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IMGroupDefinitionRepository imGroupDefinitionRepositoryInstance = new IMGroupDefinitionRepository();
IMGroupTimeBucketRepository imGroupTimeBucketRepository = new IMGroupTimeBucketRepository();
List<IMGroupDefinitionEntity> imGroupDefinitionList = imGroupDefinitionRepositoryInstance.getAllFields(groupNameList);
List<ImGroupTimeBucketEntity> timeBucketList = imGroupTimeBucketRepository.getTimeBuckets(groupNameList);
VolatilitySer volatilityInstance = new VolatilitySer();
List<Double> sonucTablosuPFEDegerleri = new ArrayList<>();
boolean assetAndCurrency = false;
boolean yieldCurveAndDtm = false;
boolean assetCurrencyANDyieldCurveDtm = false;
for (int i = 0; i <imGroupDefinitionList.size() ; i++) {
VolatilityDto dto = new VolatilityDto();
//String startDate = DateUtils.convert_yyyyMMdd_to_ddMMyyyy(DateUtils.gunGeriGitIsGunuIcin(date,imGroupDefinitionList.get(i).getObservationPeriod()));
String startDate = DateUtils.convert_yyyyMMdd_to_ddMMyyyy(DateUtils.gunGeriGitIsGunuIcin(date,imGroupDefinitionList.get(i).getObservationPeriod(),"T0"));
dto.setStartDate(DateUtils.date2Str(startDate));
date.replace(".", "");
dto.setEndDate(date);
dto.setVolatilityModel("EWMA");
dto.setAssetCurrency(imGroupDefinitionList.get(i).getAsset()+"/"+imGroupDefinitionList.get(i).getCurrency());
dto.setCmbRetCalc("Logarithmic");
dto.setType("hard");
EwmaServ emwainstance = new EwmaServ();
HesaplamaParam hp = new HesaplamaParam();
hp.setVolatiliteTipi("EWMA");
Stat stat = new Stat(hp);
hp.setVolatiliteTipi("EWMA");
// FiyatHesapla fiyatHesaplaInstance = new FiyatHesapla(hp);
// fiyatHesaplaInstance.setBaslangicTarihi(DateUtils.date2Str(startDate));
// fiyatHesaplaInstance.setVarlikAdi(imGroupDefinitionList.get(i).getAsset());
// fiyatHesaplaInstance.setBitisTarihi(date);
// fiyatHesaplaInstance.setYuzdelikLogaritmik("logaritmik");
//
// fiyatHesaplaInstance.getirileriAl(true);20220301 20210302
ZamanSerisi zs = null;
ZamanSerisi zsForAssetAndCurrency = null;
ZamanSerisi zsForYieldCurveAndDtm = null;
double volatility = 0;
double finalvolatilityForAssetAndCurrency = 0;
double finalvolatilityForYieldCurveAndDtm = 0;
double totalYield = 0;
double averageYield = 0;
double correl = 0;
double fxirVolatility = 0;
SeriMaske smTum = new SeriMaske();
//smTum.ekleVeri("20200303", "20220103","T0");
smTum.ekleVeri(dto.getStartDate(), dto.getEndDate(),"T0");
smTum.olusturMaske();
DegerlemeControl dc = new DegerlemeControl(hp, hp.getSession());
if(imGroupDefinitionList.get(i).getAsset() != null && imGroupDefinitionList.get(i).getCurrency() != null && imGroupDefinitionList.get(i).getYieldCurve() == null) {
assetAndCurrency = true;
zs = new ZamanSerisi(imGroupDefinitionList.get(i).getAsset(), dto.getStartDate(), dto.getEndDate(), hp, imGroupDefinitionList.get(i).getCurrency());
}
else if(imGroupDefinitionList.get(i).getAsset() == null && imGroupDefinitionList.get(i).getCurrency() == null && imGroupDefinitionList.get(i).getYieldCurve() != null) {
