').insertBefore(tradeVue.$el).get(0));
- _tradeVues.splice(arrIndex, 0, vue);
- }
-
- //新增策略
- function addTrades(trades) {
- if (_tradeVues && _tradeVues[0] && !_tradeVues[0].getData().trade.StructureType) {
- return main.alert('不能同时添加单笔交易和组合交易');
- }
-
- var datas = _.map(trades, trade => {
- trade = _.transform(trade, (result, val, key) => {
- key in result && (result[key] = val);
- }, _.cloneDeep(pageVue.Trade));
- if (trade.UnderlyingInstrumentType !== 'Stock' && trade.UnderlyingInstrumentType !== 'StockIndex') {
- trade.StockEqvNotionalReal = pricingFormat.StockEqvNotional(trade.Notional * trade.SpotPrice);
- trade.StockEqvNotional = trade.StockEqvNotionalReal;
- }
- else {
- trade.StockEqvNotionalReal = trade.StockEqvNotional;
- }
- trade.SpotPrice = trade.UnderlyingPrice;
- trade.NoRiskRate = null;
- trade.DividendRate = 0;
- trade.ParticipationRate = 1;
- trade.AnnualizeFactor = 1;
- if (pageVue.NumOfSmoothingDaysCfg === 'ONE' && pageVue.IsTradeVol) {
- trade.NumOfSmoothingDays = 1;
- }
- tradeUtils.normalizeTrade(trade);
- let viewState = _.cloneDeep(tradeFieldMgr.defaultData.viewState);
- viewState.initFlag = 'import2';
- return { trade: trade, viewState: viewState };
- });
-
- _index += 1;
- var vue = createVue(_index, { datas: datas, structureType: pageVue.getStructureType() });
- _tradeVues.unshift(vue);
- }
-
- //自由组合
- function combine() {
- var comVues = _.filter(_tradeVues, x => x.isSelected);
- if (comVues.length < 2) {
- return main.alert('请选择至少两项进行组合!');
- }
- var firstVue = comVues[0];
- var datas = _.flatMap(comVues.map(x => x.datas));
- if (pageVue.ClientUsedForCalc) {
- var clientId = parseInt(datas[0].trade.ClientId);
- if (!_.every(datas, x => parseInt(x.trade.ClientId) === clientId)) {
- return main.alert('所选项客户必须一致!');
- }
- }
- var vue = createVue(firstVue.index, { combining: true, datas: datas, fromLocal: true });
- vue.$mount($('
').insertBefore(firstVue.$el).get(0));
- var index = _.indexOf(_tradeVues, firstVue);
- _tradeVues[index] = vue;
- _.pullAll(_tradeVues, comVues);
- comVues.forEach(x => x.remove());
- }
-
- //取消组合
- function uncouple(tradeVue) {
- if (!tradeVue || tradeVue.floating) {
- throw '系统错误';
- }
- var arrIndex = _.indexOf(_tradeVues, tradeVue);
- if (arrIndex < 0) {
- throw '系统错误';
- }
- var index = _index += tradeVue.datas.length;
- var map = _.map(tradeVue.datas, data => {
- data.trade.hideCommen = false;
- var vue = createVue(index--, { combining: true, datas: [data], fromLocal: true });
- vue.$mount($('
').insertBefore(tradeVue.$el).get(0));
- return vue;
- });
- var args = [arrIndex, 1].concat(map);
- Array.prototype.splice.apply(_tradeVues, args);
- tradeVue.remove();
- }
-
- //波动率类型变更
- function changeVolType() {
- _tradeVues.forEach(x => x.getVol());
- }
-
- //获取所有交易数据
- function getTrades() {
- return _.flatMap(_tradeVues.map(x => x.datas)).map(x => x.trade);
- }
-
- //录入交易
- function saveTrades() {
- tradeSaver.saveTrades(_tradeVues.filter(x => x.isSelected));
- }
-
- //录入组合交易
- function saveGroupTrades() {
- tradeSaver.saveGroupTrades(_tradeVues.filter(x => x.isSelected));
- }
-
- //定价计算
- function calcPrice(tradeVues) {
-
- !tradeVues && (tradeVues = _tradeVues);
-
- if (!tradeVues.length) {
- return main.alert("请至少录入一个交易");
- }
-
- var trades = _.flatMap(tradeVues, x => x.datas).map(x => x.trade);
-
- //检查并转换数据
- trades = tradeUtils.prepareTrades(trades, pageVue.getVolType(), false);
-
- if (trades) {
- let data = {
- version: pageVue.CalcVersion,
- trades: trades, calcMargin: topVue.calcMargin,
- calcAutocallGreeks: topVue.calcAutocallGreeks
- };
- main.post("/pricing/ajaxCalcPrices", data).done(function (resp) {
- //tradeVues转换为calcId为key的字典
- var map = tradeVues.reduce((result, cur) => {
- _.each(cur.datas, x => {
- result[x.trade.CalcId] = cur;
- });
- return result;
- }, {});
- //设置计算结果
- _.each(resp.obj, item => {
- map[item.CalcId].setCalcResult(item);
- });
- });
- }
- }
-
- //显示组合到期收益曲线图形
- function showPayoffLineChart(tradeVues) {
- var selectVues = _.filter(_tradeVues, x => x.isSelected);
- !tradeVues && (tradeVues = selectVues);
-
- if (!tradeVues.length) {
- return main.alert("请至少录入一个交易");
- }
-
- var trades = _.flatMap(tradeVues, x => x.datas).map(x => x.trade);
-
- //检查并转换数据
- trades = tradeUtils.prepareTrades(trades, pageVue.getVolType(), false);
-
- window.sessionStorage.removeItem("pricing_payoff_line");
- if (trades) {
- main.post("/pricing/GetTradesPayoffLine", { trades: trades }).done(function (resp) {
- //resp.obj
- window.sessionStorage.setItem("pricing_payoff_line", JSON.stringify(resp));
- window.open("/Statics/html/PayoffChart.html");
- });
- }
- }
-
- //显示组合Pv曲线
- function showPvChart(tradeVues) {
- var selectVues = _.filter(_tradeVues, x => x.isSelected);
- !tradeVues && (tradeVues = selectVues);
-
- if (!tradeVues.length) {
- return main.alert("请至少录入一个交易");
- }
-
- var trades = _.flatMap(tradeVues, x => x.datas).map(x => x.trade);
-
- //检查并转换数据
- trades = tradeUtils.prepareTrades(trades, pageVue.getVolType(), false);
-
- window.sessionStorage.removeItem("pricing_pv_line");
- if (trades) {
- main.post("/pricing/GetTradesPvLine", { trades: trades }).done(function (resp) {
- //resp.obj
- window.sessionStorage.setItem("pricing_pv_line", JSON.stringify(resp));
- window.open("/Statics/html/PvChart.html");
- });
- }
- }
-
- function showLifeLineChart(tradeVues) {
- var selectVues = _.filter(_tradeVues, x => x.isSelected);
- !tradeVues && (tradeVues = selectVues);
-
- if (!tradeVues.length) {
- return main.alert("请至少选择一笔交易");
- }
-
- var trades = _.flatMap(tradeVues, x => x.datas).map(x => x.trade);
-
- //检查并转换数据
- trades = tradeUtils.prepareTrades(trades, pageVue.getVolType(), false);
-
- window.sessionStorage.removeItem("pricing_life_lines");
- if (trades) {
- main.post("/pricing/GetTradesLifePvLine", { trades: trades }).done(function (resp) {
- //resp.obj
- window.sessionStorage.setItem("pricing_life_lines", JSON.stringify(resp));
- window.open("/Statics/html/PvLifeChart.html");
- });
- }
- }
-
- //显示Greeks变化曲线
- function showGreeksChart(tradeVues) {
- var selectVues = _.filter(_tradeVues, x => x.isSelected);
- !tradeVues && (tradeVues = selectVues);
-
- if (!tradeVues.length) {
- return main.alert("请至少选择一笔交易");
- }
-
- var trades = _.flatMap(tradeVues, x => x.datas).map(x => x.trade);
-
- //检查并转换数据
- trades = tradeUtils.prepareTrades(trades, pageVue.getVolType(), false);
-
- window.sessionStorage.removeItem("pricing_greeks_line");
- if (trades) {
- main.post("/pricing/GetTradesGreeksForLifetime", { trades: trades }).done(function (resp) {
- //resp.obj
- window.sessionStorage.setItem("pricing_greeks_line", JSON.stringify(resp));
- window.open("/Statics/html/GreeksChart.html");
- });
- }
- }
-
- //设置观察数据
- function setObservation(observationNum, observationUnit, observationHolidayType, observationDates, alignEnd, calcId, couponDayInterval) {
- if (!calcId) return;
-
- let _data = null, calcId2 = calcId.replace(/#.*$/, "");
-
- _.each(_tradeVues, vue => {
- return !(_data = _.find(vue.datas, data => data.trade.CalcId === calcId2));
- });
-
- _data && consVueTrade.methods.setObservation.apply(_data, arguments);
- }
-
- function setStructure(value, calcId) {
- if (!calcId) return;
-
- let _data = null, calcId2 = calcId + "";
-
- _.each(_tradeVues, vue => {
- return !(_data = _.find(vue.datas, data => data.trade.CalcId === calcId2));
- });
-
- _data && consVueTrade.methods.setStructure.apply(_data, arguments);
- }
-
- //对冲下单
- function hedgingOrder() {
- var comVues = _.filter(_tradeVues, x => x.isSelected);
- if (comVues.length < 1) {
- return main.alert('请至少选择一项!');
- }
- var datas = _.flatMap(comVues.map(x => x.datas));
- var instType = datas[0].trade.UnderlyingInstrumentType;
- if (!_.every(datas, x => x.trade.UnderlyingInstrumentType === instType)) {
- return main.alert('所选项标的类型必须一致!');
- }
- var rd = _.reduce(datas, (acc, cur) => {
- var code = cur.trade.UnderlyingCode;
- var delta = acc[code];
- acc[code] = (delta || 0) + (parseFloat(cur.calcResult.Delta) || 0);
- return acc;
- }, {});
- var items = _.reduce(rd, (acc, value, key) => {
- var index = acc.length / 2;
- acc.push('');
- acc.push('');
- return acc;
- }, []);
- items.push('');
- $('#orderForm').html(items.join("")).submit();
- }
-
- //浏览器本地数据缓存
- const localData = (new function () {
- if (pageVue.IsImport) {
- this.save = $.noop;
- this.load = $.noop;
- return;
- }
- this.save = function () {
- var vueDatas = _tradeVues.map(x => new Object({
- index: x.index,
- structureType: x.structureType,
- datas: x.datas.map(data => new Object({ trade: data.trade, viewState: data.viewState }))
- }));
- var data = {
- index: _index,
- VolType: pageVue.getVolType(),
- SysDate: pageVue.SysDate,
- vueDatas: vueDatas,
- time: new Date().getTime()
- };
- var json = JSON.stringify(data);
- localStorage.setItem("pricing-structure-" + pageVue.UserId, json);
- };
- this.load = function () {
- //设置默认值
- var saveKey = "pricing-structure-" + pageVue.UserId;
- var storage = localStorage.getItem(saveKey);
- if (!storage) return;
- var data = JSON.parse(storage);
- if (pageVue.SysDate !== data.SysDate ||
