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增加vega(1bp)希腊值

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尹峰
2026-08-20 14:15:12 +08:00
parent 30b3007307
commit 5ee510aa35
11 changed files with 110 additions and 18 deletions
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YLErpDAL/Modules/EodModule/EodPositionRisksQueryService.cs
+2
View File
@@ -2032,6 +2032,7 @@ namespace YLErp.Modules.EodModule
dic.Add("Gamma_r_1bp", OtcFormatExtensions.OtcFormat(item.Gamma_r_1bp, OtcFormatFlag.greek));
dic.Add("Vega_r", OtcFormatExtensions.OtcFormat(item.Vega_r, OtcFormatFlag.greek));
dic.Add("Vega_r_1bp", OtcFormatExtensions.OtcFormat(item.Vega_r_1bp, OtcFormatFlag.greek));
dic.Add("Vega_1bp", OtcFormatExtensions.OtcFormat(item.Vega_1bp, OtcFormatFlag.greek));
}
@@ -2143,6 +2144,7 @@ namespace YLErp.Modules.EodModule
dic.Add("Gamma_r_1bp", "");
dic.Add("Vega_r", "");
dic.Add("Vega_r_1bp", "");
dic.Add("Vega_1bp", "");
}
results.Add(dic);
}
YLErpDAL/Modules/EodModule/GLMSGreeksHandleService.cs
+7
View File
@@ -164,6 +164,7 @@ namespace YLErp.Modules.EodModule
dto.Dv01 = calcDto.Dv01;
dto.Gamma_r_1bp = calcDto.Gamma_r_1bp;
dto.Vega_r_1bp = calcDto.Vega_r_1bp;
dto.Vega_1bp = calcDto.Vega_1bp;
}
@@ -183,6 +184,7 @@ namespace YLErp.Modules.EodModule
calRes.Dv01 = calcDto.Dv01;
calRes.Gamma_r_1bp = calcDto.Gamma_r_1bp;
calRes.Vega_r_1bp = calcDto.Vega_r_1bp;
calRes.Vega_1bp = calcDto.Vega_1bp;
}
@@ -267,6 +269,9 @@ namespace YLErp.Modules.EodModule
private void handle(GreeksCalcDto dto, underlying_manager um)
{
// 标准 Vega 的 1bp 变体：全资产计算，不受利率类过滤限制
dto.Vega_1bp = dto.Vega * 0.0001;
if (!calcInstrumentTypes.Contains(um.UnderlyingInstrumentType))
{
return;
@@ -353,6 +358,8 @@ namespace YLErp.Modules.EodModule
public double? Vega_r_1bp { get; set; }
public double? Vega_1bp { get; set; }
}
public class ChinaBondIndexQuoteQueryDto