// empty_calculation result를 만듬.기존거 있으면 지움. 초기화임.
private void build_calculation()
{
// 당일자 ( result 는 만들고 cashflow도 만들어야대나...? )
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
// 기존거 있으면 지움. 초기화임.
clstb_result.CALC_DT = this.ReferenceDate_.ToString("yyyyMMdd");
clstb_result.DeleteDate();
clsMAST_FP_INSTRUMENT_TB clstb_mast = new clsMAST_FP_INSTRUMENT_TB();
DataTable dt = clstb_mast.Select();
List<Financial_instrument> fi_list = new List<Financial_instrument>();
// master 의 list 내에서 position을 만들음.
foreach (DataRow dr in dt.Select())
{
clsMAST_FP_INSTRUMENT_TB tb = clsMAST_FP_INSTRUMENT_TB.Create(dr);
Financial_instrument fi = Financial_instrument.CreateInstrument(tb);
fi_list.Add(fi);
}
foreach (Financial_instrument fi in fi_list)
{
fi.build_emptyResult(this.ReferenceDate_);
}
}
public void makeEmptyResult(DateTime calcDate)
{
// 상품 master를 load함.
this.loadInstrument();
clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB();
clstb.FP_GREEKRESULT_ID = "testGreekResult_ID";
clstb.CALC_DT = calcDate.ToString("yyyyMMdd");
clstb.UNDERLYING_ID = "";
clstb.UNDERLYING_VALUE = 0.0;
clstb.SEQ = 0;
clstb.DELTA = 0.0;
clstb.GAMMA = 0.0;
clstb.VEGA = 0.0;
clstb.CALC_PRICE = 0.0;
clstb.CALCULATED_FLAG = 0;
clstb.CALCULATED_TIME = "";
clstb.CALCULATE_TYP = 0;
foreach (Financial_instrument fi in this.Financial_instrumentList_)
{
clstb.INSTRUMENT_ID = fi.baseDAO_.INSTRUMENT_ID;
clstb.INSTRUMENT_TYP = Convert.ToInt32(fi.InstrumentType_);
clstb.Insert();
}
}
public override void delete_result(string calcDateStr, string instID)
{
// greekresult
clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
clstb_greekresult.CALC_DT = calcDateStr;
clstb_greekresult.DeleteDate(instID);
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// market data load
//clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
//clstb.REF_DT = calcDateStr;
//clstb.INDEX_CD = this.DAO_.INDEX_CD;
//int checkNum = clstb.SelectOwn();
//if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
//double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = "FTP";
result_tb.UNDERLYING_VALUE = this.DAO_.INDEX_RATE;
//
DateTime maturity = ConvertingTool.ToDateTime("21991231");
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = 0.0;
result_tb.CALC_PRICE = this.DAO_.NOTIONAL;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
result_tb.UpdateDateResult();
// delta
// gamma and others : no exist ?
}
public void load_resultList(DateTime calcDate)
{
this.ResultList_.Clear();
clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB();
clstb.CALC_DT = calcDate.ToString("yyyyMMdd");
clstb.INSTRUMENT_ID = this.MastDAO_.INSTRUMENT_ID;
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select())
{
this.ResultList_.Add(clsHITM_FP_GREEKRESULT_TB.Create(dr));
}
}
public override void calculate(DateTime calcDate,FP_Parameter fp_parameter)
{
// market data load
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// calculate
// position
clsHITM_FP_POSITION_TB position_tb = new clsHITM_FP_POSITION_TB();
position_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
position_tb.POSITION_DT = calcDateStr;
if (position_tb.SelectOwn() == 0) { throw new Exception("position load fail : " + calcDateStr + " " + position_tb.INSTRUMENT_ID); }
double accountIndex = position_tb.ACCOUNT_INDEX;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.CALC_DT = calcDateStr;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.UNDERLYING_ID = this.indexFuturesDAO_.UNDERLYING_INDEX_CD;
result_tb.UNDERLYING_VALUE = indexData;
//
DateTime maturity = ConvertingTool.ToDateTime(this.indexFuturesDAO_.MATURITY_DT);
double t = (maturity - calcDate).TotalDays / 365;
result_tb.DELTA = Math.Round(this.indexFuturesDAO_.QUANTITY * indexData * this.indexFuturesDAO_.INDEX_MULTIPLIER
* Math.Exp(0.03 * t));
result_tb.CALC_PRICE = Math.Round( this.indexFuturesDAO_.QUANTITY *
( indexData - accountIndex ) *
this.indexFuturesDAO_.INDEX_MULTIPLIER );
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
//result_tb.UpdateDateResult();
result_tb.Insert();
// delta
// gamma and others : no exist ?