- new Date().getHours > 18 && new Date(data.time).getHours() < 18) {
- //需要清空缓存
- localStorage.removeItem(saveKey);
- }
- else {
- _index = data.index;
- pageVue.setVolType(data.VolType);
- _.each(data.vueDatas, function (x) {
- x.fromLocal = true;
- var vue = createVue(x.index, x);
- _tradeVues.push(vue);
- });
- }
- };
- }());
-
- //持久化定价数据
- $(window).on('beforeunload', localData.save);
- $(localData.load);
-
- return {
- clear: clear,
- remove: remove,
- addTrade: addTrade,
- copyItem: copyItem,
- combine: combine,
- changeVolType: changeVolType,
- saveTrades: saveTrades,
- saveGroupTrades: saveGroupTrades,
- calcPrice: calcPrice,
- showPayoffLineChart: showPayoffLineChart,
- showPvChart: showPvChart,
- showGreeksChart: showGreeksChart,
- showLifeLineChart: showLifeLineChart,
- getTradeVues(onlySelected) {
- return onlySelected ? _tradeVues.filter(x => x.isSelected) : _tradeVues;
- },
- getTradeVue(index) { return _tradeVues[index || 0]; },
- saveLocalData: localData.save,
- setOption: addTrades, //用于和老版兼容
- setObservation: setObservation,
- setStructure: setStructure,
- uncouple: uncouple,
- hedgingOrder: hedgingOrder,
- onMountd(vue) {
- _tradeVues.length && $('#pricing-items').parent().floatingScroll();
- },
- swap(oldIndex, newIndex) {
- if (oldIndex === newIndex) return;
- let vue = _tradeVues[oldIndex];
- _tradeVues.splice(oldIndex, 1);
- _tradeVues.splice(newIndex, 0, vue);
- },
- //新增模板
- addTemplate(tplItems) {
- tplItems.forEach(x => {
- x.datas.forEach(d => {
- d.viewState = _.cloneDeep(tradeFieldMgr.defaultData.viewState);
- d.viewState.initFlag = 'template';
- var client = ylotc.clients.find(y => y.id === d.trade.ClientId);
- d.viewState.TwoSideMargin = client && client.MarginOptionType === 1;
- });
- _index += 1;
- var vue = createVue(_index, x);
- _tradeVues.unshift(vue);
- });
- }
- };
-}());
-
-//浮窗定价组件
-const floatVue = (function () {
- var _tradeVue;
-
- //关闭浮窗
- function hide() {
- if (_tradeVue) {
- _tradeVue.remove();
- _tradeVue = null;
- }
- $('#floatModal').modal('hide');
- $(document.body).removeClass('has-float');
- if (pageVue.IsImport) {
- layer.closeMe();
- }
- }
-
- //显示浮窗index, trade, viewState
- function show(baseVue, forScreenshot) {
- _tradeVue && _tradeVue.remove();
- _tradeVue = createVue(baseVue.index, baseVue, true);
- $(document.body).toggleClass('has-float', !forScreenshot);
- $('#floatModal').modal('show');
- }
-
- function screenshot() {
- screenshoter.execute(_tradeVue);
- }
-
- return {
- show: show,
- hide: hide,
- calcPrice() {
- _tradeVue && pricingVue.calcPrice([_tradeVue]);
- },
- saveTrade() {
- _tradeVue && _tradeVue.saveTrade();
- },
- screenshot: screenshot,
- getVue() { return _tradeVue; }
- };
-}());
-
-//dom ready function
-$(function () {
- tradeSaver.init();
- groupVue.init();
- //解决上层popover不能编辑的问题
- $('#floatModal').on('shown.bs.modal', function () {
- $(document).off('focusin.modal');
- });
- $(".search-label").addClass("formlabel");
- $(".formlabel").addClass("search-label");
- var sortable = Sortable.create(document.getElementById('pricing-items'), {
- handle: '.pricing-index-drag',
- onEnd: function (evt) {
- pricingVue.swap(evt.oldIndex, evt.newIndex);
- },
- });
- if (pageVue.IsImport) {
- let trade = _.cloneDeep(pageVue.Trade);
- pricingVue.addTrade(trade);
- setTimeout(function () {//交易详情页-定价增强价格不显示问题
- if (trade.TradeType == "亚式期权" && trade.StrikeType != "Floating" && trade.PayoffType == 'EnhancedArithmeticAverage') {
- $("#EnhancedPriceTitle").show();
- }
- }, 500);
- }
-
- document.onkeydown = hotkey;
-
- //当onkeydown 事件发生时调用hotkey
- function hotkey() {
- var a = window.event.keyCode;
- if ((window.event.keyCode == 81) && (event.altKey)) {
- if (floatVue.getVue() === null || floatVue.getVue() === undefined) {
- pricingVue.calcPrice();
- } else {
- floatVue.calcPrice();
- }
- }
- else if ((window.event.keyCode == 87) && (event.altKey)) {
- floatVue.screenshot();
- }
- }
-});
-
-//用于和老版兼容
-window.vue = pricingVue;
-
-//兼容定价计算页面观察日设置
-var getObservationDatesSetting = pricingVue.setObservation;
-var getStructureSetting = pricingVue.setStructure;
-
-//连离类型:障碍(Discrete),二元(MonitorType,美式)
-//补偿类型:障碍(RebateType),二元(RebateType,美式)
-
-//定价模板
-var templateVue = (function () {
-
- if (pageVue.IsImport) return;
-
- var debounceSearch;
-
- return new Vue({
- el: '#modalTemplate',
- data: {
- saveMode: true,
- saveData: {
- name: '',
- id: 0,
- _override: false,
- _CommonTemplate: true
- },
- listData: [],
- searchText: ''
- },
- mounted() {
- this.refreshList();
- debounceSearch = _.debounce(this.searchInner, 500);
- },
- methods: {
- showSave() {
- let selVues = pricingVue.getTradeVues(true);
- if (!selVues.length) {
- return main.alert('请勾选要保存的定价数据');
- }
-
- //模板名称自动赋值
- let vueDatas = selVues.map(x => new Object({
- structureType: x.structureType,
- datas: x.datas.map(data => new Object({ trade: data.trade }))
- }));
- var client = ylotc.clients.find(y => y.id === vueDatas[0].datas[0].trade.ClientId);
- let arr = [vueDatas[0].structureType, client?.Name?.substring(0, 6), vueDatas[0].datas[0].trade.UnderlyingCode, vueDatas[0].datas[0].trade.TradeDate.split('-').join(''), vueDatas[0].datas[0].trade.Strike];
- for (var i = 0; i < arr.length; i++) {
- //这里为过滤空的值
- //这里为过滤空的值
- if (!_.trim(_.toString(arr[i]))) {
- arr.splice(i, 1);
- i = i - 1;
- }
- }
- let str = arr.join("-");
-
- this.saveMode = true;
- this.saveData.name = str;
- this.saveData.json = '';
- $('#modalTemplate').modal('show');
- },
- showList() {
- this.saveMode = false;
- $('#modalTemplate').modal('show');
- },
- saveTemplate() {
- let selVues = pricingVue.getTradeVues(true);
- if (!selVues.length) {
- return main.alert('没有可保存的定价数据');
- }
- let name = (this.saveData.name).trim();
- if (!name) {
- return main.alert('请填写模板名称');
- }
- let self = this;
- let vueDatas = selVues.map(x => new Object({
- structureType: x.structureType,
- datas: x.datas.map(data => new Object({ trade: data.trade }))
- }));
- let dataJson = JSON.stringify(vueDatas);
- main.post('/pricing/AjaxSaveTemplate/v2', { name, dataJson, _override: this.saveData._override, _CommonTemplate: this.saveData._CommonTemplate }).done(function () {
- $('#modalTemplate').modal('hide');
- self.refreshList();
- self.searchInner();
- });
- },
- removeTemplate(sysUserConfigId) {
- let $item = $(event.target).closest('.yt-template-item');
- if (!$item) {
- return main.alert('系统错误，没有找到所选项');
- }
- let self = this;
- let index = $item.prevAll().length;
- let names = [$item.children('a').text()];
- main.confirmPost('确认要删除所选项"' + names[0] + '"吗?', '/pricing/AjaxRemoveTemplate', { sysUserConfigId }).done(function () {
- self.listData.splice(index, 1);
- });
- },
- loadTemplate() {
- let name = $(event.target).text();
- let TemplateType = $(event.target).next().text();
- function __do() {
- pricingVue.clear(true);
- main.post('/pricing/ajaxGetTemplate/v2', { name, TemplateType }).done(function (resp) {
- let items = JSON.parse(resp.obj);
- pricingVue.addTemplate(items);
- $('#modalTemplate').modal('hide');
- });
- }
- if (pricingVue.getTradeVues().length) {
- main.confirm("加载自定义模板将清空页面现有交易，是否继续？", __do);
- } else {
- __do();
- }
- },
- refreshList() {
- let self = this;
- this.searchText = '';
- main.post('/pricing/AjaxGetTemplateList').done(function (resp) {
- self.listData = resp.obj.map(x => new Object({ id: x.id, name: x.ConfigName, show: true, UserId: x.UserId, ConfigType: x.ConfigType }));
- });
- },
- searchInner() {
- console.log('searchInner');
- let text = this.searchText ? this.searchText.toLowerCase() : '';
- this.listData.forEach(x => {
- x.show = !text || x.name.toLowerCase().indexOf(text) >= 0;
- });
- },
- searchList(action) {
- if (action === 'reset') {
- debounceSearch.cancel();
- this.searchText = '';
- this.searchInner();
- } else {
- debounceSearch();
- }
- }
- }
- });
-}());
-
-const customNumberFormat = { precision: 6, negative: true, };
-const customNumberPercentFormat = { precision: 6, negative: true, append: '%' };
-
-var groupVue = new Vue({
- el: '#modalGroupTradeSave',
- data: {
- viewState: pageVue.viewState,
- ...consVueTrade.data(),
- trade: ylotc.trade,
- options: ylotc.options,
- structureTypes: pageObj.structureTypes,
- PropertyMap: pageObj.PropertyMap,
- },
- computed: { ...consVueTrade.computed },
- methods: {
- ...consVueTrade.methods,
- closeModal: function () {
- $('#modalGroupTradeSave').modal('hide');
- },
- saveGroupTrade: function () {
- if (!_trades) return;
-
- _trades.forEach(x => {
- x.AssetId = this.trade.AssetId;
- x.AssetBookName = this.trade.AssetBookName;
- x.TraderId = this.trade.TraderId;
- x.TraderName = this.trade.TraderName;
- x.TradeNumber = this.trade.TradeNumber;
- x.SalesCommission = this.trade.salesCommission;
- x.ClientId = this.trade.ClientId;
- x.ClientName = this.trade.ClientName;
-
- if (x.TradePremium) {
- x.MetaDic["交易溢价"] = x.TradePremium;
- }
- x.MetaDic["交易场所"] = this.trade.TradingPlace;
- x.MetaDic["清算机构"] = this.trade.ClearingAgency;
- x.MetaDic["主协议编号"] = this.trade.MainProtocolCode;
- x.MetaDic["补充协议编号"] = this.trade.SupProtocolCode;
- x.TradeType === '现金流交易' && tradeUtils.resetCashFlow(x);
- });
-
