public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.simulationNum_ = paraSettingManager.SimulationNumber_.ToString();
this.excel_underlyingCalcInfo_paraViewModel_.buildParaSetting(paraSettingManager);
this.excel_discountCurve_paraViewModel_.buildParaSetting(paraSettingManager);
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_correlation_paraViewModel_
= paraSettingManager.UnderlyingParaSetting_.CorrelationParaSetting_.corrInfo(
paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel());
this.dimension_ = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel().Excel_underlyingInfoViewModel_.Count;
}
public UnderlyingParaSetting(ParameterSettingManager parameterSettingManager)
{
// TODO: Complete member initialization
this.owner_parameterSettingManager_ = parameterSettingManager;
this.StockParaSetting_ = new GBMSetting();
this.InterestRateParaSetting_ = new HullWhiteSetting();
this.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(parameterSettingManager);
}
public UnderlyingParaSetting(ParameterSettingManager parameterSettingManager)
{
// TODO: Complete member initialization
this.owner_parameterSettingManager_ = parameterSettingManager;
this.StockParaSetting_ = new GBMSetting();
this.InterestRateParaSetting_= new HullWhiteSetting();
this.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(parameterSettingManager);
}
public override void parameterLoad(ParameterSettingManager parameterSettingManager)
{
MarketDataLoader loader = new MarketDataLoader();
//string code = "";
//this.CurrentValue_ = (loader.loadData(this.code_, ProgramVariable.ReferenceDate_)).ToString();
//this.Drift_ = parameterSettingManager.gbmSetting_.drift();
//this.Dividend_ = parameterSettingManager.gbmSetting_.dividend();
//this.Volatility_ = parameterSettingManager.gbmSetting_.volatility();
}
public void buildParaSetting(Excel_underlyingInfoViewModel e_uivm, ParameterSettingManager paraSettingManager)
{
this.Excel_type_ = e_uivm.Excel_type_;
this.KrCode_ = e_uivm.KrCode_;
this.UnderNameTrans_ = e_uivm.NameTrans_;
this.BasePrice_ = e_uivm.BasePrice_;
this.Tenor_ = e_uivm.Tenor_;
this.Sub_type_ = e_uivm.Sub_type_;
this.LinkedCurve_ = e_uivm.LinkedCurveCode_;
//this.CurrentValue_ = ? // model에서 setting 을 통해 set됨
this.excel_underlyingModel_paraViewModel_ =
paraSettingManager.UnderlyingParaSetting_.underModel(e_uivm);
}
public static ParameterSettingManager makeParaSettingManager(string settingID,DateTime refDate,Excel_instrumentViewModel e_instVM)
{
ParameterSettingManager psm = new ParameterSettingManager(refDate, e_instVM);
// simulation Number
psm.SimulationNumber_ = 10000;
// underlying
{
UnderlyingParaSetting ups = new UnderlyingParaSetting(psm);
// stock
GBMSetting gbmSetting = new GBMSetting();
gbmSetting.GBMDriftSetting_ = new GBM_Const_DriftSetting("0.0289");
gbmSetting.GBMDividendSetting_ = new GBM_Const_DividendSetting("0.019");
gbmSetting.GBMVolatilitySetting_ = new GBM_Const_VolatilitySetting("0.3");
ups.StockParaSetting_ = new GBMSetting();
// ir
HullWhiteSetting hwSetting = new HullWhiteSetting();
hwSetting.HullWhite_AlphaSetting_ = new HullWhite_Const_AlphaSetting("");
hwSetting.HullWhite_SigmaSetting_ = new HullWhite_Const_SigmaSetting("");
hwSetting.HullWhite_FittingCurveSetting_ = new HullWhite_Const_FittingCurveSetting("");
ups.InterestRateParaSetting_ = hwSetting;
// fx
// corr
ups.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(psm);
}
// discount
{
DiscountCurveParaSetting dcps = new DiscountCurveParaSetting(psm);
psm.DiscountCurveParaSetting_ = dcps;
}
return psm;
}
public static ParameterSettingManager makeParaSettingManager(string settingID, DateTime refDate, Excel_instrumentViewModel e_instVM)
{
ParameterSettingManager psm = new ParameterSettingManager(refDate, e_instVM);
// simulation Number
psm.SimulationNumber_ = 10000;
// underlying
{
UnderlyingParaSetting ups = new UnderlyingParaSetting(psm);
// stock
GBMSetting gbmSetting = new GBMSetting();
gbmSetting.GBMDriftSetting_ = new GBM_Const_DriftSetting("0.0289");
gbmSetting.GBMDividendSetting_ = new GBM_Const_DividendSetting("0.019");
gbmSetting.GBMVolatilitySetting_ = new GBM_Const_VolatilitySetting("0.3");
ups.StockParaSetting_ = new GBMSetting();
// ir
HullWhiteSetting hwSetting = new HullWhiteSetting();
hwSetting.HullWhite_AlphaSetting_ = new HullWhite_Const_AlphaSetting("");
hwSetting.HullWhite_SigmaSetting_ = new HullWhite_Const_SigmaSetting("");
hwSetting.HullWhite_FittingCurveSetting_ = new HullWhite_Const_FittingCurveSetting("");
