public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
LogRow row = new LogRow();
row.CurDate = targetDate;
row.PrevAreaNumber = _prevAreaNumber;
row.PrevUpDown = _prevUpDown;
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
double kospiWeight = GetKospiWeight(areaNumber, row);
_logs.Add(row);
if (targetDate > new DateTime(2007, 6, 1))
{
kospiWeight = MathUtil.CapAndFloor(kospiWeight);
return new AdjRateDatum(kospiWeight, 1, 1);
}
else
{
_prevUpDown = UpDown.Unknown;
}
return new AdjRateDatum(1, 1, 1);
}
public AdjRateDatum CalculateAssetWeight_Raw(DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(Math.Abs(increment));
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 200);
double kospiFactor = 1.3 - 0.1 * level;
kospiFactor *= _weight;
kospiFactor = MathUtil.CapAndFloor(kospiFactor);
ret = new AdjRateDatum(kospiFactor, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
MarketDataSet GetNewMarketDataSet(DateTime curDate, Dictionary<string, double> priceData)
{
DateTime StartDate = EquityVolPredefinedVariables.ReadStartDate;
DateTime EndDate = EquityVolPredefinedVariables.ReadEndDate;
MarketDataSet mds = new MarketDataSet();
double curPrice = 0;
foreach (KeyValuePair<string, double> pair in priceData)
{
curPrice = pair.Value;
MarketDataSetKey key = DataUtil.GetMarketDataKeyFromTicker(pair.Key);
if (EquityMarketDataManager.Ins().ContainsMarketPriceData(key))
{
MarketData mdCache = EquityMarketDataManager.Ins().GetMarketPriceData(key);
MarketData md = GetNewMarketData(StartDate, EndDate, mdCache);
if (!md.IsExistDate(curDate))
{
md.AddDatum(curDate, new OHLC(0, 0, 0, curPrice));
mds.Add(key, md);
}
}
}
MarketData mdKospi =
DataUtil.GetKeyMarketData(MarketDataSetKey.KospiFuture, StartDate, EndDate);
if (!mdKospi.IsExistDate(curDate))
{
DOHLC lastPrice = mdKospi.GetByIndex((int)mdKospi.GetTotalCount() - 1);
mdKospi.AddDatum(curDate, lastPrice.OHLC);
}
mds.RegisterPivotData(mdKospi);
return mds;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.KospiFuture);
DOHLC dohlc = md.GetData(targetDate);
double curValue = dohlc.OHLC.Close;
AdjRateDatum ret = null;
if (_prevValue > 0)
{
// 평균 변동성을 구한다.
double increment = (curValue - _prevValue) / _prevValue;
_ma.Add(increment);
double avgIncrement = _ma.GetCurMA();
int level = (int)(avgIncrement * 100);
double kospiFactor = 1.3 - 0.1 * level;
ret = new AdjRateDatum(kospiFactor * _weight, 1, 1);
}
else
{
ret = new AdjRateDatum(1, 1, 1);
}
_prevValue = curValue;
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_ismAdjDic == null || _ismAdjDic.Count == 0)
{
LoadISMEqAdjs();
//TODO: ism 데이터를 월말이 아닌 매일 DB에 넣어준 후에 아래 함수를 사용.
//LoadBSIEqAdjs(data);
}
// ISM 매달초 당월 말일날짜로 발표 -> 당월 중에는 전월 말일날짜 이용가능.
DateTime dataAvailableDate = targetDate.AddDays( - 1 * targetDate.Day); //전월 말일
double curAdj = 1;
if (_ismAdjDic.ContainsKey(dataAvailableDate))
{
curAdj = _ismAdjDic[dataAvailableDate];
_lastReturnedAdjRate = curAdj;
}
else
{
curAdj = _lastReturnedAdjRate;
}
AdjRateDatum ret = new AdjRateDatum(curAdj * _weight, 1, 1);
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
RowInfo curRow = GetCurRowWithBasicInfo(targetDate, data);
//MovingAverage 계산
SetSpotDataMinMaxRange(curRow);
//포지션 정보를 설정한다.