- this.setExtendInfo();
- main.post("/pricing/AjaxSaveGroupTrade", { trade: this.trade, subTrades: _trades }).done(function (resp) {
- if (pageVue.IsImport) {
- let url = "#/trade/tradeview?abstract=1&enid=" + resp.obj[0].EncryptId;
- layer.closeMe(url);//必须以#开头
- } else {
- floatVue.hide();
- $('#modalTradeSave').modal('hide');
- //showTradeView(resp.obj);
- _.each(_tradeVues, x => x.remove(true));
- }
- });
- },
- addNewProperty: function () {
- this.PropertyMap[this.trade.StructureType].push({ isNew: true, ColumnName: "", ColumnDefaultValue: "", ColumnType: 0 });//0:文本
- },
- deleteProperty: function (index) {
- this.PropertyMap[this.trade.StructureType].splice(index, 1);
- },
- setExtendInfo: function () {
- var propertyList = [];
- this.PropertyMap[this.trade.StructureType].forEach((item, index) => {
- var note = { name: item.name || item.ColumnName, value: PercentColumnText.displayText(item) };
- if (note.name) {
- propertyList.push(note);
- }
- });
- this.trade.ExtendInfo = this.trade.StructureType == "气囊结构" ? null : JSON.stringify(propertyList);
- return this.trade.ExtendInfo;
- },
- changeStrucTureType: function () {
- if (groupVue.trade.TradeType == "气囊结构") {
- groupVue.trade.trade_airbag.KIParticipationRate = 1;
- }
- else {
- groupVue.trade.OptionType = null;
- groupVue.trade.Strike = null;
- }
- },
- changeBuySell: function () {
- groupVue.trade.TradePrice *= -1;
- groupVue.trade.Day1Pnl *= -1;
- groupVue.trade.TradeSinglePrice *= -1;
- groupVue.trade.PremiumRate *= -1;
- },
- changeIsUsePremiumRate: function () {
- if (groupVue.trade.IsUsePremiumRate) {
- groupVue.changeStockEqvNotional();
- }
- else {
- groupVue.changeTradeAmount();
- }
- },
- changeStockEqvNotional: function () {
- var notional = Math.abs(groupVue.trade.StockEqvNotional / groupVue.trade.SpotPrice);
- groupVue.trade.Notional = pricingFormat.notional(notional);
- groupVue.trade.TradeAmount = pricingFormat.notional(notional / groupVue.viewState.variety.CountRatio);
- groupVue.trade.TradeSinglePrice = pricingFormat.tradeSinglePrice(groupVue.trade.TradePrice / groupVue.trade.Notional);
- groupVue.trade.PremiumRate = pricingFormat.premiumRate(groupVue.trade.TradePrice / groupVue.trade.StockEqvNotional);
- },
- changeTradeAmount: function () {
- var notional = groupVue.trade.TradeAmount * groupVue.viewState.variety.CountRatio;
- groupVue.trade.Notional = pricingFormat.notional(notional);
- groupVue.trade.StockEqvNotional = pricingFormat.stockEqvNotional(Math.abs(notional * groupVue.trade.SpotPrice));
- groupVue.trade.TradeSinglePrice = pricingFormat.tradeSinglePrice(groupVue.trade.TradePrice / groupVue.trade.Notional);
- groupVue.trade.PremiumRate = pricingFormat.premiumRate(groupVue.trade.TradePrice / groupVue.trade.StockEqvNotional);
- },
- init: function () {
- _setAutocomplete('GroupAssetId', ylotc.assetunits, null, function (data) {
- groupVue.trade.AssetId = data.id;
- groupVue.trade.AssetBookName = data.Name;
- });
- var traders = $.grep(ylotc.traders, function (e) { return e.Name == pageVue.Trade.TraderName; });
- _setAutocomplete('GroupTraderId', ylotc.traders, { Name: pageVue.Trade.TraderName, id: traders.length ? traders[0].id : 0 }, function (data) {
- groupVue.trade.TraderId = data.id;
- groupVue.trade.TraderName = data.Name;
- });
- _setAutocomplete('GroupClientId', ylotc.clients, null, function (data) {
- pageVue.SecuritiesEnvironment ? _getMainProtocolCode : null;
- groupVue.trade.ClientId = data.id;
- groupVue.trade.ClientName = data.Name;
- });
- },
- changeOption: function () {
- this.PropertyMap[this.trade.StructureType].forEach(d => {
- if (d.ColumnName != undefined) {
- d.name = d.ColumnName;
- }
- if (d.ColumnDefaultValue != undefined) {
- d.value = d.ColumnDefaultValue;
- }
- });
- }
- },
- components: {
- 'vue-niceselect': FastVue.vueNiceSelect(),
- 'vue-client': vueClient(),
- 'vue-variety': vueVariety(),
- 'vue-margintemplatename': vueMarginTemplateName(),
- 'vue-tradetype': vueTradeType(),
- 'vue-underlying': vueUnderlying(),
- 'vue-datepicker': FastVue.vueDatePicker(),
- 'vue-number-input': FastVue.vueNumberInput(),
- 'vue-daycount': vueDayCount(),
- },
-});
\ No newline at end of file
diff --git a/YLErpWeb/wwwroot/Scripts/app/pricing/tradePricing_dz.js b/YLErpWeb/wwwroot/Scripts/app/pricing/tradePricing_dz.js
deleted file mode 100644
index cfaa75c8..00000000
--- a/YLErpWeb/wwwroot/Scripts/app/pricing/tradePricing_dz.js
+++ /dev/null
@@ -1,2472 +0,0 @@
-//otcformat禁止千分位分组
-window.otcformat.options.disableGrouping = true;
-
-//去掉MyJs.js中的数组扩展,防止某些js类库出错
-delete Array.prototype.contains;
-delete Array.prototype.remove;
-
-//pageVue来自PricingModel对象序列化
-//pageVue.TradeEdit属性来自TradeEditViewModel
-//pageVue额外定义的参数:getVolType()
-
-pageVue.DaysInYear = 365;
-
-//定价格式化(来自配置)
-const pricingFormat = otcformat.trading;
-
-//数字格式化
-const consNumberFormat = Object.freeze(new function () {
- this.fixed2 = main.numberFormat(2);
- this.fixed3 = main.numberFormat(3);
- this.fixed4 = main.numberFormat(4);
- this.fixed5 = main.numberFormat(5);
- this.fixed6 = main.numberFormat(6);
-
- this.percent = main.numberFormat({ percent: true });
-
- this.umpriceP = main.numberFormat(pricingFormat.umpriceP.precision + 2);
- this.volValueFmt = pageVue.VolMoreAccurate ? this.fixed6 : this.fixed4;
- this.ttmDaysFmt = pageVue.PrecisionOfMinuteInQuote ? this.fixed5 : this.fixed4;
- return this;
-}());
-
-//基本输入格式
-const inputFormatInteger = Object.freeze({ precision: 0, append: '' });
-const inputFormatDouble2 = Object.freeze({ precision: 2, append: '' });
-const inputFormatPercent = Object.freeze({ precision: 2, append: '%' });
-const inputFormatPercentN = Object.freeze({ precision: 2, append: '%', negative: true });
-const inputFormatPercent4 = Object.freeze({ precision: 4, append: '%' });
-//权利金输入格式
-const inputFormatPremiumRate = Object.freeze({ precision: pricingFormat.premiumRateP.precision, negative: true, append: '%' });
-const inputFormatSinglePrice = Object.freeze({ precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: '' });
-const inputFormatTradePrice = Object.freeze({ precision: 2, negative: true, append: '' });
-//波动率输入格式
-const inputFormatVolPercent = Object.freeze({ precision: pageVue.VolMoreAccurate ? 4 : 2, append: '%' });
-//名义本金输入格式
-const inputFormatEqvNotional = Object.freeze({ precision: pricingFormat.StockEqvNotional.precision, append: '' });
-const inputFormatEqvNotionalReal = Object.freeze({ precision: 10, append: '' });
-//预付金率输入格式
-const inputFormatMarginRate = Object.freeze({ precision: pricingFormat.marginRateP.precision, append: '%' });
-//期初价格
-const inputFormatSpot = Object.freeze({ precision: pricingFormat.umprice.precision, append: '' });
-
-//交易方向
-const consBuysellTypes = Object.freeze(pageVue.Company === "润和"
- ? [{ value: '卖出', text: '客户买入' }, { value: '买入', text: '客户卖出' }]
- : [{ value: '卖出', text: pageVue.CompanyName + '卖出' }, { value: '买入', text: pageVue.CompanyName + '买入' }]);
-
-//观察方式
-const consMonitorTypes = Object.freeze([{ value: '离散', text: '离散' }, { value: '连续', text: '连续' }]);
-//补偿支付
-const consRebateTypes = Object.freeze([{ value: 'AtHit', text: '立即' }, { value: 'AtEnd', text: '递延' }]);
-//亚式均价计算
-const consAsiaPayoffType = Object.freeze([{ value: 'ArithmeticAverage', text: '算术平均' }, { value: 'GeometricAverage', text: '几何平均' },
-{ value: 'DiscreteArithmeticAverage', text: '算术平均(离散)' }, { value: 'EnhancedArithmeticAverage', text: '增强算术平均' }]);
-//是否选项
-const consFalseAsYes = Object.freeze([{ value: false, text: '是' }, { value: true, text: '否' }]);
-const consTrueAsYes = Object.freeze([{ value: true, text: '是' }, { value: false, text: '否' }]);
-const consFalseAsNo = Object.freeze([{ value: false, text: '否' }, { value: true, text: '是' }]);
-const consCashAsPhysical = Object.freeze([{ value: 'Cash', text: 'Cash' }, { value: 'Physical', text: 'Physical' }]);
-const consIsDiscreteMonitored = Object.freeze([{ value: true, text: '离散' }, { value: false, text: '连续' }]);
-//敲出支付方式
-const consKORebateTypes = Object.freeze([{ value: '0', text: '立即支付' }, { value: '1', text: '递延至期末支付' }]);
-//票息结算方式
-const consCouponPayTypes = Object.freeze([{ value: '0', text: '产生时支付' }, { value: '1', text: '敲出时支付' }, { value: '2', text: '期末支付' }]);
-//障碍类型
-const consBarrierTypes = Object.freeze(_.map(['上升敲入', '上升敲出', '下降敲入', '下降敲出', '双障碍敲入', '双障碍敲出'], x => new Object({ text: x, value: x })));
-//二元类型
-const consBinaryPayoffTypes = Object.freeze({
- European: _.map(['CashOrNothing', 'AssetOrNothing'], x => new Object({ text: x, value: x })),
- American: _.map(['UpOneTouch', 'DownOneTouch', 'UpNoTouch', 'DownNoTouch', 'DoubleOneTouch', 'DoubleNoTouch'], x => new Object({ text: x, value: x }))
-});
-const consRateType = Object.freeze([{ value: '0', text: '年化利率' }, { value: '1', text: '实际利率' }]);
-const consDepositType = Object.freeze([{ value: '0', text: '资金收益' }, { value: '1', text: '成本摊还' }]);
-const consRiskExposureType = Object.freeze([{ value: '0', text: '参与计算' }, { value: '1', text: '忽略' }]);
-
-//定价模型
-const consEngineNames = Object.freeze({
- Default: _.map(['解析解(默认)', '蒙特卡洛'], x => new Object({ text: x, value: x })),
