public string set_hullWhiteModel(string underCode, double currentValue, double alpha, double sigma, YieldTermStructure fittingCurve)
{
try
{
Excel_standardHifiveParaViewModel e_sphvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardHifiveParaViewModel;
// under 에서 tenor를 가져옴
string tenor = "3M"; // defaultrrrr
bool setFlag = false;
Excel_hullWhiteOneFactorViewModel e_hwvm = new Excel_hullWhiteOneFactorViewModel();
foreach (var item in e_sphvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
{
if (underCode == item.KrCode_)
{
e_hwvm.CurrentValue_ = currentValue.ToString();
e_hwvm.Alpha_ = alpha.ToString();
e_hwvm.Volatility_ = sigma.ToString();
e_hwvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_hwvm;
setFlag = true;
}
}
Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel();
foreach (var item in this.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode == item.KrCode_)
{
Excel_interestRateViewModel e_irvm = item as Excel_interestRateViewModel;
e_hwvm.setInterestRateInfo(e_irvm);
}
}
if (!setFlag)
{
throw new Exception(underCode + " doesn't exist");
}
return("set hullWhit_model complete : " + underCode);
}
catch (Exception e)
{
return("set fail : " + e.Message);
}
}
public string set_forwardModel(string underCode, double currentValue, string tenor, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
//string tenor = "3M"; // defaultrrrr
if (e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
{
throw new Exception("underlying parameter is empty");
}
bool findFlag = false;
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
//foreach (var item in InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode.ToUpper() == item.KrCode_.ToUpper())
{
Excel_forwardModelViewModel e_fmvm = new Excel_forwardModelViewModel();
e_fmvm.CurrentValue_ = currentValue.ToString();
e_fmvm.Tenor_ = tenor;
e_fmvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_fmvm;
findFlag = true;
}
}
if (!findFlag)
{
throw new Exception(underCode + " does not exist");
}
return("load complete");
}
catch (Exception e)
{
return("load fail : " + e.Message);
}
}
public string set_forwardModel(string underCode, double currentValue, string tenor, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
//string tenor = "3M"; // defaultrrrr
if (e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_.Count == 0)
throw new Exception("underlying parameter is empty");
bool findFlag = false;
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
//foreach (var item in InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode.ToUpper() == item.KrCode_.ToUpper())
{
Excel_forwardModelViewModel e_fmvm = new Excel_forwardModelViewModel();
e_fmvm.CurrentValue_ = currentValue.ToString();
e_fmvm.Tenor_ = tenor;
e_fmvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_fmvm;
findFlag = true;
}
}
if (!findFlag)
throw new Exception(underCode + " does not exist");
return "load complete";
}
catch (Exception e)
{
return "load fail : " + e.Message;
}
}
public string set_discountCurve(string currency, YieldTermStructure discountCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
int count = e_sspvm.Excel_discountCurve_paraViewModel_.hasCurrencysYieldCurve(currency);
discountCurve.Excel_yieldCurveViewModel_.Currency_ = currency;
if (count == -1)
{
e_sspvm.Excel_discountCurve_paraViewModel_.Excel_yieldCurveViewModel_
.Add(discountCurve.Excel_yieldCurveViewModel_);
}
else
{
e_sspvm.Excel_discountCurve_paraViewModel_.Excel_yieldCurveViewModel_[count]
= discountCurve.Excel_yieldCurveViewModel_;
}
return "set discountCurve complete : " + currency;
}
catch (Exception e)
{
string errStr = "set fail: " + e.Message;
return errStr;
}
}
public string set_hullWhiteModel(string underCode, double currentValue, double alpha, double sigma, YieldTermStructure fittingCurve)
{
try
{
Excel_standardSwapParaViewModel e_sspvm = this.InstVM_.Excel_parameterViewModel_ as Excel_standardSwapParaViewModel;
// under 에서 tenor를 가져옴
string tenor = "3M"; // defaultrrrr
bool setFlag = false;
Excel_hullWhiteOneFactorViewModel e_hwvm = new Excel_hullWhiteOneFactorViewModel();
foreach (var item in e_sspvm.Excel_underlyingCalcInfo_paraViewModel_.Excel_underlyingInfo_paraViewModel_)
{
if (underCode == item.KrCode_)
{
e_hwvm.CurrentValue_ = currentValue.ToString();
e_hwvm.Alpha_ = alpha.ToString();
e_hwvm.Volatility_ = sigma.ToString();
e_hwvm.Excel_yieldCurveViewModel_ = fittingCurve.Excel_yieldCurveViewModel_;
item.Excel_underlyingModel_paraViewModel_ = e_hwvm;
setFlag = true;
}
}
foreach (var item in this.InstVM_.Excel_interfaceViewModel_.Excel_underlyingCalcInfoViewModel_.Excel_underlyingInfoViewModel_)
{
if (underCode == item.KrCode_)
{
Excel_interestRateViewModel e_irvm = item as Excel_interestRateViewModel;
e_hwvm.setInterestRateInfo(e_irvm);
}
}
if (!setFlag)
{
throw new Exception(underCode + " doesn't exist");
}
return "set hullWhit_model complete : " + underCode;
}
catch (Exception e)
{
return "set fail : " + e.Message;
}
}