}
public clsHITM_FP_GREEKRESULT_TB Clone()
{
try
{
clsHITM_FP_GREEKRESULT_TB cloneTB = new clsHITM_FP_GREEKRESULT_TB();
cloneTB._FP_GREEKRESULT_ID = this._FP_GREEKRESULT_ID;
cloneTB._CALC_DT = this._CALC_DT;
cloneTB._INSTRUMENT_ID = this._INSTRUMENT_ID;
cloneTB._INSTRUMENT_TYP = this._INSTRUMENT_TYP;
cloneTB._UNDERLYING_ID = this._UNDERLYING_ID;
cloneTB._UNDERLYING_VALUE = this._UNDERLYING_VALUE;
cloneTB._SEQ = this._SEQ;
cloneTB._DELTA = this._DELTA;
cloneTB._GAMMA = this._GAMMA;
cloneTB._VEGA = this._VEGA;
cloneTB._CALC_PRICE = this._CALC_PRICE;
cloneTB._CALCULATED_FLAG = this._CALCULATED_FLAG;
cloneTB._CALCULATED_TIME = this._CALCULATED_TIME;
cloneTB._CALCULATE_TYP = this._CALCULATE_TYP;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public static clsHITM_FP_GREEKRESULT_TB Create(DataRow dr)
{
try
{
clsHITM_FP_GREEKRESULT_TB tb = new clsHITM_FP_GREEKRESULT_TB();
tb._FP_GREEKRESULT_ID = Convert.ToString(dr[0]);
tb._CALC_DT = Convert.ToString(dr[1]);
tb._INSTRUMENT_ID = Convert.ToString(dr[2]);
tb._INSTRUMENT_TYP = Convert.ToInt32(dr[3]);
tb._UNDERLYING_ID = Convert.ToString(dr[4]);
tb._UNDERLYING_VALUE = Convert.ToDouble(dr[5]);
tb._SEQ = Convert.ToInt32(dr[6]);
tb._DELTA = Convert.ToDouble(dr[7]);
tb._GAMMA = Convert.ToDouble(dr[8]);
tb._VEGA = Convert.ToDouble(dr[9]);
tb._CALC_PRICE = Convert.ToDouble(dr[10]);
tb._CALCULATED_FLAG = Convert.ToInt32(dr[11]);
tb._CALCULATED_TIME = Convert.ToString(dr[12]);
tb._CALCULATE_TYP = Convert.ToInt32(dr[13]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public void calculatePL()
{
CalendarManager cm = new CalendarManager(this.ReferenceDateTime_, CalendarManager.CountryType.SOUTH_KOREA);
clsHITM_FP_GREEKRESULT_TB clstb_result = new clsHITM_FP_GREEKRESULT_TB();
clstb_result.CALC_DT = this.ReferenceDateTime_.ToString("yyyyMMdd");
clstb_result.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_result.SEQ = 1;
int checkNum = clstb_result.SelectOwn();
if (checkNum == 0) { throw new Exception("no exist"); }
double calcPrice = clstb_result.CALC_PRICE;
double quantity = this.DAO_.INSTRUMENT_QNT;
clsMAST_FP_INSTRUMENT_TB clstb_master = new clsMAST_FP_INSTRUMENT_TB();
//this.DAO_.ETC_PL = clstb_result.CALC_PRICE;
this.DAO_.EVAL_AMT = Math.Round( calcPrice );
this.DAO_.EVAL_PRICE = Math.Round( calcPrice / quantity );
this.DAO_.EVAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_AMT - this.DAO_.ACCOUNT_AMT ); // - 평가금액 - 장부금액
//this.DAO_.TRADE_PROFIT = this.DAO_.TRADE_PROFIT + tradePosition.DAO_.TRADE_PROFIT; // 일별 매매수익
//this.DAO_.TRADE_LOSS = tradePosition.DAO_.TRADE_LOSS;
//this.DAO_.TRADE_TOTAL = tradePosition.DAO_.TRADE_TOTAL;
//this.DAO_.TRANSACTION_FEE = tradePosition.DAO_.TRANSACTION_FEE;
this.DAO_.ETC_PL = 0; // 데일리 기타 손익임.
