1.枚举
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
namespace HRAModel.Sys.Enum
{
/// <summary>
/// 解释风险组合类型和RSK_DELTA_POSITION的哪个外键对应
/// </summary>
public class RiskGroupTypeExplainAttribute : Attribute
{
/// <summary>
/// 来源表主键
/// </summary>
private string _oriPrimarKey;
/// <summary>
/// 来源表主键列名称
/// </summary>
public string OriPrimaryKey
{
get
{
return _oriPrimarKey;
}
}
private string _tableName;
/// <summary>
/// 在RSK_DELTA_POSITION中对应的外键
/// </summary>
private string _fk;
/// <summary>
/// 在RSK_DELTA_POSITION中对应的外键
/// </summary>
public string ForeginKey
{
get
{
return _fk;
}
}
/// <summary>
/// 来源表 表明
/// </summary>
public string TableName
{
get
{
return _tableName;
}
}
private string _name;
/// <summary>
/// 来源表文本列
/// </summary>
public string Name
{
get
{
return _name;
}
}
/// <summary>
///
/// </summary>
/// <param name="foreginKey">外键</param>
/// <param name="tableName">来源表</param>
/// <param name="name">来源表文本列</param>
public RiskGroupTypeExplainAttribute(string foreginKey,string oriPrimaryKey,string tableName,string name)
{
this._fk = foreginKey;
this._tableName = tableName;
this._name = name;
this._oriPrimarKey = oriPrimaryKey;
}
}
/// <summary>
/// 风险组合类型
/// </summary>
[SysEnumType]
public enum Risk_Group_Type
{
#region 风险组合类型
/// <summary>
/// 风险组合类型
/// </summary>
[EnumRemark("1116", "风险组合类型", true)]
Risk_Group_Type = 1116,
/// <summary>
/// 业务单位
/// </summary>
[EnumRemark("111601", "业务单位")]
[RiskGroupTypeExplain("INT_BUS_UNIT_ID","ID", "BAS_ORGANIZATION_STRUC", "NAME")]
Risk_Group_Type_Business_Unit = 111601,
/// <summary>
/// 法人实体
/// </summary>
[EnumRemark("111602", "法人实体")]
[RiskGroupTypeExplain("INT_LEGAL_ENTITY_ID","ID", "BAS_ORGANIZATION_STRUC","NAME")]
Risk_Group_Type_Legal_Entity = 111602,
/// <summary>
/// 交易合约
/// </summary>
[EnumRemark("111603", "交易合约")]
Risk_Group_Type_Transaction = 111603,
/// <summary>
/// 交易员
/// </summary>
[EnumRemark("111604", "交易员")]
[RiskGroupTypeExplain("TRADER_ID", "USER_ID","SYS_USER","NAME")]
Risk_Group_Type_Trader = 111604,
/// <summary>
/// 交易对手
/// </summary>
[EnumRemark("111605", "交易对手")]
[RiskGroupTypeExplain("COUNTERPARTY_ID", "COUNTERPARTY_ID", "BAS_COUNTERPARTY", "COUNTERPARTY_NAME")]
Risk_Group_Type_Counterparty = 111605,
/// <summary>
/// 金融工具类型
/// </summary>
[EnumRemark("111606", "金融工具类型")]
[RiskGroupTypeExplain("INST_TYPE_ID","ENUM_VALUE","SYS_ENUM_DICT","ENUM_NAME")]
Risk_Group_Type_Instrument_Type = 111606,
/// <summary>
/// 金融工具群
/// </summary>
[EnumRemark("111607", "金融工具群")]
Risk_Group_Type_Intrument_Group = 111607,
/// <summary>
/// 风险因子变动分析
/// </summary>
[EnumRemark("111608", "风险因子")]
[RiskGroupTypeExplain("RISK_FACTOR_ID", "RISK_FACTOR_ID","RSK_FACTOR","RISK_FACTOR_NAME")]
Risk_Group_Type_Risk_Factor = 111608,
/// <summary>
/// 商品类型
/// </summary>
[EnumRemark("111609", "商品类型")]
Risk_Group_Type_Commodity = 111609,
/// <summary>
/// 货币
/// </summary>
[EnumRemark("111610", "货币")]
Risk_Group_Type_Currency = 111610,
/// <summary>
/// 避险组合
/// </summary>
[EnumRemark("111611", "避险组合")]
[RiskGroupTypeExplain("PORTFOLIO_ID","ID","BAS_ORGANIZATION_STRUC","NAME")]
Risk_Group_Type_Portfolio = 111611,
/// <summary>
/// 量衡单位
/// </summary>
[EnumRemark("111612", "量衡单位")]
Risk_Group_Type_Measure_Unit = 111612,
#endregion
}
}
2.service
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using Holworth.RSKInterface;
using Holworth.Utility;
using HRAModel;
using Contract.Domain;
using Contract.IService;
using System.Collections;
using HRAModel.Sys.Enum;
using BaseService;
using System.Threading;
using System.Data;
using Framework;
using System.Reflection;
namespace Holworth.Services.Risk
{
public class ValueAtRiskCalculationService : BaseService<BaseChidEntity>, IValueAtRiskCalculationService
{
public class tmpTable
{
public string Id;
public string Name;
}
/// <summary>
///风险计量组合头寸 风险计量组合配置的选择项若是合理则插入到 RSK_BOOK_DELTA_POSITION
/// </summary>
/// <param name="computeDate"></param>
/// <param name="riskBookID"></param>
public void InsertRiskBookDeltaPosition(DateTime computeDate, string riskBookID)
{
FieldInfo field = default(FieldInfo);
QueryInfo deltaPositionInfo = new QueryInfo();
deltaPositionInfo.CustomSQL = "select * from rsk_delta_position where as_of_date=:as_of_date";
deltaPositionInfo.Parameters.Add("as_of_date", computeDate.Date);
//总头寸
DataTable deltaPositionDt = Dao.ExecuteDataSet(deltaPositionInfo).Tables[0];
QueryInfo filterInfo = new QueryInfo("RskBookFilter");
filterInfo.AddParam("RiskBookId", riskBookID);
filterInfo.AddParam("SelectedFlag", 1);
IList<RskBookFilter> filters = Dao.FindList<RskBookFilter>(filterInfo);
//风险组合类型字典
var filterRiskGroupTypeDict = filters.OrderBy(x => x.FilteredGroup).ToLookup(x => x.FilteredGroup);
//定义好风险组合类型的顺序
var riskGroupTypeOrders = filterRiskGroupTypeDict.Select(x => x.Key).ToArray();
//风险组合类型数据整合根据风险组合类型定义好的顺序
List<string> dataList = ReayGenerateGroupTypeData(riskBookID, riskGroupTypeOrders, filterRiskGroupTypeDict, deltaPositionDt);
var typeColumn = new Dictionary<Risk_Group_Type, string>();
string key = string.Empty;
Dictionary<string, DataTable> dts = new Dictionary<string, DataTable>();
Dictionary<string, Dictionary<string, tmpTable>> dtId2Name = new Dictionary<string, Dictionary<string, tmpTable>>();
for (int i = 0; i < riskGroupTypeOrders.Length; i++)
{
string column = string.Empty;
Risk_Group_Type _value = riskGroupTypeOrders[i];
field = typeof(Risk_Group_Type).GetField(_value.ToString());
RiskGroupTypeExplainAttribute exp = (field.GetCustomAttributes(typeof(RiskGroupTypeExplainAttribute), false))[0] as RiskGroupTypeExplainAttribute;
if (exp == null)
{
continue;
}
column = exp.ForeginKey;
if (!typeColumn.ContainsKey(_value))
typeColumn.Add(_value, column);
Framework.QueryInfo dtInfo = new QueryInfo();
dtInfo.CustomSQL = "select * from " + exp.TableName;
DataTable ds = (DataTable)Dao.GetCache(exp.TableName + "_CACHE");
if (ds == null)
{
ds = Dao.ExecuteDataSet(dtInfo).Tables[0];
Dao.AddCache(exp.TableName, ds);
}
if (!dts.ContainsKey(exp.TableName))
{
dtId2Name.Add(exp.TableName, ds.AsEnumerable().Select(dr =>
new tmpTable() { Id = dr[exp.OriPrimaryKey].ToString(), Name = dr[exp.Name].ToString() }).ToDictionary(x => x.Id));
dts.Add(exp.TableName, ds);
}
}
DataTable marketTable = null;
if (Dao.GetCache("BAS_TRADE_MARKET_CACHE") == null)
{
QueryInfo marketInfo = new QueryInfo();
marketInfo.CustomSQL = "select * from BAS_TRADE_MARKET";
marketTable = Dao.ExecuteDataSet(marketInfo).Tables[0];
Dao.AddCache("BAS_TRADE_MARKET_CACHE", marketTable);
}
else
{
marketTable = (DataTable)Dao.GetCache("BAS_TRADE_MARKET_CACHE");
}
dts.Add("BAS_TRADE_MARKET", marketTable);
dtId2Name.Add("BAS_TRADE_MARKET", marketTable.AsEnumerable().Select(dr =>
new tmpTable() { Id = dr["TRADE_MARKET_ID"].ToString(), Name = dr["TRADE_MARKET_NAME"].ToString() }).ToDictionary(x => x.Id));
var dtDic = deltaPositionDt.AsEnumerable().Select(x => x).ToLookup(x =>
{
string k = string.Empty;
for (int i = 0; i < riskGroupTypeOrders.Length; i++)
{
if (i != riskGroupTypeOrders.Length - 1)
{
k = k + x[typeColumn[riskGroupTypeOrders[i]]] + ",";
}
else
{
k = k + x[typeColumn[riskGroupTypeOrders[i]]];
}
}
return k;
});
//配置在头寸(rsk_delta_position)中存在的线路组合
List<string> existList = new List<string>();
//配置在头寸(rsk_delta_position)中不存在的线路组合
List<string> notexistList = new List<string>();
bool notExits = false;
//装载存在和不存在的线路组合
foreach (string item in dataList)
{
notExits = !dtDic.Contains(item);
if (notExits == true)
{
//不存在的组合
notexistList.Add(item);
}
else
{
//存在的组合
existList.Add(item);
}
}
Dictionary<Risk_Group_Type, RiskGroupTypeExplainAttribute> attrsDict = new Dictionary<Risk_Group_Type, RiskGroupTypeExplainAttribute>();
Hashtable errorHt = new Hashtable();
//局部变量，判断两条线路是否相似,以及负责收集不相似的信息并反馈
bool _isSame = false;
string a = string.Empty;
foreach (var item1 in notexistList)
{
//复位
_isSame = false;
foreach (var item2 in existList)
{
_isSame = RiskGroupTypeFolioIsSame(item1, item2);
//只要有一次相同就可以了
if (_isSame == true)
{
break;
}
}
if (_isSame == false)
{
a = string.Empty;
for (int i = 0; i < riskGroupTypeOrders.Length; i++)
{
Risk_Group_Type _value = riskGroupTypeOrders[i];
RiskGroupTypeExplainAttribute exp = default(RiskGroupTypeExplainAttribute);
if (!attrsDict.ContainsKey(_value))
{
field = typeof(Risk_Group_Type).GetField(_value.ToString());
exp = (field.GetCustomAttributes(typeof(RiskGroupTypeExplainAttribute), false))[0] as RiskGroupTypeExplainAttribute;
attrsDict.Add(_value, exp);
}
else
{
exp = attrsDict[_value];
}
if (exp.TableName == "BAS_COUNTERPARTY")
{
//if (dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item1.Split(',')[i]).Count() != 0)
if (dtId2Name[exp.TableName].ContainsKey(item1.Split(',')[i]))
{
//a += dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item1.Split(',')[i])[0][exp.Name] + "对应";
a += dtId2Name[exp.TableName][item1.Split(',')[i]].Name + "对应";
}
else
{
//a += dts["BAS_TRADE_MARKET"].Select("TRADE_MARKET_ID=" + item1.Split(',')[i])[0]["Trade_Market_Name"] + "对应";
a += dtId2Name["BAS_TRADE_MARKET"][item1.Split(',')[i]].Name + "对应";
}
}
else
{
//if (dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item1.Split(',')[i]).Count() != 0)
if (dtId2Name[exp.TableName].ContainsKey(item1.Split(',')[i]))
{
// a += dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item1.Split(',')[i])[0][exp.Name] + "对应";
a += dtId2Name[exp.TableName][item1.Split(',')[i]].Name + "对应";
}
}
}
if (!errorHt.Contains(a))
errorHt.Add(a, a);
//throw new Exception($"风险计量组合配置中的{a}配置在头寸中无法找到！！");
}
}
if (errorHt.Count > 0)
{
StringBuilder sb = new StringBuilder();
foreach (var item in errorHt.Values)
{
sb.AppendLine(item.ToString());
}
throw new Exception($"风险计量组合配置中的{sb.ToString()}配置在头寸中无法找到！！");
}
return;
}
/// <summary>
/// 比较两条风险计量组合是否相似
/// </summary>
/// <param name="target"></param>
/// <param name="ori"></param>
/// <returns></returns>
private bool RiskGroupTypeFolioIsSame(string target, string ori)
{
//默认认为不相似
bool isSame = false;
string l1 = string.Empty;
string l2 = string.Empty;
string[] targetArr = target.Split(',');
string[] oriArr = ori.Split(',');
int length = targetArr.Length;
for (int i = 0; i < length; i++)
{
l1 = targetArr[i];
l2 = oriArr[i];
if (l1 == l2)
{
isSame = true;
break;
}
}
return isSame;
}
void aa()
{
//string a = string.Empty;
//for (int i = 0; i < riskGroupTypeOrders.Length; i++)
//{
// Risk_Group_Type _value = riskGroupTypeOrders[i];
// FieldInfo field = typeof(Risk_Group_Type).GetField(_value.ToString());
// RiskGroupTypeExplainAttribute exp = (field.GetCustomAttributes(typeof(RiskGroupTypeExplainAttribute), false))[0] as RiskGroupTypeExplainAttribute;
// if (exp.TableName == "BAS_COUNTERPARTY")
// {
// if (dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item.Split(',')[i]).Count() != 0)
// {
// a += dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item.Split(',')[i])[0][exp.Name] + "对应";
// }
// else
// {
// a += dts["BAS_TRADE_MARKET"].Select("TRADE_MARKET_ID=" + item.Split(',')[i])[0]["Trade_Market_Name"] + "对应";
// }
// }
// else
// {
// if (dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item.Split(',')[i]).Count() != 0)
// a += dts[exp.TableName].Select(exp.OriPrimaryKey + "=" + item.Split(',')[i])[0][exp.Name] + "对应";
// }
//}
//throw new Exception($"风险计量组合配置中的{a}配置在头寸中无法找到！！");
}
/// <summary>
/// 准备根据风险组合类型Risk_Group_Type指定的顺序生成对比数据
/// </summary>
/// <param name="riskGroupTypeOrders">风险组合类型Risk_Group_Type指定的顺序</param>
/// <param name="filterRiskGroupTypeDict">风险组合类型字典</param>
/// <param name="deltaPositionDt">头寸RSK_DELTA_POSITION数据表</param>
/// <returns></returns>
private List<string> ReayGenerateGroupTypeData(string riskBookId, Risk_Group_Type[] riskGroupTypeOrders, ILookup<Risk_Group_Type, RskBookFilter> filterRiskGroupTypeDict, DataTable deltaPositionDt)
{
List<string> dataList = new List<string>();
foreach (var item in riskGroupTypeOrders)
{
GenerateGroupTypeData(dataList, filterRiskGroupTypeDict[item]);
}
return dataList;
}
/// <summary>
/// 据风险组合类型Risk_Group_Type指定的顺序生成对比数据
/// </summary>
/// <param name="dataList"></param>
/// <param name="filters"></param>
private void GenerateGroupTypeData(List<string> dataList, IEnumerable<RskBookFilter> filters)
{
//重复定义的元素
List<string> dumps = new List<string>();
List<string> cpyList = new List<string>();
cpyList.AddRange(dataList);
string tmp = string.Empty;
if (dataList.Count > 0)
{
for (int i = 0; i < cpyList.Count; i++)
{
tmp = dataList[i];
dumps.Add(tmp);
foreach (RskBookFilter filter in filters)
{
dataList.Add(tmp + "," + filter.FilteredValue);
}
}
}
else
{
foreach (RskBookFilter filter in filters)
{