SetPositionInfo(targetDate, data, curRow);
// 전일대비 변동율을 구한다.
SetFutureIncrement(curRow, _prevRow);
this._cumData.Add(curRow);
// 코스피 선물 평균 변동성을 구한다.
curRow.KospiVol = this._cumData.GetKospiAvgVol();
// 비중을 구한다.
AdjRateDatum adj = GetAdj(curRow);
curRow.AssetAdj = adj;
this._prevRow = curRow;
return adj;
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
OperationRow opData = opSet.GetData(_key);
Boolean on = opData.On;
AdjRateDatum others = _nextAdjustment.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
AdjRateDatum mine = new AdjRateDatum(_kospiAdjustment, _bondAdjustment, _dollarAdjustment);
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
logger.Warn("Multiply 이외의 기능은 아직 제공하고 있지 않음");
return others;
}
}
else
{
return others;
}
}
public InsertCurDataUI(MarketDataSet marketDataSet, List<String> tickers)
{
InitializeComponent();
this.Load += new System.EventHandler(this.Form_Load);
_prevMarketDataSet = marketDataSet;
_tickers = tickers;
}
AdjRateDatum GetAdjRateDatum(DateTime curDate, MarketDataSet marketData, AdjRateDataLog adjLog)
{
AdjRateDatum ret = SetBaseAdjRateDatum();
foreach (IAdj adj in this.Adjs)
{
AdjRateDatum datum = adj.CalculateAdjRateDatum(curDate, marketData);
adjLog.Add(adj.GetKey(), curDate, datum.Clone());
ret = GetOperatedAdjRateDatum(ret, datum);
}
return ret;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
if (_adjs.ContainsKey(targetDate))
{
Tuple<double, double, double> t = _adjs[targetDate];
AdjRateDatum aa = new AdjRateDatum(t);
_prev = aa;
return aa;
}
return _prev;
}
public SimCase(String name, IAlloc alloc, List<IAdj> adjs, SimInputData inputData, MixupRule rule, MarketDataSet marketData)
{
Trace.Assert(name != null);
Trace.Assert(alloc != null);
Trace.Assert(adjs != null);
Trace.Assert(inputData != null);
Trace.Assert(marketData != null);
this.Name = name;
this.Alloc = alloc;
this.Adjs = adjs;
this.InputData = inputData;
this.Rule = rule;
this.Calculator = new AssetRateCalculator(alloc, adjs, inputData, rule);
this.MarketData = marketData;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_RealIrAdjDic == null || _RealIrAdjDic.Count == 0)
{
LoadRealIrAdjs(data);
}
double curAdj = 1;
if (_RealIrAdjDic.ContainsKey(targetDate))
{
curAdj = _RealIrAdjDic[targetDate];
}
AdjRateDatum ret = new AdjRateDatum(1, curAdj * _weight, 1);
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = new AdjRateDatum(1, 1, 1);
if (targetDate > new DateTime(2007, 6, 1))
{
DateTime twoTradingDaysAgo = DataUtil.GetPivotTradingDate(-2, targetDate, data.PivotData);
MarketData mdCreditDepositRate = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = mdCreditDepositRate.GetData(twoTradingDaysAgo);
double rate = dohlc.OHLC.Close;
double kospiAdjustment = GetKospiAdjustment(rate);
kospiAdjustment = MathUtil.CapAndFloor(kospiAdjustment);
adj = new AdjRateDatum(kospiAdjustment, 1, 1);
}
return adj;
}
public AssetRateDatum CalculateAndGetAssetRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_cache.ContainsKey(targetDate))
{
return _cache[targetDate].Clone();
}
_marketData = data;
AssetRateDatum assetDatum = _staticAlloc.CalculateAndGetAssetRateDatum(targetDate, data);