this.DAO_.TOTAL_ACCOUNT_PL = Math.Round( this.DAO_.EVAL_ACCOUNT_PL + this.DAO_.TRADE_TOTAL + this.DAO_.TRANSACTION_FEE );
// 전일 포지션
DateTime preDate = cm.preBusinessDay(ConvertingTool.ToDateTime(this.ReferenceDateTime_.ToString("yyyyMMdd")));
clsHITM_FP_POSITION_TB clstb_position = new clsHITM_FP_POSITION_TB();
clstb_position.POSITION_DT = preDate.ToString("yyyyMMdd");
clstb_position.INSTRUMENT_ID = this.DAO_.INSTRUMENT_ID;
clstb_position.SelectOwn();
// 전일자꺼가 여기 박혀서 옴..? 중간에 trade했을때
this.DAO_.DAILY_EVAL_PL = Math.Round(this.DAO_.EVAL_AMT - clstb_position.EVAL_AMT ); // 전일 평가 - 당일 평가
this.DAO_.DAILY_TOTAL_PL = Math.Round( this.DAO_.TRADE_TOTAL + this.DAO_.ETC_PL + this.DAO_.DAILY_EVAL_PL );
// 여기서 부터 작업
this.calculatePL_impl();
if (this.DAO_.UpdateCalculatedPosition() == 0)
{ throw new Exception("update fail :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else if (this.DAO_.UpdateCalculatedPosition() > 1)
{ throw new Exception("too many updated :" + this.DAO_.INSTRUMENT_ID + " " + this.DAO_.POSITION_DT); }
else { }
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// 돌릴거에 대한 List를 가져옴.
List<ScenarioInfo> scenarioInfoList = new List<ScenarioInfo>();
List<double> scenarioCalcList = new List<double>();
clsSET_SCENARIO_TB clstb_scenario = new clsSET_SCENARIO_TB();
// 이걸로 할건지 아니면 세부 swap 으로 할건지
clstb_scenario.FP_MASTER_TYP = this.baseDAO_.FP_MASTER_TYP;
DataTable dt = clstb_scenario.Select();
foreach ( DataRow dr in dt.Select() )
{
scenarioInfoList.Add(new ScenarioInfo() { DAO_ = clsSET_SCENARIO_TB.Create(dr) });
}
foreach (ScenarioInfo sc_info in scenarioInfoList)
{
fp_parameter.ScenarioInfo_ = sc_info;
//fp_parameter.CurveShift_ = new ParallelCurveShift(0.0);
double v = this.calculateImpl(calcDate, fp_parameter);
sc_info.CalcPrice_ = v;
scenarioCalcList.Add(v);
}
fp_parameter.ScenarioInfo_ = ScenarioInfo.BaseParallelShift();
double value_up = this.calculateImpl(calcDate, fp_parameter);
fp_parameter.ScenarioInfo_ = ScenarioInfo.NullScenario();
double value = this.calculateImpl(calcDate, fp_parameter);
clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
clsHDAT_MARKETDATA_TB clstb_market = new clsHDAT_MARKETDATA_TB();
clstb_market.REF_DT = calcDate.ToString("yyyyMMdd");
clstb_market.INDEX_CD = "CD91";
if (clstb_market.SelectOwn() == 0)
{ throw new Exception("market data does not exist : " + clstb_market.REF_DT + " " + clstb_market.INDEX_CD); }
clstb_greekresult.CALC_DT = calcDate.ToString("yyyyMMdd");
clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
//clstb_greekresult.FP_GREEKRESULT_ID = "";
//clstb_greekresult.INSTRUMENT_TYP = 0;
clstb_greekresult.UNDERLYING_ID = clstb_market.INDEX_CD;
clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
//clstb_greekresult.SEQ = 1;
clstb_greekresult.DELTA = value_up - value;
clstb_greekresult.GAMMA = 0.0;
clstb_greekresult.VEGA = 0.0;
clstb_greekresult.CALC_PRICE = value;
clstb_greekresult.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss");
clstb_greekresult.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; // 패러럴 쉬푸투 or 그냥 구한거 머 등등..
