public void loadScenario(clsMAST_FP_INSTRUMENT_TB.FP_MASTER_TYP_Type? fi_type)
{
this.clstbList_.Clear();
clsSET_SCENARIO_TB clstb = new clsSET_SCENARIO_TB();
clstb.FP_MASTER_TYP = (int)(fi_type.Value);
DataTable dt = clstb.Select();
foreach (DataRow dr in dt.Select() )
{
this.clstbList_.Add(clsSET_SCENARIO_TB.Create(dr));
}
}
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();
}
public clsSET_SCENARIO_TB Clone()
{
try
{
clsSET_SCENARIO_TB cloneTB = new clsSET_SCENARIO_TB();
cloneTB._FP_MASTER_TYP = this._FP_MASTER_TYP;
cloneTB._SCENARIO_CD = this._SCENARIO_CD;
cloneTB._CURVE_CD = this._CURVE_CD;
cloneTB._PARALLEL_SHIFT_UNIT = this._PARALLEL_SHIFT_UNIT;
cloneTB._HUMP_SHIFT_UNIT = this._HUMP_SHIFT_UNIT;
cloneTB._HUMP_CENTER_T = this._HUMP_CENTER_T;
cloneTB._STEEPEN_SHIFT_UNIT = this._STEEPEN_SHIFT_UNIT;
cloneTB._STEEPEN_CENTER_T = this._STEEPEN_CENTER_T;
return cloneTB;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
public static clsSET_SCENARIO_TB Create(DataRow dr)
{
try
{
clsSET_SCENARIO_TB tb = new clsSET_SCENARIO_TB();
tb._FP_MASTER_TYP = Convert.ToInt32(dr[0]);
tb._SCENARIO_CD = Convert.ToString(dr[1]);
tb._CURVE_CD = Convert.ToString(dr[2]);
tb._PARALLEL_SHIFT_UNIT = Convert.ToDouble(dr[3]);
tb._HUMP_SHIFT_UNIT = Convert.ToDouble(dr[4]);
tb._HUMP_CENTER_T = Convert.ToDouble(dr[5]);
tb._STEEPEN_SHIFT_UNIT = Convert.ToDouble(dr[6]);
tb._STEEPEN_CENTER_T = Convert.ToDouble(dr[7]);
return tb;
}
catch(Exception ex)
{
throw new Exception(ex.Message);
}
}
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
}
private static void install_db_initialize()
{
HITM_CALENDAR_TB calendar_tb = new HITM_CALENDAR_TB();
clsHITM_CALENDAR_TB.TableClear();
calendar_tb.buildTestData();
clsMAST_BOOKINFO_TB book_tb = new clsMAST_BOOKINFO_TB();
book_tb.BOOK_CD = "ROOTBOOK";
book_tb.BOOK_NM = "RootBook";
book_tb.PARENT_BOOK_CD = "ANCESTOR";
book_tb.OPEN_DT = DateTime.Now.ToString("yyyyMMdd");
book_tb.CLOSE_DT = "20991231";
book_tb.DESCRIPTION = "";
book_tb.Insert();
// ----------------------------------------------------
clsSET_SCENARIO_TB clstb_scenrio = new clsSET_SCENARIO_TB();
clstb_scenrio.FP_MASTER_TYP = 9999;
clstb_scenrio.SCENARIO_CD = "DEFAULT_PARALLEL";
clstb_scenrio.CURVE_CD = "ALL";
clstb_scenrio.PARALLEL_SHIFT_UNIT = 1.0;
clstb_scenrio.HUMP_SHIFT_UNIT = 0.0;
clstb_scenrio.HUMP_CENTER_T = 0.0;
clstb_scenrio.STEEPEN_SHIFT_UNIT = 0.0;
clstb_scenrio.STEEPEN_CENTER_T = 0.0;
clstb_scenrio.Insert();
clstb_scenrio.FP_MASTER_TYP = 2800;
clstb_scenrio.SCENARIO_CD = "TEST_SC01";
clstb_scenrio.CURVE_CD = "IRSKRW";
clstb_scenrio.PARALLEL_SHIFT_UNIT = 1.0;
clstb_scenrio.HUMP_SHIFT_UNIT = 0.0;
clstb_scenrio.HUMP_CENTER_T = 0.0;
clstb_scenrio.STEEPEN_SHIFT_UNIT = 0.1;
clstb_scenrio.STEEPEN_CENTER_T = 3;
clstb_scenrio.Insert();
clstb_scenrio.FP_MASTER_TYP = 2800;
clstb_scenrio.SCENARIO_CD = "TEST_SC02";
clstb_scenrio.CURVE_CD = "IRSKRW";
clstb_scenrio.PARALLEL_SHIFT_UNIT = 0.5;
clstb_scenrio.HUMP_SHIFT_UNIT = 0.0;
clstb_scenrio.HUMP_CENTER_T = 0.0;
clstb_scenrio.STEEPEN_SHIFT_UNIT = 0.3;
clstb_scenrio.STEEPEN_CENTER_T = 3;
clstb_scenrio.Insert();
}