AdjRateDatum adjDatum = GetAdjRateDatum(targetDate, data);
assetDatum.Multiply(adjDatum);
assetDatum.SetScale();
if (!_cache.ContainsKey(targetDate))
{
_cache.Add(targetDate, assetDatum.Clone());
}
return assetDatum;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_kospiFutureWeight == null || _kospiFutureWeight.Count == 0)
{
LoadDeltaVolAdjRates(data);
//LoadDeltaVolAdjRates();
}
double kospiWeight = 1;
double ktbWeight = 1;
double dollarWeight = 1;
if (_kospiFutureWeight.ContainsKey(targetDate))
{
kospiWeight = _kospiFutureWeight[targetDate] * _weight;
if (_ktbFutureWeight.ContainsKey(targetDate))
{
ktbWeight = _ktbFutureWeight[targetDate] * _weight;
}
else
{
ktbWeight = _prev.KtbRate;
}
if (_dollarFutreWeight != null && _dollarFutreWeight.ContainsKey(targetDate))
{
dollarWeight = _dollarFutreWeight[targetDate] * _weight;
}
else
{
dollarWeight = _prev.DollarRate;
}
Tuple<double, double, double> t =
new Tuple<double, double, double>(kospiWeight, ktbWeight, dollarWeight);
AdjRateDatum adjRateDatum = new AdjRateDatum(t);
_prev = adjRateDatum;
return adjRateDatum;
}
return _prev;
}
AdjRateDatum CalculateAssetWeight_Raw(DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC dohlc = md.GetData(targetDate);
double cur = dohlc.OHLC.Close;
const double kMax = 1800;
const double kMin = 900;
double rate = (kMax - cur) / (kMax - kMin);
rate = Math.Max(0, rate);
rate = Math.Min(1, rate);
rate = 0.5 + rate;
rate *= _weight;
rate = MathUtil.CapAndFloor(rate);
return new AdjRateDatum(1, 1, rate);
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
RowInfo curRow = GetCurRowWithBasicInfo(targetDate, data);
//포지션 정보를 설정한다.
SetPositionInfo(targetDate, data, curRow);
// 전일대비 변동율을 구한다.
SetFutureIncrement(curRow, _prevRow);
this._cumData.Add(curRow);
// 코스피 선물 평균 변동성을 구한다.
curRow.KospiVol = this._cumData.GetKospiAvgVol();
// 비중을 구한다.
AdjRateDatum adj = GetAdj(curRow);
curRow.AssetAdj = adj;
this._prevRow = curRow;
return adj;
}
public Tuple<AssetRateDataLog, AdjRateDataLog> Calculate(MarketDataSet marketData)
{
DateTime curDate = this.InputData.StartDate;
AssetRateDataLog assetLog = new AssetRateDataLog();
AdjRateDataLog adjLog = new AdjRateDataLog();
while (curDate <= this.InputData.EndDate)
{
if (marketData.IsExistDate(curDate))
{
AssetRateDatum assetDatum = this.Alloc.CalculateAndGetAssetRateDatum(curDate, marketData);
AdjRateDatum adjDatum = GetAdjRateDatum(curDate, marketData, adjLog);
assetDatum.Multiply(adjDatum);
assetDatum.SetScale();
assetLog.Add(curDate, assetDatum);
}
curDate = curDate.AddDays(1);
}
return new Tuple<AssetRateDataLog, AdjRateDataLog>(assetLog, adjLog);
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (targetDate < new DateTime(2007, 6, 1))
{
return new AdjRateDatum(1, 1, 1);
}
MarketData md = data.GetData(MarketDataSetKey.KrxCreditDepositRate);
DOHLC dohlc = md.GetData(targetDate);
_ma.Add(dohlc.OHLC.Close);
double ma = _ma.GetCurMA();
int areaNumber = GetAreaNumber(ma);
_switch.Update(areaNumber);
int investmentArea = _switch.InvestmentArea;
double kospiWeight = GetKospiWeight(investmentArea);
kospiWeight = MathUtil.CapAndFloor(kospiWeight);
return new AdjRateDatum(kospiWeight, 1, 1);