clstb_greekresult.UpdateDateResult();
foreach (ScenarioInfo sc_info in scenarioInfoList)
{
//clstb_greekresult.FP_GREEKRESULT_ID = "";
//clstb_greekresult.INSTRUMENT_TYP = 0;
//clstb_greekresult.UNDERLYING_ID = clstb_market.INDEX_CD;
clstb_greekresult.UNDERLYING_ID = sc_info.ScenarioCode_;
clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
//clstb_greekresult.SEQ = 1;
clstb_greekresult.DELTA = sc_info.CalcPrice_ - value;
clstb_greekresult.GAMMA = 0.0;
clstb_greekresult.VEGA = 0.0;
// 시나리오의 경우 시나리오 value를 넣음.
clstb_greekresult.CALC_PRICE = sc_info.CalcPrice_;
clstb_greekresult.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss");
clstb_greekresult.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; // 패러럴 쉬푸투 or 그냥 구한거 머 등등..
//clstb_greekresult.Insert();
clstb_greekresult.UpdateDateResult();
}
#region CashFlow
// db 지우는 거?
int fixedPayRec = this.SwapDAO_.PAY_REC;
int floatingPayRec = fixedPayRec * (-1);
for (int i = 0; i < this.FixedLegInfo_.FP_CashFlowList_.Count; i++)
{
this.FixedLegInfo_.FP_CashFlowList_[i].cf_insert(calcDate,
i + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
fixedPayRec);
}
for (int j = 0; j < this.FloatingLegInfo_.FP_CashFlowList_.Count; j++)
{
this.FloatingLegInfo_.FP_CashFlowList_[j].cf_insert(calcDate,
j + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
floatingPayRec);
}
#endregion
}
public ObservableCollection<HedgeGreekPositionViewModel> hedgeGreekPositionLoad(IBook book)
{
ObservableCollection<HedgeGreekPositionViewModel> selected = new ObservableCollection<HedgeGreekPositionViewModel>();
clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB();
clstb.CALC_DT = this.ReferenceDate_.ToString("yyyyMMdd");
List<string> listStr = new List<string>();
book.getAllSubBookCode(listStr);
//string bookcd = book.BookCode_;
DataTable dt_greekResult = clstb.SelectUnderlyingPartition(listStr);
foreach (DataRow dr in dt_greekResult.Select())
{
HedgeGreekPositionViewModel vm = new HedgeGreekPositionViewModel();
vm.DAO_ = clsHITM_FP_GREEKRESULT_TB.Create(dr);
selected.Add(vm);
}
return selected;
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// master data load
this.indexOptionDAO_.SelectOwn();
// market data load
// index data
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
QLNet.Settings.setEvaluationDate(calcDate);
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.indexOptionDAO_.UNDERLYING_INDEX_CD;
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
double indexData = clstb.LAST;
// curveData --------------------------------------------------
string curve_cd = "IRSKRW";
YieldCurve curveManager = new YieldCurve();
curveManager.loadCurveData(calcDate,curve_cd,clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
QLNet.YieldTermStructure yield_ts = curveManager.yieldCurve();
// calculate
string maturityDateStr = this.indexOptionDAO_.MATURITY_DT;
System.Globalization.CultureInfo us
= new System.Globalization.CultureInfo("en-US");
DateTime maturityDate = DateTime.ParseExact(maturityDateStr, "yyyyMMdd", us);
DayCounter dc = new Actual365Fixed();
Calendar cal = new NullCalendar();
double vol = 0.3;
double strike = this.indexOptionDAO_.STRIKE;
PlainVanillaPayoff strikePayoff = new PlainVanillaPayoff(Option.Type.