- American: _.map(['解析解(默认)', '二叉树'], x => new Object({ text: x, value: x })),
- Autocall: _.map(['积分法(默认)', '蒙特卡洛'], x => new Object({ text: x, value: x }))
-});
-
-//统计数据重置flags
-const resetSummaryFlags = Object.freeze({ all: 0, notional: 1, ten: 10, initialMargin: 11 });
-
-//帮助类(只对trade对象进行处理)
-const tradeUtils = (function () {
-
- //IsMoneynessOption影响的字段映射
- const consMoneynessFieldMap = Object.freeze({
- BarrierLow: 'BarrierLow', BarrierHigh: 'BarrierHigh',
- StrikeHigh: 'StrikeHigh', HighStrike: 'HighStrike',
- KOBarrier: 'KOBarrier', KIBarrier: 'KIBarrier',
- CouponBarrier: 'CouponBarrier',
- SpreadStrike: 'SpreadStrike', SpreadStrike1: 'SpreadStrike1',
- SpreadStrikeAtKO: 'SpreadStrikeAtKO', SpreadStrikeAtKO1: 'SpreadStrikeAtKO1',
- UpperRange: 'UpperRange', LowerRange: 'LowerRange'
- });
-
- //IsUsePremiumRate切换时绝对值与百分比的换算字段映射
- const consUsePremiumRateFieldMap = Object.freeze({
- Rebate: 'RebateRate', RebateHigh: 'RebateHighRate',
- CashOrNothingAmount: 'CashOrNothingAmountRate',
- CashOrNothingAmountHigh: 'CashOrNothingAmountHighRate'
- });
-
- //现金流交易字段(涉及很多基本要素)
- const consCashFlowFields = Object.freeze(['MarginTemplateName', 'OptionType', 'SpotPrice', 'Strike', 'UnderlyingCode'
- , 'UnderlyingId', 'UnderlyingInstrumentType', 'PremiumRate', 'TradeAmount', 'TradeOpenVolatility', 'ExerciseMode'
- , 'MaturityDate']);
-
- //生成波动率类型转换函数
- //波动率类型为‘交易’时，根据买入方向选择交易bid（买入）或者交易Ask（卖出）的波动率曲面计算；
- function _volTypeConvert(voltype, buysell) {
- return voltype !== "交易" ? voltype
- : buysell === "卖出" ? "报价Ask" : buysell === '买入' ? '报价Bid' : voltype;
- }
-
- //获取交易波动率
- function _getTradeVol(trade, extOptions, varietyId) {
- if (trade.TradeType === "现金流交易") {
- return 0;
- }
- var result = { obj: NaN };
- var VolType = _volTypeConvert(pageVue.getVolType(), trade.BuySell);
- var postData = _.extend({
- VolType: VolType,
- Strike: trade.Strike,
- SpotPrice: trade.SpotPrice,
- TradeDate: trade.TradeDate,
- ExerciseDate: trade.ExerciseDate,
- IsMoneynessOption: trade.IsMoneynessOption,
- CallPut: trade.OptionType === "看涨" ? "Call" : "Put",
- UnderlyingId: trade.UnderlyingId,
- UnderlyingCode: trade.UnderlyingCode,
- UnderlyingName: trade.UnderlyingName,
- UnderlyingTypeId: varietyId,
- BaseVol: null,
- BidVar: null,
- AskVar: null
- }, extOptions);
- if (!postData.TradeDate || !postData.ExerciseDate) {
- var msg = [];
- !postData.TradeDate && msg.push('缺少交易日期');
- !postData.ExerciseDate && msg.push('缺少到期日期');
- return $.Deferred(function () {
- var self = this;
- setTimeout(function () {
- self.resolve({ success: true, obj: '', msg: msg.join(',') });
- }, 100);
- }).promise();
- }
- return main.post("/pricing/AjaxGetVol", postData, { waitMe: false, alertFn: pageVue.SkewMapVol ? main.message : null });
- }
-
- function _isNaN(val) {
- return isNaN(parseFloat(val));
- }
-
- //检查交易数据是否可以用于计算或保存
- function _checkTrade(trade, usedForSave) {
- var errorList = [];
- if (trade.TradeType === "现金流交易") {
- if (usedForSave && pageVue.TradeEdit) {
- if (!trade.AssetId) {
- errorList.push("簿记账户 必须填写");
- }
- if (!trade.TraderId) {
- errorList.push("交易员 必须填写");
- }
- if (!trade.ClientId) {
- errorList.push("客户名称 必须填写");
- }
- }
-
- if (!trade.ExerciseDate) {
- errorList.push("期权到期日 必须填写");
- } else if (trade.ExerciseDate < trade.TradeDate) {
- errorList.push("期权到期日 不能小于交易日期");
- }
-
- if (trade.SettlementDate && trade.SettlementDate < trade.ExerciseDate) {
- errorList.push("期权结算日 不能小于到期日");
- }
-
- trade.ExerciseMode = "";
- } else {
- if (!trade.UnderlyingId || trade.UnderlyingId === '0') {
- errorList.push("标的信息 必须填写");
- }
-
- if (usedForSave && pageVue.TradeEdit) {
- if (!trade.AssetId) {
- errorList.push("簿记账户 必须填写");
- }
- if (!trade.TraderId) {
- errorList.push("交易员 必须填写");
- }
- if (!trade.ClientId) {
- errorList.push("客户名称 必须填写");
- }
- }
-
- if (!trade.ExerciseDate) {
- errorList.push("期权到期日 必须填写");
- } else if (trade.ExerciseDate < trade.TradeDate) {
- errorList.push("期权到期日 不能小于交易日期");
- }
-
- if (trade.SettlementDate && trade.SettlementDate < trade.ExerciseDate) {
- errorList.push("期权结算日 不能小于到期日");
- }
-
- if (trade.TradeType !== '自定义交易') {
-
- if (pageVue.IsTradeVol) {
- if (!_.trim(trade.TradeOpenVolatility)) {
- errorList.push("成交波动率 必须填写");
- }
- if (usedForSave && !_.trim(trade.TradeCloseVolatility)) {
- errorList.push("目标波动率 必须填写");
- }
-
- if (!_.trim(trade.NumOfSmoothingDays)) {
- if (usedForSave && (pageVue.IsGuoJun || pageVue.SkewMapVol)) {
- errorList.push("平滑过渡天数 必须填写");
- } else {
- trade.NumOfSmoothingDays = 1;
- }
- } else if (!/^\d+$/.test(trade.NumOfSmoothingDays)) {
- errorList.push("平滑过渡天数 只能为整数");
- }
- }
- }
-
- if (trade.UnderlyingInstrumentType === "Stock" || trade.UnderlyingInstrumentType === "StockIndex") {
- if (!trade.Notional) {
- errorList.push("成交份额 必须填写");
- } else if (trade.Notional < 0) {
- errorList.push("成交份额 不能小于0");
- }
- if (!trade.StockEqvNotional) {
- errorList.push("名义本金 必须填写");
- }
- }
- else {
- if (!trade.TradeAmount) {
- errorList.push("交易数量 必须填写");
- } else if (trade.TradeAmount < 0) {
- errorList.push("交易数量 不能小于0");
- }
- }
-
- //执行价格可以随意输入
- if (!trade.Strike) {
- trade.Strike = 0;
- }
-
- //if (usedForSave && trade.TradeSinglePrice < 0) {
- // errorList.push("权利金 不能小于0");
- //}
- if (!pageVue.TradeEdit && 0 === (parseFloat(trade.TTMDays) || 0)) {
- errorList.push("TTMDays 不能为0");
- }
-
- switch (trade.TradeType) {
- case "障碍期权": {
- if (_isNaN(trade.BarrierLow)) {
- errorList.push("障碍价格 必须填写");
- }
- if (!trade.BarrierType) {
- errorList.push("障碍类型 必须填写");
- } else if (trade.BarrierType.startsWith("双") && _isNaN(trade.BarrierHigh)) {
- errorList.push("高障碍价格 必须填写");
- }
- break;
- }
- case "双鲨期权": {
- if (_isNaN(trade.BarrierLow)) {
- errorList.push("障碍价格 必须填写");
- }
- if (_isNaN(trade.BarrierHigh)) {
- errorList.push("高障碍价格 必须填写");
- }
- break;
- }
- case "气囊结构": {
- if (_isNaN(trade.BarrierLow)) {
- errorList.push("障碍价格 必须填写");
- }
- break;
- }
- case "二元期权": {
- if (trade.PayoffType !== "AssetOrNothing" && _isNaN(trade.IsUsePremiumRate ? trade.CashOrNothingAmountRate : trade.CashOrNothingAmount)) {
- errorList.push("补偿金额 必须填写");
- }
- break;
- }
- case "雪球期权": {
- _isNaN(trade.KOBarrier) && errorList.push("敲出障碍价格 必须填写");
- if (trade.KOPayoffType > 0) { //KOPayoffType可能为string类型
- _isNaN(trade.SpreadStrikeAtKO1) && errorList.push("敲出行权价1 必须填写");
- trade.KOPayoffType > 1 && _isNaN(trade.SpreadStrikeAtKO) && errorList.push("敲出行权价2 必须填写");
- }
- break;
- }
- case "凤凰期权": {
- _isNaN(trade.KOBarrier) && errorList.push("敲出障碍价格 必须填写");
- _isNaN(trade.KIBarrier) && errorList.push("敲入障碍价格 必须填写");
- break;
- }
- case "亚式期权": {
- if (trade.StrikeType === 'Segmented' && trade.PayoffType !== 'EnhancedArithmeticAverage') {
- errorList.push("行权价类型为'分段式'时,均价计算类型必须为'增强算术平均'");
- }
- if (trade.PayoffType === 'EnhancedArithmeticAverage' && trade.StrikeType === 'Floating') {
- errorList.push("均价计算类型为'增强算术平均'时,行权价类型不能为'浮动行权价'");
- }
- if (trade.PayoffType === 'EnhancedArithmeticAverage' && trade.StrikeType != 'Floating' && !_isNaN(trade.EnhancedPrice) && trade.EnhancedPrice == 0) {
- errorList.push("均价计算类型为'增强算术平均'且行权价类型不为'浮动行权价'时,增强价格必须填写");
- }
- break;
- }
- }
- }
- return errorList;
- }
-
- //IsMoneynessOption切换处理,配置:consMoneynessFieldMap
- function _moneynessSwitch(trade) {
- let spotPrice = parseFloat(trade.SpotPrice) || 0;
- let isSpotZero = Math.abs(spotPrice) < 1e-4;
- let fmt = trade.IsMoneynessOption === "是" ? consNumberFormat.umpriceP : pricingFormat.umprice;
- if (trade.IsMoneynessOption === "是") {
- trade.Strike = isSpotZero ? 1 : fmt(trade.Strike / spotPrice);
- trade.EnhancedPrice = isSpotZero ? 1 : fmt(trade.EnhancedPrice / spotPrice);
- _.each(consMoneynessFieldMap, (perKey, absKey) => {
- var absValue = parseFloat(trade[absKey]);
- if (isSpotZero || !absValue) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[perKey] = fmt(absValue / spotPrice);
- }
- });
- } else {
- //避免受到onChangeInstrumentType影响
- trade.Strike = fmt(trade.Strike * spotPrice);
- trade.EnhancedPrice = fmt(trade.EnhancedPrice * spotPrice);
- _.each(consMoneynessFieldMap, (perKey, absKey) => {
- var perVal = parseFloat(trade[perKey]);
- if (isSpotZero || !perVal) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[absKey] = fmt(perVal * spotPrice);
- }
- });
- }
- }
-
- //IsUsePremiumRate切换处理,配置:consUsePremiumRateFieldMap
- function _usePremiumRateSwitch(trade) {
- let spotPrice = Math.abs(parseFloat(trade.SpotPrice)) || 0;
- let isSpotZero = spotPrice < 1e-4;
- let fmt = trade.IsUsePremiumRate ? pricingFormat.premiumRate : pricingFormat.tradeSinglePrice;
- if (trade.IsUsePremiumRate) {
- trade.PremiumRate = isSpotZero ? '' : fmt(trade.TradeSinglePrice / spotPrice);
- _.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
- var absValue = parseFloat(trade[absKey]);
- if (isSpotZero || !absValue) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[perKey] = fmt(absValue / spotPrice);
- }
- });
- } else {
- trade.TradeSinglePrice = fmt(spotPrice * trade.PremiumRate);
- _.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
- var perVal = parseFloat(trade[perKey]);
- if (isSpotZero || !perVal) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[absKey] = fmt(perVal * spotPrice);
