makeVanillaIRS_tradeInfo(DateTime tradeDate,
string avavailableTradeCD,
bool fixedPayFlag,
int quantity,
double tradeIndex,
double spread)
{
VanillaIRSTradeInfo ifti = new VanillaIRSTradeInfo();
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
clstb.INST_CD = avavailableTradeCD;
clstb.SelectOwn();
int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR);
double notioal = Math.Abs(quantity * 10000000000);
//VanillaIRS_instrument irs = VanillaIRS_instrument.CreateFixedFloating(fixedPayFlag,
// notioal,
// tradeDate,
// maturityYear,
// tradeIndex,
// true);
VanillaIRS_instrument irs = VanillaIRS_instrument.CreateTradableCode(avavailableTradeCD,
fixedPayFlag, notioal, quantity,tradeDate, tradeIndex,spread);
ifti.Financial_instrument_ = irs;
double indexMultiplier = VanillaIRSTradeInfo.IndexMultiplier_;
double tradeFeeRate = VanillaIRSTradeInfo.TradeFeeRate_;
ifti.DAO_ = new DatabaseLayer.clsHITM_TRADEINFO_TB();
ifti.DAO_.TRADE_ID = IDGenerator.getNewTradeID(TradeInfo.TradeType.OTC,irs.InstrumentType_, tradeDate);
ifti.DAO_.INSTRUMENT_ID = irs.SwapDAO_.INSTRUMENT_ID;
ifti.DAO_.TRADE_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.TRADE_TM = DateTime.Now.ToString("HHmmss");
ifti.DAO_.TRADE_SEQ = IDGenerator.getTradeSeq(tradeDate);
ifti.DAO_.TRADE_TYP = Convert.ToInt32(TradeInfo.TradeType.OTC);
ifti.DAO_.FP_MASTER_TYP = irs.baseDAO_.FP_MASTER_TYP;
ifti.DAO_.TRADE_UNIT = 10000000000;
ifti.DAO_.TRADE_MULTIPLIER = indexMultiplier;
ifti.DAO_.TRADE_CURR = "KRW";
ifti.DAO_.CURR_RATE = 1.0;
ifti.DAO_.TRADE_INDEX = tradeIndex;
ifti.DAO_.TRADE_INDEXUNIT = 1.0;
ifti.DAO_.TRADE_QNT = quantity;
ifti.DAO_.TRADE_NOTIONAL_AMT = Math.Round(Math.Abs(Convert.ToDouble(quantity * ifti.DAO_.TRADE_UNIT)));
ifti.DAO_.ACCOUNT_AMT = 0.0;
ifti.DAO_.TRADE_FEE = Math.Round(Math.Abs(ifti.DAO_.TRADE_NOTIONAL_AMT * tradeFeeRate));
ifti.DAO_.TRADE_PL = 0.0;
ifti.DAO_.TRADE_FEE_PAYMENT_DT = tradeDate.ToString("yyyyMMdd");
ifti.DAO_.COUNTER_ID = "OTC";
ifti.DAO_.BOOKED_FLAG = 0;
return ifti;
}
public override void loadAvailableInst()
{
this.AvailableInstList_.Clear();
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
this.AvailableInstList_.Add(clsTRADABLE_OTC_VANILLA_IRS_TB.Create(dr));
}
}
public static Vanilla_SwapTradeInfo makeVanilla_Swap_tradeInfo(DateTime tradeDate,
string avavailableTradeCD,
long notional,
bool fixedPayFlag,
double tradeIndex)
{
Vanilla_SwapTradeInfo v_sti = new Vanilla_SwapTradeInfo();
clsTRADABLE_OTC_VANILLA_IRS_TB clstb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
clstb.INST_CD = avavailableTradeCD;
clstb.SelectOwn();
