// static
public static YieldCurve GetYieldCurve_DB(DateTime refereceDate, string curveID, clsHDAT_CURVEDATA_TB.RATE_TYP_Type type)
{
YieldCurve yc = new YieldCurve();
yc.loadCurveData(refereceDate,curveID,type);
return yc;
}
private void evalCurveMap()
{
// eval ---------------------------------------------------------
//this.EvalCurveMap_.Clear();
this.EvalCurveManagerMap_.Clear();
clsSET_EVALUATIONCURVE_TB clstb = new clsSET_EVALUATIONCURVE_TB();
clstb.SETTING_ID = "MYSETTING";
DataTable tb = clstb.Select();
foreach (DataRow dr in tb.Select())
{
YieldCurve cm = new YieldCurve();
clsSET_EVALUATIONCURVE_TB clstb_roop = clsSET_EVALUATIONCURVE_TB.Create(dr);
cm.loadCurveData(this.CalcDate_, clstb_roop.CURVE_ID, clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
//this.EvalCurveMap_.Add(clstb_roop.INDEX_CD, cm.yieldCurve(this.CurveShift_));
this.EvalCurveManagerMap_.Add(clstb_roop.INDEX_CD, cm);
//this.EvalCurveMap_.Add(clstb_roop.INDEX_CD, cm);
}
}
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 ?
}
//private void evalCurveMap()
//{
// // eval ---------------------------------------------------------
// this.EvalCurveMap_.Clear();
// clsSET_EVALUATIONCURVE_TB clstb = new clsSET_EVALUATIONCURVE_TB();
// clstb.SETTING_ID = "MYSETTING";
// DataTable tb = clstb.Select();
// foreach (DataRow dr in tb.Select())
// {
// CurveManager cm = new CurveManager();
// clsSET_EVALUATIONCURVE_TB clstb_roop = clsSET_EVALUATIONCURVE_TB.Create(dr);
// cm.loadCurveData(this.CalcDate_, clstb_roop.CURVE_ID, clsHDAT_CURVEDATA_TB.RATE_TYP_Type.YTM);
// this.EvalCurveMap_.Add(clstb_roop.INDEX_CD, cm.yieldCurve(this.CurveShift_));
// this.EvalCurveManagerMap_.Add(clstb_roop.INDEX_CD, cm);
// //this.EvalCurveMap_.Add(clstb_roop.INDEX_CD, cm);
// }
//}
private void discountCurveMap()
{
// discount ---------------------------------------------------------
//this.DiscountCurveMap_.Clear();
this.DiscountCurveManagerMap_.Clear();
clsSET_DISCOUNTCURVE_TB clstb = new clsSET_DISCOUNTCURVE_TB();
clstb.SETTING_ID = "MYSETTING";
DataTable tb = clstb.Select();
foreach (DataRow dr in tb.Select())
{
YieldCurve cm = new YieldCurve();
clsSET_DISCOUNTCURVE_TB clstb_roop = clsSET_DISCOUNTCURVE_TB.Create(dr);
cm.loadCurveData(this.CalcDate_, clstb_roop.CURVE_ID,clsHDAT_CURVEDATA_TB.RATE_TYP_Type.SPOT);
//this.DiscountCurveMap_.Add(clstb_roop.CURR, cm.yieldCurve());
this.DiscountCurveManagerMap_.Add(clstb_roop.CURR, cm);
//this.DiscountCurveMap_.Add(clstb_roop.CURR, cm);
}
}