- }
- });
- }
- }
-
- //计算或保存时需要根据IsMoneynessOption转换隐含字段
- //转换处理和moneynessSwitch正好反过来(如果字段不同,相同时不做转换)
- function _transforCalcOrSave(trade) {
- let spotPrice = Math.abs(parseFloat(trade.SpotPrice)) || 0;
- let isSpotZero = spotPrice < 1e-4;
- let IsMoneynessOption = trade.IsMoneynessOption === "是";
- let fmt = IsMoneynessOption ? pricingFormat.umprice : consNumberFormat.umpriceP;
- _.each(consMoneynessFieldMap, (perKey, absKey) => {
- if (absKey !== perKey) {
- if (IsMoneynessOption) {
- //从百分比转换绝对值
- var perVal = trade[perKey];
- if (isSpotZero || !perVal) {
- trade[absKey] = '';
- } else {
- trade[absKey] = fmt(perVal * spotPrice);
- }
- } else {
- //从绝对值转换百分比
- var absValue = parseFloat(trade[absKey]);
- if (isSpotZero || !absValue) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[perKey] = fmt(absValue / spotPrice);
- }
- }
- }
- });
-
- fmt = trade.IsUsePremiumRate ? pricingFormat.tradeSinglePrice : pricingFormat.premiumRate;
- _.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
- if (absKey !== perKey) {
- if (trade.IsUsePremiumRate) {
- //从百分比转换绝对值
- var perVal = trade[perKey];
- if (isSpotZero || !perVal) {
- trade[absKey] = '';
- } else {
- trade[absKey] = fmt(perVal * spotPrice);
- }
- } else {
- //从绝对值转换百分比
- var absValue = parseFloat(trade[absKey]);
- if (isSpotZero || !absValue) {
- trade[absKey] = '', trade[perKey] = '';
- } else {
- trade[perKey] = fmt(absValue / spotPrice);
- }
- }
- }
- });
- }
-
- //为计算和保存准备交易数据
- function _prepareTrades(trades, volType, usedForSave) {
-
- if (!Array.isArray(trades)) {
- throw '请确保参数有效:trades';
- }
-
- //复制后检查交易数据
- var checkResults = [], clones = [];
-
- trades.forEach(trade => {
- var clone = _.clone(trade);
- _transforCalcOrSave(clone);
- !('NoRiskRate' in clone) && (clone.NoRiskRate = 0);
- //skew模式下不传voltype则根据var处理
- clone.VolType = pageVue.SkewMapVol ? '' : _volTypeConvert(volType, clone.buysell);
- clone.StartDate = clone.TradeDate;
- clones.push(clone);
- var errors = _checkTrade(clone, usedForSave);
- if (errors.length) {
- checkResults.push({ index: clone.CalcId, errors: errors });
- } else if (clone.TradeType === "障碍期权") {
- clone.BarrierHigh && !clone.BarrierType.startsWith("双") && (clone.BarrierHigh = '');
- clone.RebateHigh && !clone.BarrierType.startsWith("双障碍敲出") && (clone.RebateHigh = '');
- clone.RebateHighRate && !clone.BarrierType.startsWith("双障碍敲出") && (clone.RebateHighRate = '');
- } else if (clone.TradeType === "亚式期权") {
- clone.Strike && clone.StrikeType === "Floating" && (clone.Strike = '');
- } else if (clone.TradeType === "累计期权") {
- if (pageData.ShowMultiplier) {
- let strikeGearingFactor = parseFloat(clone.StrikeGearingFactor);
- Number.isNaN(strikeGearingFactor) && (strikeGearingFactor = 1);
- if (clone.OptionType === '看涨') {
- clone.CallMultiplier = 1;
- clone.PutMultiplier = strikeGearingFactor;
- } else {
- clone.PutMultiplier = 1;
- clone.CallMultiplier = strikeGearingFactor;
- }
- }
- }
- if (pageData.showCCR) {
- clone.MetaDic["ccr_k"] = clone.ccr_k || "1";
- clone.MetaDic["ignoreRiskExposure"] = clone.ignoreRiskExposure || "0";
- }
- });
-
- //显示检查错误
- if (checkResults.length) {
- let isTradeEdit = usedForSave
- var htmlResults = checkResults.map(x => {
- if (pageVue.TradeEdit) {
- return x.errors.map(x => '
| ' + x + ' |
');
- }
- var errmsg = x.errors.join('
');
- return `| ${x.index} | ${errmsg} |
|---|
`;
- });
- $('#checkErrorTable').find('tbody').html(htmlResults.join());
- $('#checkErrorModal').modal('show');
- return false;
- }
-
- return clones;
- }
-
- //更改交易的资产类型时的处理
- function onChangeInstrumentType(trade) {
- _.each(consMoneynessFieldMap, (perKey, absKey) => {
- trade[absKey] = '', trade[perKey] = '';
- });
-
- _.each(consUsePremiumRateFieldMap, (perKey, absKey) => {
- trade[absKey] = '', trade[perKey] = '';
- });
- }
-
- function _getEngineNames(trade) {
- if (trade.TradeType === '凤凰期权' || trade.TradeType === '雪球期权') {
- return consEngineNames.Autocall;
- } else if (trade.TradeType === '香草期权' && trade.ExerciseMode === 'American') {
- return consEngineNames.American;
- }
- else {
- return consEngineNames.Default;
- }
- }
-
- //变更预付金模板
- function changeMarginTemplate(trade, tradeMarginTemplates) {
- if (trade.MarginTemplateName === "系统默认") {
- trade.MarginType = 0;
- trade.MarginRate = 0;
- trade.PositionMarginRate = 0;
- }
- else if (trade.MarginTemplateName === "无预付金") {
- trade.MarginType = 1;
- trade.MarginRate = 0;
- trade.PositionMarginRate = 0;
- }
- else {
- tradeMarginTemplates.forEach(x => {
- if (trade.MarginTemplateName === x.Name) {
- trade.MarginType = x.MarginType;
- trade.MarginRate = x.InitialMarginRatio;
- if (trade.MarginType == 3) {
- trade.PositionMarginRate = 0;
- }
- else {
- trade.PositionMarginRate = x.PositionMarginRatio;
- }
- }
- });
- }
- }
-
- return {
- getTradeVol: _getTradeVol,
- checkTrade: _checkTrade,
- prepareTrades: _prepareTrades,
- moneynessSwitch: _moneynessSwitch,
- usePremiumRateSwitch: _usePremiumRateSwitch,
- onChangeInstrumentType: onChangeInstrumentType,
- getEngineNames: _getEngineNames,
- normalizeTrade(trade) {
- _.each(trade, (val, key) => {
- //标准化trade日期数据
- typeof val === 'string' && key.endsWith('Date') && (trade[key] = val.substr(0, 10));
- });
- },
- resetCashFlow(trade) {
- trade.IsUsePremiumRate = true;
- for (var f of consCashFlowFields) {
- trade[f] = '';
- }
- trade.RateType || (trade.RateType = 0);
- trade.DepositType || (trade.DepositType = 0);
- },
- changeMarginTemplate: changeMarginTemplate
- };
-}());
-
-//交易字段管理
-const tradeFieldMgr = (new function () {
-
- pageVue.Trade.EncryptId = '';
-
- tradeUtils.normalizeTrade(pageVue.Trade);
-
- //默认数据(初次添加定价时使用)
- const DefaultData = {
- trade: pageVue.Trade,
- viewState: {
- variety: tradeHelper.getEmptyVariety(),
- underlying: tradeHelper.getEmptyUnderlying(),
- ShowTitle: false,
- VolState: 'system',
- MidVolState: 'system',
- CloseVolState: 'system',
- SpotPrice: 'system',
- TTMDays: 'system',
- InitialMargin: 'system',
- TradeOpenVolatility: 'system',
- NoRiskRate: 'system',
- DividendRate: 'system',
- TwoSideMargin: false,
- Structure: "",
- CashOrPhysical: "Cash",
- Observation: {
- hasValue: false,
- ObservationDates: '',
- ObservationNum: 1, ObservationUnit: 'D',
- ObservationHolidayType: 'Following', ObservationAlignEnd: true
- },
- KOObservation: {
- hasValue: false,
- ObservationDates: '', KOObservationDates: '',
- ObservationNum: 1, ObservationUnit: 'D', CouponDayInterval: 0,
- ObservationHolidayType: 'Following', ObservationAlignEnd: true
- },
- KOObservationSettle: {
- hasValue: false,
- ObservationDates: '',
- ObservationNum: 1, ObservationUnit: 'D',
- ObservationHolidayType: 'Following', ObservationAlignEnd: true
- },
- synthetic: null,
- initFlag: '',
- AnnualizeFactor: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
- AnnualizeFactor2: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
- Extend: { TradingPlace: "柜台市场", ClearingAgency: "交易员方" }
- }
- };
-
- this.defaultData = DefaultData;
-
- //期权基本要素字段(是否展示)
- const BasicFields = {
- ExerciseMode(trade) {
- switch (trade.TradeType) {
- default: return true;
- case '凤凰期权': case '雪球期权': case '自定义交易': case '现金流交易':
- trade.ExerciseMode = "European"; return false;
- case '二元期权': return trade.ExerciseMode === "European" ? 1 : 11;
- }
- },
- OptionType(trade) {
- switch (trade.TradeType) {
- default: return true;
- case '区间累积期权': case '自定义交易': case '双鲨期权':
- case '气囊结构': case '收益增强结构': case '现金流交易': return false;
- case '二元期权': return trade.ExerciseMode === 'European';
- }
- },
- SettlementType(trade) {
- return trade.TradeType !== '自定义交易';
- },
- DividendRate(trade) {
- return (trade.UnderlyingInstrumentType === 'Stock' || trade.UnderlyingInstrumentType === 'StockIndex');
- },
- ShowTotal(trade) {
- return trade.StructureType;
- }
- };
-
- //期权奇异字段配置
- const OptionFields = Object.freeze({
- "障碍期权": {
- BarrierOption: true, ObservationDates: '', ObservationDatesShow: '占位符',
- BarrierType: "上升敲入", BarrierLow: '', BarrierHigh: '',
- MonitorType: "离散", RebateType: "AtHit", Rebate: '', RebateRate: '', BarrierShift: '',
- RebateHigh: '', RebateHighRate: '',
- IsBarrierType: {
- init: '', visible(trade) { return trade.BarrierType === "双障碍敲出"; }
- },
- //MonitorType替代了Discrete,BarrierLow替代了BarrierPrice,BarrierHigh替代了UpperBarrierPrice
- },
- "双鲨期权": {
- DBSharkOption: true, ObservationDates: '', ObservationDatesShow: '占位符',
- MonitorType: '离散', BarrierLow: '', BarrierHigh: '', StrikeHigh: '',
- RebateType: 'AtHit', Rebate: '', RebateRate: '', RebateHigh: '', RebateHighRate: ''
- //MonitorType替代了Discrete
- },
- "二元期权": {
- BinaryOption: true, PayoffType: '', ObservationDates: '', ObservationDatesShow: '占位符',
- BarrierHigh: '', MonitorType: "离散", RebateType: "AtHit",
- CashOrNothingAmount: '', CashOrNothingAmountRate: '',
- CashOrNothingAmountHigh: '', CashOrNothingAmountHighRate: '',
- PayoffTypeShow: {
- init: '', visible(trade) { return (trade.PayoffType || '').startsWith('Double'); }
- }
- //BarrierHigh替代了UpperBarrier
- },
- "亚式期权": {
- AsiaOption: true,
- PayoffType: 'ArithmeticAverage',
- StrikeType: "Fixed", StrikeGearingFactor: 1,
