public override ResetStrikeOption GenerateInstrument()
{
var startDate = TradeInfo.StartDate.ToDate();
var calendar = TradeInfo.Calendar.ToCalendarImpl();
var strikefixingDate = TradeInfo.StrikeFixingDate.ToDate();
TradeUtil.GenerateOptionDates(TradeInfo, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);
public PayInfoParam GetPayInfoParamBeforeDeliveryInfoInsert(OrderItem orderItem, UserItem userItem, bool fromOrderConfirm)
{
DeliveryInfoItem deliveryInfoItem = DeliveryInfoDao.FindById(orderItem.DeliveryInfoId);
PayInfoParam param = new PayInfoParam();
param.OrderItem = orderItem;
param.DeliveryInfoItem = deliveryInfoItem;
param.UserItem = userItem;
OrderService.SetPriceInPayInfoParam(orderItem.Id, param);
param.PayInfoItem = GetPayInfoItem(param.OrderItem.PayInfoId);
if (param.OrderItem.PayInfoId == 0)
{
if (orderItem.HighPrintId > 0)
{
param.PayInfoItem.PayType = "BANK"; // 우선 출력 상품의 경우 대인불가
param.PayInfoItem.ShippingCharge = 0;
param.PayInfoItem.ManPaidCharge = 0;
}
else
{
param.PayInfoItem.PayType = "MAN";
param.PayInfoItem.ShippingCharge = TradeUtil.GetShippingCharge(param.GoodsPrice, deliveryInfoItem);
param.PayInfoItem.ManPaidCharge = TradeUtil.ManPaidCharge(param.PayInfoItem.ProductCharge + param.PayInfoItem.ShippingCharge - param.PayInfoItem.PointPaid);
}
param.PayInfoItem.ProductCharge = param.TaxAddedPrice;
param.PayInfoItem.CashPrice = param.PayInfoItem.ComputedCashPrice();
}
param.BankInfoSelectList = GetBankInfoSelectList(param.PayInfoItem.BankType);
param.FromOrderConfirm = fromOrderConfirm;
return(param);
}
//private int InsertPayInfo(OrderItem orderItem, int payInfoId, PayInfoItem payInfoItem)
//{
// payInfoId = PayInfoDao.Insert(payInfoItem);
// orderItem.PayInfoId = payInfoId;
// OrderDao.UpdatePayInfo(orderItem);
// if (payInfoItem.PointPaid > 0)
// {
// SubtractPoint(orderItem, payInfoItem);
// }
// return payInfoId;
//}
//private void SubtractPoint(OrderItem orderItem, PayInfoItem payInfoItem)
//{
// string title = "[" + orderItem.Code + "]ポイント支払い";
// PointService.SubtractPoint(title, payInfoItem.PointPaid, orderItem.UserId);
//}
internal PayInfoItem GetPayInfoItem(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, int shippingCharge)
{
PayInfoItem item = new PayInfoItem();
item.ProductCharge = OrderService.GetTaxAddedPrice(orderItem.Id);
item.ShippingCharge = shippingCharge;
item.PayType = payType;
if (item.PayType.Equals("MAN"))
{
item.ManPaidCharge = TradeUtil.ManPaidCharge(item.ProductCharge + item.ShippingCharge - pointPaid);
}
item.PointPaid = pointPaid;
item.TelegramCommision = TradeUtil.GetTelegramCommision(item.PayType, item.TotalChargeBanTelegramCommision);
item.CashPrice = item.TotalCharge - pointPaid;
if (item.PayType.Equals("BANK"))
{
item.BankType = bankType;
string modifiedBankUserName;
if (item.BankType.Equals("1"))
{
modifiedBankUserName = TradeUtil.HalfToFull(bankUserName);
}
else
{
modifiedBankUserName = TradeUtil.FullToHalf(bankUserName);
}
item.BankUserName = modifiedBankUserName;
}
item.UserId = orderItem.UserId;
return(item);
}
//[Transaction()]
//public void SetPayInfo(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, int shippingCharge)
//{
// int payInfoId = orderItem.PayInfoId;
// PayInfoItem payInfoItem = GetPayInfoItem(orderItem, pointPaid, payType, bankType, bankUserName, shippingCharge);
// if (payInfoId == 0)
// {
// payInfoId = InsertPayInfo(orderItem, payInfoId, payInfoItem);
// }
// else
// {
// UpdatePayInfo(orderItem, payInfoId, payInfoItem);
// }