ups.InterestRateParaSetting_ = hwSetting;
// fx
// corr
ups.CorrelationParaSetting_ = new Constant_CorrelationParaSetting(psm);
}
// discount
{
DiscountCurveParaSetting dcps = new DiscountCurveParaSetting(psm);
psm.DiscountCurveParaSetting_ = dcps;
}
return(psm);
}
public virtual void buildParameterFromInstrumentWithOutData(DateTime refDate)
{
Excel_parameterViewModel e_pvm = Excel_parameterLoader.Load(this.booking_type_);
e_pvm.IssueDate_ = this.excel_interfaceViewModel_.Excel_issueInfoViewModel_.EffectiveDate_;
e_pvm.ItemCode_ = this.masterInformationViewModel_.Item_code_;
//ParameterSettingManager parameterSettingManager = new ParameterSettingManager(refDate,this);
ParameterSettingManager parameterSettingManager
= ParameterSettingManagerBuilder.makeParaSettingManager("default", refDate, this);
e_pvm.buildParaSetting(parameterSettingManager);
this.excel_parameterViewModel_ = e_pvm;
}
public override void buildParameterFromInstrument(DateTime refDate)
{
Excel_standardHifiveParaViewModel e_spvm = new Excel_standardHifiveParaViewModel();
e_spvm.IssueDate_ = this.excel_interfaceViewModel_.Excel_issueInfoViewModel_.EffectiveDate_;
e_spvm.ReferenceDate_ = refDate;
e_spvm.ItemCode_ = this.masterInformationViewModel_.Item_code_;
ParameterSettingManager parameterSettingManager
= ParameterSettingManagerBuilder.makeParaSettingManager("default", refDate, this);
e_spvm.buildParaSetting(parameterSettingManager);
this.excel_parameterViewModel_ = e_spvm;
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_underlyingInfo_paraViewModel_.Clear();
Excel_underlyingCalcInfoViewModel e_ucvm = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel();
foreach (var item in e_ucvm.Excel_underlyingInfoViewModel_)
{
Excel_underlyingInfo_paraViewModel e_uparavm = new Excel_underlyingInfo_paraViewModel();
e_uparavm.buildParaSetting(item, paraSettingManager);
this.excel_underlyingInfo_paraViewModel_.Add(e_uparavm);
}
this.excel_correlationInfo_paraViewModel_.buildParaSetting(paraSettingManager);
}
public override void buildParameterFromInstrument(DateTime refDate)
{
// createParameterVM 으로 setting에서 받아 ㄱㄱ해야함.
Excel_singleAssetCompositeOptionStandParaWithEngineViewModel e_para = new Excel_singleAssetCompositeOptionStandParaWithEngineViewModel();
e_para.IssueDate_ = this.excel_interfaceViewModel_.Excel_issueInfoViewModel_.EffectiveDate_;
e_para.ReferenceDate_ = refDate;
e_para.ItemCode_ = this.masterInformationViewModel_.Item_code_;
ParameterSettingManager parameterSettingManager
= ParameterSettingManagerBuilder.makeParaSettingManager("default", refDate, this);
e_para.buildParaSetting(parameterSettingManager);
this.excel_parameterViewModel_ = e_para;
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_yieldCurveViewModel_.Clear();
Excel_interfaceViewModel e_ivm = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_;
List <CurrencyViewModel> currencyList = e_ivm.currencyList();
List <CurrencyViewModel> removedCurrencyList = new List <CurrencyViewModel>();
foreach (var item in currencyList)
{
bool exist = false;
foreach (var item2 in removedCurrencyList)
{
if (item2.CurrencyCode_ == item.CurrencyCode_)
{
exist = true;
break;
}
}
if (!exist)
{
removedCurrencyList.Add(item);
}
}
foreach (var item in removedCurrencyList)
{
Excel_yieldCurveViewModel e_ycvm =
paraSettingManager.DiscountCurveParaSetting_.discountCurve(paraSettingManager.ReferenceDate_, item);
this.excel_yieldCurveViewModel_.Add(e_ycvm);
}
}
public Constant_CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
: base(parameterSettingManager)
{
}
public override void parameterLoad(ParameterSettingManager parameterSettingManager)
{
//this.alpha_ = parameterSettingManager.hullWhiteSetting_.alpha();
//this.volatility_ = parameterSettingManager.hullWhiteSetting_.volatility();
//this.fittingYieldCurveName_ = parameterSettingManager.hullWhiteSetting_.fittingCurve();
}
public MRO_CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
: base(parameterSettingManager)
{
}
public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
throw new NotImplementedException();
}
public override void parameterLoad(ParameterSettingManager parameterSettingManager)
{
//this.alpha_ = parameterSettingManager.hullWhiteSetting_.alpha();
//this.volatility_ = parameterSettingManager.hullWhiteSetting_.volatility();
//this.fittingYieldCurveName_ = parameterSettingManager.hullWhiteSetting_.fittingCurve();
}
public MRO_CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