- AveragingPeriodStartDate: pageVue.SysDate,
- EnhancedPrice: 0,
- },
- "彩虹期权": {
- RainbowOption: true
- },
- "合成价差期权": {
- ComSpreadOption: true
- },
- "区间累积期权": {
- RangeAcc: true, ObservationDatesShow: true,
- ObservationDates: '', UpperRange: '', LowerRange: '', BonusRate: ''
- },
- "凤凰期权": {
- AutoCall: true,
- IsFixedCoupon: false, Coupon: '', CouponBarrier: '',
- CouponPayType: 0, KOObservationDates: '', KOBarrier: '',
- ObservationDates: '', KIBarrier: '', IncludeCouponAfterKI: true, KIPayoffType: 1,
- SpreadStrike1: {
- init: '', visible(trade) { return trade.KIPayoffType > 0; }
- },
- SpreadStrike: {
- init: '', visible(trade) { return trade.KIPayoffType === 2 || trade.KIPayoffType === 4; }
- },
- beforeCheck(trade) {
- return {
- KIPayoffType: parseInt(trade.KIPayoffType) || 1
- };
- }
- },
- "雪球期权": {
- SnowBall: true,
- KOBarrier: '', KOObservationDates: '',
- KOPayoffType: 0, KORebateType: 0, Coupon: '',
- IsFixedCoupon: {
- init: false, visible(trade) { return trade.KOPayoffType === 0; }
- },
- KORebate: {
- init: '', visible(trade) { return trade.KOPayoffType === 0; }
- },
- AnnualizedPremiumRate: {
- init: '', visible(trade) { return trade.KOPayoffType === 0; }
- },
- SpreadStrikeAtKO1: {
- init: '', visible(trade) { return trade.KOPayoffType > 0; }
- },
- SpreadStrikeAtKO: {
- init: '', visible(trade) { return trade.KOPayoffType > 1; }
- },
- KIBarrier: '', ObservationDates: '', KIPayoffType: 0,
- //SpreadStrike替代了SpreadStrikeAtMaturity
- SpreadStrike1: {
- init: '', visible(trade) { return trade.KIPayoffType > 0 || trade.IsInitialKnockedIn; }
- },
- SpreadStrike: {
- init: '', visible(trade) { return trade.KIPayoffType === 2 || trade.KIPayoffType === 4; }
- },
- beforeCheck(trade) {
- return {
- KOPayoffType: parseInt(trade.KOPayoffType) || 0,
- KIPayoffType: parseInt(trade.KIPayoffType) || 0
- };
- }
- },
- "气囊结构": {
- AirBag: true, BarrierLow: '', KIParticipationRate: '',
- HasPayoffLimit: false, HighStrike: '', IsDiscreteMonitored: false
- //BarrierLow替代了Barrier
- },
- "收益增强结构": {
- UnEnhance: true, AnnualizedEnhanceRate: ''
- },
- "现金流交易": {
- Cashflow: true, ProfitRate: '', RateType: "0", DepositType: "0", PrepayRatio: '0'
- },
- "自定义交易": { ObservationDatesShow: '占位符', Custom: true },
- "累计期权": {
- Accumulator: true, PayoffType: '浮动', IsFixedCoupon: true, CouponDayCount: 'Act365',
- StrikeGearingFactor: 1, CallMultiplier: 1, PutMultiplier: 1, EarlyTerminate: false, SettlementMode: '现金当日',
- KOObservationDates: '', CouponPercent: true, AccumuType: '', AccumuTradeAmount: ''
- },
- "结构化产品": {
- Structure: true
- }
- });
-
- //期权字段状态
- const OptionFieldState = _.reduce(OptionFields, (acc, cur) => {
- return _.reduce(cur, (acc, val, key) => { acc[key] = false; return acc; }, acc);
- }, {});
-
- for (k of Object.keys(BasicFields)) {
- OptionFieldState[k] = true;
- }
-
- //浮窗标题状态
- const FloatingTitleState = Object.assign({}, OptionFieldState);
-
- //获取标题状态
- this.getTitleState = function (floating) {
- return FloatingTitleState;
- //return floating ? FloatingTitleState : OptionFieldState;
- };
-
- //重置字段状态
- function __resetFieldState(trade, blreset) {
- let self = this;
- for ([k, v] of Object.entries(BasicFields)) {
- self[k] = v(trade);
- }
- let fields = OptionFields[trade.TradeType];
- if (!fields) return;
- let chkobj = !blreset && fields.beforeCheck ? fields.beforeCheck(trade) || trade : trade;
- _.each(fields, (val, key) => {
- let blset = blreset && key in trade;
- if (typeof val === 'object') {
- self[key] = val.visible(chkobj);
-
- if (blset || !self[key]) {
- trade[key] = val.init;
- }
- } else {
- self[key] = true;
- blset && (trade[key] = val);
- }
- });
-
- if (!blreset) return;
-
- if (trade.TradeType === '二元期权') {
- trade.PayoffType = trade.ExerciseMode === 'European' ? 'CashOrNothing' : 'UpOneTouch';
- trade.RebateAnnualizedAtKO = trade.ExerciseMode !== 'European';
- } else if (trade.TradeType === '现金流交易') {
- trade.IsUsePremiumRate = true;
- } else if (trade.TradeType === '累计期权') {
- trade.IsAnnualized = false;
- trade.ParticipationRate = '';
- }
- }
-
- const AnnualCallControl = [null, 0];
-
- //获取字段状态
- this.getFieldState = function (floating) {
-
- let clone = Object.assign({}, OptionFieldState);
-
- //重置字段状态
- clone.resetFieldState = function (trade, blreset) {
- __resetFieldState.call(this, trade, blreset);
- //if (floating) {
- Object.assign(FloatingTitleState, this);
- //}
- };
-
- //交易类型变更时重置交易字段值和状态
- clone.onTradeTypeChanged = function (trade, blReset, vueCaller) {
- let self = this, resetValue = !!blReset;
- let oldAnnualFlag = this.SnowBall || this.AutoCall;
- _.each(OptionFieldState, (val, key) => {
- self[key] = 0;
- resetValue && key in trade && !(key in BasicFields) && (trade[key] = '');
- });
- //这里更新可以避免不同期权类型相同字段的困扰
- this.resetFieldState(trade, resetValue);
- //切换年化系数的两种表现形式
- let newAnnualFlag = this.SnowBall || this.AutoCall;
- if (resetValue && (oldAnnualFlag ^ newAnnualFlag) === 1) {
- if ((AnnualCallControl[0] !== trade || AnnualCallControl[1] + 300 < new Date().getTime())) {
- AnnualCallControl[0] = trade;
- AnnualCallControl[1] = new Date().getTime();
- if (newAnnualFlag) {
- trade.IsAnnualized2 = trade.IsAnnualized;
- trade.IsAnnualized = false;
- trade.AnnualizeFactor = null;
- trade.MetaDic['AnnualizeFactor'] = '';
- } else {
- trade.IsAnnualized = trade.IsAnnualized2;
- trade.IsAnnualized2 = false;
- trade.AnnualizeFactor2 = null;
- trade.MetaDic['AnnualizeFactor2'] = '';
- }
- }
- if (vueCaller) {
- var arr = [vueCaller.AnnualizeFactor, vueCaller.AnnualizeFactor2];
- newAnnualFlag && arr.reverse();
- Object.assign(arr[0], arr[1]);
- Object.assign(arr[1], { ttmDays: 0, daysInYear: pageVue.DaysInYear });
- vueCaller.changeIsAnnualized();
- }
- }
- };
-
- //设置字段状态
- clone.setFieldState = function (field, blvalue) {
- if (field in this) {
- this[field] = blvalue;
- FloatingTitleState[field] = blvalue;
- //floating && (FloatingTitleState[field] = blvalue);
- }
- };
-
- return clone;
- };
-
- this.initFieldValue = function (trade) {
- __resetFieldState(trade, true);
- };
-
- this.resetFieldState = function (trade) {
- __resetFieldState(trade, false);
- };
-
- _.each([pageVue.Trade, DefaultData, DefaultData.viewState], x => Object.freeze(x));
-
-}());
-
-const consSyntheticMap = {};
-
-const consVueTrade = {
- data() {
- return {
- updateKey: { variety: 0, underlying: 0, client: 0, instrumentType: 0, KIPayoffType: 0 },
- AnnualizeFactor: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 },
- AnnualizeFactor2: { ttmDays: 0, daysInYear: pageVue.DaysInYear, refDays: 0 }
- };
- },
- created() {
- if (this.trade.MetaDic['组合标的']) {
- this.viewState.synthetic = JSON.parse(this.trade.MetaDic['组合标的']);
- }
- this.AnnualizeFactor = this.viewState.AnnualizeFactor;
- this.AnnualizeFactor2 = this.viewState.AnnualizeFactor2;
- if (!this.floating) {
- //在修改或组合报价导入时带入年化系数
- for (var key of ['AnnualizeFactor', 'AnnualizeFactor2']) {
- let meta = this.trade.MetaDic[key];
- if (meta) {
- let index = meta.indexOf('/')
- if (index > 0) {
- this[key].ttmDays = parseFloat(meta.substring(0, index)) || 0;
- this[key].daysInYear = parseFloat(meta.substring(index + 1)) || pageVue.DaysInYear;
- }
- }
- }
- this.AnnualizeFactor.refDays = this.AnnualizeFactor2.refDays = this.getAnnualDays() || 0;
- }
- this.viewState.Observation.ObservationDates = this.trade.ObservationDates || "";
- if (this.trade.KOObservationDates && (this.trade.TradeType === '雪球期权' || this.trade.TradeType === "累计期权" && this.trade.PayoffType === '固定')) {
- var arr = this.trade.KOObservationDates.split(';').filter(O => O);
- this.viewState.KOObservation.ObservationDates = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], (arr[2] || "0")).join(';');
- } else {
- this.viewState.KOObservation.ObservationDates = this.trade.KOObservationDates || "";
- }
- this.viewState.KOObservationSettle.ObservationDates = this.trade.KOObservationSettleDates || "";
-
- if (this.trade.TradeType === '结构化产品') {
- this.viewState.Observation.ObservationDates = this.trade.MetaDic["observationDate"];
- this.viewState.Structure = this.trade.MetaDic["structures"];
- this.viewState.CashOrPhysical = this.trade.MetaDic["cashOrPhysical"];
- }
-
- this.viewState.Extend.TradingPlace = this.trade.MetaDic["交易场所"] || "";
- this.viewState.Extend.ClearingAgency = this.trade.MetaDic["清算机构"] || "";
- if (pageData.showCCR) {
- this.trade.ccr_k = this.trade.MetaDic["ccr_k"] || "1";
- this.trade.ignoreRiskExposure = this.trade.MetaDic["ignoreRiskExposure"] || "0";
- }
- this.trade.StockEqvNotionalMax = null;
- this.trade.TradeAmountV = tradeHelper.getTradeAmountV(this.trade, this.trade.Notional, this.trade.CountRatio);
-
- if (this.trade.TradeDate && this.trade.ExerciseDate) {
- this.getday();
- }
-
- },
- methods: {
- getVol() { },
- //变更买入卖出
- changeBuySell(resetInitialMargin) {
- this.getVol();
- this.changeBuySellEx();
- if (resetInitialMargin) {
- this.trade.InitialMargin = null;
- }
- },
- changeBuySellEx() { },
- //变更资金类型
- changeDepositType() {
- let trade = this.trade
- if (trade.DepositType === "0") {
- this.getNoRiskRate();
- this.changeFieldState();