//}
//[Transaction()]
//public void SetPayInfo(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, DeliveryInfoItem deliveryInfoItem)
//{
// int payInfoId = orderItem.PayInfoId;
// int shippingCharge = GetShippingCharge(orderItem, deliveryInfoItem);
// PayInfoItem payInfoItem = GetPayInfoItem(orderItem, pointPaid, payType, bankType, bankUserName, shippingCharge);
// if (payInfoId == 0)
// {
// payInfoId = InsertPayInfo(orderItem, payInfoId, payInfoItem);
// }
// else
// {
// UpdatePayInfo(orderItem, payInfoId, payInfoItem);
// }
//}
//[Transaction()]
//public void SetPayInfoTelegram(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, DeliveryInfoItem deliveryInfoItem, IDictionary<string, string> dic)
//{
// int payInfoId = orderItem.PayInfoId;
// int shippingCharge = GetShippingCharge(orderItem, deliveryInfoItem);
// PayInfoItem payInfoItem = GetPayInfoItem(orderItem, pointPaid, payType, bankType, bankUserName, shippingCharge);
// payInfoId = InsertPayInfo(orderItem, payInfoId, payInfoItem);
// if (payType.StartsWith("TELEGRAM"))
// {
// TelegramProcess(payInfoItem, orderItem, dic);
// }
//}
//[Transaction()]
//public void SetPayInfoTelegram_UPDATE(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, DeliveryInfoItem deliveryInfoItem, IDictionary<string, string> dic)
//{
// int payInfoId = orderItem.PayInfoId;
// string oldPayType = orderItem.PayType;
// int shippingCharge = GetShippingCharge(orderItem, deliveryInfoItem);
// PayInfoItem payInfoItem = GetPayInfoItem(orderItem, pointPaid, payType, bankType, bankUserName, shippingCharge);
// UpdatePayInfo(orderItem, payInfoId, payInfoItem);
// if (payType.StartsWith("TELEGRAM") && !oldPayType.Equals(payType))
// {
// TelegramProcess(payInfoItem, orderItem, dic);
// OrderDao.UpdatePayStatus(orderItem.Id, "UNPAID");
// }
// else if (payType.Equals("POINT") || payType.Equals("MAN"))
// {
// OrderDao.UpdatePayStatus(orderItem.Id, "PAID");
// }
// else
// {
// OrderDao.UpdatePayStatus(orderItem.Id, "UNPAID");
// }
//}
//private void TelegramProcess(PayInfoItem payInfoItem, OrderItem orderItem, IDictionary<string, string> dic)
//{
// // 요청
// Paygent_TELEGRAM_KIND telegramType = (Paygent_TELEGRAM_KIND)Enum.Parse(typeof(Paygent_TELEGRAM_KIND), payInfoItem.PayType);
// var Result = this.PaygentService.ProcPaygentTelegramPaymentRequest(orderItem.Id, payInfoItem.CashPrice, telegramType, this.TelegramProcess_GetParamDic(orderItem, telegramType, dic));
// // 응답 처리
// if (Result.Result != PaygentResultStatus.SUCCESS)
// {
// switch (Result.Result)
// {
// case PaygentResultStatus.ERROR_PARAM:
// string propertyName = PaygentUtil.GetPropertyNameFromRESPONSE_HEADER_DETAIL(Result.Response.RESPONSE_HEADER_DETAIL);
// string propertyNameJP = PaygentUtil.GetPaygentRequestTelegramDescription(propertyName, telegramType);
// throw BizException.CreateMakumakuServiceException(propertyName, propertyNameJP + "を確認してください。(" + Result.Response.RESPONSE_HEADER_CODE + ")");
// case PaygentResultStatus.ERROR_CARD:
// throw BizException.CreateMakumakuServiceException(PaygentResultStatus.ERROR_PARAM.ToString(), Result.Response.RESPONSE_HEADER_DETAIL + " (" + Result.Response.RESPONSE_HEADER_CODE + ")");
// default:
// if (Result.ManagedException != null)
// {
// throw BizException.CreateMakumakuServiceException(PaygentResultStatus.ERROR_PARAM.ToString(), "PG社から決済システムの応答がありません。\nしばらくお待ちになってから、もう一度行なってください。" + " (" + Result.Response.RESPONSE_HEADER_CODE + ")", Result.ManagedException);
// }
// else
// {