int maturityYear = ConvertingTool.TenorMuliplier(clstb.MATURITY_TENOR);
Vanilla_Swap vanilla_swap = Vanilla_Swap.CreateTradableCode(avavailableTradeCD,
fixedPayFlag, notional, tradeDate, tradeIndex);
v_sti.Financial_instrument_ = vanilla_swap;
double indexMultiplier = Vanilla_SwapTradeInfo.IndexMultiplier_;
double tradeFeeRate = Vanilla_SwapTradeInfo.TradeFeeRate_;
v_sti.DAO_ = new DatabaseLayer.clsHITM_TRADEINFO_TB();
v_sti.DAO_.TRADE_ID = IDGenerator.getNewTradeID(TradeInfo.TradeType.OTC, vanilla_swap.InstrumentType_, tradeDate);
v_sti.DAO_.INSTRUMENT_ID = vanilla_swap.SwapDAO_.INSTRUMENT_ID;
v_sti.DAO_.TRADE_DT = tradeDate.ToString("yyyyMMdd");
v_sti.DAO_.TRADE_TM = DateTime.Now.ToString("HHmmss");
v_sti.DAO_.TRADE_SEQ = IDGenerator.getTradeSeq(tradeDate);
v_sti.DAO_.TRADE_TYP = Convert.ToInt32(TradeInfo.TradeType.OTC);
v_sti.DAO_.FP_MASTER_TYP = vanilla_swap.baseDAO_.FP_MASTER_TYP;
v_sti.DAO_.TRADE_UNIT = 1;
v_sti.DAO_.TRADE_MULTIPLIER = indexMultiplier;
v_sti.DAO_.TRADE_CURR = "KRW";
v_sti.DAO_.CURR_RATE = 1.0;
v_sti.DAO_.TRADE_INDEX = tradeIndex;
v_sti.DAO_.TRADE_INDEXUNIT = 1.0;
v_sti.DAO_.TRADE_QNT = notional;
v_sti.DAO_.TRADE_NOTIONAL_AMT = notional;
v_sti.DAO_.ACCOUNT_AMT = 0.0;
v_sti.DAO_.TRADE_FEE = Math.Round(Math.Abs(v_sti.DAO_.TRADE_NOTIONAL_AMT * tradeFeeRate));
v_sti.DAO_.TRADE_PL = 0.0;
v_sti.DAO_.TRADE_FEE_PAYMENT_DT = tradeDate.ToString("yyyyMMdd");
v_sti.DAO_.COUNTER_ID = "OTC";
v_sti.DAO_.BOOKED_FLAG = 0;
return v_sti;
}
public clsTRADABLE_OTC_VANILLA_IRS_TB Clone()
{
try
{
clsTRADABLE_OTC_VANILLA_IRS_TB cloneTB = new clsTRADABLE_OTC_VANILLA_IRS_TB();
cloneTB._INST_CD = this._INST_CD;
cloneTB._INST_NM = this._INST_NM;
cloneTB._LEG_TENOR = this._LEG_TENOR;
cloneTB._MATURITY_TENOR = this._MATURITY_TENOR;
cloneTB._FLOATING_INDEX_CD = this._FLOATING_INDEX_CD;
cloneTB._DAYCOUNTER = this._DAYCOUNTER;
cloneTB._COUNTERPARTY_CD = this._COUNTERPARTY_CD;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public static clsTRADABLE_OTC_VANILLA_IRS_TB Create(DataRow dr)
{
try
{
clsTRADABLE_OTC_VANILLA_IRS_TB tb = new clsTRADABLE_OTC_VANILLA_IRS_TB();
tb._INST_CD = Convert.ToString(dr[0]);
tb._INST_NM = Convert.ToString(dr[1]);
tb._LEG_TENOR = Convert.ToString(dr[2]);
tb._MATURITY_TENOR = Convert.ToString(dr[3]);
tb._FLOATING_INDEX_CD = Convert.ToString(dr[4]);
tb._DAYCOUNTER = Convert.ToInt32(dr[5]);
tb._COUNTERPARTY_CD = Convert.ToString(dr[6]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
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;
}
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;
}