- } else {
- trade.NoRiskRate = 0;
- this.changeFieldState();
- }
- },
- //变更行权模式
- changeExerciseMode(flag) {
- if (this.trade.TradeType === '二元期权') {
- if (this.trade.ExerciseMode === 'European') {
- this.binaryPayoffTypes = consBinaryPayoffTypes.European;
- this.trade.PayoffType = 'CashOrNothing';
- this.trade.MonitorType = this.trade.RebateType = "";
- this.trade.RebateAnnualizedAtKO = false;
- } else {
- this.binaryPayoffTypes = consBinaryPayoffTypes.American;
- this.trade.PayoffType = 'UpOneTouch';
- this.trade.MonitorType = "离散";
- this.trade.RebateType = "AtHit";
- }
- }
- if (flag !== 'TradeType') {
- this.getVol();
- this.changeFieldState();
- }
- this.refreshEngineNames();
- this.synchTrade();
- },
- //刷新定价模型名称
- refreshEngineNames() {
- this.engineNames = tradeUtils.getEngineNames(this.trade);
- },
- //获取组合标的价格
- getSyntheticPrices(underlyingCode) {
- let self = this;
- main.post('/pricing/AjaxGetSyntheticPriceModel', { underlyingCode: underlyingCode }, false).done(function (resp) {
- self.viewState.synthetic = resp.obj;
- self.trade.SpotPrice = resp.obj.Price;
- });
- },
- //变更标的价格
- changeSpotPrice(isUserInput) {
- this.viewState.SpotPrice = isUserInput ? "user" : "system";
- let SpotPrice = this.trade.SpotPrice || 0;
- if (!SpotPrice || SpotPrice === '-') {
- SpotPrice = 0;
- } else {
- let precision = pricingFormat.umprice.precision || 0;
- if (precision < 2) precision = 2;
- let regex = new RegExp('^-?\\d*(\\.\\d{0,' + precision + '})?');
- let match = regex.exec(SpotPrice);
- if (match) {
- if (match[0] !== SpotPrice) {
- this.trade.SpotPrice = match[0];
- SpotPrice = parseFloat(match[0]);
- }
- } else {
- this.trade.SpotPrice = SpotPrice = 0;
- }
- }
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.SpotPrice2, this.viewState.variety.CountRatio);
- this.getVol(true);
- this.synchTrade();
- },
- blurSpotPrice() {
- !this.trade.SpotPrice && (this.trade.SpotPrice !== 0) && (this.trade.SpotPrice = 0);
- },
- //更改成交方式
- changeIsUsePremiumRate() {
- tradeUtils.usePremiumRateSwitch(this.trade);
- },
- //变更相对行权价
- changeIsMoneynessOption() {
- tradeUtils.moneynessSwitch(this.trade);
- this.changeKOBarrier();
- },
- //变更执行价格
- changeStrike() {
- this.getVol(true);
- },
- //变更敲入行权价1
- changeSpreadStrike1() {
- this.trade.Strike = this.trade.SpreadStrike1;
- },
- //获取标的价格
- getSpotPrice(blSetStrike) {
- var self = this;
- return main.post("/pricing/AjaxGetUnderlyingPrice", { underlyingCode: this.trade.UnderlyingCode, tradeDate: this.trade.PremiumPayDate })
- .done(function (resp) {
- self.viewState.synthetic = consSyntheticMap[self.trade.CalcId] = resp.obj.synthetic;
- self.trade.SpotPrice = pricingFormat.umprice(resp.obj.price);
- if (blSetStrike === true && self.trade.IsMoneynessOption !== "是") {
- self.trade.Strike = self.trade.SpotPrice;
- }
- self.changeSpotPrice(false);
- });
- },
- //获取品种最小变动价格
- getPriceTick() {
- return this.trade.UnderlyingInstrumentType === 'Stock' ? 0.01 :
- this.viewState.variety ? parseFloat(this.viewState.variety.PriceTick) || 0.1 : 0.1;
- },
- //绝对值执行价格
- showAbsStrike() {
- this.trade.IsMoneynessOption = "否";
- tradeUtils.moneynessSwitch(this.trade);
- this.changeKOBarrier();
- },
- //百分比执行价格
- showPercentStrike() {
- this.trade.IsMoneynessOption = "是";
- tradeUtils.moneynessSwitch(this.trade);
- this.changeKOBarrier();
- },
- //变更交易日期
- changeTradeDate(force) {
- this.trade.ValueDate = this.trade.TradeDate;
- if (!pageData.is厦门象屿) {
- this.trade.PremiumPayDate = this.trade.TradeDate;
- }
- if (pageVue.IsCheck) return;
- this.getTTM(force);
- this.getday();
- this.getVol();
- this.getNoRiskRate();
- this.changeIsAnnualized();
- force !== 'import2' && this.getSpotPrice(true);
- this.synchTrade();
- },
- //变更定价日期
- changeValueDate() {
- this.getTTM(true);
- this.synchTrade();
- },
- //变更到期日期
- changeExerciseDate() {
- if (pageData.is厦门象屿) {
- this.trade.PremiumPayDate = this.trade.ExerciseDate;
- }
- if (pageVue.IsCheck) return;
- this.getTTM();
- this.getday();
- this.getVol();
- this.getNoRiskRate();
- this.synchTrade();
- },
- //变更结算日期
- changeSettlementDate() {
- this.changeIsAnnualized();
- this.getTTM();
- this.synchTrade();
- },
- //更改权利金费率
- changePremiumRate() {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.PremiumRate, this.viewState.variety.CountRatio);
- this.sumTotal();
- },
- //更改权利金单价
- changeTradeSinglePrice() {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeSinglePrice, this.viewState.variety.CountRatio);
- this.sumTotal();
- },
- //显示权利金绝对值
- showAbsPrice() {
- this.trade.IsUsePremiumRate = false;
- tradeUtils.usePremiumRateSwitch(this.trade);
- this.sumTotal();
- },
- //显示权利金百分比
- showPercentPrice() {
- this.trade.IsUsePremiumRate = true;
- tradeUtils.usePremiumRateSwitch(this.trade);
- this.sumTotal();
- },
- //更改交易总额
- changeTradePrice() {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradePrice, this.viewState.variety.CountRatio);
- this.sumTotal();
- },
- //更改交易份额
- changeNotional(value) {
- (typeof value === 'number') && (this.trade.Notional = value);
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.Notional, this.viewState.variety.CountRatio);
- this.trade.InitialMargin = null;
- this.synchTrade(true);
- },
- //更改有效交易数量
- changeTradeAmount(value) {
- (typeof value === 'number') && (this.trade.TradeAmount = value);
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmount, this.viewState.variety.CountRatio);
- this.trade.InitialMargin = null;
- this.synchTrade(true);
- },
- //更改交易数量
- changeTradeAmountV(value) {
- (typeof value === 'number') && (this.trade.TradeAmountV = value);
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmountV, this.viewState.variety.CountRatio);
- this.synchTrade(true);
- },
- changeAccumuTradeAmount(value) {
- (typeof value === 'number') && (this.trade.AccumuTradeAmount = value);
-
- this.trade.OriginalAccumuTradeAmount = this.trade.AccumuTradeAmount;
- this.trade.TradeAmountV = this.trade.AccumuTradeAmount;
- this.changeTradeAmountV(this.trade.TradeAmountV);
- },
- //变更名义本金
- changeStockEqvNotional(value) {
- (typeof value === 'number') && (this.trade.StockEqvNotional = value);
- if (this.trade.TradeType === "现金流交易") {
- return;
- }
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotional, this.viewState.variety.CountRatio);
- this.trade.InitialMargin = null;
- this.synchTrade(true);
- },
- //变更有效名义本金
- changeStockEqvNotionalReal(value) {
- (typeof value === 'number') && (this.trade.StockEqvNotionalReal = value);
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotionalReal, this.viewState.variety.CountRatio);
- this.trade.InitialMargin = null;
- this.synchTrade(true);
- },
- //获取期权年化天数
- getAnnualDays() {
- let dateFrom = _.trim(this.trade.TradeDate).substring(0, 10);
- let dateTo = _.trim(this.trade.SettlementDate).substring(0, 10);
- if (dateFrom && dateTo) {
- dateFrom = new Date(dateFrom).getTime();
- dateTo = new Date(dateTo).getTime();
- return 1 + (dateTo - dateFrom) / 1000 / 3600 / 24;
- }
- return false;
- },
- //更改期权年化
- changeIsAnnualized() {
- let IsAnnualized2 = this.fieldState.SnowBall || this.fieldState.AutoCall;
- if (!(IsAnnualized2 ? this.trade.IsAnnualized2 : this.trade.IsAnnualized)) {
- //|| pageVue.TradeEdit && this.AnnualizeFactor.ttmDays > 0
- return this.changeAnnualizeFactor();
- }
- let factor = this[IsAnnualized2 ? "AnnualizeFactor2" : "AnnualizeFactor"];
- let days = this.getAnnualDays();
- if (days !== false) {
- factor.ttmDays = factor.refDays = days;
- this.changeAnnualizeFactor();
- } else {
- factor.refDays = 0;
- }
- this.synchTrade();
- },
- //更改期权年化ttmday与参考日期间隔的差值
- changeAnnualDayDiff(diff) {
- if (this.annualDayDiff !== diff) {
- this.AnnualizeFactor.ttmDays = this.AnnualizeFactor.refDays + diff;
- this.changeAnnualizeFactor();
- }
- },
- //更改期权年化ttmday与参考日期间隔的差值
- changeAnnualDayDiff2(diff) {
- if (this.annualDayDiff2 !== diff) {
- this.AnnualizeFactor2.ttmDays = this.AnnualizeFactor2.refDays + diff;
- this.changeAnnualizeFactor();
- }
- },
- //更改期权年化
- changeAnnualizeFactor() {
- let IsAnnualized2 = this.fieldState.SnowBall || this.fieldState.AutoCall;
- let propKey = IsAnnualized2 ? 'AnnualizeFactor2' : 'AnnualizeFactor';
- let factor = IsAnnualized2 ? this.AnnualizeFactor2 : this.AnnualizeFactor;
- if (IsAnnualized2 ? this.trade.IsAnnualized2 : this.trade.IsAnnualized) {
- this.trade[propKey] = Math.abs(factor.ttmDays / factor.daysInYear);
- this.trade.MetaDic[propKey] = factor.ttmDays.toString() + '/' + factor.daysInYear.toString();
- } else {
- this.trade[propKey] = 1;
- this.trade.MetaDic[propKey] = '';
- factor.ttmDays = 0;
- factor.daysInYear = pageVue.DaysInYear;
- }
- this.changeEffectRatio();
- this.synchTrade();
- },
- //变更参与率/年化系数/保底收益率
- changeEffectRatio() {
- if (this.trade.IsUsePremiumRate) {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.StockEqvNotional, this.viewState.variety.CountRatio);
- }
- else {
- if (this.trade.TradeAmountV > 0) {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmountV, this.viewState.variety.CountRatio);
- }
- else {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.TradeAmount, this.viewState.variety.CountRatio);