dataList.Add(filter.FilteredValue);
}
}
foreach (var item in dumps)
{
dataList.Remove(item);
}
}
//public void Compute2(string FormId, System.Collections.Hashtable Parameter)
//{
// IList<TranCashFlow> tranCashFlows = new List<TranCashFlow>();
// DateTime computeDate = DateTime.Parse(Parameter["computeDate"].ToString());
// int riskBookId = int.Parse(Parameter["riskBookId"].ToString());
// var riskGroupType = Risk_Group_Type.Risk_Group_Type;
// int timeHorizon = int.Parse(Parameter["timeHorizon"].ToString());
// int windowSize = int.Parse(Parameter["windowSize"].ToString());
// int simulationNumber = int.Parse(Parameter["simulationNumber"].ToString());
// int tickNumber = int.Parse(Parameter["tickNumber"].ToString());
// int resultNumber = int.Parse(Parameter["resultNumber"].ToString());
// int riskModelTypeID = int.Parse(Parameter["riskModelTypeID"].ToString());
// string userId = CurrentUser.UserId;
// string CurrentUserName = CurrentUser.UserName;
// SaveComputeValueAtRiskByUserId2(computeDate, riskBookId, riskGroupType, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, riskModelTypeID, CurrentUser.UserId, CurrentUser.UserName, tranCashFlows);
//}
public void SaveComputeValueAtRiskByUserId2(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int riskModelTypeID, string userId, string CurrentUserName, IList<TranCashFlow> tranCashFlows, List<RskDeltaPosition> rskDeltaPositions, List<RskFactorMapping> rskFactorMappings, List<RskCoreFctSimulatedPrice> rskCoreFactorSimulationPrice)
{
var coreCacheKey = typeof(RskCoreFactor).Name + "_CACHE";
Dao.RemoveCache(coreCacheKey);
var coreFactorInfo = new Framework.QueryInfo("RskCoreFactor");
coreFactorInfo.AddParam("ActiveFlag", true);
var coreFactorList = Dao.FindList(coreFactorInfo);
Dao.AddCache(coreCacheKey, coreFactorList);
InsertRiskBookSelection2(computeDate, riskBookID, tranCashFlows);
//风险计量组合头寸 add by kexb 2017年3月10日16:57:15 预留未实现
InsertRiskBookDeltaPosition(computeDate, riskBookID.ToString());
bool isBusinessDate = businessDateService.IsBusinessDate(computeDate);
//if (isBusinessDate)
//{
int[] confidenceLevelID = new int[resultNumber];
var riskGroupTypeDic = SysEnumHelper.GetChildEnumByParentCode(Risk_Group_Type.Risk_Group_Type.ToString()).Select(x => (Risk_Group_Type)x.Value.EnumValue).ToList();
var dictList = SysEnumHelper.GetChildEnumByParentCode("Confidence_Level");
int kk = 0;
foreach (var item in dictList)
{
Contract.Domain.SysEnumDict dict = item.Value as Contract.Domain.SysEnumDict;
//confidenceLevel[kk] = dict.EnumValue.ToString();
//confidenceLevel[kk] = dict.EnumName;
confidenceLevelID[kk] = (int)dict.EnumValue;
kk++;
}
//set up 01
ComputeValueAtRiskForSingleHorizon2(computeDate, riskBookID, Risk_Group_Type.Risk_Group_Type, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskModelTypeID, rskDeltaPositions, rskFactorMappings, rskCoreFactorSimulationPrice);
for (var i = 0; i < riskGroupTypeDic.Count; i++)
{
ComputeValueAtRiskForSingleHorizon2(computeDate, riskBookID, (riskGroupTypeDic[i]), timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskModelTypeID, rskDeltaPositions, rskFactorMappings, rskCoreFactorSimulationPrice);
}
//}
}
public void Compute(string FormId, System.Collections.Hashtable Parameter)
{
DateTime computeDate = DateTime.Parse(Parameter["computeDate"].ToString());
int riskBookId = int.Parse(Parameter["riskBookId"].ToString());
var riskGroupType = Risk_Group_Type.Risk_Group_Type;
int timeHorizon = int.Parse(Parameter["timeHorizon"].ToString());
int windowSize = int.Parse(Parameter["windowSize"].ToString());
int simulationNumber = int.Parse(Parameter["simulationNumber"].ToString());
int tickNumber = int.Parse(Parameter["tickNumber"].ToString());
int resultNumber = int.Parse(Parameter["resultNumber"].ToString());
int riskModelTypeID = int.Parse(Parameter["riskModelTypeID"].ToString());
string userId = CurrentUser.UserId;
string CurrentUserName = CurrentUser.UserName;
SaveComputeValueAtRiskByUserId(computeDate, riskBookId, riskGroupType, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, riskModelTypeID, CurrentUser.UserId, CurrentUser.UserName);
}
#region Code Body
/// <summary>
/// 2014-06-12
/// edit daidz
/// 修改了SimulateChangeInMtMValue 方法调用，改为NewSimulateChangeInMtMValue
/// 修改了ComputeMonteCarloValueAtRisk 方法
/// </summary>
/// <param name="computeDate"></param>
/// <param name="riskBookID"></param>
/// <param name="attributeGroupID"></param>
/// <param name="timeHorizon"></param>
/// <param name="windowSize"></param>
/// <param name="simulationNumber"></param>
/// <param name="tickNumber"></param>
/// <param name="resultNumber"></param>
/// <param name="confidenceLevel"></param>
/// <param name="riskModelTypeID"></param>
///
#region Service Area
IBasBusinessDateService _businessDateService = null;
IBasBusinessDateService businessDateService
{
get
{
if (_businessDateService == null)
{
_businessDateService = ctx["BasBusinessDateService"] as IBasBusinessDateService;
}
return _businessDateService;
}
}
IForwardPriceSimulationService _priceSimulationService = null;
IForwardPriceSimulationService priceSimulationService
{
get
{
if (_priceSimulationService == null)
{
_priceSimulationService = ctx["ForwardPriceSimulationService"] as IForwardPriceSimulationService;
}
return _priceSimulationService;
}
}
IRskCoreFactorService _riskCoreFactorService = null;
IRskCoreFactorService riskCoreFactorService
{
get
{
if (_riskCoreFactorService == null)
{
_riskCoreFactorService = ctx["RskCoreFactorService"] as IRskCoreFactorService;
}
return _riskCoreFactorService;
}
}
IMktPriceMarketDataService _indexPriceService = null;
IMktPriceMarketDataService indexPriceService
{
get
{
if (_indexPriceService == null)
{
_indexPriceService = ctx["MktPriceMarketDataService"] as IMktPriceMarketDataService;
}
return _indexPriceService;
}
}
IRiskBookSelectionService _riskBookSelectionService = null;
IRiskBookSelectionService riskBookSelectionService
{
get
{
if (_riskBookSelectionService == null)
{
_riskBookSelectionService = ctx["RiskBookSelectionService"] as IRiskBookSelectionService;
}
return _riskBookSelectionService;
}
}
IRskBookSimulationService _riskBookTranSimulationService = null;
IRskBookSimulationService riskBookTranSimulationService
{
get
{
if (_riskBookTranSimulationService == null)
{
_riskBookTranSimulationService = ctx["RskBookSimulationService"] as IRskBookSimulationService;
}
return _riskBookTranSimulationService;
}
}
ITranRiskPositionViewService _riskPositionService = null;
ITranRiskPositionViewService riskPositionService
{
get
{
if (_riskPositionService == null)
{
_riskPositionService = ctx["TranRiskPositionViewService"] as ITranRiskPositionViewService;
}
return _riskPositionService;
}
}
ITransactionRiskVolumeViewService _riskVolumeService = null;
ITransactionRiskVolumeViewService riskVolumeService
{
get
{
if (_riskVolumeService == null)
{
_riskVolumeService = ctx["TransactionRiskVolumeViewService"] as ITransactionRiskVolumeViewService;
}
return _riskVolumeService;
}
}
IRiskBookAttributeSimulationViewService _riskBookAttributeSimulationService = null;
IRiskBookAttributeSimulationViewService riskBookAttributeSimulationService
{
get
{
if (_riskBookAttributeSimulationService == null)
{
_riskBookAttributeSimulationService = ctx["RiskBookAttributeSimulationViewService"] as IRiskBookAttributeSimulationViewService;
}
return _riskBookAttributeSimulationService;
}
}
IRskFactorVolatilityDataService _riskVolatilityService = null;
IRskFactorVolatilityDataService riskVolatilityService
{
get
{
if (_riskVolatilityService == null)
{
_riskVolatilityService = ctx["RskFactorVolatilityDataService"] as IRskFactorVolatilityDataService;
}
return _riskVolatilityService;
}
}
IRskFactorCorrelationDataService _riskCorrelationDataService = null;
IRskFactorCorrelationDataService riskCorrelationDataService
{
get
{
if (_riskCorrelationDataService == null)
{
_riskCorrelationDataService = ctx["RskFactorCorrelationDataService"] as IRskFactorCorrelationDataService;
}
return _riskCorrelationDataService;
}
}
IGaussianDistributionService _normalDistService = null;
IGaussianDistributionService normalDistService
{
get
{
if (_normalDistService == null)
{
_normalDistService = ctx["GaussianDistributionService"] as IGaussianDistributionService;
}
return _normalDistService;
}
}
ITranProfitlossService _transactionProfitLossService = null;
ITranProfitlossService transactionProfitLossService
{
get
{
if (_transactionProfitLossService == null)
{
_transactionProfitLossService = ctx["TranProfitlossService"] as ITranProfitlossService;
}
return _transactionProfitLossService;
}
}
IRiskBookAttributeCorePositionViewService _riskBookAttributeCorePositionService = null;
IRiskBookAttributeCorePositionViewService RiskBookAttributeCorePositionService
{
get
{
if (_riskBookAttributeCorePositionService == null)
{
_riskBookAttributeCorePositionService = ctx["RiskBookAttributeCorePositionViewService"] as IRiskBookAttributeCorePositionViewService;
}
return _riskBookAttributeCorePositionService;
}
}
IRiskBookAttributeRiskPositionViewService _riskBookAttributeRiskPositionViewService = null;
IRiskBookAttributeRiskPositionViewService riskBookAttributeRiskPositionViewService
{
get
{
if (_riskBookAttributeRiskPositionViewService == null)
{
_riskBookAttributeRiskPositionViewService = ctx["RiskBookAttributeRiskPositionViewService"] as IRiskBookAttributeRiskPositionViewService;
}
return _riskBookAttributeRiskPositionViewService;
}
}
//IRskBookAttriResultService _riskBookResultService = null;
//IRskBookAttriResultService riskBookResultService
//{
// get
// {
// if (_riskBookResultService == null)
// {
// _riskBookResultService = ctx["RskBookAttriResultService"] as IRskBookAttriResultService;
// }
// return _riskBookResultService;
// }
//}
IRiskBookAttributeProfitLossViewService _riskBookAttributeProfitLossViewService = null;
IRiskBookAttributeProfitLossViewService riskBookAttributeProfitLossViewService
{
get
{
if (_riskBookAttributeProfitLossViewService == null)
{
_riskBookAttributeProfitLossViewService = ctx["riskBookAttributeProfitLossViewService"] as IRiskBookAttributeProfitLossViewService;
}
return _riskBookAttributeProfitLossViewService;
}
}
IRskBookAttriHistogramService _riskBookAttributeHistogramService = null;
IRskBookAttriHistogramService riskBookAttributeHistogramService
{
get
{
if (_riskBookAttributeHistogramService == null)
{
_riskBookAttributeHistogramService = ctx["IRskBookAttriHistogramService"] as IRskBookAttriHistogramService;
}
return _riskBookAttributeHistogramService;
}
}
IRskBookAttriProfitlossService _riskBookAttributeProfitLossService = null;
IRskBookAttriProfitlossService riskBookAttributeProfitLossService
{
get
{
if (_riskBookAttributeProfitLossService == null)
{
_riskBookAttributeProfitLossService = ctx["RskBookAttriProfitlossService"] as IRskBookAttriProfitlossService;
}
return _riskBookAttributeProfitLossService;
}
}
#endregion
public int CorrelationDataTag = 0;
public string WcfUsername1 = string.Empty;
static string _CurrentUserId = string.Empty;
private static string _CurrentUserName = string.Empty;
public void InsertRiskBookSelection2(DateTime computeDate, int riskBookID, IList<TranCashFlow> tranCashFlows)
{
IList<RskBookSelection> riskBookSelections = new List<RskBookSelection>();
riskBookSelections = riskBookSelectionService.GetRiskBookSelection2(riskBookID, computeDate, Result_Use_Type.Result_Use_Type_EOD_Process, tranCashFlows);
foreach (RskBookSelection riskBookSelection in riskBookSelections)
{
riskBookSelection.Id = "";
riskBookSelection.State.MarkNew();
}
// Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookSelection";
info.AddParam("AsOfDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookSelection>(riskBookSelections);
}
public void InsertRiskBookSelection(DateTime computeDate, int riskBookID)
{
IList<RskBookSelection> riskBookSelections = new List<RskBookSelection>();
riskBookSelections = riskBookSelectionService.GetRiskBookSelection(riskBookID, computeDate, Result_Use_Type.Result_Use_Type_EOD_Process);
foreach (RskBookSelection riskBookSelection in riskBookSelections)
{
riskBookSelection.Id = "";
riskBookSelection.State.MarkNew();
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookSelection";
info.AddParam("AsOfDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookSelection>(riskBookSelections);
}
private Spring.Caching.ICache cache;
private Spring.Caching.ICache SpringCache
{
get
{
if (cache == null)
cache = (Spring.Caching.ICache)ctx.GetObject("AspNetCache");
return cache;
}
set { cache = value; }
}
private Contract.Common.UserSession CurrentUser
{
get
{