// throw BizException.CreateMakumakuServiceException(PaygentResultStatus.ERROR_PARAM.ToString(), "PG社から決済システムの応答がありません。\nしばらくお待ちになってから、もう一度行なってください。" + " (" + Result.Response.RESPONSE_HEADER_CODE + ")");
// }
// }
// }
//}
//private IDictionary TelegramProcess_GetParamDic(OrderItem orderItem, Paygent_TELEGRAM_KIND telegramType, IDictionary<string, string> dic)
//{
// DateTime executeTime = DateTime.Now;
// PaygentTelegramRequest req = null;
// string payment_detail = orderItem.Code;
// string payment_detail_kana = orderItem.Code;
// string payment_limit_date = executeTime.AddDays(20).ToString("yyyyMMdd");
// string customer_name = dic["customer_name"];
// string customer_family_name = dic["customer_family_name"];
// if (telegramType == Paygent_TELEGRAM_KIND.TELEGRAM_ATM_REQUEST)
// {
// req = new PaygentTelegramRequest_ATM()
// {
// customer_name = orderItem.UserName,
// customer_name_kana = orderItem.UserId,
// payment_detail = payment_detail,
// payment_detail_kana = payment_detail_kana,
// payment_limit_date = payment_limit_date
// };
// }
// else if (telegramType == Paygent_TELEGRAM_KIND.TELEGRAM_CARD_REQUEST)
// {
// req = new PaygentTelegramRequest_DEFAULT()
// {
// //card_conf_number = JangBoGo.Security.Cryptography.RSADecrypt(dic["card_conf_number"]),
// //card_number = JangBoGo.Security.Cryptography.RSADecrypt(dic["card_number"]).FullToHalf().Replace("-", ""),
// //card_valid_term = JangBoGo.Security.Cryptography.RSADecrypt(dic["card_valid_term"]),
// //payment_detail = payment_detail,
// //payment_detail_kana = payment_detail_kana,
// //payment_class = (Paygent_CARD_PAYMENT_CLASS)Enum.Parse(typeof(Paygent_CARD_PAYMENT_CLASS), dic["payment_class"]),
// //split_count = dic["split_count"]
// };
// }
//else if (telegramType == Paygent_TELEGRAM_KIND.TELEGRAM_KONBINI_N_REQUEST)
//{
// var cvsCompanyId = (Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID)Enum.Parse(typeof(Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID), dic["cvs_company_id"]);
// string cvsType = string.Empty;
// switch (cvsCompanyId)
// {
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.SEICO:
// cvsType = "01";
// break;
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.LAWSON:
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.MINISTOP:
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.CIRCLEK:
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.DAILY_YAMAZAKI:
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.SUNKUS:
// cvsType = "02";
// break;
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.SEJ:
// cvsType = "03";
// break;
// case Paygent_KONBINI_PAYMENT_CVS_COMPANY_ID.FAMILY:
// cvsType = "04";
// break;
// }
// var item = new PaygentTelegramRequest_KONBINI_N()
// {
// cvs_type = cvsType,
// customer_name = customer_name,
// customer_family_name = customer_family_name,
// customer_tel = dic["customer_tel"],
// site_info = "Makumaku",
// payment_limit_date = payment_limit_date,
// cvs_company_id = cvsCompanyId,
// sales_type = dic["sales_type"],
// ticket_start_date = executeTime.ToString("yyyyMMdd"),
// ticket_end_date = payment_limit_date,
// service_type = Paygent_KONBINI_PAYMENT_SERVICE_TYPE.NONE,
// ticket_num = 1
// };
// item.customer_notice[0] = string.Empty;
// item.tNNmaster[0] = string.Empty;
// item.tNNtemplate[0] = string.Empty;
// item.tNN_fieldNN[0, 0] = orderItem.Code;
// item.tNN_fieldNN_align[0, 0] = "1";
// req = item;
//}
//else if (telegramType == Paygent_TELEGRAM_KIND.TELEGRAM_BANK_ASP_PAYMENT_REQUEST)