}
public static MarketDataSet GetMarketDataSet(SimInputData input)
{
List<MarketData> l = new List<MarketData>();
MarketData mdKospiFuture = DataUtil.LoadDataAndAddToList("KM1 R:00_0_R Index", input.StartDate, input.EndDate, l);
MarketData mdBond = DataUtil.LoadDataAndAddToList("KE1 R:00_0_R Comdty", input.ReadStartDate, input.EndDate, l);
MarketData mdDollar = DataUtil.LoadDataAndAddToList("KU1 R:00_0_R Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdKrxCreditDepositRate = DataUtil.LoadDataAndAddToList("KrxCreditDepositRate", input.ReadStartDate, input.EndDate, l);
MarketData mdUsdKrwCurncy = DataUtil.LoadDataAndAddToList("USDKRW Curncy", input.ReadStartDate, input.EndDate, l);
MarketData mdBokRate = DataUtil.LoadDataAndAddToList("KORP7D Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKospiIndex = DataUtil.LoadDataAndAddToList("KOSPI Index", input.ReadStartDate, input.EndDate, l);
MarketData mdKtbSpotRate = DataUtil.LoadDataAndAddToList("KOTB3YR Index", input.ReadStartDate, input.EndDate, l);
MarketData mdCycleLeadingIndex = DataUtil.LoadDataAndAddToList("SKLILY Index", input.ReadStartDate, input.EndDate, l);
MarketData mdConsumerPriceIndex = DataUtil.LoadDataAndAddToList("KOCPI Index", input.ReadStartDate, input.EndDate, l);
List<MarketData> alignedData = DataUtil.FillByPivotData(mdKospiFuture, l);
Boolean arranged = DataUtil.IsArrangedDateAndIndex(alignedData);
Trace.Assert(arranged);
//Set data
MarketDataSet data = new MarketDataSet();
data.Add(MarketDataSetKey.KospiFuture, alignedData[0]);
data.Add(MarketDataSetKey.KtbFuture, alignedData[1]);
data.Add(MarketDataSetKey.DollarFuture, alignedData[2]);
data.Add(MarketDataSetKey.KrxCreditDepositRate, alignedData[3]);
data.Add(MarketDataSetKey.DollarSpot, alignedData[4]);
data.Add(MarketDataSetKey.BokRate, alignedData[5]);
data.Add(MarketDataSetKey.KospiSpot, alignedData[6]);
data.Add(MarketDataSetKey.KtbSpot, alignedData[7]);
data.Add(MarketDataSetKey.CycleLeadingIndex, alignedData[8]);
data.Add(MarketDataSetKey.ConsumerPriceIndex, alignedData[9]);
data.RegisterPivotData(alignedData[0]);
return data;
}
public AdjRateDatum CalculateAssetWeight_Raw(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
MarketData md = data.GetData(MarketDataSetKey.BokRate);
DOHLC dohlc = md.GetData(targetDate);
AdjRateDatum ret = null;
if (_prevMarketData == null)
{
ret = new AdjRateDatum(1, 1, 1);
}
else
{
double prevValue = _prevMarketData.OHLC.Close;
double curValue = dohlc.OHLC.Close;
// changed more than 1 bp
if (Math.Abs(prevValue - curValue) > 0.01)
{
double increment = curValue / prevValue - 1;
// 금리 변동이 있다.
BokRateEvent ev = new BokRateEvent();
ev.TargetIncrement = increment;
ev.StartDate = targetDate;
ev.EndDate = targetDate.AddYears(kEventDuration);
ev.EventKey = _eventKeyGenerator++;
ev.UpDown = increment > 0 ? UpDown.Up : UpDown.Down;
_events.Add(ev);
_lastEvent = ev;
}
ret = GetIncrement(targetDate);
}
_prevMarketData = dohlc;
return ret;
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
if (_cycleAdjDic == null || _cycleAdjDic.Count == 0)
{
LoadCycleEqAdjs();
//TODO: cycle 데이터를 월말이 아닌 매일 DB에 넣어준 후에 아래 함수를 사용.