//string t2 = System.Web.Hosting.HostingEnvironment.MapPath("~");
//string tempFile = t2 + @"temp" + Thread.CurrentContext.GetHashCode() + DateTime.Today.Date.ToString("yyyyMMdd") + ".txt";
//Dictionary<string, string> dic = new Dictionary<string, string>();
//dic.Add("UserId", FileReadHelper.ReadLine(tempFile, 1));
//dic.Add("UserName", FileReadHelper.ReadLine(tempFile, 2));
//dic.Add("OfficeId", FileReadHelper.ReadLine(tempFile, 3));
//dic.Add("OfficeName", FileReadHelper.ReadLine(tempFile, 4));
//dic.Add("PositionId", FileReadHelper.ReadLine(tempFile, 5));
//dic.Add("PositionName", FileReadHelper.ReadLine(tempFile, 6));
////dic.Add("UserId", "1");
////dic.Add("UserName", "admin");
////dic.Add("OfficeId", "1");
////dic.Add("PositionId", "1311");
////dic.Add("PositionName", "测试岗位");
//return dic;
return Constants.RequestCurrentUserDic[Thread.CurrentContext.GetHashCode().ToString()] as Contract.Common.UserSession;
}
}
public void SaveComputeValueAtRiskByUserId(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int riskModelTypeID, string userId, string CurrentUserName)
{
InsertRiskBookSelection(computeDate, riskBookID);
bool isBusinessDate = businessDateService.IsBusinessDate(computeDate);
//if (isBusinessDate)
//{
int[] confidenceLevelID = new int[resultNumber];
var riskGroupTypeDic = SysEnumHelper.GetChildEnumByParentCode(Risk_Group_Type.Risk_Group_Type.ToString()).Select(x => (Risk_Group_Type)x.Value.EnumValue).ToList();
var dictList = SysEnumHelper.GetChildEnumByParentCode("Confidence_Level");
int kk = 0;
foreach (var item in dictList)
{
Contract.Domain.SysEnumDict dict = item.Value as Contract.Domain.SysEnumDict;
//confidenceLevel[kk] = dict.EnumValue.ToString();
//confidenceLevel[kk] = dict.EnumName;
confidenceLevelID[kk] = (int)dict.EnumValue;
kk++;
}
//set up 01
ComputeValueAtRiskForSingleHorizon(computeDate, riskBookID, Risk_Group_Type.Risk_Group_Type, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskModelTypeID);
for (var i = 0; i < riskGroupTypeDic.Count; i++)
{
ComputeValueAtRiskForSingleHorizon(computeDate, riskBookID, (riskGroupTypeDic[i]), timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskModelTypeID);
}
//}
}
private void ComputeValueAtRiskForSingleHorizon2(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon,
int windowSize, int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, int riskModelTypeID,
List<RskDeltaPosition> rskDeltaPostions, List<RskFactorMapping> rskFactorMappings, List<RskCoreFctSimulatedPrice> rskCoreFctSimulatedPrice)
{
bool incVaRFlag = Constants.INCREMENTAL_RISK_YES;
double[] valueAtRisk = new double[resultNumber];
double[] valueAtRiskForIR = new double[resultNumber];
double[] valueAtRiskForFX = new double[resultNumber];
double[] valueAtRiskForEQ = new double[resultNumber];
double[] valueAtRiskForCOM = new double[resultNumber];
double[] monteCarloIncVaR = new double[resultNumber];
IList<RskBookResult> riskBookResults = new List<RskBookResult>();
IList<RskBookResult> riskBookResultsToDelete = new List<RskBookResult>();
//if (riskModelType == "MONTE CARLO")
if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Monte_Carlo)
{
ComputeMonteCarloValueAtRisk2(computeDate, riskBookID, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskGroupType, 0, incVaRFlag, ref valueAtRisk, ref monteCarloIncVaR, rskDeltaPostions, rskFactorMappings, rskCoreFctSimulatedPrice);
}
//else if (riskModelType == "PARAMETRIC")
else if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Parametric)
{
//ParametricValueAtRiskComputation a = new ParametricValueAtRiskComputation();
//a.ComputeParametricValueAtRisk(riskBookID, computeDate, timeHorizon, windowSize, confidenceLevelID, resultNumber, simulationNumber, ref valueAtRisk, ref valueAtRiskForIR, ref valueAtRiskForFX, ref valueAtRiskForEQ
// , ref valueAtRiskForCOM);
ComputeParametricValueAtRisk(WcfUsername1, computeDate, riskBookID, simulationNumber, resultNumber, confidenceLevelID, timeHorizon, windowSize, riskGroupType, 0, false, ref valueAtRisk, ref valueAtRiskForIR, ref valueAtRiskForFX, ref valueAtRiskForEQ, ref valueAtRiskForCOM);
}
//else if (riskModelType == "HISTORICAL")
else if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Historical)
{
int daysBack = 100;
ComputeHistoricalValueAtRisk(computeDate, daysBack, riskBookID, tickNumber, resultNumber, confidenceLevelID, timeHorizon, windowSize, riskGroupType, 0, false, ref valueAtRisk);
}
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
int[] confidenceLevelLookupID = new int[resultNumber];
for (int k = 0; k < resultNumber; k++)
{
//记录全面风险的地方 重要 kexb 2017年1月5日16:17:45
RskBookResult riskBookResult = new RskBookResult();
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
riskBookResult.SimulationNumber = simulationNumber;
riskBookResult.ConfidenceLevelId = confidenceLevelID[k];
//riskBookResult.ConfidenceLevelName = confidenceLevel[k];
riskBookResult.VarResultValue = Math.Round((decimal)valueAtRisk[k], 0);
riskBookResult.ValueAtRiskForIR = Math.Round((decimal)valueAtRiskForIR[k], 0);
riskBookResult.ValueAtRiskForFX = Math.Round((decimal)valueAtRiskForFX[k], 0);
riskBookResult.ValueAtRiskForEQ = Math.Round((decimal)valueAtRiskForEQ[k], 0);
riskBookResult.ValueAtRiskForCOM = Math.Round((decimal)valueAtRiskForCOM[k], 0);
riskBookResult.CvarResultValue = Math.Round((decimal)valueAtRiskForIR[k], 0);
riskBookResult.ExpectedShortfallValue = Math.Round((decimal)valueAtRiskForFX[k], 0);
riskBookResult.CreateUid = CurrentUser.UserId;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.CreateOid = CurrentUser.OfficeId;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
Dao.GetCurrentSession().Clear();
//delete existing dataset first
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookResult";
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", simulationNumber);
info.AddParam("ComputeDate", computeDate);
Dao.ExecuteUpdate(info);
// then insert the newly computed dataset
Dao.SaveOrUpdateAll<RskBookResult>(riskBookResults);
}
else
{
if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Parametric)
{
ComputeRiskPositionByAttributeLookup(computeDate, riskBookID, riskGroupType);
ComputeProfitLossByAttributeLookup(computeDate, riskBookID, riskGroupType);
}
}
}
private void ComputeValueAtRiskForSingleHorizon(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, int riskModelTypeID)
{
bool incVaRFlag = Constants.INCREMENTAL_RISK_YES;
double[] valueAtRisk = new double[resultNumber];
double[] valueAtRiskForIR = new double[resultNumber];
double[] valueAtRiskForFX = new double[resultNumber];
double[] valueAtRiskForEQ = new double[resultNumber];
double[] valueAtRiskForCOM = new double[resultNumber];
double[] monteCarloIncVaR = new double[resultNumber];
IList<RskBookResult> riskBookResults = new List<RskBookResult>();
IList<RskBookResult> riskBookResultsToDelete = new List<RskBookResult>();
//if (riskModelType == "MONTE CARLO")
if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Monte_Carlo)
{
ComputeMonteCarloValueAtRisk(computeDate, riskBookID, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevelID, riskGroupType, 0, incVaRFlag, ref valueAtRisk, ref monteCarloIncVaR);
}
//else if (riskModelType == "PARAMETRIC")
else if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Parametric)
{
ComputeParametricValueAtRisk(WcfUsername1, computeDate, riskBookID, simulationNumber, resultNumber, confidenceLevelID, timeHorizon, windowSize, riskGroupType, 0, false, ref valueAtRisk, ref valueAtRiskForIR, ref valueAtRiskForFX, ref valueAtRiskForEQ, ref valueAtRiskForCOM);
}
//else if (riskModelType == "HISTORICAL")
else if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Historical)
{
int daysBack = 100;
ComputeHistoricalValueAtRisk(computeDate, daysBack, riskBookID, tickNumber, resultNumber, confidenceLevelID, timeHorizon, windowSize, riskGroupType, 0, false, ref valueAtRisk);
}
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
int[] confidenceLevelLookupID = new int[resultNumber];
for (int k = 0; k < resultNumber; k++)
{
RskBookResult riskBookResult = new RskBookResult();
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
riskBookResult.SimulationNumber = simulationNumber;
riskBookResult.ConfidenceLevelId = confidenceLevelID[k];
//riskBookResult.ConfidenceLevelName = confidenceLevel[k];
riskBookResult.VarResultValue = Math.Round((decimal)valueAtRisk[k], 0);
riskBookResult.ValueAtRiskForIR = Math.Round((decimal)valueAtRiskForIR[k], 0);
riskBookResult.ValueAtRiskForFX = Math.Round((decimal)valueAtRiskForFX[k], 0);
riskBookResult.ValueAtRiskForEQ = Math.Round((decimal)valueAtRiskForEQ[k], 0);
riskBookResult.ValueAtRiskForCOM = Math.Round((decimal)valueAtRiskForCOM[k], 0);
riskBookResult.CvarResultValue = Math.Round((decimal)valueAtRiskForIR[k], 0);
riskBookResult.ExpectedShortfallValue = Math.Round((decimal)valueAtRiskForFX[k], 0);
riskBookResult.CreateUid = CurrentUser.UserId;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.CreateOid = CurrentUser.OfficeId;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
//delete existing dataset first
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookResult";
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", simulationNumber);
info.AddParam("ComputeDate", computeDate);
Dao.ExecuteUpdate(info);
// then insert the newly computed dataset
Dao.SaveOrUpdateAll<RskBookResult>(riskBookResults);
}
else
{
if (riskModelTypeID == (int)Risk_Model_Type.Risk_Model_Type_Parametric)
{
ComputeRiskPositionByAttributeLookup(computeDate, riskBookID, riskGroupType);
ComputeProfitLossByAttributeLookup(computeDate, riskBookID, riskGroupType);
}
}
}
private void SimulateChangeInMtMValue_New(DateTime computeDate, int riskBookID, int timeHorizon, int simulationNumber)
{
Framework.QueryInfo info = new Framework.QueryInfo();
info.NamedQuery = "P_TRAN_SIMULATION";
info.Parameters.Add("v_RiskBookID", riskBookID);
info.Parameters.Add("v_ComputeDate", computeDate);
info.Parameters.Add("v_UserName", CurrentUser.UserName);
info.Parameters.Add("v_SimulationNumber", simulationNumber);
info.Parameters.Add("v_timeHorizon", timeHorizon - 1);
info.Parameters.Add("v_fixed_or_float", Fixed_Or_Float.Fixed_Or_Float.GetEnumName());
info.Parameters.Add("v_result_use_type", Result_Use_Type.Result_Use_Type_EOD_Process.GetEnumName());
Dao.ExecuteNonQuery(info);
Dao.Flush();
}
private void SimulateChangeInMtMValue_New2(DateTime computeDate, int riskBookID, int timeHorizon, int simulationNumber, List<RskDeltaPosition> rskDeltaPostions, List<RskFactorMapping> rskFactorMappings, List<RskCoreFctSimulatedPrice> rskCoreFctSimulatedPrice, ref List<RskBookTranSimulation> rskBookTranSimulations)
{
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookTranSimulation a where a.ComputeDate=:ComputeDate and a.RiskBookId=:RiskBookId and a.SimulationNumber=:SimulationNumber";
info.Parameters.Add("ComputeDate", computeDate.Date);
info.Parameters.Add("RiskBookId", riskBookID);
info.Parameters.Add("SimulationNumber", simulationNumber);
Dao.ExecuteUpdate(info);
Framework.QueryInfo rskBookTranSimulationTInfo = new Framework.QueryInfo();
rskBookTranSimulationTInfo.CustomSQL = "select * from rsk_book_tran_simulation where 1!=1";
System.Data.DataTable rskBookTranSimulationT = Dao.ExecuteDataSet(rskBookTranSimulationTInfo).Tables[0];
System.Data.DataRow newRow;
//rskDeltaPostions = Dao.FindList<RskDeltaPosition>(new Framework.QueryInfo("RskDeltaPosition")).ToList();
//暂时这样
rskCoreFctSimulatedPrice = Dao.FindList<RskCoreFctSimulatedPrice>(new Framework.QueryInfo("RskCoreFctSimulatedPrice")).ToList();
int? horiId = timeHorizon - 1;
var list = (from rdp in rskDeltaPostions
join rfm in rskFactorMappings
on rdp.RiskFactorId
equals
rfm.RiskFactorId
join rcfsp in rskCoreFctSimulatedPrice
on rfm.RiskCoreFactorId
equals rcfsp.RiskCoreFactorId
where rdp.AsOfDate == computeDate.Date
&& rcfsp.SimulationNumber == simulationNumber
&& rcfsp.HorizonId == horiId
select
new
{
rdp.AsOfDate,
rdp.TransactionId,
rdp.TransactionLegId,
rdp.RiskFactorId,
rfm.RiskCoreFactorId,
rdp.DeltaVolume,
rdp.IndexPriceRate,
rdp.ResetPriceRate,
rcfsp.SimulationId,
rcfsp.SimulatedForwardPrice,
rcfsp.CurrentPrice,
rcfsp.SimulationNumber,
rcfsp.HorizonId,
}
).GroupBy(x => new { x.AsOfDate, x.TransactionId, x.SimulationNumber, x.SimulationId })
.Select(x => new RskBookTranSimulation
{
RiskBookId = riskBookID,
TransactionId = x.Key.TransactionId,
ComputeDate = computeDate.Date,
SimulationNumber = simulationNumber,
SimulationId = x.Key.SimulationId,
ChangeInmtmValue = (x.Sum(x2 => (x2.SimulatedForwardPrice - x2.CurrentPrice) * x2.DeltaVolume)),