//{
// req = new PaygentTelegramRequest_BANK_ASP()
// {
// claim_kanji = payment_detail,
// claim_kana = payment_detail_kana,
// customer_name = orderItem.UserName,
// customer_name_kana = orderItem.UserId,
// copy_right = "Makumaku",
// banner_url = "",
// free_memo = "Makumaku"
// };
//}
//var rtn = req.ToRequestDictionary();
//foreach (var kv in dic)
//{
// if (!rtn.Contains(kv.Key))
// {
// rtn[kv.Key] = kv.Value;
// }
//}
// return rtn;
//}
private int GetShippingCharge(OrderItem orderItem, DeliveryInfoItem deliveryInfoItem)
{
if (orderItem.HighPrintId > 0)
{
return(0);
}
return(TradeUtil.GetShippingCharge(OrderService.GetTaxAddedPrice(orderItem.Id), deliveryInfoItem));
}
public async Task Trades(CommandContext ctx, [Description("The player name or item name in question.")] string itemNameOrUserName = "")
{
try
{
var plugin = DiscordLink.Obj;
if (plugin == null)
{
return;
}
if (string.IsNullOrEmpty(itemNameOrUserName))
{
await RespondToCommand(ctx,
"Please provide the name of an item or player to search for. " +
"Usage: trades <item name or player name>");
return;
}
var embed = new DiscordEmbedBuilder()
.WithColor(MessageBuilder.EmbedColor)
.WithTitle("Trade Listings");
var match = TradeUtil.MatchItemOrUser(itemNameOrUserName);
if (match.Is <Item>())
{
var matchItem = match.Get <Item>();
embed.WithAuthor(matchItem.DisplayName);
previousQueryEnumerator[ctx.User.UniqueUsername()] = TradeOffersBuySell(embed, (store, offer) => offer.Stack.Item == matchItem, t => t.Item1.Parent.Owners.Name);
}
else if (match.Is <User>())
{
var matchUser = match.Get <User>();
embed.WithAuthor(matchUser.Name);
previousQueryEnumerator[ctx.User.UniqueUsername()] = TradeOffersBuySell(embed, (store, offer) => store.Parent.Owners == matchUser, t => t.Item2.Stack.Item.DisplayName);
}
else
{
await RespondToCommand(ctx, "The player or item was not found.");
return;
}
var pagedEnumerator = previousQueryEnumerator[ctx.User.UniqueUsername()];
if (pagedEnumerator.HasMorePages)
{
embed.WithFooter("More pages available. Use " + DiscordLink.EchoCommandToken + "nextpage to show.");
}
await RespondToCommand(ctx, null, embed);
}
catch (Exception e)
{
LogCommandException(e);
}
}
public static string Trades(string userOrItemName, out string matchedName, out bool isItem, out StoreOfferList groupedBuyOffers, out StoreOfferList groupedSellOffers)
{
var plugin = DiscordLink.Obj;
matchedName = string.Empty;
groupedBuyOffers = null;
groupedSellOffers = null;
isItem = false;
if (string.IsNullOrEmpty(userOrItemName))
{
return("Please provide the name of an item or player to search for.");
}
List <string> entries = new List <string>();
var match = TradeUtil.MatchItemOrUser(userOrItemName);
if (match.Is <Item>())
{
var matchItem = match.Get <Item>();
matchedName = matchItem.DisplayName;
Func <StoreComponent, TradeOffer, bool> filter = (store, offer) => offer.Stack.Item == matchItem;
var sellOffers = TradeUtil.SellOffers(filter);
groupedSellOffers = sellOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
var buyOffers = TradeUtil.BuyOffers(filter);
groupedBuyOffers = buyOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
isItem = true;
}
else if (match.Is <User>())
{
var matchUser = match.Get <User>();
matchedName = matchUser.Name;
Func <StoreComponent, TradeOffer, bool> filter = (store, offer) => store.Parent.Owners == matchUser;
var sellOffers = TradeUtil.SellOffers(filter);
groupedSellOffers = sellOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