Call, strike);
Exercise exercise = new EuropeanExercise(maturityDate);
VanillaOption q_option = new VanillaOption(strikePayoff,exercise);
Handle<Quote> x0 = new Handle<Quote>(new SimpleQuote(indexData));
FlatForward flatForward = new FlatForward(calcDate,0.01,dc);
Handle<YieldTermStructure> dividendTS = new Handle<YieldTermStructure>(flatForward);
Handle<YieldTermStructure> riskFreeTS = new Handle<YieldTermStructure>(yield_ts);
BlackConstantVol blackConstVol = new BlackConstantVol(calcDate,cal,vol,dc);
Handle<BlackVolTermStructure> blackVolTS = new Handle<BlackVolTermStructure>(blackConstVol);
GeneralizedBlackScholesProcess process =new GeneralizedBlackScholesProcess(x0 ,dividendTS,riskFreeTS,blackVolTS);
AnalyticEuropeanEngine europeanEngine = new AnalyticEuropeanEngine(process);
q_option.setPricingEngine(europeanEngine);
double value = q_option.NPV();
double indexMultiplier = this.indexOptionDAO_.INDEX_MULTIPLIER;
int quantity = this.indexOptionDAO_.QUANTITY;
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.indexOptionDAO_.INSTRUMENT_ID,calcDateStr);
result_tb.CALC_DT = calcDateStr;
result_tb.INSTRUMENT_ID = this.indexOptionDAO_.INSTRUMENT_ID;
result_tb.INSTRUMENT_TYP = this.indexOptionDAO_.INSTRUMENT_TYP;
result_tb.UNDERLYING_ID = "KOSPI200";
result_tb.UNDERLYING_VALUE = indexData;
//result_tb.SEQ = 1;
result_tb.DELTA = (q_option.delta() * indexData / 100) * indexMultiplier * quantity; // 1% Delta
result_tb.GAMMA = 0.5 * (q_option.gamma() * indexData / 100) * indexMultiplier * quantity; // 1% Gamma
result_tb.VEGA = q_option.vega() / 100 * indexMultiplier * quantity; // 1% point Vega
result_tb.CALC_PRICE = value * indexMultiplier * quantity;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
// price
if (result_tb.UpdateDateResult() == 0)
{ throw new Exception("update result fail. no exist , calcDate : " + calcDate.ToString("yyyyMMdd") + " , inst_id : " + result_tb.INSTRUMENT_ID); }
// delta
// gamma and others : no exist ?
}
public override void delete_result(string calcDateStr,string instID)
{
// greekresult
clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
clstb_greekresult.CALC_DT = calcDateStr;
clstb_greekresult.DeleteDate(instID);
// cashflowresult
clsHITM_FP_CASHFLOWRESULT_TB clstb_cashflow = new clsHITM_FP_CASHFLOWRESULT_TB();
clstb_cashflow.CALC_DT = calcDateStr;
clstb_cashflow.INSTRUMENT_ID = instID;
clstb_cashflow.DeleteInstDateCashFlow();
}
//public override void calculate(DateTime calcDate)
//{
// //try
// //{
// // this.marketDataCheck(calcDate);
// //}
// //catch (Exception e)
// //{
// // Console.WriteLine(e.Message);
// // return;
// //}
// //double pay_notional = this.SwapDAO_.NOTIONAL_PAY;
// //double rec_notional = this.SwapDAO_.NOTIONAL_REC;
// //Date ql_calcDate = new Date(calcDate.ToString("yyyyMMdd"), "yyyyMMdd");
// //QuantLib.Settings.instance(). setEvaluationDate(ql_calcDate);
// ////Date evalDate = Settings.instance().getEvaluationDate();
// ////Console.WriteLine("year : " + evalDate.year());
// ////Console.WriteLine("month : " + evalDate.month());
// ////Console.WriteLine("day : " + evalDate.dayOfMonth());
// //Date effectiveDate = new Date(this.SwapDAO_.EFFECTIVE_DT, "yyyyMMdd");
// //Date maturityDate = new Date(this.SwapDAO_.MATURITY_DT, "yyyyMMdd");
// //DayCounter dc = new Actual365Fixed();
// //CurveManager cm = new CurveManager();