//LoadCycleEqAdjs(data);
}
// 경기선행지수 매달 말일 발표 -> 당월에는 전전월 말일자 데이터를 이용할 수 있다.
DateTime dataAvailableDate = targetDate.AddDays(1 - 1 * targetDate.Day).AddMonths(-1); //전월 1일
dataAvailableDate = dataAvailableDate.AddDays(-1); //전전월 말일
// 당월 말일에는 전월 말일자
if (targetDate == DataUtil.GetMonthEndWeekDay(targetDate))
{
dataAvailableDate = DataUtil.GetMonthEndDate(dataAvailableDate.AddDays(1));
}
dataAvailableDate = DataUtil.GetLastTradingDay(_mdPivot, dataAvailableDate); // 월말이 주말인 경우 마지막 금요일로 변환
double curAdj = 1;
if (_cycleAdjDic.ContainsKey(dataAvailableDate))
{
curAdj = _cycleAdjDic[dataAvailableDate];
_lastReturnedAdjRate = curAdj;
}
else
{
curAdj = _lastReturnedAdjRate;
}
AdjRateDatum ret = new AdjRateDatum(curAdj * _weight, 1, 1);
return ret;
}
public static AdjRateDatum Calculate(
int key,
AdjRateDatum mine,
IAdjustment next,
OperationSet opSet,
DateTime targetDate,
MarketDataSet data)
{
if (next == null)
{
return mine;
}
OperationRow opData = opSet.GetData(key);
Boolean on = opData.On;
AdjRateDatum others = next.CalculateAssetWeight(opSet, targetDate, data);
if (on)
{
Operation op = opData.Op;
if (op == Operation.Multiply)
{
AdjRateDatum ret = AdjUtil.Multiply(mine, others);
return ret;
}
else
{
Trace.Assert(false);
return others;
}
}
else
{
return others;
}
}
void SetPositionInfo(DateTime curDate, MarketDataSet data, RowInfo row)
{
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
double kospiSpotPos = (kospiSpot.OHLC.Close - _kospiSpotMinRange) /
(_kospiSpotMaxRange - _kospiSpotMinRange);
double ktbSpotPos = (_ktbSpotMaxRange - ktbSpot.OHLC.Close) /
(_ktbSpotMaxRange - _ktbSpotMinRange);
double dollarSpotPos = (dollarSpot.OHLC.Close - _dollarSpotMinRange) /
(_dollarSpotMaxRange - _dollarSpotMinRange);
if (bRateRange)
{
kospiSpotPos = (kospiSpot.OHLC.Close / _maKospiSpot.GetCurMA());
//dollarSpotPos = (dollarSpot.OHLC.Close / _maDollarSpot.GetCurMA());
}
row.KospiSpotPosition = kospiSpotPos;
row.KtbSpotPosition = ktbSpotPos;
row.DollarSpotPosition = dollarSpotPos;
}
RowInfo GetCurRowWithBasicInfo(DateTime curDate, MarketDataSet data)
{
MarketData mdKospiFuture = data.GetData(MarketDataSetKey.KospiFuture);
MarketData mdKtbFuture = data.GetData(MarketDataSetKey.KtbFuture);
MarketData mdDollarFuture = data.GetData(MarketDataSetKey.DollarFuture);
MarketData mdKospiSpot = data.GetData(MarketDataSetKey.KospiSpot);
MarketData mdKtbSpot = data.GetData(MarketDataSetKey.KtbSpot);
MarketData mdDollarSpot = data.GetData(MarketDataSetKey.DollarSpot);
DOHLC kospiFuture = mdKospiFuture.GetData(curDate);
DOHLC ktbFuture = mdKtbFuture.GetData(curDate);
DOHLC dollarFuture = mdDollarFuture.GetData(curDate);