: base(parameterSettingManager)
{
}
public override void parameterLoad(ParameterSettingManager parameterSettingManager)
{
MarketDataLoader loader = new MarketDataLoader();
//string code = "";
//this.CurrentValue_ = (loader.loadData(this.code_, ProgramVariable.ReferenceDate_)).ToString();
//this.Drift_ = parameterSettingManager.gbmSetting_.drift();
//this.Dividend_ = parameterSettingManager.gbmSetting_.dividend();
//this.Volatility_ = parameterSettingManager.gbmSetting_.volatility();
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_yieldCurveViewModel_.Clear();
Excel_interfaceViewModel e_ivm = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_;
List<CurrencyViewModel> currencyList = e_ivm.currencyList();
List<CurrencyViewModel> removedCurrencyList = new List<CurrencyViewModel>();
foreach (var item in currencyList)
{
bool exist = false;
foreach (var item2 in removedCurrencyList)
{
if (item2.CurrencyCode_ == item.CurrencyCode_)
{
exist = true;
break;
}
}
if (!exist)
{
removedCurrencyList.Add(item);
}
}
foreach (var item in removedCurrencyList)
{
Excel_yieldCurveViewModel e_ycvm =
paraSettingManager.DiscountCurveParaSetting_.discountCurve(paraSettingManager.ReferenceDate_, item);
this.excel_yieldCurveViewModel_.Add(e_ycvm);
}
}
public void buildParaSetting(Excel_underlyingInfoViewModel e_uivm, ParameterSettingManager paraSettingManager)
{
this.Excel_type_ = e_uivm.Excel_type_;
this.KrCode_ = e_uivm.KrCode_;
this.UnderNameTrans_ = e_uivm.NameTrans_;
this.BasePrice_ = e_uivm.BasePrice_;
this.Tenor_ = e_uivm.Tenor_;
this.Sub_type_ = e_uivm.Sub_type_;
this.LinkedCurve_ = e_uivm.LinkedCurveCode_;
//this.CurrentValue_ = ? // model에서 setting 을 통해 set됨
this.excel_underlyingModel_paraViewModel_ =
paraSettingManager.UnderlyingParaSetting_.underModel(e_uivm);
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_correlation_paraViewModel_
= paraSettingManager.UnderlyingParaSetting_.CorrelationParaSetting_.corrInfo(
paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel());
this.dimension_ = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel().Excel_underlyingInfoViewModel_.Count;
}
public void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_underlyingInfo_paraViewModel_.Clear();
Excel_underlyingCalcInfoViewModel e_ucvm = paraSettingManager.Excel_InstrumentViewModel_.Excel_interfaceViewModel_.getExcel_underlyingCalcInfoViewModel();
foreach (var item in e_ucvm.Excel_underlyingInfoViewModel_)
{
Excel_underlyingInfo_paraViewModel e_uparavm = new Excel_underlyingInfo_paraViewModel();
e_uparavm.buildParaSetting(item,paraSettingManager);
this.excel_underlyingInfo_paraViewModel_.Add(e_uparavm);
}
this.excel_correlationInfo_paraViewModel_.buildParaSetting(paraSettingManager);
}
public abstract void buildParaSetting(ParameterSettingManager paraSettingManager);
public abstract void parameterLoad(ParameterSettingManager parameterSettingManager);
public CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
{
this.owner_parameterSettingManager_ = parameterSettingManager;
}
public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_underlyingCalcInfo_paraViewModel_.buildParaSetting(paraSettingManager);
this.excel_discountCurve_paraViewModel_.buildParaSetting(paraSettingManager);
}
public DiscountCurveParaSetting(ParameterSettingManager parameterSettingManager)
{
// TODO: Complete member initialization
this.owner_parameterSettingManager_ = parameterSettingManager;
}
public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
throw new NotImplementedException();
}
public abstract void buildParaSetting(ParameterSettingManager paraSettingManager);
public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.simulationNum_ = paraSettingManager.SimulationNumber_.ToString();
this.excel_underlyingCalcInfo_paraViewModel_.buildParaSetting(paraSettingManager);
this.excel_discountCurve_paraViewModel_.buildParaSetting(paraSettingManager);
}
public Constant_CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
: base(parameterSettingManager)
{
}
public abstract void parameterLoad(ParameterSettingManager parameterSettingManager);
public override void buildParaSetting(ParameterSettingManager paraSettingManager)
{
this.excel_underlyingCalcInfo_paraViewModel_.buildParaSetting(paraSettingManager);
this.excel_discountCurve_paraViewModel_.buildParaSetting(paraSettingManager);
}
public CorrelationParaSetting(ParameterSettingManager parameterSettingManager)
{
this.owner_parameterSettingManager_ = parameterSettingManager;
}