var buyOffers = TradeUtil.BuyOffers(filter);
groupedBuyOffers = buyOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
}
else
{
return($"No player or item with the name \"{userOrItemName}\" could be found.");
}
return(string.Empty);
}
private PagedEnumerator <Tuple <string, string> > TradeOffersBuySell(DiscordEmbedBuilder embed, Func <StoreComponent, TradeOffer, bool> filter, Func <Tuple <StoreComponent, TradeOffer>, string> context)
{
var sellOffers = TradeUtil.SellOffers(filter);
var groupedSellOffers = sellOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
var buyOffers = TradeUtil.BuyOffers(filter);
var groupedBuyOffers = buyOffers.GroupBy(t => TradeUtil.StoreCurrencyName(t.Item1)).OrderBy(g => g.Key);
var fieldEnumerator = OffersToFields(groupedBuyOffers, groupedSellOffers, context).GetEnumerator();
var pagedFieldEnumerator = new PagedEnumerator <Tuple <string, string> >(fieldEnumerator, DiscordUtil.EMBED_CONTENT_CHARACTER_LIMIT, field => field.Item1.Length + field.Item2.Length);
pagedFieldEnumerator.ForEachInPage(field => { embed.AddField(field.Item1, field.Item2, true); });
return(pagedFieldEnumerator);
}
public async Task ExportLiveTradesData()
{
if (Config.Data.SaveHistoricalTradesData)
{
Logger.Debug("Exporting trades data");
var tradesString = TradeUtil.GetTradesString();
if (tradesString == null || tradesString.Length == 0)
{
return;
}
try
{
Logger.Debug("Saving trades to file");
await DataExporter.AddToFile("trades", "/", tradesString);
}
catch (Exception e)
{
Logger.Error($"Got an exception trying to export trades data: \n {e}");
}
Logger.Debug("Finished exporting trades data");
}
}
private async Task ExportLiveStoreData(bool byCommand = false)
{
if (Config.Data.SaveStoreData)
{
// Overrides current store data in file
Logger.Debug("Exporting store data");
var storesString = TradeUtil.GetStoresString();
if (storesString == null || storesString.Length == 0)
{
return;
}
await DataExporter.WriteToFile("stores", "/", storesString[0]);
Logger.Debug($"Store data exported at {DateTime.Now.ToShortTimeString()}");
if (!byCommand && Config.Data.SaveHistoricalStoreData)
{
Logger.Debug("Saving stores data to history file");
await DataExporter.AddToFile("storesHistoric", "/", storesString[1]);
}
Logger.Debug("Finished UpdateStoreData");
}
}
public static Dictionary <string, PnLResultBase> DoPnLExplain(string[] tradeIds,
PrebuiltQdpMarket t0Mkt,
PrebuiltQdpMarket t1Mkt,
PrebuiltQdpMarket t0MktDateRolledFwd,
PrebuiltQdpMarket t0MktRolldownForBond,
PrebuiltQdpMarket t0MktPriceNow = null,
PrebuiltQdpMarket t0MktPriceVolNow = null,
PrebuiltQdpMarket t0MktVolNow = null)
{
//TODO: add the following for more exotic product where rate/price interplay is more pronounced
//resultRateNow, resultPriceRateNow, resultVolRateNow, resultPriceVolRateNow
var useRevalPnLFramework = (t0MktPriceNow != null && t0MktVolNow != null && t0MktPriceVolNow != null);
//use reval for pnl attribution
//PnL = PriceImpact + VolImpact + PriceVolCrossImpact + Unexplained
var ret = new Dictionary <string, PnLResultBase>();
var tMarketName = t0Mkt.MarketName;
var t1MarketName = t1Mkt.MarketName;
var t0Vals = new Dictionary <string, IPricingResult>();
var t0ValsRolledForward = new Dictionary <string, IPricingResult>();
var t1Vals = new Dictionary <string, IPricingResult>();
var t0ValsPriceNow = new Dictionary <string, IPricingResult>();
var t0RolldownPriceForBond = new Dictionary <string, IPricingResult>();
var t0ValsVolNow = new Dictionary <string, IPricingResult>();