// //QuantLib.Calendar calendar = new QuantLib.SouthKorea();
// //// ---------------------------------------
// //List<int> regTypeIDs = new List<int>() { this.SwapDAO_.PAY_LEG_TYP, this.SwapDAO_.REC_LEG_TYP };
// //List<Leg> legs = new List<Leg>();
// //for (int i = 0; i < 2; i++)
// //{
// // int legID = regTypeIDs[i];
// // Leg ql_leg = new Leg();
// // if (legID == 0)
// // {
// // this.ql_FixedlegSet(this.FP_PayCashFlowList_, ql_leg, pay_notional, dc);
// // }
// // else
// // {
// // string curveID = cm.indexCurveMapping(this.FixingIndexCD_);
// // cm.loadCurveData(calcDate, curveID);
// // YieldTermStructure indexCurve = cm.yieldCurve();
// // this.ql_FloatinglegSet(this.FP_RecCashFlowList_, ql_leg, rec_notional, indexCurve, dc, calendar);
// // //indexCurve.Dispose();
// // }
// // legs.Add(ql_leg);
// //}
// //Swap swap = new Swap(legs[0], legs[1]);
// //cm.loadDiscountCurveData(calcDate, SwapDAO_.PAY_CURR);
// //YieldTermStructure discountCurve = cm.yieldCurve();
// //YieldTermStructureHandle ysh = new YieldTermStructureHandle(discountCurve);
// //DiscountingSwapEngine dse = new DiscountingSwapEngine(ysh);
// //swap.setPricingEngine(dse);
// //double npv = swap.NPV();
// //Console.WriteLine("NPV : " + npv );
// ////discountCurve.Dispose();
// ////ysh.Dispose();
// //// 평가함.
// //// db 에 박음.
// //// price
// //clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB();
// //clstb.CALC_DT = calcDate.ToString("yyyyMMdd");
// //clstb.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
// //clstb.INSTRUMENT_TYP = this.SwapDAO_.INSTRUMENT_TYP;
// //clstb.UNDERLYING_ID = "";
// //clstb.SEQ = 1;
// //clstb.DELTA = 0.0;
// //clstb.GAMMA = 0.0;
// //clstb.VEGA = 0.0;
// //clstb.CALC_PRICE = npv;
// //clstb.Insert();
//}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// 돌릴거에 대한 List를 가져옴.
//List<ScenarioData> scenarioDataList = new List<ScenarioData>();
fp_parameter.ScenarioInfo_ = ScenarioInfo.BaseParallelShift();
double value_up = this.calculateImpl(calcDate, fp_parameter);
fp_parameter.ScenarioInfo_ = ScenarioInfo.NullScenario();
double value = this.calculateImpl(calcDate,fp_parameter);
clsHITM_FP_GREEKRESULT_TB clstb_greekresult = new clsHITM_FP_GREEKRESULT_TB();
clsHDAT_MARKETDATA_TB clstb_market = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
clstb_market.REF_DT = calcDateStr;
clstb_market.INDEX_CD = "CD91";
if (clstb_market.SelectOwn() == 0)
{ throw new Exception("market data does not exist : " + clstb_market.REF_DT + " " + clstb_market.INDEX_CD); }
clstb_greekresult.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, calcDateStr);
clstb_greekresult.CALC_DT = calcDate.ToString("yyyyMMdd");
clstb_greekresult.INSTRUMENT_ID = this.SwapDAO_.INSTRUMENT_ID;
clstb_greekresult.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP;
clstb_greekresult.UNDERLYING_ID = clstb_market.INDEX_CD;
clstb_greekresult.UNDERLYING_VALUE = clstb_market.LAST;
clstb_greekresult.SEQ = 1;
clstb_greekresult.DELTA = value_up - value;
clstb_greekresult.GAMMA = 0.0;
clstb_greekresult.VEGA = 0.0;
clstb_greekresult.CALC_PRICE = value;
clstb_greekresult.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
clstb_greekresult.CALCULATED_TIME = DateTime.Now.ToString("HHmmss");
clstb_greekresult.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS; // 패러럴 쉬푸투 or 그냥 구한거 머 등등..