DOHLC kospiSpot = mdKospiSpot.GetData(curDate);
DOHLC ktbSpot = mdKtbSpot.GetData(curDate);
DOHLC dollarSpot = mdDollarSpot.GetData(curDate);
RowInfo row = new RowInfo();
row.CurDate = curDate;
row.KospiFuturePrice = kospiFuture.OHLC.Close;
row.KtbFuturePrice = ktbFuture.OHLC.Close;
row.DollarFuturePrice = dollarFuture.OHLC.Close;
row.KospiSpotPrice = kospiSpot.OHLC.Close;
row.KtbSpotPrice = ktbSpot.OHLC.Close;
row.DollarSpotPrice = dollarSpot.OHLC.Close;
return row;
}
void LoadISMEqAdjs(MarketDataSet dataSet)
{
MarketData md = dataSet.GetData(MarketDataSetKey.CycleLeadingIndex);
_ismAdjDic = new Dictionary<DateTime, double>();
long totalCount = md.GetTotalCount();
for (int i = 0; i < totalCount; i++)
{
DOHLC dohlc = md.GetByIndex(i);
DateTime curDate = dohlc.CurDate;
double curValue = dohlc.OHLC.Close;
double curAdj = CalculateISMAdjValue(curValue, kMaxValue, kMinValue);
curAdj = GetSwitchUpDownAdjValue(curAdj);
_ismAdjDic.Add(curDate, curAdj);
}
}
public AdjRateDatum CalculateAssetWeight(OperationSet opSet, DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = CalculateAssetWeight_Raw(opSet, targetDate, data);
return AdjUtil.Calculate(_key, adj, _nextAdj, opSet, targetDate, data);
}
public void ReadyData()
{
this._readyData = DataUtil.GetBaseMarketData(this.Input);
}
void LoadRealIrAdjs(MarketDataSet dataSet)
{
MarketData mdPivot =
DataUtil.GetKeyMarketData(MarketDataSetKey.KospiFuture, _startDate, _endDate);
MarketData mdCPI = dataSet.GetData(MarketDataSetKey.ConsumerPriceIndex);
MarketData mdKtbR = dataSet.GetData(MarketDataSetKey.KtbSpot);
_RealIrAdjDic = new Dictionary<DateTime, double>();
double prevCpiValue = 0;
long totalCount = mdKtbR.GetTotalCount();
for (int i = 0; i < totalCount; i++)
{
DOHLC dohlcKtbR = mdKtbR.GetByIndex(i);
DateTime curDate = dohlcKtbR.CurDate;
double curKtbRValue = dohlcKtbR.OHLC.Close;
double cpiValue = 0;
// CPI 매달 1일 발표 -> 당월에는 전월 말일자 데이터를 이용할 수 있다.
DateTime availableCpiDate = curDate.AddDays(1 - 1 * curDate.Day); //당월 1일
availableCpiDate = availableCpiDate.AddDays(-1); //전월 말일
availableCpiDate = DataUtil.GetLastTradingDay(mdPivot, availableCpiDate); // 월말이 주말인 경우 마지막 금요일로 변환
if (mdCPI.IsExistDate(availableCpiDate))
{
cpiValue = mdCPI.GetData(availableCpiDate).OHLC.Close;
prevCpiValue = cpiValue;
}
else
{
cpiValue = prevCpiValue;
}
double realIrValue = curKtbRValue - cpiValue;
double curAdj = CalculateRealIrAdjValue(realIrValue, kMaxValue, kMinValue);
curAdj = GetSwitchUpDownAdjValue(curAdj);
_RealIrAdjDic.Add(curDate, curAdj);
}
}
public AdjRateDatum CalculateAdjRateDatum(DateTime targetDate, MarketDataSet data)
{
AdjRateDatum adj = CalculateAssetWeight_Raw(targetDate, data);
return adj;
}