yieldCurveAndDtm = true;
zs = new ZamanSerisi(imGroupDefinitionList.get(i).getYieldCurve(), 365, dc, smTum, false, hp,true);
}
else if (imGroupDefinitionList.get(i).getAsset() != null && imGroupDefinitionList.get(i).getCurrency() != null && imGroupDefinitionList.get(i).getYieldCurve() != null){
assetCurrencyANDyieldCurveDtm = true;
zsForAssetAndCurrency = new ZamanSerisi(imGroupDefinitionList.get(i).getAsset(), dto.getStartDate(), dto.getEndDate(), hp, imGroupDefinitionList.get(i).getCurrency());
zsForYieldCurveAndDtm = new ZamanSerisi(imGroupDefinitionList.get(i).getYieldCurve(), 360, dc, smTum, false, hp,true);
}
if(assetCurrencyANDyieldCurveDtm == true){
zsForAssetAndCurrency.uygulaMaske(smTum);
zsForYieldCurveAndDtm.uygulaMaske(smTum);
for (int k = 0; k < zsForYieldCurveAndDtm.getSeri().length; k++) {
//totalYield += ((PiyasaVeriData) zs.seriArrayIslenmemis.get(k)).yield;
totalYield += zsForYieldCurveAndDtm.getSeri()[k];
// newmap.put(k,((PiyasaVeriData) zs.seriArrayIslenmemis.get(k)).tarih);
}
averageYield = totalYield / zsForYieldCurveAndDtm.getSeri().length;
correl = stat.getCorrel(zsForAssetAndCurrency, zsForYieldCurveAndDtm);
zsForAssetAndCurrency.convertSeriYuzdelikGetiri(smTum.getMaskeArray());
zsForYieldCurveAndDtm.convertSeriYuzdelikGetiri(smTum.getMaskeArray());
double varianceForassetCurrency = stat.getVariance(zsForAssetAndCurrency);
finalvolatilityForAssetAndCurrency = Math.sqrt(varianceForassetCurrency);
double varianceForYieldCurveAndDtm = stat.getVariance(zsForYieldCurveAndDtm);
finalvolatilityForYieldCurveAndDtm = Math.sqrt(varianceForYieldCurveAndDtm);
double correlationPopulation = Stat.findCorrelationPopulation(zsForAssetAndCurrency.getSeri(), zsForYieldCurveAndDtm.getSeri());
if(imGroupDefinitionList.get(i).getMethod() != null) {
ZamanSerisi zamanSeriAfterImposingMethodForAssetAndCurrency = this.getSeriAfterImposingMethod(zsForAssetAndCurrency, imGroupDefinitionList.get(i).getMethod());
ZamanSerisi zamanSeriAfterImposingMethodForYieldCurveAndDtm = this.getSeriAfterImposingMethod(zsForYieldCurveAndDtm, imGroupDefinitionList.get(i).getMethod());
zamanSeriAfterImposingMethodForAssetAndCurrency.volatilite = null;
zamanSeriAfterImposingMethodForAssetAndCurrency.mean = null;
double varForAssetAndCurrency = stat.getVariance(zamanSeriAfterImposingMethodForAssetAndCurrency);
finalvolatilityForAssetAndCurrency = Math.sqrt(varForAssetAndCurrency);
zamanSeriAfterImposingMethodForYieldCurveAndDtm.volatilite = null;
zamanSeriAfterImposingMethodForYieldCurveAndDtm.mean = null;
double varForYieldCurveAndDtm = stat.getVariance(zamanSeriAfterImposingMethodForYieldCurveAndDtm);
finalvolatilityForYieldCurveAndDtm = Math.sqrt(varForYieldCurveAndDtm);
}
//fxirVolatility = Math.pow(0.5, 2) * Math.pow(finalvolatilityForAssetAndCurrency,2) + Math.pow(0.5, 2) * Math.pow((finalvolatilityForYieldCurveAndDtm * averageYield),(finalvolatilityForYieldCurveAndDtm * averageYield)) * finalvolatilityForYieldCurveAndDtm * averageYield + (2* Math.pow(0.5,2)* correlationPopulation * finalvolatilityForAssetAndCurrency * finalvolatilityForYieldCurveAndDtm * averageYield));