//clstb_greekresult.UpdateDateResult();
clstb_greekresult.Insert();
#region CashFlow
// db 지우는 거?
for (int i = 0; i < this.FP_PayCashFlowList_.Count; i++)
{
if ( !this.FP_PayCashFlowList_[i].hasOccurred(calcDate) )
{
this.FP_PayCashFlowList_[i].cf_insert(calcDate,
i + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
(int)clsHITM_FP_CASHFLOWRESULT_TB.PAY_REC_Type.Pay);
}
}
for (int j = 0; j < this.FP_RecCashFlowList_.Count; j++)
{
if (!this.FP_RecCashFlowList_[j].hasOccurred(calcDate))
{
this.FP_RecCashFlowList_[j].cf_insert(calcDate,
j + 1,
this.SwapDAO_.INSTRUMENT_ID,
this.SwapDAO_.INSTRUMENT_TYP,
(int)clsHITM_FP_CASHFLOWRESULT_TB.PAY_REC_Type.Rec);
}
}
#endregion
}
public override void calculate(DateTime calcDate, FP_Parameter fp_parameter)
{
// market data load
clsHDAT_MARKETDATA_TB clstb = new clsHDAT_MARKETDATA_TB();
string calcDateStr = calcDate.ToString("yyyyMMdd");
clstb.REF_DT = calcDateStr;
clstb.INDEX_CD = this.Currency_;
double currencyRate = 1.0;
if ( this.Currency_ != "KRW")
{
int checkNum = clstb.SelectOwn();
if (checkNum == 0) { throw new Exception("market data does not exist : " + calcDateStr + " " + clstb.INDEX_CD); }
currencyRate = clstb.LAST;
}
// cash amount load
clsHITM_CASH_INSTOCK_TB clstb_cash = new clsHITM_CASH_INSTOCK_TB();
clstb_cash.BOOK_CD = this.baseDAO_.BOOK_CD;
clstb_cash.CURR = this.Currency_;
double total_cash_amount = 0.0;
DataTable tb = clstb_cash.Select();
foreach (DataRow dr in tb.Select() )
{
total_cash_amount += clsHITM_CASH_INSTOCK_TB.Create(dr).CASHFLOW;
}
// calculate
// position
clsHITM_FP_GREEKRESULT_TB result_tb = new clsHITM_FP_GREEKRESULT_TB();
result_tb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, calcDateStr);
result_tb.CALC_DT = calcDateStr;
result_tb.SEQ = 1;
// price
result_tb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
result_tb.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP;
result_tb.UNDERLYING_ID = this.Currency_;
result_tb.UNDERLYING_VALUE = currencyRate;
result_tb.DELTA = 0.0;
result_tb.CALC_PRICE = total_cash_amount;
result_tb.CALCULATED_FLAG = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATED_FLAG_Type.CALCULATED;
result_tb.CALCULATED_TIME = DateTime.Now.ToString("HHmmss"); ;
result_tb.CALCULATE_TYP = (int)clsHITM_FP_GREEKRESULT_TB.CALCULATE_TYP_Type.ANALYTICS;
//if (result_tb.UpdateDateResult() == 0)
// { throw new Exception("update fail : " + this.baseDAO_.INSTRUMENT_ID + " " + calcDate.ToString("yyyyMMdd")); };
result_tb.Insert();
// delta
// gamma and others : no exist ?
