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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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YLErpWeb/wwwroot/Scripts/app/pricing/structure.js
+9 -8
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@@ -214,7 +214,7 @@ const vueMarginTemplateName = function () {
}
//计算结果字段
const consCalcFields = Object.freeze(['TotalMargin', 'Pv', 'Delta', 'Gamma', 'Vega', 'Theta', 'Rho', 'PvContainsKnockOut', 'DeltaContainsKnockOut', 'DeltaInLots', 'GammaInLots', 'DeltaCash', 'GammaCash', 'VegaCash', 'GammaContainsKnockOut', 'Delta_r', 'Delta_r_1bp', 'Dv01', 'Gamma_r', 'Gamma_r_1bp', 'Vega_r', 'Vega_r_1bp']);
const consCalcFields = Object.freeze(['TotalMargin', 'Pv', 'Delta', 'Gamma', 'Vega', 'Theta', 'Rho', 'PvContainsKnockOut', 'DeltaContainsKnockOut', 'DeltaInLots', 'GammaInLots', 'DeltaCash', 'GammaCash', 'VegaCash', 'GammaContainsKnockOut', 'Delta_r', 'Delta_r_1bp', 'Dv01', 'Gamma_r', 'Gamma_r_1bp', 'Vega_r', 'Vega_r_1bp', 'Vega_1bp']);
var _trades, _tradeVues, _salesCommissionCtrl;
//交易保存
@@ -1913,13 +1913,14 @@ function createVue(index, baseVue, floating) {
calcResult.PvContainsKnockOut = pricingFormat.tradePrice(result.PvContainsKnockOut);
calcResult.DeltaContainsKnockOut = pricingFormat.greek(result.DeltaContainsKnockOut);
calcResult.GammaContainsKnockOut = pricingFormat.greek(result.GammaContainsKnockOut);
calcResult.Delta_r = result.Delta_r ? pricingFormat.greek(result.Delta_r) : "";
calcResult.Delta_r_1bp = result.Delta_r_1bp ? pricingFormat.greek(result.Delta_r_1bp) : "";
calcResult.Dv01 = result.Dv01 ? pricingFormat.greek(result.Dv01) : "";
calcResult.Gamma_r = result.Gamma_r ? pricingFormat.greek(result.Gamma_r) : "";
calcResult.Gamma_r_1bp = result.Gamma_r_1bp ? pricingFormat.greek(result.Gamma_r_1bp) : "";
calcResult.Vega_r = result.Vega_r ? pricingFormat.greek(result.Vega_r) : "";
calcResult.Vega_r_1bp = result.Vega_r_1bp ? pricingFormat.greek(result.Vega_r_1bp) : "";
calcResult.Delta_r = result.Delta_r != null ? pricingFormat.greek(result.Delta_r) : "";
calcResult.Delta_r_1bp = result.Delta_r_1bp != null ? pricingFormat.greek(result.Delta_r_1bp) : "";
calcResult.Dv01 = result.Dv01 != null ? pricingFormat.greek(result.Dv01) : "";
calcResult.Gamma_r = result.Gamma_r != null ? pricingFormat.greek(result.Gamma_r) : "";
calcResult.Gamma_r_1bp = result.Gamma_r_1bp != null ? pricingFormat.greek(result.Gamma_r_1bp) : "";
calcResult.Vega_r = result.Vega_r != null ? pricingFormat.greek(result.Vega_r) : "";
calcResult.Vega_r_1bp = result.Vega_r_1bp != null ? pricingFormat.greek(result.Vega_r_1bp) : "";
calcResult.Vega_1bp = result.Vega_1bp != null ? pricingFormat.greek(result.Vega_1bp) : "";
calcResult.TotalMargin = 0;
if (data === this.datas[this.datas.length - 1]) {
calcResult.TotalMargin = pageVue.GetTotalMargin(_.map(this.datas, x => x.trade), this.structureType);