public void setInterestRateInfo(Excel_interestRateViewModel e_irvm) { Excel_rateInfoViewModel e_rateInfoVM = new Excel_rateInfoViewModel(); e_rateInfoVM.Tenor_ = e_irvm.Tenor_; e_rateInfoVM.LegTenor_ = e_irvm.LegTenor_; e_rateInfoVM.IndexType_ = e_irvm.RateType_; e_rateInfoVM.Currency_ = e_irvm.Currency_; this.Excel_rateInfoViewModel_ = e_rateInfoVM; }
public override Excel_underlyingInfoViewModel underlyingInfoVM() { Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel(); e_irvm.KrCode_ = this.Symbol_; // curve code.... e_irvm.Tenor_ = this.Tenor_; e_irvm.NameTrans_ = new NameTrans(this.name_eng_); return(e_irvm); }
public override Excel_underlyingInfoViewModel underlyingInfoVM() { Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel(); e_irvm.KrCode_ = this.Symbol_; e_irvm.Tenor_ = this.Tenor_; e_irvm.NameTrans_ = new NameTrans(this.name_eng_); e_irvm.Currency_ = this.Currency_; e_irvm.LegTenor_ = this.Leg_tenor_; e_irvm.RateType_ = this.Rate_type_; e_irvm.LinkedCurveCode_ = this.Linkedcurve_; return(e_irvm); }
public override Excel_underlyingInfoViewModel underlyingInfoVM() { Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel(); e_irvm.KrCode_ = this.Symbol_; e_irvm.Tenor_ = this.Tenor_; e_irvm.NameTrans_ = new NameTrans(this.name_eng_); e_irvm.Currency_ = this.Currency_; e_irvm.LegTenor_ = this.Leg_tenor_; e_irvm.RateType_ = this.Rate_type_; e_irvm.LinkedCurveCode_ = this.Linkedcurve_; return e_irvm; }
public override Excel_yieldCurveViewModel value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm) { Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel; ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList = new ObservableCollection <Excel_irCurveDataViewModel>(); Excel_yieldCurveViewModel e_ycvm = new Excel_yieldCurveViewModel(); e_ycvm.Excel_interpolationViewModel_ = Excel_interpolationViewModel_; e_ycvm.Code_ = "constDefaultCurve"; e_ycvm.loadCurve(constRate_); return(e_ycvm); }
public override Excel_underlyingModel_paraViewModel underModel(Excel_underlyingInfoViewModel excel_uivm, Excel_instrumentViewModel excel_instrumentViewModel, DateTime dateTime) { Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel(); Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel; string value = Excel_loaderViewModel.loadMarketData(dateTime, excel_uivm.Excel_type_, excel_uivm.KrCode_); e_hwofvm.CurrentValue_ = value; e_hwofvm.Alpha_ = this.HullWhite_AlphaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm); e_hwofvm.Volatility_ = this.HullWhite_SigmaSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm); e_hwofvm.setInterestRateInfo(e_irvm); e_hwofvm.Excel_yieldCurveViewModel_ = this.HullWhite_FittingCurveSetting_.value(dateTime, excel_instrumentViewModel, excel_uivm); return(e_hwofvm); }
public Excel_underlyingInfo_paraViewModel getUnderlyingParameterModel(Excel_underlyingInfoViewModel e_uivm) { Excel_underlyingInfo_paraViewModel e_uipvm = new Excel_underlyingInfo_paraViewModel(); if (e_uivm.Excel_type_.ToUpper() == "STOCK") { e_uipvm.KrCode_ = e_uivm.KrCode_; //e_uipvm.UnderName_ = e_uivm.Name_; //e_uipvm.Model_ = "GBM"; Excel_geometricBMViewModel e_gbmvm = new Excel_geometricBMViewModel(); e_gbmvm.Code_ = e_uivm.KrCode_; e_uipvm.Excel_underlyingModel_paraViewModel_ = e_gbmvm; } else if (e_uivm.Excel_type_.ToUpper() == "INTERESTRATE") { e_uipvm.KrCode_ = e_uivm.KrCode_; //e_uipvm.UnderName_ = e_uivm.Name_; //e_uipvm.Model_ = "HullWhiteOne"; Excel_hullWhiteOneFactorViewModel e_hwofvm = new Excel_hullWhiteOneFactorViewModel(); Excel_interestRateViewModel e_irvm = e_uivm as Excel_interestRateViewModel; e_hwofvm.Code_ = e_uivm.KrCode_; e_hwofvm.setInterestRateInfo(e_irvm); e_uipvm.Excel_underlyingModel_paraViewModel_ = e_hwofvm; } else { throw new NotImplementedException(); } e_uipvm.Excel_underlyingModel_paraViewModel_.parameterLoad( this.ParameterSettingManager_); return(e_uipvm); }
public override Excel_yieldCurveViewModel value(DateTime dateTime, Excel_instrumentViewModel e_instVM, Excel_underlyingInfoViewModel excel_uivm) { IRCurveMarketDataLoader curveLoader = IRCurveMarketDataLoader.CreateMarketDataLoader("MRO"); Excel_interestRateViewModel e_irvm = excel_uivm as Excel_interestRateViewModel; ObservableCollection <Excel_irCurveDataViewModel> e_ircdvmList = new ObservableCollection <Excel_irCurveDataViewModel>(); curveLoader.load(dateTime, e_irvm.LinkedCurveCode_, e_ircdvmList); //e_icsvm.Symbol_ = excel_uivm.KrCode_; //e_icsvm.dataLoad(dateTime, e_irvm.LinkedCurveCode_); Excel_yieldCurveViewModel e_ycvm = new Excel_yieldCurveViewModel(); e_ycvm.Excel_interpolationViewModel_ = Excel_interpolationViewModel_; e_ycvm.Code_ = e_ircdvmList[0].Curve_code_; e_ycvm.Excel_rateDataViewModel_ = e_ircdvmList[0].Excel_rateDataViewModelList_; return(e_ycvm); }
public override Excel_underlyingInfoViewModel underlyingInfoVM() { Excel_interestRateViewModel e_irvm = new Excel_interestRateViewModel(); e_irvm.KrCode_ = this.Symbol_; // curve code.... e_irvm.Tenor_ = this.Tenor_; e_irvm.NameTrans_ = new NameTrans(this.name_eng_); return e_irvm; }