CreateUname = CurrentUser.UserName,
CreateDate = computeDate.Date,
LastModUname = CurrentUser.UserName,
LastModDatetime = DateTime.Now.Date
}).ToList();
rskBookTranSimulations = list;
#region list保存改为Bulkcopy保存
//list.ForEach(obj =>
//{
// obj.State.MarkNew();
//});
////这里也得改kexb 20160520
//Dao.SaveOrUpdateAll<RskBookTranSimulation>(list.ToArray());
foreach (RskBookTranSimulation r in rskBookTranSimulations)
{
newRow = rskBookTranSimulationT.NewRow();
newRow["RISK_BOOK_ID"] = r.RiskBookId;
newRow["TRANSACTION_ID"] = r.TransactionId;
newRow["COMPUTE_DATE"] = r.ComputeDate;
newRow["SIMULATION_NUMBER"] = r.SimulationNumber;
newRow["SIMULATION_ID"] = r.SimulationId;
newRow["CHANGE_IN_MTM_VALUE"] = r.ChangeInmtmValue;
newRow["CREATE_UNAME"] = r.CreateUname;
newRow["CREATE_DATE"] = r.CreateDate;
newRow["LAST_MOD_UNAME"] = r.LastModUname;
newRow["LAST_MOD_DATETIME"] = r.LastModDatetime;
rskBookTranSimulationT.Rows.Add(newRow);
}
Holworth.Utility.HraUtility.DataTableWriteToServer(rskBookTranSimulationT, "rsk_book_tran_simulation", "RISK_BOOK_TRAN_SIM_ID", true);
#endregion
}
private void ComputeMonteCarloValueAtRisk2(DateTime computeDate, int riskBookID, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, Risk_Group_Type riskGroupType, int attributeID, bool incVaRFlag, ref double[] monteCarloVaR, ref double[] monteCarloIncVaR, List<RskDeltaPosition> rskDeltaPositions, List<RskFactorMapping> rskFactorMappings, List<RskCoreFctSimulatedPrice> rskCoreFactorSimulationPrice)
{
double[] changeInMtMValue = new double[simulationNumber];
double[] tickValue = new double[tickNumber + 1];
double[] frequencyValue = new double[tickNumber + 1];
double[] newMonteCarloVaR = new double[resultNumber];
incVaRFlag = false;
int i = 0;
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
// IRskBookSimulationService riskBookSimulationService = (IRiskBookSimulationService)ServiceLocator.Get("riskBookSimulationService");
List<RskBookTranSimulation> rskBookTranSimulations = new List<RskBookTranSimulation>();
IList<RskBookSimulation> riskBookSimulations = new List<RskBookSimulation>();
//set up 03
SimulateChangeInMtMValue_New2(computeDate, riskBookID, timeHorizon, simulationNumber, rskDeltaPositions, rskFactorMappings, rskCoreFactorSimulationPrice, ref rskBookTranSimulations);
//快没用了之后注释
//Framework.QueryInfo info = new Framework.QueryInfo();
//info.Parameters.Add("compute_date", computeDate);
//info.Parameters.Add("risk_book_id", riskBookID);
//info.Parameters.Add("simulation_number", simulationNumber);
//riskBookSimulations = Holworth.Utility.HraUtility.EntityRowMapper.ExcuteRowMapperT<RskBookSimulation>("ValueAtRiskCalculationService", info);
//快没用了之后注释
riskBookSimulations = rskBookTranSimulations.Where(x => x.ComputeDate == computeDate.Date
&& x.RiskBookId == riskBookID
&& x.SimulationNumber == simulationNumber)
.GroupBy(x => new { x.ComputeDate, x.RiskBookId, x.SimulationNumber, x.SimulationId })
.Select(x => new RskBookSimulation()
{
Id = "0",
ComputeDate = x.Key.ComputeDate,
RiskBookId = x.Key.RiskBookId,
SimulationNumber = x.Key.SimulationNumber,
SimulationId = x.Key.SimulationId,
ChangeInmtmValue = x.Sum(x2 => x2.ChangeInmtmValue),
//什么东西，我也是从sql.xml ValueAtRiskCalculationService抄的
CreateUid = x.Max(x2 => x2.CreateUid)
}).OrderBy(x => x.ChangeInmtmValue).ToList();
for (var k = 0; k < riskBookSimulations.Count; k++)
{
var riskSimulation = riskBookSimulations[k];
changeInMtMValue[k] = (double)riskSimulation.ChangeInmtmValue;
i++;
}
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref monteCarloVaR);
}
else
{
// to be reopened
//ComputeMonteCarloValueAtRiskByAttributeLookup(computeDate, riskBookID, riskGroupType, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevel, incVaRFlag);
}
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
SaveOrUpdateRiskBookBaseHistogram(computeDate, riskBookID, simulationNumber, tickNumber, tickValue, frequencyValue);
}
else
{
//SaveOrUpdateRiskBookAttributeHistogram(computeDate, riskBookID, simulationNumber, tickNumber, attributeID, riskGroupType, tickValue, frequencyValue);
}
if (incVaRFlag)
{
IList<RiskBookAttributeSimulationView> riskBookAttributeSimulations = new List<RiskBookAttributeSimulationView>();
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByPortfolioIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByInstrumentTypeIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByCounterpartyIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Commodity)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByCommodityIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Trader)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByTraderIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
i = 0;
foreach (RiskBookAttributeSimulationView riskSimulation in riskBookAttributeSimulations)
{
changeInMtMValue[i] = (double)riskSimulation.SumOfChangeInMtMValue;
i++;
}
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref newMonteCarloVaR);
for (int k = 0; k < resultNumber; k++)
{
monteCarloIncVaR[k] = newMonteCarloVaR[k] - monteCarloVaR[k];
}
}
}
private void ComputeMonteCarloValueAtRisk(DateTime computeDate, int riskBookID, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, Risk_Group_Type riskGroupType, int attributeID, bool incVaRFlag, ref double[] monteCarloVaR, ref double[] monteCarloIncVaR)
{
double[] changeInMtMValue = new double[simulationNumber];
double[] tickValue = new double[tickNumber + 1];
double[] frequencyValue = new double[tickNumber + 1];
double[] newMonteCarloVaR = new double[resultNumber];
incVaRFlag = false;
int i = 0;
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
// IRskBookSimulationService riskBookSimulationService = (IRiskBookSimulationService)ServiceLocator.Get("riskBookSimulationService");
IList<RskBookSimulation> riskBookSimulations = new List<RskBookSimulation>();
//set up 03
SimulateChangeInMtMValue_New(computeDate, riskBookID, timeHorizon, simulationNumber);
Framework.QueryInfo info = new Framework.QueryInfo();
info.Parameters.Add("compute_date", computeDate);
info.Parameters.Add("risk_book_id", riskBookID);
info.Parameters.Add("simulation_number", simulationNumber);
riskBookSimulations = Holworth.Utility.HraUtility.EntityRowMapper.ExcuteRowMapperT<RskBookSimulation>("ValueAtRiskCalculationService", info);
for (var k = 0; k < riskBookSimulations.Count; k++)
{
var riskSimulation = riskBookSimulations[k];
changeInMtMValue[k] = (double)riskSimulation.ChangeInmtmValue;
i++;
}
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref monteCarloVaR);
}
else
{
// to be reopened
//ComputeMonteCarloValueAtRiskByAttributeLookup(computeDate, riskBookID, riskGroupType, timeHorizon, windowSize, simulationNumber, tickNumber, resultNumber, confidenceLevel, incVaRFlag);
}
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
SaveOrUpdateRiskBookBaseHistogram(computeDate, riskBookID, simulationNumber, tickNumber, tickValue, frequencyValue);
}
else
{
//SaveOrUpdateRiskBookAttributeHistogram(computeDate, riskBookID, simulationNumber, tickNumber, attributeID, riskGroupType, tickValue, frequencyValue);
}
if (incVaRFlag)
{
IList<RiskBookAttributeSimulationView> riskBookAttributeSimulations = new List<RiskBookAttributeSimulationView>();
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByPortfolioIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByInstrumentTypeIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByCounterpartyIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Commodity)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByCommodityIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Trader)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListNotByTraderIDWithSpringDao(riskBookID, computeDate, attributeID, simulationNumber);
}
i = 0;
foreach (RiskBookAttributeSimulationView riskSimulation in riskBookAttributeSimulations)
{
changeInMtMValue[i] = (double)riskSimulation.SumOfChangeInMtMValue;
i++;
}
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref newMonteCarloVaR);
for (int k = 0; k < resultNumber; k++)
{
monteCarloIncVaR[k] = newMonteCarloVaR[k] - monteCarloVaR[k];
}
}
}
private void ComputeValueAtRiskWithSimulationResults(int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, double[] changeInMtMValue, ref double[] tickValue, ref double[] frequencyValue, ref double[] valueAtRisk)
{
double stepLength = (changeInMtMValue[simulationNumber - 1] - changeInMtMValue[0]) / tickNumber;
tickValue[0] = changeInMtMValue[0];
frequencyValue[0] = 0.0;
double sumValue = 0.0;
double avgValue = 0.0;
int k = 0;
for (k = 1; k <= tickNumber; k++)
{
tickValue[k] = tickValue[k - 1] + stepLength;
frequencyValue[k] = 0.0;
}
for (int i = 0; i < simulationNumber; i++)
{
sumValue += changeInMtMValue[i];
for (k = 0; k < tickNumber; k++)
{
if (tickValue[k] <= changeInMtMValue[i] && changeInMtMValue[i] < tickValue[k + 1])
{
break;
}
}
frequencyValue[k] += 1;
}
avgValue = sumValue / simulationNumber;
double confidenceLevelValue = 0.99;
int levelIndex = 0;
for (int i = 0; i < resultNumber; i++)
{
confidenceLevelValue = GetConfidenceLevelValue((Confidence_Level)confidenceLevelID[i]);
levelIndex = Convert.ToInt32((1.0 - confidenceLevelValue) * simulationNumber);
if (levelIndex > 0)
{
valueAtRisk[i] = Math.Round(changeInMtMValue[levelIndex - 1] - avgValue, 5);
}
else
{
valueAtRisk[i] = -999.999;
}
}
}
private double GetConfidenceLevelValue(Confidence_Level confidenceLevelID)
{
return double.Parse(confidenceLevelID.GetEnumDefaultValue());
}
/// <summary>
///
/// </summary>
/// <param name="computeDate"></param>
/// <param name="daysBack"></param>
/// <param name="riskBookID"></param>
/// <param name="tickNumber"></param>
/// <param name="resultNumber"></param>
/// <param name="confidenceLevelID"></param>
/// <param name="timeHorizon"></param>
/// <param name="windowSize"></param>
/// <param name="attributeGroupID"></param>
/// <param name="attributeID"></param>
/// <param name="incVaRFlag"></param>
/// <param name="valueAtRisk"></param>
private void ComputeHistoricalValueAtRisk(DateTime computeDate, int daysBack, int riskBookID, int tickNumber, int resultNumber, int[] confidenceLevelID, int timeHorizon, int windowSize, Risk_Group_Type riskGroupType, int attributeID, bool incVaRFlag, ref double[] valueAtRisk)
{
// IRiskFactorService riskFactorService = (IRiskFactorService)ServiceLocator.Get("riskFactorService");
IList<RskCoreFactor> riskCoreFactors = riskCoreFactorService.GetActiveListByIDWithSpringDao(Constants.ACTIVE);
int riskCoreFactorNumber = riskCoreFactors.Count;
int numberOfDays = 0;
//kexb 2016.2.16 修改注释无用的变量
//int[] riskFactorID = new int[riskCoreFactorNumber];
int[] riskCoreFactorID = new int[riskCoreFactorNumber];
double[] riskPosition = new double[riskCoreFactorNumber];
//kexb 2016.2.16 修改注释无用的变量
//double[] riskExposure = new double[riskCoreFactorNumber];
double[] currentPrice = new double[riskCoreFactorNumber];
//kexb 2016.2.16 修改注释无用的变量
//double[] riskVolatility = new double[riskCoreFactorNumber];
DateTime startDate = computeDate.AddDays(-daysBack);
DateTime endDate = computeDate;
double[,] indexPriceDataMatrix = new double[riskCoreFactorNumber, daysBack];
double[] changeInMtMValue = new double[daysBack - timeHorizon];
//double[] valueAtRisk = new double[resultNumber];
int i = 0;
int j = 0;
for (j = 0; j < daysBack - timeHorizon; j++)
{
changeInMtMValue[j] = 0.0;
}
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
// ITransactionCurveRiskPositionViewService riskPositionService = (ITransactionCurveRiskPositionViewService)ServiceLocator.Get("transactionCurveRiskPositionViewService");
IList<TranRiskPositionView> riskFactorPositions = new List<TranRiskPositionView>();
riskFactorPositions = riskPositionService.GetListByDateWithSpringDao(computeDate, windowSize);
//riskFactorPositions = riskPositionService.GetListByDateWithSpringDao(computeDate);
IList<MktPriceMarketData> indexPriceDataList = new List<MktPriceMarketData>();
IList<RskBookSimulation> riskBookSimulationList = new List<RskBookSimulation>();
Framework.QueryInfo info = new Framework.QueryInfo();
info.QueryObject = "MktPriceMarketData";
info.AddParam("CloseDate", computeDate);
foreach (TranRiskPositionView riskFactorPosition in riskFactorPositions)
{
riskCoreFactorID[i] = riskFactorPosition.RiskCoreFactorID;
// riskPosition[i] = (double)riskFactorPosition.RiskPosition;
}
info.AddParam("IndexPriceFactorId", riskCoreFactorID, " and IndexPriceFactorId in(:IndexPriceFactorId)");
var currentList = Holworth.Utility.HraUtility.ListToT<MktPriceMarketData>(Dao.FindList(info));
