PAY_REC*(-1));
#region Comment
//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 = 0.0;
// 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;
// inst.FloatingLegInfo_.FP_CashFlowList_.Add(fp_floating_cashFlow);
//}
#endregion
return inst;
}