var t0ValsPriceVolNow = new Dictionary <string, IPricingResult>();
//use minimium price request to make it faster
#region requests
var pricingRequest =
PricingRequest.Pv |
PricingRequest.Cashflow |
PricingRequest.DirtyPrice |
PricingRequest.KeyRateDv01 |
PricingRequest.DollarDuration |
PricingRequest.DollarConvexity |
PricingRequest.Delta |
PricingRequest.Gamma |
PricingRequest.Vega |
PricingRequest.Theta |
PricingRequest.Rho |
PricingRequest.DVegaDvol | //one high order risk
PricingRequest.ZeroSpread |
PricingRequest.ZeroSpreadDelta |
PricingRequest.AiEod |
PricingRequest.Basis |
PricingRequest.CheapestToDeliver |
PricingRequest.Ytm |
PricingRequest.UnderlyingPv |
PricingRequest.Carry;
#endregion requests
foreach (var tradeId in tradeIds)
{
t0Vals[tradeId] = xl_ValueTrade(tradeId, t0Mkt, pricingRequest);
var t1Request = PricingRequest.Pv | PricingRequest.DirtyPrice | PricingRequest.ZeroSpread | PricingRequest.AiEod
| PricingRequest.Ytm | PricingRequest.Basis | PricingRequest.Cashflow;
t1Vals[tradeId] = xl_ValueTrade(tradeId, t1Mkt, t1Request);
t0ValsRolledForward[tradeId] = xl_ValueTrade(tradeId, t0MktDateRolledFwd, PricingRequest.Pv | PricingRequest.DirtyPrice | PricingRequest.UnderlyingPv);
//reval framework for better pnl attribution
if (useRevalPnLFramework)
{
t0ValsPriceNow[tradeId] = xl_ValueTrade(tradeId, t0MktPriceNow, PricingRequest.Pv);
t0ValsVolNow[tradeId] = xl_ValueTrade(tradeId, t0MktVolNow, PricingRequest.Pv);
t0ValsPriceVolNow[tradeId] = xl_ValueTrade(tradeId, t0MktPriceVolNow, PricingRequest.Pv);
t0RolldownPriceForBond[tradeId] = xl_ValueTrade(tradeId, t0MktRolldownForBond, PricingRequest.Pv | PricingRequest.ZeroSpread);
}
}
//For old interface:
//var tCurves = GetXlMarket(tMarketName).MarketInfo.YieldCurveDefinitions.Select(x => x.Name)
// .Select(x => t0Mkt.GetData<CurveData>(x).YieldCurve).ToDictionary(x => x.Name, x => x);
//var t1Curves = GetXlMarket(t1MarketName).MarketInfo.YieldCurveDefinitions.Select(x => x.Name)
// .Select(x => t1Mkt.GetData<CurveData>(x).YieldCurve).ToDictionary(x => x.Name, x => x);
var tCurves = t0Mkt.YieldCurves;
var t1Curves = t1Mkt.YieldCurves;
var curveMoveScaling = 1e4;
foreach (var tradeId in tradeIds)
{
var t1cf = (t1Vals[tradeId].Cashflows != null) ?
t1Vals[tradeId].Cashflows.Where(x => x.PaymentDate <= t1Mkt.ReferenceDate && x.PaymentDate > t0Mkt.ReferenceDate).Sum(x => x.PaymentAmount) :
0.0;
var tradeInfo = GetTrade(tradeId);
if (tradeInfo is InterestRateSwapInfo || tradeInfo is BondInfoBase || tradeInfo is BondFuturesInfo)
{
//PnL using bond discounted cash flows
//curve risk is between T0_{prime} and T1
var _tPv = t0Vals[tradeId].Pv;
var _t1Pv = t1Vals[tradeId].Pv;
var _tPvRecalib = t0ValsRolledForward[tradeId].Pv;
var curvePnL = new Dictionary <string, CurveRisk[]>();
foreach (var curveRiskse in t0Vals[tradeId].KeyRateDv01)
{
var tCurve = tCurves[curveRiskse.Key];
var t1Curve = t1Curves[curveRiskse.Key];
curvePnL[curveRiskse.Key] =
curveRiskse.Value.Select(x =>
new CurveRisk(
x.Tenor,
x.Risk * (t1Curve[x.Tenor] - tCurve[x.Tenor]) * curveMoveScaling
)).ToArray();
}
//include raw t1 curve risks in result
foreach (var curveRisks in t0Vals[tradeId].KeyRateDv01)
{
curvePnL[curveRisks.Key + "KeyRateDv01"] = curveRisks.Value;
}
var pnLCurve = new CommonPnLResult(_tPv, _t1Pv, _tPvRecalib - _tPv, t1cf, curvePnL);
ret[tradeId] = pnLCurve;
}
if (tradeInfo is InterestRateSwapInfo)
{
var swap = tradeInfo as InterestRateSwapInfo;
//carry & roll down