info = new Framework.QueryInfo();
info.QueryObject = "MktPriceMarketData";
info.AddParam("CloseDate", startDate, " and CloseDate between :CloseDate and :endDate");
info.Parameters.Add("endDate", endDate);
info.AddParam("IndexPriceFactorId", riskCoreFactorID, " and IndexPriceFactorId in(:IndexPriceFactorId)");
var indexPriceAll = Holworth.Utility.HraUtility.ListToT<MktPriceMarketData>(Dao.FindList(info));
foreach (TranRiskPositionView riskFactorPosition in riskFactorPositions)
{
riskCoreFactorID[i] = riskFactorPosition.RiskCoreFactorID;
riskPosition[i] = (double)riskFactorPosition.RiskPosition;
var tmp = (from m in currentList
where m.IndexPriceFactor.Id == riskCoreFactorID[i].ToString()
select m).ToList();
indexPriceDataList = (from m in indexPriceAll
where m.IndexPriceFactor.Id == riskCoreFactorID[i].ToString()
select m).ToList();
if (tmp.Count == 1)
{
if (tmp[0].MiddlePriceValue < 0)
{
currentPrice[i] = 0.0001;
}
else
{
currentPrice[i] = System.Convert.ToDouble(tmp[0].MiddlePriceValue);
}
}
else
{
currentPrice[i] = 0.0001;
}
//here assume riskcorefactorid = riskfactorid = indexpricefactorid, need to refine
// currentPrice[i] = (double)indexPriceService.GetIndexPriceValueByDateIDWithSpringDao(computeDate, riskCoreFactorID[i]);
// indexPriceDataList = indexPriceService.GetListByStartDateFactorIDWithSpringDao(startDate, endDate, riskCoreFactorID[i]);
j = 0;
if (indexPriceDataList != null && indexPriceDataList.Count > 0)
{
foreach (MktPriceMarketData indexPriceMarketData in indexPriceDataList)
{
indexPriceDataMatrix[i, j] = (double)indexPriceMarketData.MiddlePriceValue;
j++;
}
}
numberOfDays = Math.Max(numberOfDays, j);
i++;
}
int k = 0;
for (j = timeHorizon; j < numberOfDays; j++)
{
k = j - timeHorizon;
for (i = 0; i < riskCoreFactorNumber; i++)
{
if (indexPriceDataMatrix[i, k] > 0.0)
{
changeInMtMValue[k] += (indexPriceDataMatrix[i, j] - indexPriceDataMatrix[i, k]) / indexPriceDataMatrix[i, k] * riskPosition[i];
}
}
}
int simulationNumber = numberOfDays - timeHorizon;
double[] tickValue = new double[tickNumber + 1];
double[] frequencyValue = new double[tickNumber + 1];
for (k = 0; k < simulationNumber; k++)
{
RskBookSimulation riskBookSimulation = new RskBookSimulation();
riskBookSimulation.ComputeDate = computeDate;
riskBookSimulation.RiskBookId = riskBookID;
riskBookSimulation.SimulationNumber = simulationNumber;
riskBookSimulation.SimulationId = k + 1;
riskBookSimulation.ChangeInmtmValue = (decimal)changeInMtMValue[k];
riskBookSimulation.CreateUname = CurrentUser.UserName;
riskBookSimulation.CreateUid = CurrentUser.UserId;
riskBookSimulation.CreateDate = DateTime.Now;
riskBookSimulation.State.MarkNew();
riskBookSimulationList.Add(riskBookSimulation);
}
//kexb 2016.2.16 修改注释无用的变量
//IList<RskBookSimulation> riskBookSimulationsToDelete = new List<RskBookSimulation>();
// IRskBookSimulationService riskBookSimulationService = (IRiskBookSimulationService)ServiceLocator.Get("riskBookSimulationService");
Dao.GetCurrentSession().Clear();
info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookSimulation";
info.AddParam("ComputeDate", computeDate);
info.AddParam("SimulationNumber", simulationNumber);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookSimulation>(riskBookSimulationList);
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref valueAtRisk);
SaveOrUpdateRiskBookBaseHistogram(computeDate, riskBookID, simulationNumber, tickNumber, tickValue, frequencyValue);
}
}
private decimal GetValueByDateFactorIDSize(DateTime computeDate, int riskFactorID, int windowSize, IList<RskFactorVolatilityData> list)
{
decimal riskVolatilityValue = new decimal();
IList<RskFactorVolatilityData> indexPriceMarketDataList = list.Where(m => m.RiskFactorId == riskFactorID).ToList();
if (indexPriceMarketDataList.Count == 1)
{
for (var i = 0; i < indexPriceMarketDataList.Count; i++)
{
var riskVolatility = indexPriceMarketDataList[i];
riskVolatilityValue = riskVolatility.VolatilityValue;
if (riskVolatilityValue < 0)
riskVolatilityValue = 0.0001m;
}
}
else
riskVolatilityValue = 0.0001m;
return riskVolatilityValue;
}
private void ComputeParametricValueAtRisk(string WcfUsername,
DateTime computeDate,
int riskBookID,
int simulationNumber,
int resultNumber,
int[] confidenceLevelID,
int timeHorizon,
int windowSize,
Risk_Group_Type riskGroupType,
int attributeID,
bool incVaRFlag,
ref double[] valueAtRisk,
ref double[] valueAtRiskForIR,
ref double[] valueAtRiskForFX,
ref double[] valueAtRiskForEQ,
ref double[] valueAtRiskForCOM)
{
// IRiskFactorService riskFactorService = (IRiskFactorService)ServiceLocator.Get("riskFactorService");
//IRiskCoreFactorService riskCoreFactorService = (IRiskCoreFactorService)ServiceLocator.Get("riskCoreFactorService");
IList<RskCoreFactor> riskCoreFactors = riskCoreFactorService.GetActiveListByIDWithSpringDao(Constants.ACTIVE);
int riskCoreFactorNumber = riskCoreFactors.Count;
// IIndexPriceMarketDataService indexPriceService = (IIndexPriceMarketDataService)ServiceLocator.Get("indexPriceMarketDataService");
// IRiskFactorVolatilityDataService riskVolatilityService = (IRiskFactorVolatilityDataService)ServiceLocator.Get("riskFactorVolatilityDataService");
//ITransactionCurveRiskPositionViewService riskPositionService = (ITransactionCurveRiskPositionViewService)ServiceLocator.Get("transactionCurveRiskPositionViewService");
//IList<TransactionCurveRiskPositionView> riskFactorPositions = new List<TransactionCurveRiskPositionView>();
//kexb 2016.2.16 修改注释无用的变量
//double[,] marginalVaR = new double[resultNumber, riskCoreFactorNumber];
//kexb 2016.2.16 修改注释无用的变量
//double[,] componentVaR = new double[resultNumber, riskCoreFactorNumber];
int[] riskFactorID = new int[riskCoreFactorNumber];
int[] riskCoreFactorID = new int[riskCoreFactorNumber];
double[] riskPosition = new double[riskCoreFactorNumber];
double[] riskExposure = new double[riskCoreFactorNumber];
double[] riskPositionForIR = new double[riskCoreFactorNumber];
double[] riskExposureForIR = new double[riskCoreFactorNumber];
double[] riskPositionForFX = new double[riskCoreFactorNumber];
double[] riskExposureForFX = new double[riskCoreFactorNumber];
double[] riskPositionForEQ = new double[riskCoreFactorNumber];
double[] riskExposureForEQ = new double[riskCoreFactorNumber];
double[] riskPositionForCOM = new double[riskCoreFactorNumber];
double[] riskExposureForCOM = new double[riskCoreFactorNumber];
double[] currentPrice = new double[riskCoreFactorNumber];
double[] riskVolatility = new double[riskCoreFactorNumber];
double sumOfPortfolioVariance = 1.0;
double[] varDelta = new double[riskCoreFactorNumber];
int i = 0;
int j = 0;
if (riskGroupType == Risk_Group_Type.Risk_Group_Type)
{
// ITransactionCurveRiskPositionViewService riskPositionService = (ITransactionCurveRiskPositionViewService)ServiceLocator.Get("transactionCurveRiskPositionViewService");
IList<TranRiskPositionView> riskFactorPositions = new List<TranRiskPositionView>();
riskFactorPositions = riskPositionService.GetListByDateWithSpringDao(computeDate, windowSize);
//riskFactorPositions = riskPositionService.GetListByDateWithSpringDao(computeDate);
System.Collections.ArrayList list = new System.Collections.ArrayList();
for (var ii = 0; ii < riskFactorPositions.Count; ii++)
{
var riskFactorPosition = riskFactorPositions[ii];
list.Add(riskFactorPosition.RiskFactorID.ToString());
}
if (list.Count > 0)
{
Framework.QueryInfo info = new Framework.QueryInfo();
info.QueryObject = "RskFactorVolatilityData";
info.AddParam("ComputeDate", computeDate);
string[] aa = list.ToArray(typeof(string)) as string[];
info.AddParam("RiskFactorId", aa, " and RiskFactorId in(:RiskFactorId)");
IList<RskFactorVolatilityData> RiskFactorVolatilityDataList = Holworth.Utility.HraUtility.ListToT<RskFactorVolatilityData>(Dao.FindList(info));
for (i = 0; i < riskFactorPositions.Count; i++)
{
var riskFactorPosition = riskFactorPositions[i];
riskFactorID[i] = riskFactorPosition.RiskFactorID;
riskCoreFactorID[i] = riskFactorPosition.RiskCoreFactorID;
riskPosition[i] = (double)riskFactorPosition.RiskPosition;
riskExposure[i] = (double)riskFactorPosition.RiskExposure;
riskPositionForIR[i] = (double)riskFactorPosition.RiskPositionForIR;
riskExposureForIR[i] = (double)riskFactorPosition.RiskExposureForIR;
riskPositionForFX[i] = (double)riskFactorPosition.RiskPositionForFX;
riskExposureForFX[i] = (double)riskFactorPosition.RiskExposureForFX;
riskPositionForEQ[i] = (double)riskFactorPosition.RiskPositionForEQ;
riskExposureForEQ[i] = (double)riskFactorPosition.RiskExposureForEQ;
riskPositionForCOM[i] = (double)riskFactorPosition.RiskPositionForCOM;
riskExposureForCOM[i] = (double)riskFactorPosition.RiskExposureForCOM;
riskVolatility[i] = (double)GetValueByDateFactorIDSize(computeDate, riskFactorID[i], windowSize, RiskFactorVolatilityDataList);
//riskExposure[i] = riskPosition[i] * riskVolatility[i];
}
}
riskCoreFactorNumber = i;
try
{
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposure, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRisk);
}
catch (Exception e)
{
throw e;
}
if (CorrelationDataTag == 1)
{
CorrelationDataTag = 0;
return;
}
try
{
ComputeMarginalValueAtRisk(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, sumOfPortfolioVariance, varDelta, riskPosition, riskVolatility, timeHorizon, resultNumber, confidenceLevelID);
}
catch (Exception e)
{
throw e;
}
try
{
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForIR, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForIR);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForFX, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForFX);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForEQ, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForEQ);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForCOM, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForCOM);
}
catch (Exception e)
{
throw e;
}
try
{
//comment out for testing
ComputeValueAtRiskBacktest(WcfUsername1, computeDate, riskBookID, simulationNumber, timeHorizon, resultNumber, confidenceLevelID);
}
catch (Exception e)
{
throw e;
}
}
else
{
ComputeParametricValueAtRiskByAttributeLookup(computeDate, riskBookID, riskGroupType, timeHorizon, windowSize, resultNumber, confidenceLevelID, incVaRFlag, WcfUsername);
}
}
private void ComputeValueAtRiskWithRiskExposure(DateTime computeDate, int riskBookID, int riskCoreFactorNumber, int[] riskCoreFactorID,
double[] riskExposure, int timeHorizon, int resultNumber, int[] confidenceLevelID, ref double sumOfPortfolioVariance, ref double[] varDelta, ref double[] parametricVaR)
{
int riskCorrelationID = new int();
double correlationValue = new double();
double[,] marginalVaR = new double[resultNumber, riskCoreFactorNumber];
double[,] componentVaR = new double[resultNumber, riskCoreFactorNumber];
double sumOfDiagonalElement = 0;
double sumOfNonDiagonalElement = 0;
double sumProduct = 0;
int i = 0;
int j = 0;
//Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.QueryObject = "RskFactorCorrelationData";// "select * from Rsk_Factor_Correlation_Data where compute_date=:computedate"; //
info.AddParam("ComputeDate", computeDate);
IList<RskFactorCorrelationData> allRskFactorCorrelationDataList = null;
string key = "RskFactorCorrelationData_Cache";
var cacheList = Dao.GetCache(key);
if (cacheList == null)
{
Dao.GetCurrentSession().Clear();
allRskFactorCorrelationDataList = Dao.FindList<RskFactorCorrelationData>(info);
Dao.AddCache(key, allRskFactorCorrelationDataList);
}
else
{
allRskFactorCorrelationDataList = (IList<RskFactorCorrelationData>)cacheList;
}
var allRskFactorCorrelationDict = allRskFactorCorrelationDataList.ToLookup(x => x.RiskCoreFactorId1 + "," + x.RiskCoreFactorId2);
//allRskFactorCorrelationDataList =Dao.FindList<RskFactorCorrelationData>(info);//Holworth.Utility.HraUtility.ListToT<RskFactorCorrelationData>(Dao.FindList(info));
for (i = 0; i < riskCoreFactorNumber; i++)
{
if (riskExposure[i] != 0)
{
sumProduct = 0.0;
for (j = 0; j < riskCoreFactorNumber; j++)
{
if (riskCoreFactorID[i] != 0 && riskCoreFactorID[j] != 0 && riskCoreFactorID[j] != riskCoreFactorID[i])
{
if (riskCoreFactorID[j] > riskCoreFactorID[i])
{
var tmpList = allRskFactorCorrelationDict[riskCoreFactorID[i] + "," + riskCoreFactorID[j]];
//var tmpList = (from m in allRskFactorCorrelationDataList
// where m.RiskCoreFactorId1 == riskCoreFactorID[i].ToString() && m.RiskCoreFactorId2 == riskCoreFactorID[j].ToString()
// select m).ToList();
if (tmpList.LongCount() > 0)
{
correlationValue = System.Convert.ToDouble(tmpList.FirstOrDefault().CorrelationValue.Value);
}
}