fxirVolatility = Math.pow(0.5, 2) * Math.pow(finalvolatilityForAssetAndCurrency,2) + Math.pow(0.5, 2) * Math.pow((finalvolatilityForYieldCurveAndDtm * averageYield),2) + 2* Math.pow(0.5,2) * correlationPopulation * finalvolatilityForAssetAndCurrency * finalvolatilityForYieldCurveAndDtm * averageYield;
volatility = Math.sqrt(fxirVolatility);
}
else {
zs.uygulaMaske(smTum);
if (yieldCurveAndDtm == true) {
for (int k = 0; k < zs.getSeri().length; k++) {
//totalYield += ((PiyasaVeriData) zs.seriArrayIslenmemis.get(k)).yield;
totalYield += zs.getSeri()[k];
// newmap.put(k,((PiyasaVeriData) zs.seriArrayIslenmemis.get(k)).tarih);
}
averageYield = totalYield / zs.getSeri().length;
}
zs.convertSeriYuzdelikGetiri(smTum.getMaskeArray());
double var = stat.getVariance(zs);
volatility = Math.sqrt(var);
if(imGroupDefinitionList.get(i).getMethod() != null) {
zs = this.getSeriAfterImposingMethod(zs,imGroupDefinitionList.get(i).getMethod());
zs.volatilite = null;
zs.mean = null;
var = stat.getVariance(zs);
volatility = Math.sqrt(var);
}
}
double capital_adequacy_coefficient = Double.parseDouble(EngineConf.getConfDegeri("CAPITAL_ADEQUACY_COEFFICIENT"));
double pfe = 0;
double formulaA = 0;
double formulaB = 0;
double cva = 0;
List<CvaDefaultRiskWeightEntity> cvaDefaultRiskWeightEntityList = new CVADefaultRiskWeightRepository().list();
for (int j = 0; j < timeBucketList.size(); j++) {
if(imGroupDefinitionList.get(i).getGroupName().equalsIgnoreCase(timeBucketList.get(j).getGroupName())) {
double multiplier = Double.parseDouble(imGroupDefinitionList.get(i).getMultiplier());
double dtmSqrt = Math.sqrt(Double.parseDouble(timeBucketList.get(j).getDtm()));
pfe = this.calculatePFE(assetAndCurrency,yieldCurveAndDtm,volatility,multiplier,dtmSqrt,averageYield,assetCurrencyANDyieldCurveDtm);
for (int k = 0; k < cvaDefaultRiskWeightEntityList.size() ; k++) {
for (int l = 0; l < Double.parseDouble(imGroupDefinitionList.get(i).getTrdDiversification()); l++) {
formulaA += cvaDefaultRiskWeightEntityList.get(k).getDefaultRiskWeight() * (Double.parseDouble(timeBucketList.get(j).getDtm()) / 365) * pfe;
formulaB += Math.pow((cvaDefaultRiskWeightEntityList.get(k).getDefaultRiskWeight() * (Double.parseDouble(timeBucketList.get(j).getDtm()) / 365) * pfe),2);
}
//cva = capital_adequacy_coefficient * 2.328065920326599 / Double.parseDouble(imGroupDefinitionList.get(i).getTrdDiversification()) * Math.sqrt( (0.5 * Math.pow(formulaA,2)) + (0.75*formulaB));
cva = capital_adequacy_coefficient * 2.328065920326599 / Double.parseDouble(imGroupDefinitionList.get(i).getTrdDiversification()) * Math.sqrt( 0.5 * Math.pow(0.0001239224217,2) + 3.839191649998158e-9);
formulaA = 0;
formulaB = 0;
}
}
}
}
return null;
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