var rollDown = t0ValsRolledForward[tradeId].Pv - t0Vals[tradeId].Pv;
var carry = t0Vals[tradeId].Carry;
var pnlTime = rollDown + carry;
var commonPnl = ret[tradeId];
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
var pnl = new SwapPnLResult(commonPnl.TPv, commonPnl.T1Pv, pnlTime: pnlTime, t1Cf: t1cf, pnlPv01: pnlPv01,
pnlCarry: carry, pnlRolldown: rollDown);
ret[tradeId + "durationConvexity"] = pnl;
}
if (tradeInfo is BondInfoBase)
{
var bond = tradeInfo as BondInfoBase;
var tPv = t0Vals[tradeId].DirtyPrice;
var t1Pv = t1Vals[tradeId].DirtyPrice;
var tPvRecalib = t0ValsRolledForward[tradeId].DirtyPrice;
//bond market PnL
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
//bond specific pnl
var tZSpread = t0Vals[tradeId].ZeroSpread;
var t1ZSpread = t1Vals[tradeId].ZeroSpread;
var tZSpreadDelta = t0Vals[tradeId].ZeroSpreadDelta;
var zSpreadPnl = tZSpreadDelta * (t1ZSpread - tZSpread) * curveMoveScaling;
var pnlCarry = t1Vals[tradeId].Ai - t0Vals[tradeId].Ai;
//bond roll down effect: cashflow less, but benefit from still curve, note that zspread also changes due to rolling down the curve
var pnlRolldown = t0RolldownPriceForBond[tradeId].Pv - t0Vals[tradeId].Pv +
tZSpreadDelta * (t0RolldownPriceForBond[tradeId].ZeroSpread - tZSpread) * curveMoveScaling;
var pnlTime = pnlCarry + pnlRolldown;
//duration pnl is not used in book level pnl explain
var pnlDuration = t0Vals[tradeId].ModifiedDuration * (t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm) * bond.Notional;
var pnlConverixy = 0.5 * Math.Pow(t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm, 2.0) * t0Vals[tradeId].DollarConvexity / 100.0;
var explainedPriceImpact = pnlPv01 + zSpreadPnl + pnlConverixy + pnlTime;
var pnl = new BondPnLResult(tPv, t1Pv, pnlTime: pnlTime, t1Cf: t1cf, pnlPv01: pnlPv01, pnlZspread: zSpreadPnl, pnlCarry: pnlCarry, pnlRolldown: pnlRolldown,
pnlDuration: pnlDuration, pnlConvexity: pnlConverixy);
ret[tradeId + "durationConvexity"] = pnl;
}
if (tradeInfo is BondFuturesInfo)
{
var tPv = t0Vals[tradeId].DirtyPrice;
var t1Pv = t1Vals[tradeId].DirtyPrice;
//curve pnl
var pnlPv01 =
ret.ContainsKey(tradeId) && ret[tradeId].YieldCurvePnL.Count > 0
? ret[tradeId].YieldCurvePnL.First().Value.Sum(x => x.Risk)
: 0.0;
//zspread pnl from CTD, converted to future equivalen t
var zspreadT0 = t0Vals[tradeId].ZeroSpread;
var zspreadT1 = t1Vals[tradeId].ZeroSpread;
var zspreadPnl = (zspreadT1 - zspreadT0) * curveMoveScaling * t0Vals[tradeId].ZeroSpreadDelta;
//basis pnl from CTD/cf - Future
var basisT0 = t0Vals[tradeId].Basis;
var basisT1 = t1Vals[tradeId].Basis;
var bondFut = XlManager.GetTrade(tradeId) as BondFuturesInfo;
var futPosScaling = 1.0 / 100.0 * bondFut.Notional;
var basisPnL = (basisT1 - basisT0) * futPosScaling;
//convexity pnl from CTD
var ctdId = t0Vals[tradeId].CheapestToDeliver;
var pnlConvexity = 0.0;
var bondMktData = t0Mkt.BondPrices[ctdId];
if (bondMktData != null)
{
var ctdCleanPriceT0 = bondMktData.CleanPrice;
var ctdInfo = bondFut.DeliverableBondInfos.Where(x => x.BondId == ctdId).First();
var ctdResultT0 = XlUdf.BondEngineCalc(ctdId, t0Mkt.ReferenceDate.ToString(),
PriceQuoteType.Clean, ctdCleanPriceT0, PricingRequest.DirtyPrice,
fixedBond: ctdInfo) as PricingResult;
pnlConvexity = 0.5 * Math.Pow(t1Vals[tradeId].Ytm - t0Vals[tradeId].Ytm, 2.0) * t0Vals[tradeId].DollarConvexity / 100.0;
}
//time pnl from CTD
var timePnL = t0ValsRolledForward[tradeId].UnderlyingPv - t0Vals[tradeId].UnderlyingPv;