else // risk factor ID for j is less than risk factor ID for i, make reverse search for correlation ID
{
var tmpList = allRskFactorCorrelationDict[riskCoreFactorID[j] + "," + riskCoreFactorID[i]];
//var tmpList = (from m in allRskFactorCorrelationDataList
// where m.RiskCoreFactorId1 == riskCoreFactorID[j].ToString() && m.RiskCoreFactorId2 == riskCoreFactorID[i].ToString()
// select m).ToList();
if (tmpList.LongCount() > 0)
{
correlationValue = System.Convert.ToDouble(tmpList.FirstOrDefault().CorrelationValue.Value);
}
}
sumOfNonDiagonalElement += riskExposure[i] * correlationValue * riskExposure[j];
}
else
{
if (riskCoreFactorID[i] == 0)
{
//LOG.Warn("Zero risk factor ID is found for " + riskCoreFactorID[i].ToString());
}
else if (riskCoreFactorID[j] == 0)
{
// LOG.Warn("Zero risk factor ID is found for " + riskCoreFactorID[j].ToString());
}
else // in diagonal case of risk factor ID for j is equal to risk factor ID for i, correlation value is 1.0
{
correlationValue = 1.0;
sumOfDiagonalElement += riskExposure[i] * correlationValue * riskExposure[j];
}
}
sumProduct += correlationValue * riskExposure[j];
}
varDelta[i] = sumProduct;
}
}
//sumOfPortfolioVariance = sumOfDiagonalElement + 2 * sumOfNonDiagonalElement;
sumOfPortfolioVariance = sumOfDiagonalElement + sumOfNonDiagonalElement;
double alphaValue = 0;
double confidenceLevelValue = 0.99;
for (int k = 0; k < resultNumber; k++)
{
confidenceLevelValue = GetConfidenceLevelValue((Confidence_Level)confidenceLevelID[k]);
alphaValue = normalDistService.GetInverseCumulativeVariate(confidenceLevelValue);
if (sumOfPortfolioVariance > 0)
{
parametricVaR[k] = alphaValue * Math.Sqrt(sumOfPortfolioVariance * timeHorizon);
}
else
{
parametricVaR[k] = -999.99;
}
}
}
private void ComputeMarginalValueAtRisk(DateTime computeDate, int riskBookID, int riskCoreFactorNumber, int[] riskCoreFactorID, double sumOfPortfolioVariance, double[] varDelta, double[] riskPosition, double[] riskVolatility, int timeHorizon, int resultNumber, int[] confidenceLevelID)
{
double[,] marginalVaR = new double[resultNumber, riskCoreFactorNumber];
double[,] componentVaR = new double[resultNumber, riskCoreFactorNumber];
// IGaussianDistributionService normalDistService = (IGaussianDistributionService)ServiceLocator.Get("gaussianDistributionService");
double alphaValue = 0;
double confidenceLevelValue = 0.99;
for (int k = 0; k < resultNumber; k++)
{
confidenceLevelValue = GetConfidenceLevelValue((Confidence_Level)confidenceLevelID[k]);
alphaValue = normalDistService.GetInverseCumulativeVariate(confidenceLevelValue);
for (int i = 0; i < riskCoreFactorNumber; i++)
{
if (sumOfPortfolioVariance != 0)
{
marginalVaR[k, i] = alphaValue * varDelta[i] * Math.Sqrt(timeHorizon) * riskVolatility[i] / Math.Sqrt(sumOfPortfolioVariance);
}
else
{
marginalVaR[k, i] = 0.0;
}
//componentVaR[k, i] = marginalVaR[k, i] * riskPosition[i] * currentPrice[i];
componentVaR[k, i] = marginalVaR[k, i] * riskPosition[i];
}
}
IList<RskBookMarginalResult> riskBookMarginalResults = new List<RskBookMarginalResult>();
//kexb 2016.2.16 修改注释无用的变量
IList<RskBookMarginalResult> riskBookMarginalResultsToDelete = new List<RskBookMarginalResult>();
for (int k = 0; k < resultNumber; k++)
{
for (int i = 0; i < riskCoreFactorNumber; i++)
{
RskBookMarginalResult riskBookMarginalResult = new RskBookMarginalResult();
riskBookMarginalResult.ComputeDate = computeDate;
riskBookMarginalResult.RiskBookId = riskBookID;
riskBookMarginalResult.RiskCoreFactorId = riskCoreFactorID[i];
riskBookMarginalResult.ConfidenceLevelId = confidenceLevelID[k];
riskBookMarginalResult.VarDeltaValue = Math.Round((decimal)marginalVaR[k, i], 4);
riskBookMarginalResult.MarginalVarValue = Math.Round((decimal)marginalVaR[k, i], 4);
riskBookMarginalResult.ComponentVarValue = Math.Round((decimal)componentVaR[k, i], 4);
//需要修改的地方
riskBookMarginalResult.CreateUname = CurrentUser.UserName;
riskBookMarginalResult.CreateDate = DateTime.Now;
riskBookMarginalResult.State.MarkNew();
riskBookMarginalResults.Add(riskBookMarginalResult);
}
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookMarginalResult";
info.AddParam("ComputeDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookMarginalResult>(riskBookMarginalResults);
}
private void ComputeValueAtRiskBacktest(string WcfUserName, DateTime computeDate, int riskBookID, int simulationNumber, int timeHorizon, int resultNumber, int[] confidenceLevelID)
{
//string[] confidenceLevelLookupID = new string[resultNumber];
//confidenceLevel[0] = Constants.CONFIDENCE_LEVEL99_NAME;
//confidenceLevel[1] = Constants.CONFIDENCE_LEVEL975_NAME;
//confidenceLevel[2] = Constants.CONFIDENCE_LEVEL95_NAME;
//confidenceLevel[3] = Constants.CONFIDENCE_LEVEL90_NAME;
//confidenceLevel[4] = Constants.CONFIDENCE_LEVEL50_NAME;
// IRskBookBacktestService riskBookBacktestService = (IRiskBookBacktestService)ServiceLocator.Get("riskBookBacktestService");
// ITransactionProfitLossService transactionProfitLossService = (ITransactionProfitLossService)ServiceLocator.Get("transactionProfitLossService");
IList<RskBookBacktest> riskBookBacktests = new List<RskBookBacktest>();
IList<RskBookBacktest> riskBookBacktestsToDelete = new List<RskBookBacktest>();
//IBasDailyProfitLossViewService dailyProfitLossService = (IBaseDailyProfitLossViewService)ServiceLocator.Get("baseDailyProfitLossViewService");
double changeInMtMValue = 0.0;
double valueAtRisk = 0.0;
double upperBoundValue = 0.0;
double lowerBoundValue = 0.0;
double upperOutlierValue = 0.0;
double lowerOutlierValue = 0.0;
//IBusinessDateService businessDateService = (IBusinessDateService)ServiceLocator.Get("businessDateService");
DateTime endDate = computeDate;
DateTime startDate = computeDate;
for (int i = 0; i < timeHorizon; i++)
{
startDate = startDate.AddDays(-1);
if (!businessDateService.IsBusinessDate(startDate))
{
startDate = businessDateService.GetBestPriorBusinessDate(startDate, Constants.DAYS_BACK_FOR_BUSINESS_DATE);
}
}
IList<ValueSumVO> ValueSumList = new List<ValueSumVO>();
ValueSumList = transactionProfitLossService.GetSumListByDatesUseTypeIDWithSpringDao(riskBookID, startDate, endDate, Result_Use_Type.Result_Use_Type_EOD_Process);
if (ValueSumList != null && ValueSumList.Count > 0)
{
foreach (ValueSumVO valueSum in ValueSumList)
{
changeInMtMValue = (double)valueSum.SumValue;
}
}
for (int i = 0; i < resultNumber; i++)
{
RskBookBacktest riskBookBacktest = new RskBookBacktest();
//confidenceLevelLookupID[i] = confidenceLevel[i];
IList<ValueVaRVO> ValueVaRList = new List<ValueVaRVO>();
ValueVaRList = transactionProfitLossService.GetVaRListByDateIDNumberWithSpringDao(startDate, riskBookID, simulationNumber, confidenceLevelID[i]);
if (ValueVaRList != null && ValueVaRList.Count > 0)
{
foreach (ValueVaRVO valueVaR in ValueVaRList)
{
valueAtRisk = (double)valueVaR.VaRValue;
}
}
upperBoundValue = valueAtRisk;
lowerBoundValue = -valueAtRisk;
if (changeInMtMValue > 0.0 && changeInMtMValue > upperBoundValue)
{
upperOutlierValue = changeInMtMValue - upperBoundValue;
}
if (changeInMtMValue < 0.0 && changeInMtMValue < lowerBoundValue)
{
lowerOutlierValue = changeInMtMValue - lowerBoundValue;
}
riskBookBacktest.ComputeDate = startDate;
riskBookBacktest.RiskBookId = riskBookID;
riskBookBacktest.SimulationNumber = simulationNumber;
riskBookBacktest.ConfidenceLevelId = (Confidence_Level)confidenceLevelID[i];
riskBookBacktest.ChangeInmtmValue = (decimal)changeInMtMValue;
riskBookBacktest.UpperBoundValue = (decimal)upperBoundValue;
riskBookBacktest.LowerBoundValue = (decimal)lowerBoundValue;
riskBookBacktest.UpperOutlierValue = (decimal)upperOutlierValue;
riskBookBacktest.LowerOutlierValue = (decimal)lowerOutlierValue;
riskBookBacktest.CreateUname = _CurrentUserName; ;
riskBookBacktest.CreateDate = DateTime.Now;
riskBookBacktest.State.MarkNew();
riskBookBacktests.Add(riskBookBacktest);
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookBacktest";
info.AddParam("ComputeDate", startDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", simulationNumber);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookBacktest>(riskBookBacktests);
}
private void ComputeParametricValueAtRiskByAttributeLookup(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon, int windowSize, int resultNumber, int[] confidenceLevelID, bool incVaRFlag, string WcfUserName)
{
IList<RskCoreFactor> riskCoreFactors = riskCoreFactorService.GetActiveListByIDWithSpringDao(Constants.ACTIVE);
int riskCoreFactorNumber = riskCoreFactors.Count;
int attributeID = 0;
string attributeName = null;
string attribute = null;
int[] riskFactorID = new int[riskCoreFactorNumber];
int[] riskCoreFactorID = new int[riskCoreFactorNumber];
double[] riskPosition = new double[riskCoreFactorNumber];
double[] riskExposure = new double[riskCoreFactorNumber];
double[] riskPositionForIR = new double[riskCoreFactorNumber];
double[] riskExposureForIR = new double[riskCoreFactorNumber];
double[] riskPositionForFX = new double[riskCoreFactorNumber];
double[] riskExposureForFX = new double[riskCoreFactorNumber];
double[] riskPositionForEQ = new double[riskCoreFactorNumber];
double[] riskExposureForEQ = new double[riskCoreFactorNumber];
double[] riskPositionForCOM = new double[riskCoreFactorNumber];
double[] riskExposureForCOM = new double[riskCoreFactorNumber];
//kexb 2016.2.16 修改注释无用的变量
//double[] currentPrice = new double[riskCoreFactorNumber];
double[] riskVolatility = new double[riskCoreFactorNumber];
//string[] confidenceLevelLookupID = new string[resultNumber];
//confidenceLevel[0] = Constants.CONFIDENCE_LEVEL99_NAME;
//confidenceLevel[1] = Constants.CONFIDENCE_LEVEL975_NAME;
//confidenceLevel[2] = Constants.CONFIDENCE_LEVEL95_NAME;
//confidenceLevel[3] = Constants.CONFIDENCE_LEVEL90_NAME;
//confidenceLevel[4] = Constants.CONFIDENCE_LEVEL50_NAME;
double[] valueAtRisk = new double[resultNumber];
double[] valueAtRiskForIR = new double[resultNumber];
double[] valueAtRiskForFX = new double[resultNumber];
double[] valueAtRiskForEQ = new double[resultNumber];
double[] valueAtRiskForCOM = new double[resultNumber];
double sumOfPortfolioVariance = 0.0;
double[] varDelta = new double[riskCoreFactorNumber];
// IRiskBookAttributeCurveRiskPositionViewService riskBookAttributeCurveRiskPositionService = (IRiskBookAttributeCurveRiskPositionViewService)ServiceLocator.Get("riskBookAttributeCurveRiskPositionViewService");
IList<RiskBookAttributeCorePositionView> riskBookAttributePositions = new List<RiskBookAttributeCorePositionView>();
//tomorrow continue
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
//attribute = SysEnum.Attribute_Portfolio.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForPortfolioWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Legal_Entity)
{
//attribute = SysEnum.Attribute_Legal_Entity.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForLegalEntityWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Business_Unit)
{
//attribute = SysEnum.Attribute_Business_Unit.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForBusinessUnitWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
//attribute = Risk_Group_Type.Risk_Group_Type_Instrument_Type.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForInstrumentTypeWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
//attribute = SysEnum.Attribute_Counterparty.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForCounterpartyWithSpringDao(riskBookID, computeDate);
}
//else if (attributeGroupID == (int)SysEnum.Attribute_Commodity)
//{
// attribute = SysEnum.Attribute_Commodity.GetEnumName();
// riskBookAttributePositions = riskBookAttributeCorePositionService.GetListForCommodityWithSpringDao(riskBookID, computeDate);
//}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Trader)
{
//attribute = SysEnum.Attribute_Trader.GetEnumName();
riskBookAttributePositions = RiskBookAttributeCorePositionService.GetListForTraderWithSpringDao(riskBookID, computeDate);
}
if (riskBookAttributePositions != null && riskBookAttributePositions.Count > 0)
{
int k = 0;
int activeAttributeID = -999;
bool isNotFirstAttributeID = false;
#region For Risk Book Attribute Result
IList<RskBookAttriResult> riskBookResults = new List<RskBookAttriResult>();
IList<RskBookAttriResult> riskBookResultsToDelete = new List<RskBookAttriResult>();
int iCount = 0;
Framework.QueryInfo info = new Framework.QueryInfo();
info.QueryObject = "RskFactorVolatilityData";
info.AddParam("ComputeDate", computeDate);
info.AddParam("WindowSize", windowSize);
var allAttributeList = Holworth.Utility.HraUtility.ListToT<RskFactorVolatilityData>(Dao.FindList(info));