}
public virtual void build_emptyResult(DateTime refDate)
{
clsHITM_FP_GREEKRESULT_TB clstb = new clsHITM_FP_GREEKRESULT_TB();
string refDateStr = refDate.ToString("yyyyMMdd");
List<string> underlyingList = new List<string>();
this.underlyingList(underlyingList);
clstb.FP_GREEKRESULT_ID = IDGenerator.getNewGreekResultID(this.baseDAO_.INSTRUMENT_ID, refDateStr);
clstb.CALC_DT = refDateStr;
clstb.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
clstb.INSTRUMENT_TYP = this.baseDAO_.FP_MASTER_TYP;
int i = 1;
foreach (string under in underlyingList)
{
clstb.UNDERLYING_ID = under;
clstb.UNDERLYING_VALUE = 0.0;
clstb.SEQ = i;
clstb.DELTA = 0.0;
clstb.GAMMA = 0.0;
clstb.VEGA = 0.0;
clstb.CALC_PRICE = 0.0;
clstb.CALCULATED_FLAG = 0;
clstb.CALCULATED_TIME = "";
clstb.CALCULATE_TYP = 0;
clstb.Insert();
i += 1;
}
// SCENARIO 팀장 미친 개새끼
clsSET_SCENARIO_TB cls_scenario = new clsSET_SCENARIO_TB();
cls_scenario.FP_MASTER_TYP = this.baseDAO_.FP_MASTER_TYP;
DataTable dt = cls_scenario.Select();
foreach (DataRow dr in dt.Select())
{
clstb.UNDERLYING_ID = clsSET_SCENARIO_TB.Create(dr).SCENARIO_CD;
clstb.SEQ = i;
clstb.Insert();
i += 1;
}
// 지워
clsHITM_FP_CASHFLOWRESULT_TB clstb_cf = new clsHITM_FP_CASHFLOWRESULT_TB();
clstb_cf.CALC_DT = refDate.ToString("yyyyMMdd");
clstb_cf.INSTRUMENT_ID = this.baseDAO_.INSTRUMENT_ID;
clstb_cf.DeleteInstDateCashFlow();
}
// 이건 그냥 partition 말고 전체 list로 하자. join 이 있어서리 linq로 못감.
// 최근일자가 가져와짐.
public void totalHedgeGreekPositionLoad()
{
this.LoadedHedgeGreekPositionVMList_.Clear();
clsHITM_FP_GREEKRESULT_TB clstb_greekResult = new clsHITM_FP_GREEKRESULT_TB();
// 최근일 check
// 결과가 있으면... 그날 가져옴... 없으면 전일자
// 보통 예전 일이면 그냥 그날꺼 가져옴
// 이놈은 생성을 언제 하냐면.... 다음날이 대면 그냥 생성해놓음.
clsHDAT_BATCHJOB_RESULT_TB clstb_batchjob = new clsHDAT_BATCHJOB_RESULT_TB();
string refDateStr = this.ReferenceDate_.ToString("yyyyMMdd");
clstb_batchjob.BATCH_JOB_ID = (int)clsHDAT_BATCHJOB_RESULT_TB.BATCH_JOB_ID_Type.FP_CACULATION;
clstb_batchjob.CALC_DT = refDateStr;
clstb_batchjob.SelectOwn();
clstb_greekResult.CALC_DT = clstb_batchjob.MaxCalcDateSelect();
DataTable dt_greekResult = clstb_greekResult.Select();
foreach (DataRow dr in dt_greekResult.Select())
{
HedgeGreekPositionViewModel vm = new HedgeGreekPositionViewModel();
vm.DAO_ = clsHITM_FP_GREEKRESULT_TB.Create(dr);
this.LoadedHedgeGreekPositionVMList_.Add(vm);
}
//if (clstb_batchjob.STATUS == (int)clsHDAT_BATCHJOB_RESULT_TB.STATUS_Type.CALCULATED)
//{
// clstb_greekResult.CALC_DT = clstb_batchjob.CALC_DT;
// DataTable dt_greekResult = clstb_greekResult.Select();
// foreach (DataRow dr in dt_greekResult.Select())
// {
// HedgeGreekPositionViewModel vm = new HedgeGreekPositionViewModel();
// vm.DAO_ = clsHITM_FP_GREEKRESULT_TB.Create(dr);
// this.LoadedHedgeGreekPositionVMList_.Add(vm);
// }
//}
//else
//{
// // 최근일
// refDateStr = clstb_batchjob.MaxCalcDateSelect();
// clstb_greekResult.CALC_DT = clstb_batchjob;
// DataTable dt_greekResult = clstb_greekResult.Select();
// foreach (DataRow dr in dt_greekResult.Select())
// {
// HedgeGreekPositionViewModel vm = new HedgeGreekPositionViewModel();
// vm.DAO_ = clsHITM_FP_GREEKRESULT_TB.Create(dr);
// this.LoadedHedgeGreekPositionVMList_.Add(vm);
// }
//}
}