var pnl = new BondFuturesPnLResult(tPv, t1Pv, pnlPv01: pnlPv01, pnlZspread: zspreadPnl, pnlBasis: basisPnL,
pnlTime: timePnL, pnlConvexity: pnlConvexity, curveRisks: null);
ret[tradeId] = pnl;
}
if (tradeInfo is VanillaOptionInfo || tradeInfo is BinaryOptionInfo || GetTrade(tradeId) is BarrierOptionInfo || tradeInfo is AsianOptionInfo)
{
OptionValuationParameters valuationParameters = null;
Date exerciseDate = null;
double strike = 0.0;
var trade = tradeInfo as OptionInfoBase;
valuationParameters = trade.ValuationParamter;
TradeUtil.GenerateOptionDates(trade, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);
public override BinaryOption GenerateInstrument()
{
var startDate = TradeInfo.StartDate.ToDate();
var maturityDate = TradeInfo.UnderlyingMaturityDate.ToDate();
TradeUtil.GenerateOptionDates(TradeInfo, out Date[] exerciseDates, out Date[] obsDates, out DayGap settlementGap);
public void TestSequence(int code, IEnumerable <SwitchButton> expect)
{
var result = TradeUtil.GetPresses(code);
result.SequenceEqual(expect).Should().BeTrue();
}
public void TestDigit(int code, int digit, int expect)
{
var result = TradeUtil.GetCodeDigit(code, digit);
result.Should().Be(expect);
}
//public IPayInfoDao PayInfoDao { set; private get; }
//public IOrderDao OrderDao { set; private get; }
//public IBankInfoDao BankInfoDao { set; private get; }
//public IPointService PointService { set; private get; }
//public IDeliveryInfoDao DeliveryInfoDao { set; private get; }
//public IPaygentService PaygentService { get; set; }
//public ValidationErrorParam ValidationCheck(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, DeliveryInfoItem deliveryInfoItem)
//{
// ValidationErrorParam param = new ValidationErrorParam();
// if ("BANK".Equals(payType))
// {
// if (!"1,2".Split(',').Contains(bankType)) param.Add(new ValidationErrorItem() { ErrorTarget = "", ErrorMessage = "振込先口座入力してください。" });
// if (string.IsNullOrEmpty(bankUserName)) param.Add(new ValidationErrorItem() { ErrorTarget = "bankUserName", ErrorMessage = "振込先口座入力してください。" });
// }
// return param;
//}
//public ValidationErrorParam ValidationCheckPayInfoInsert(OrderItem orderItem)
//{
// ValidationErrorParam param = new ValidationErrorParam();
// PayInfoItem payInfoItem = GetPayInfoItem(orderItem.Id);
// if (payInfoItem.Id > 0)
// {
// param.Add(new ValidationErrorItem() { ErrorTarget = "", ErrorMessage = "処理できません - すでに処理が完了しています。" });
// }
// return param;
//}
public ValidationErrorParam ValidationCheckCanPayInfoChange(OrderItem orderItem, int pointPaid, string payType, string bankType, string bankUserName, DeliveryInfoItem deliveryInfoItem)
{
ValidationErrorParam param = new ValidationErrorParam();
var oldPayInfoItem = GetPayInfoItem(orderItem.PayInfoId);
var newPayInfoItem = GetPayInfoItem(orderItem, pointPaid, payType, bankType, bankUserName, TradeUtil.GetShippingCharge(OrderService.GetTaxAddedPrice(orderItem.Id), deliveryInfoItem));
if (orderItem.PayType.StartsWith("TELEGRAM") && !orderItem.PayType.Equals(payType))
{
param.Add(new ValidationErrorItem()
{
ErrorTarget = "", ErrorMessage = "決済代行サービス(株式会社PAYGENT)ご利用頂いた場合、決済内容は変更頂けません。"
});
}
bool payChanged = oldPayInfoItem.TotalCharge != newPayInfoItem.TotalCharge;
if (payChanged && ((!orderItem.PayType.Equals("MAN") && orderItem.IsPaid()) || orderItem.PayType.StartsWith("TELEGRAM")))
{
param.Add(new ValidationErrorItem()
{
ErrorTarget = "", ErrorMessage = "決済代行サービス(株式会社PAYGENT)ご利用頂いた場合、決済金額等の修正は出来ません。\n※変更がある場合は、別途お問い合わせ下さい。"
});
}
return(param);
}