foreach (RiskBookAttributeCorePositionView riskBookAttributePosition in riskBookAttributePositions)
{
attributeID = riskBookAttributePosition.AttributeID;
attributeName = riskBookAttributePosition.AttributeName;
//changeInMtMValue[i] = (double)riskSimulation.ChangeInMtMValue;
//riskFactorID[i] = riskFactorService.GetRiskFactorIDByFactorID(riskFactorPosition.IndexPriceFactorID);
riskCoreFactorID[iCount] = riskBookAttributePosition.RiskCoreFactorID;
riskPosition[iCount] = (double)riskBookAttributePosition.RiskPosition;
riskPositionForIR[iCount] = (double)riskBookAttributePosition.RiskPositionForIR;
riskPositionForFX[iCount] = (double)riskBookAttributePosition.RiskPositionForFX;
riskPositionForEQ[iCount] = (double)riskBookAttributePosition.RiskPositionForEQ;
riskPositionForCOM[iCount] = (double)riskBookAttributePosition.RiskPositionForCOM;
var tmpList = (from m in allAttributeList
where m.RiskFactorId == riskCoreFactorID[iCount]
select m).ToList();
if (tmpList.Count == 1)
{
var a = tmpList[0];
decimal riskVolatilityValue = a.VolatilityValue;
if (riskVolatilityValue < 0)
riskVolatilityValue = 0.0001m;
riskVolatility[iCount] = System.Convert.ToDouble(riskVolatilityValue);
}
else
{
riskVolatility[iCount] = 0.0001;
}
// riskVolatility[iCount] = (double)riskVolatilityService.GetValueByDateFactorIDSize(computeDate, riskCoreFactorID[iCount], windowSize);
//riskExposure[i] = riskPosition[i] * currentPrice[i] * riskVolatility[i];
riskExposure[iCount] = riskPosition[iCount] * riskVolatility[iCount];
riskExposureForIR[iCount] = riskPosition[iCount] * riskVolatility[iCount];
riskExposureForFX[iCount] = riskPosition[iCount] * riskVolatility[iCount];
riskExposureForEQ[iCount] = riskPosition[iCount] * riskVolatility[iCount];
riskExposureForCOM[iCount] = riskPosition[iCount] * riskVolatility[iCount];
iCount++;
if (attributeID != activeAttributeID)
{
k = 0;
if (isNotFirstAttributeID)
{
riskCoreFactorNumber = iCount;
iCount = 0;
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposure, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRisk);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForIR, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForIR);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForFX, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForFX);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForEQ, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForEQ);
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposureForCOM, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRiskForCOM);
for (int i = 0; i < resultNumber; i++)
{
RskBookAttriResult riskBookResult = new RskBookAttriResult();
//confidenceLevelLookupID[i] = confidenceLevel[i];
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
riskBookResult.RiskGroupType = riskGroupType;
riskBookResult.AttributeId = activeAttributeID;
riskBookResult.SimulationNumber = 0;
riskBookResult.ConfidenceLevelId = confidenceLevelID[i];
riskBookResult.RiskExposure = (decimal)valueAtRisk[i];
riskBookResult.VolatilityRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.Valueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VolatilityRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.InterestRateValueatrisk = (decimal)valueAtRiskForIR[i];
riskBookResult.FxRateRiskExposure = (decimal)valueAtRiskForFX[i];
riskBookResult.IncrementalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.MarginalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.ComponentValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VarLimitLevel = 0;
riskBookResult.VarBreachLevel = 0;
riskBookResult.BreachSeverityLevel = 0;
riskBookResult.MarkToMarketValue = 0;
riskBookResult.ProfitlossValue = 0;
riskBookResult.CreateUname = CurrentUser.UserName;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
}
}
activeAttributeID = attributeID;
isNotFirstAttributeID = true;
}
# region For last loop -- to be figured out if it is needed.
ComputeValueAtRiskWithRiskExposure(computeDate, riskBookID, riskCoreFactorNumber, riskCoreFactorID, riskExposure, timeHorizon, resultNumber, confidenceLevelID, ref sumOfPortfolioVariance, ref varDelta, ref valueAtRisk);
for (int i = 0; i < resultNumber; i++)
{
RskBookAttriResult riskBookResult = new RskBookAttriResult();
//confidenceLevelLookupID[i] = confidenceLevel[i];
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
riskBookResult.RiskGroupType = riskGroupType;
riskBookResult.AttributeId = activeAttributeID;
riskBookResult.SimulationNumber = 0;
riskBookResult.ConfidenceLevelId = confidenceLevelID[i];
riskBookResult.RiskExposure = (decimal)valueAtRisk[i];
riskBookResult.VolatilityRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.Valueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VolatilityValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.IncrementalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.MarginalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.ComponentValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VarLimitLevel = 0;
riskBookResult.VarBreachLevel = 0;
riskBookResult.BreachSeverityLevel = 0;
riskBookResult.MarkToMarketValue = 0;
riskBookResult.ProfitlossValue = 0;
//set up !!!
riskBookResult.CreateUname = CurrentUser.UserName;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
#endregion
Dao.GetCurrentSession().Clear();
info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookAttriResult";
info.AddParam("ComputeDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", 0);
info.AddParam("RiskGroupType", riskGroupType);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookAttriResult>(riskBookResults);
}
#endregion
}
private void ComputeMonteCarloValueAtRiskByAttributeLookup(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType, int timeHorizon, int windowSize, int simulationNumber, int tickNumber, int resultNumber, int[] confidenceLevelID, bool incVaRFlag)
{
int attributeID = 0;
//Risk_Group_Type riskGroupType = 0;
//string[] confidenceLevelLookupID = new string[resultNumber];
//var ConfidenceDic= SysEnumHelper.GetChildEnumByParentCode(Confidence_Level.Confidence_Level.ToString()).Select(x => x.Value.EnumValue).OrderBy(x => x.Value.ToString()).ToList();
//int j = 0;
//ConfidenceDic.ForEach(a=> {
// confidenceLevel[j++] = a.ToString();
//});
//confidenceLevel[0] = ((int)Confidence_Level.Confidence_Level_99_Percent).ToString();
//confidenceLevel[1] = ((int)Confidence_Level.Confidence_Level_975_Percent).ToString();
//confidenceLevel[2] = ((int)Confidence_Level.Confidence_Level_95_Percent).ToString();
//confidenceLevel[3] = ((int)Confidence_Level.Confidence_Level_90_Percent).ToString();
//confidenceLevel[4] = ((int)Confidence_Level.Confidence_Level_50_Percent).ToString();
double[] changeInMtMValue = new double[simulationNumber];
double[] tickValue = new double[tickNumber + 1];
double[] frequencyValue = new double[tickNumber + 1];
double[] monteCarloVaR = new double[resultNumber];
double[] newMonteCarloVaR = new double[resultNumber];
double[] valueAtRisk = new double[resultNumber];
double[] incValueAtRisk = new double[resultNumber];
// IRiskBookAttributeSimulationViewService riskBookAttributeSimulationService = (IRiskBookAttributeSimulationViewService)ServiceLocator.Get("riskBookAttributeSimulationViewService");
IList<RiskBookAttributeSimulationView> riskBookAttributeSimulations = new List<RiskBookAttributeSimulationView>();
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListForPortfolioWithSpringDao(riskBookID, computeDate, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListForInstrumentTypeWithSpringDao(riskBookID, computeDate, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListForCounterpartyWithSpringDao(riskBookID, computeDate, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Commodity)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListForCommodityWithSpringDao(riskBookID, computeDate, simulationNumber);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Trader)
{
riskBookAttributeSimulations = riskBookAttributeSimulationService.GetListForTraderWithSpringDao(riskBookID, computeDate, simulationNumber);
}
int k = 0;
int activeAttributeID = -999;
bool isNotFirstAttributeID = false;
#region For Risk Book Attribute Result
// IRiskBookAttributeResultService riskBookResultService = (IRiskBookAttributeResultService)ServiceLocator.Get("riskBookAttributeResultService");
IList<RskBookAttriResult> riskBookResults = new List<RskBookAttriResult>();
IList<RskBookAttriResult> riskBookResultsToDelete = new List<RskBookAttriResult>();
foreach (RiskBookAttributeSimulationView riskBookAttributeSimulation in riskBookAttributeSimulations)
{
attributeID = riskBookAttributeSimulation.AttributeID;
if (attributeID != activeAttributeID)
{
k = 0;
if (isNotFirstAttributeID)
{
//if (riskModelTypeID == (int)SysEnum.Risk_Model_Type_Monte_Carlo)
//{
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref valueAtRisk);
//}
//else if (riskModelTypeID == (int)SysEnum.Risk_Model_Type_Parametric)
//{
// simulationNumber = 0;
// ComputeParametricValueAtRisk(computeDate, riskBookID, resultNumber, confidenceLevel, timeHorizon, windowSize, attributeLookup, attributeID, false, ref valueAtRisk);
//}
for (int i = 0; i < resultNumber; i++)
{
RskBookAttriResult riskBookResult = new RskBookAttriResult();
//confidenceLevelLookupID[i] = confidenceLevel[i];
//confidenceLevelLookupID[i] = confidenceLevel[i];
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
// riskBookResult.attributeGroupID = attributeGroupID;
riskBookResult.AttributeId = activeAttributeID;
riskBookResult.SimulationNumber = 0;
riskBookResult.ConfidenceLevelId = confidenceLevelID[i];
riskBookResult.RiskExposure = (decimal)valueAtRisk[i];
riskBookResult.VolatilityRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.Valueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VolatilityValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.IncrementalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.MarginalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.ComponentValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VarLimitLevel = 0;
riskBookResult.VarBreachLevel = 0;
riskBookResult.BreachSeverityLevel = 0;
riskBookResult.MarkToMarketValue = 0;
riskBookResult.ProfitlossValue = 0;
//set up !!!
riskBookResult.CreateUname = CurrentUser.UserName;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
SaveOrUpdateRiskBookAttributeHistogram(computeDate, riskBookID, simulationNumber, tickNumber, activeAttributeID, riskGroupType, tickValue, frequencyValue);
}
}
activeAttributeID = attributeID;
isNotFirstAttributeID = true;
//if (riskModelTypeID == (int)(int)SysEnum.Risk_Model_Type_Monte_Carlo)
//{
changeInMtMValue[k] = (double)riskBookAttributeSimulation.SumOfChangeInMtMValue;
k++;
//}
}
# region For last loop -- to be figured out if it is needed.
//if (riskModelTypeID == (int)(int)SysEnum.Risk_Model_Type_Monte_Carlo)
//{
ComputeValueAtRiskWithSimulationResults(simulationNumber, tickNumber, resultNumber, confidenceLevelID, changeInMtMValue, ref tickValue, ref frequencyValue, ref valueAtRisk);
//}
//else if (riskModelTypeID == (int)SysEnum.Risk_Model_Type_Parametric)
//{
// simulationNumber = 0;
// ComputeParametricValueAtRisk(computeDate, riskBookID, resultNumber, confidenceLevel, timeHorizon, windowSize, attributeLookup, attributeID, false, ref valueAtRisk);
//}
for (int i = 0; i < resultNumber; i++)
{
RskBookAttriResult riskBookResult = new RskBookAttriResult();
//confidenceLevelLookupID[i] = confidenceLevel[i];
riskBookResult.ComputeDate = computeDate;
riskBookResult.RiskBookId = riskBookID;
// riskBookResult.attributeGroupID = attributeGroupID;
riskBookResult.AttributeId = activeAttributeID;
riskBookResult.SimulationNumber = 0;
riskBookResult.ConfidenceLevelId = confidenceLevelID[i];
riskBookResult.RiskExposure = (decimal)valueAtRisk[i];
riskBookResult.VolatilityRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.Valueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VolatilityValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.InterestRateRiskExposure = (decimal)valueAtRisk[i];
riskBookResult.FxRateValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.IncrementalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.MarginalValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.ComponentValueatrisk = (decimal)valueAtRisk[i];
riskBookResult.VarLimitLevel = 0;
riskBookResult.VarBreachLevel = 0;
riskBookResult.BreachSeverityLevel = 0;
riskBookResult.MarkToMarketValue = 0;
riskBookResult.ProfitlossValue = 0;
//set up !!!
riskBookResult.CreateUname = CurrentUser.UserName;
riskBookResult.CreateDate = DateTime.Now;
riskBookResult.State.MarkNew();
riskBookResults.Add(riskBookResult);
}
SaveOrUpdateRiskBookAttributeHistogram(computeDate, riskBookID, simulationNumber, tickNumber, activeAttributeID, riskGroupType, tickValue, frequencyValue);
#endregion
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookAttriResult";
info.AddParam("ComputeDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", 0);
info.AddParam("AttributeId", riskGroupType);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookAttriResult>(riskBookResults);
////delete existing dataset first
//riskBookResultsToDelete = riskBookResultService.GetListByDateNumber(computeDate, riskBookID, riskGroupType, simulationNumber);
//if (riskBookResultsToDelete != null && riskBookResultsToDelete.Count > 0)
//{
// riskBookResultService.Save(riskBookResultsToDelete, new List<RiskBookAttributeResult>(), new List<RiskBookAttributeResult>());
//}
////then insert the newly computed dataset
//riskBookResultService.Save(new List<RiskBookAttributeResult>(), new List<RiskBookAttributeResult>(), riskBookResults);
#endregion
}
private void ComputeRiskPositionByAttributeLookup(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType)
{
IList<RskBookAttriPosition> riskBookAttributeRiskPositions = new List<RskBookAttriPosition>();
IList<RiskBookAttributeRiskPositionView> riskBookAttributeRiskPositionsView = new List<RiskBookAttributeRiskPositionView>();
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
riskBookAttributeRiskPositionsView = riskBookAttributeRiskPositionViewService.GetListForPortfolioWithSpringDao(riskBookID, computeDate, riskGroupType);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
riskBookAttributeRiskPositionsView = riskBookAttributeRiskPositionViewService.GetListForInstrumentTypeWithSpringDao(riskBookID, computeDate, riskGroupType);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
riskBookAttributeRiskPositionsView = riskBookAttributeRiskPositionViewService.GetListForCounterpartyWithSpringDao(riskBookID, computeDate, riskGroupType);
}
//else if (attributeGroupID == (int)SysEnum.Attribute_Commodity)
//{
// attribute = SysEnum.Attribute_Commodity.GetEnumName();
// riskBookAttributeRiskPositionsView = riskBookAttributeRiskPositionViewService.GetListForCommodityWithSpringDao(riskBookID, computeDate, riskGroupType);
//}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Trader)
{
riskBookAttributeRiskPositionsView = riskBookAttributeRiskPositionViewService.GetListForTraderWithSpringDao(riskBookID, computeDate, riskGroupType);
}
#region For Risk Book Attribute Risk Position
foreach (RiskBookAttributeRiskPositionView riskBookAttributeRiskPositionView in riskBookAttributeRiskPositionsView)
{
RskBookAttriPosition riskBookAttributeRiskPosition = new RskBookAttriPosition();
riskBookAttributeRiskPosition.RiskGroupType = riskGroupType;
riskBookAttributeRiskPosition.AsOfDate = computeDate;
riskBookAttributeRiskPosition.RiskBookId = riskBookID;
// riskBookAttributeRiskPosition.attributeGroupID = attributeGroupID;
riskBookAttributeRiskPosition.AttributeId = riskBookAttributeRiskPositionView.AttributeID;
riskBookAttributeRiskPosition.RiskCoreFactorId = riskBookAttributeRiskPositionView.RiskCoreFactorID;
riskBookAttributeRiskPosition.RiskFactorId = riskBookAttributeRiskPositionView.RiskFactorID;
riskBookAttributeRiskPosition.IndexPriceFactorId = riskBookAttributeRiskPositionView.IndexPriceFactorID;
riskBookAttributeRiskPosition.IndexPriceCurveId = riskBookAttributeRiskPositionView.IndexPriceCurveID;
riskBookAttributeRiskPosition.TraderId = riskBookAttributeRiskPositionView.TraderID;
riskBookAttributeRiskPosition.WindowSize = riskBookAttributeRiskPositionView.WindowSize;
riskBookAttributeRiskPosition.UnitsPerContract = riskBookAttributeRiskPositionView.UnitsPerContract;
riskBookAttributeRiskPosition.IndexPriceRateValue = riskBookAttributeRiskPositionView.IndexPriceRateValue;
riskBookAttributeRiskPosition.VolatilityValue = riskBookAttributeRiskPositionView.VolatilityValue;
riskBookAttributeRiskPosition.DiscountedCashflow = riskBookAttributeRiskPositionView.DiscountedCashflow;
riskBookAttributeRiskPosition.RiskPosition = riskBookAttributeRiskPositionView.RiskPosition;
riskBookAttributeRiskPosition.VolatilityRiskPosition = riskBookAttributeRiskPositionView.VolRiskPosition;
riskBookAttributeRiskPosition.InterestRateRiskPosition = riskBookAttributeRiskPositionView.RiskPositionForIR;
riskBookAttributeRiskPosition.FxRateRiskPosition = riskBookAttributeRiskPositionView.RiskPositionForFX;
riskBookAttributeRiskPosition.RiskExposure = riskBookAttributeRiskPositionView.RiskExposure;
riskBookAttributeRiskPosition.VolatilityRiskExposure = riskBookAttributeRiskPositionView.VolRiskExposure;
riskBookAttributeRiskPosition.InterestRateRiskExposure = riskBookAttributeRiskPositionView.RiskExposureForIR;
riskBookAttributeRiskPosition.FxRateRiskExposure = riskBookAttributeRiskPositionView.RiskExposureForFX;
riskBookAttributeRiskPosition.CreateUname = CurrentUser.UserName;
riskBookAttributeRiskPosition.CreateDate = DateTime.Now;
riskBookAttributeRiskPosition.State.MarkNew();
riskBookAttributeRiskPositions.Add(riskBookAttributeRiskPosition);
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookAttriPosition";
info.AddParam("AsOfDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("RiskGroupType", (int)riskGroupType);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookAttriPosition>(riskBookAttributeRiskPositions);
#endregion
}
private void ComputeProfitLossByAttributeLookup(DateTime computeDate, int riskBookID, Risk_Group_Type riskGroupType)
{
IList<RskBookAttriProfitloss> riskBookAttributeProfitLossList = new List<RskBookAttriProfitloss>();
IList<RiskBookAttributeProfitLossView> riskBookAttributeProfitLossesView = new List<RiskBookAttributeProfitLossView>();
if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Portfolio)
{
riskBookAttributeProfitLossesView = riskBookAttributeProfitLossViewService.GetListForPortfolioWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Instrument_Type)
{
riskBookAttributeProfitLossesView = riskBookAttributeProfitLossViewService.GetListForInstrumentTypeWithSpringDao(riskBookID, computeDate);
}
else if (riskGroupType == Risk_Group_Type.Risk_Group_Type_Counterparty)
{
riskBookAttributeProfitLossesView = riskBookAttributeProfitLossViewService.GetListForCounterpartyWithSpringDao(riskBookID, computeDate);
}
//else if (attributeGroupID == (int)SysEnum.Attribute_Commodity)
//{
// attribute = SysEnum.Attribute_Commodity.GetEnumName();
// riskBookAttributeProfitLossesView = riskBookAttributeProfitLossViewService.GetListForCommodityWithSpringDao(riskBookID, computeDate, riskGroupType);
//}
//else if (attributeGroupID == (int)SysEnum.Attribute_Trader)
//{
// attribute = SysEnum.Attribute_Trader.GetEnumName();
// riskBookAttributeProfitLossesView = riskBookAttributeProfitLossViewService.GetListForTraderWithSpringDao(riskBookID, computeDate, riskGroupType);
//}
#region For Risk Book Attribute Risk Position
foreach (RiskBookAttributeProfitLossView riskBookAttributeProfitLossView in riskBookAttributeProfitLossesView)
{
RskBookAttriProfitloss riskBookAttributeProfitLoss = new RskBookAttriProfitloss();
riskBookAttributeProfitLoss.AsOfDate = computeDate;
riskBookAttributeProfitLoss.RiskBookId = riskBookID;
riskBookAttributeProfitLoss.RiskGroupType = riskGroupType;
// riskBookAttributeProfitLoss.attributeGroupID = attributeGroupID;
riskBookAttributeProfitLoss.AttributeId = riskBookAttributeProfitLossView.AttributeID;
//riskBookAttributeProfitLoss.TraderId = riskBookAttributeProfitLossView.TraderID;
riskBookAttributeProfitLoss.RealizedProfitlossValue = riskBookAttributeProfitLossView.RealizedProfitLossValue; ;
riskBookAttributeProfitLoss.UnrealizedProfitlossValue = riskBookAttributeProfitLossView.UnrealizedProfitLossValue;//
riskBookAttributeProfitLoss.ProfitlossValue = riskBookAttributeProfitLossView.ProfitLossValue;
riskBookAttributeProfitLoss.MarkToMarketValue = riskBookAttributeProfitLossView.MarkToMarketValue;
riskBookAttributeProfitLoss.CreateUname = CurrentUser.UserName;
riskBookAttributeProfitLoss.CreateDate = DateTime.Now;
riskBookAttributeProfitLoss.State.MarkNew();
riskBookAttributeProfitLossList.Add(riskBookAttributeProfitLoss);
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookAttriProfitloss";
info.AddParam("AsOfDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("RiskGroupType", (int)riskGroupType);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll(riskBookAttributeProfitLossList);
#endregion
}
private void SaveOrUpdateRiskBookAttributeHistogram(DateTime computeDate, int riskBookID, int simulationNumber, int tickNumber, int attributeID, Risk_Group_Type riskGroupType, double[] tickValue, double[] frequencyValue)
{
// IRiskBookAttributeHistogramService riskBookAttributeHistogramService = (IRiskBookAttributeHistogramService)ServiceLocator.Get("riskBookAttributeHistogramService");
IList<RskBookAttriHistogram> riskBookAttributeHistograms = new List<RskBookAttriHistogram>();
IList<RskBookAttriHistogram> riskBookAttributeHistogramsToDelete = new List<RskBookAttriHistogram>();
for (int k = 0; k < tickNumber; k++)
{
RskBookAttriHistogram riskBookAttributeHistogram = new RskBookAttriHistogram();
riskBookAttributeHistogram.ComputeDate = computeDate;
riskBookAttributeHistogram.RiskBookId = riskBookID;
// riskBookAttributeHistogram.attributeGroupID = attributeGroupID;
riskBookAttributeHistogram.AttributeId = attributeID;
riskBookAttributeHistogram.SimulationNumber = simulationNumber;
riskBookAttributeHistogram.TickNumber = tickNumber;
riskBookAttributeHistogram.TickId = k;
riskBookAttributeHistogram.TickValue = (decimal)tickValue[k];
riskBookAttributeHistogram.FrequencyValue = (decimal)frequencyValue[k];
riskBookAttributeHistogram.CreateUname = CurrentUser.UserName;
riskBookAttributeHistogram.CreateDate = DateTime.Now;
riskBookAttributeHistogram.State.MarkNew();
riskBookAttributeHistograms.Add(riskBookAttributeHistogram);
}
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = " delete from RskBookAttriHistogram ";
info.AddParam("ComputeDate", computeDate);
info.AddParam("RiskBookId", riskBookID);
info.AddParam("AttributeId", attributeID);
info.AddParam("SimulationNumber", simulationNumber);
info.AddParam("TickNumber", tickNumber);
Dao.ExecuteUpdate(info);
Dao.SaveOrUpdateAll<RskBookAttriHistogram>(riskBookAttributeHistograms);
}
private void SaveOrUpdateRiskBookBaseHistogram(DateTime computeDate, int riskBookID, int simulationNumber, int tickNumber, double[] tickValue, double[] frequencyValue)
{
// IRiskBookHistogramService riskBookHistogramService = (IRiskBookHistogramService)ServiceLocator.Get("riskBookHistogramService");
IList<RskBookHistogram> riskBookHistograms = new List<RskBookHistogram>();
IList<RskBookHistogram> riskBookHistogramsToDelete = new List<RskBookHistogram>();
for (int k = 0; k < tickNumber; k++)
{
RskBookHistogram riskBookHistogram = new RskBookHistogram();
riskBookHistogram.ComputeDate = computeDate;
riskBookHistogram.RiskBookId = riskBookID;
riskBookHistogram.SimulationNumber = simulationNumber;
riskBookHistogram.TickNumber = tickNumber;
riskBookHistogram.TickId = k;
riskBookHistogram.TickValue = (decimal)tickValue[k];
riskBookHistogram.FrequencyValue = (decimal)frequencyValue[k];
riskBookHistogram.CreateUname = CurrentUser.UserName;
riskBookHistogram.CreateDate = DateTime.Now;
riskBookHistogram.State.MarkNew();
riskBookHistograms.Add(riskBookHistogram);
}
//delete existing dataset first
Dao.GetCurrentSession().Clear();
Framework.QueryInfo info = new Framework.QueryInfo();
info.CustomSQL = "delete from RskBookHistogram";
info.AddParam("RiskBookId", riskBookID);
info.AddParam("SimulationNumber", simulationNumber);
info.AddParam("ComputeDate", computeDate);
Dao.ExecuteUpdate(info);
//then insert the newly computed dataset
Dao.SaveOrUpdateAll<RskBookHistogram>(riskBookHistograms);
}
#endregion
#region IRiskCalculationEODService Members
#endregion
}
}