- }
- }
- this.trade.InitialMargin = null;
- },
- changePrincipalSum() {
- tradePricing.tradeCalc(this.trade, tradePricing.calcReason.OriginalPrincipalSum, this.viewState.variety.CountRatio);
- this.trade.InitialMargin = null;
- },
- //变更成交波动率
- changeOpenVolatility() {
- this.viewState.VolState = "user";
- this.synchTrade();
- },
- //变更Mid波动率
- changeOpenMidVolatility() {
- this.viewState.MidVolState = "user";
- this.synchTrade();
- },
- //变更目标波动率
- changeCloseVolatility() {
- this.viewState.CloseVolState = "user";
- },
- //变更TTMDays
- changeTTM() {
- this.viewState.TTMDays = "user";
- this.trade.IsTTMSystem = false;
- if (pageData.is厦门象屿) {
- this.trade.NumOfSmoothingDays = this.trade.TTMDays >= 10 ? 5 : 0;
- }
- this.synchTrade();
- },
- //获取交易日期和到期日期之间工作日的长度
- getTTM(force, changeNumOfSmoothingDays = true) {
- if (force) {
- this.viewState.TTMDays = "system";
- this.trade.IsTTMSystem = true;
- }
- var self = this;
- if (this.viewState.TTMDays !== 'user') {
- var data = {
- from: this.trade.ValueDate || this.trade.TradeDate,
- to: this.trade.ExerciseDate,
- varietyid: this.viewState.variety.id
- };
- if (data.from && data.to) {
- main.post("/calendar/DaysInPeriod", data, false).done(function (resp) {
- self.trade.TTMDays = consNumberFormat.ttmDaysFmt(resp.obj);
- var days = Number.parseInt(self.trade.TTMDays);
- if (changeNumOfSmoothingDays && pageVue.NumOfSmoothingDaysCfg === 'TTM') {
- self.trade.NumOfSmoothingDays = days < 1 ? 1 : days;
- if (pageData.is厦门象屿) {
- self.trade.NumOfSmoothingDays = days >= 10 ? 5 : 0;
- }
- }
- if (pageData.is厦门象屿) {
- self.trade.NumOfSmoothingDays = days >= 10 ? 5 : 0;
- }
- });
- } else {
- self.trade.TTMDays = '';
- }
- }
- },
- getday() {
- var self = this;
- var data = {
- from: this.trade.TradeDate || this.trade.ValueDate,
- to: this.trade.ExerciseDate
- };
- if (data.from && data.to) {
- main.post("/calendar/GetDay", data, false).done(function (resp) {
- var TradingDays = Number.parseInt(resp.obj.TradingDays);
- var Weekdays = Number.parseInt(resp.obj.Weekdays);
- var PublicHolidays = Weekdays - TradingDays;
- self.trade.TradingDays = TradingDays;
- self.trade.Weekdays = Weekdays;
- self.trade.PublicHolidays = PublicHolidays;
- });
- } else {
- self.trade.Weekdays = '';
- self.trade.TradingDays = '';
- self.trade.PublicHolidays = '';
- }
- },
- //变更初始预付金
- changeInitialMargin() {
- this.viewState.InitialMargin = 'user';
- this.resetSummary(resetSummaryFlags.initialMargin);
- this.sumTotal();
- },
- //获取系统计算的初始预付金
- getInitialMargin() {
- if (this.trade.TradeType === "自定义交易") {
- this.trade.TradeOpenVolatility = null;
- this.trade.Vol = null;
- }
- //检查并转换数据
- var trades = tradeUtils.prepareTrades([this.trade], pageVue.getVolType(), false);
- if (!trades) return;
- var self = this;
- main.post("/pricing/AjaxGetInitialMargin", { trade: trades[0] })
- .done(function (resp) {
- self.trade.InitialMargin = parseFloat(resp.obj) + self.trade.TradePrice * (self.trade.BuySell == "买入" ? -1 : 1);
- //非双向追保交易员收预付金，预付金不能小于0;交易员买入，付期权费收预付金，预付金不能小于0；交易员卖出，收期权费付预付金，预付金不能大于0
- if (pageVue.ClientUsedForCalc && !self.viewState.TwoSideMargin && self.trade.InitialMargin < 0) {
- self.trade.InitialMargin = 0;
- }
- else if (self.trade.BuySell == "卖出" && self.trade.InitialMargin > 0) {
- self.trade.InitialMargin = 0;
- }
- else if (self.trade.BuySell == "买入" && self.trade.InitialMargin < 0) {
- self.trade.InitialMargin = 0;
- }
- self.trade.InitialMargin = pricingFormat.tradePrice(self.trade.InitialMargin);
- self.viewState.InitialMargin = "system";
- self.resetSummary(resetSummaryFlags.initialMargin);
- self.sumTotal();
- });
- },
- resetSummary() { },
- //获取系统波动率
- getTradeOpenVolatility(flag) {
- var self = this;
- var closeVol = this.trade.TradeCloseVolatility;
- tradeUtils.getTradeVol(this.trade, flag === 'user' ? {
- BidVar: this.trade.Var,
- AskVar: this.trade.Var,
- BaseVol: isNaN(closeVol) ? '' : closeVol
- } : {}, this.viewState.variety.id).done(function (resp) {
- var vol = resp.obj.vol;
- if (isNaN(vol)) {
- let msg = resp.msg || resp.message;
- return main.message("未获取到波动率: " + msg);
- }
- self.viewState.VolState = flag === 'user' ? "user" : "system";
- var formatVol = consNumberFormat.volValueFmt(vol);
- if (pageVue.SkewMapVol) {
- self.trade.Var = resp.obj.var;
- self.trade.TradeOpenVolatility = formatVol;
- self.trade.TradeCloseVolatility = consNumberFormat.volValueFmt(resp.obj.baseVol);
- } else if (pageVue.IsTradeVol) {
- self.trade.TradeOpenVolatility = formatVol;
- self.trade.Vol = formatVol;
- }
- else {
- self.trade.Vol = formatVol;
- }
- });
- },
- //获取系统Mid波动率
- getTradeMidVolatility(flag) {
- var self = this;
- var closeVol = this.trade.TradeCloseVolatility;
- tradeUtils.getTradeVol(this.trade, flag === 'user' ? {
- BidVar: this.trade.Var,
- AskVar: this.trade.Var,
- BaseVol: isNaN(closeVol) ? '' : closeVol
- } : {}, this.viewState.variety.id).done(function (resp) {
- var Midvol = resp.obj.Midvol;
- if (isNaN(Midvol)) {
- let msg = resp.msg || resp.message;
- return main.message("未获取到Mid波动率: " + msg);
- }
- self.viewState.MidVolState = flag === 'user' ? "user" : "system";
- var formatVol = consNumberFormat.volValueFmt(Midvol);
- self.trade.MidVol = formatVol;
- });
- },
- //获取隐含波动率
- getTradeImpliedVol(flag) {
- var self = this;
- if (!this.trade.OptionType) {
- return main.message("请填写看涨看跌");
- }
- if (!this.trade.TradeDate) {
- return main.message("请填写成交日期");
- }
- if (!this.trade.Strike) {
- return main.message("请填写执行价格");
- }
- if (!this.trade.ExerciseDate) {
- return main.message("请填写到期日期");
- }
- if (!this.trade.SpotPrice) {
- return main.message("请填写标的期初价格");
- }
- if (!this.trade.TradeSinglePrice) {
- return main.message("请填写权利金");
- }
- main.post("/pricing/GetImpliedVol", this.trade).done(function (res) {
- if (isNaN(res.obj)) {
- return main.message("未获取到波动率，请检查输入的数值");
- }
- self.viewState.VolState = "user";
- if (pageVue.IsTradeVol) {
- self.trade.TradeOpenVolatility = consNumberFormat.volValueFmt(res.obj);
- }
- else {
- self.trade.Vol = consNumberFormat.volValueFmt(res.obj);;
- }
- });
- },
- //获取目标波动率
- getTradeCloseVolatility() {
- var self = this;
- if (pageVue.SkewMapVol) {
- self.viewState.CloseVolState = "system";
- self.trade.TradeCloseVolatility = "";
- return;
- }
- let over = pageVue.TradeCloseVolatilityCfg === 'Mid' ? { VolType: '交易' } : null;
- tradeUtils.getTradeVol(this.trade, over, this.viewState.variety.id).done(function (resp) {
- var vol = resp.obj.vol;
- if (isNaN(vol)) {
- return main.message("未获取到波动率");
- }
- self.viewState.CloseVolState = "system";
- self.trade.TradeCloseVolatility = consNumberFormat.volValueFmt(vol);
- });
- },
- //变更分红率
- changeDividendRate() {
- this.viewState.DividendRate = 'user';
- this.synchTrade();
- },
- //获取分红率
- getDividendRate() {
- if (!this.trade.TradeDate) {
- return main.alert("缺少交易日期");
- }
- var self = this;
- var postData = { underlyingCode: this.trade.UnderlyingCode, tradeDate: this.trade.TradeDate };
- main.post("/pricing/AjaxGetDividendRate", postData).done(function (resp) {
- self.trade.DividendRate = resp.obj;
- self.viewState.DividendRate = "system";
- });
- },
- //变更无风险利率
- changeNoRiskRate() {
- this.viewState.NoRiskRate = 'user';
- this.synchTrade();
- },
- //获取无风险利率
- getNoRiskRate() {
- var self = this;
- if (this.trade.TradeType === "现金流交易" && this.trade.DepositType == 1) {
- return;
- }
- !pageVue.IsCheck && main.post("/pricing/AjaxGetNoRiskRate", { startDate: this.trade.TradeDate, endDate: this.trade.ExerciseDate }).done(function (resp) {
- self.trade.NoRiskRate = resp.obj.toFixed(4);
- self.viewState.NoRiskRate = "system";
- });
- },
- calcSnowballAnnualPremium() {
- let trade = this.trade;
- let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
- if (!trades) return;
- var self = this;
- main.post("/pricing/AjaxCalcSnowballAnnualPremium", { trade: trades[0] }).done(function (resp) {
- trade.AnnualizedPremiumRate = resp.obj;
- });
- },
- calcKORebate() {
- let trade = this.trade;
- let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
- if (!trades) return;
- var self = this;
- main.post("/pricing/AjaxCalcSnowballKORebate", { trade: trades[0] }).done(function (resp) {
- trade.KORebate = resp.obj;
- self.changeRebate();
- });
- },
- calcPhoenixCouponRate() {
- let trade = this.trade;
- let trades = tradeUtils.prepareTrades([trade], pageVue.getVolType(), false);
- if (!trades) return;
- var self = this;
- main.post("/pricing/AjaxCalcPhoenixCouponRate", { trade: trades[0] }).done(function (resp) {
- trade.Coupon = resp.obj;
- self.changeRebate();
- });
- },
- //设置观察日
- setObservationDates(observationId) {
- let isKO = observationId === '#KO';
- let isKS = observationId === '#KS';
- let isST = observationId === '#ST';
- observationId = this.trade.CalcId + observationId;
- var startTime = _.trim(this.trade.TradeDate);
- var endTime = _.trim(this.trade.ExerciseDate);
- if (!startTime) {
- return main.alert("请输入交易日期");
- }
- if (!endTime) {
- return main.alert("请输入到期日期");
- }
- var obs = isKO ? this.viewState.KOObservation : (isKS ? (this.viewState.KOObservationSettle.hasValue ? this.viewState.KOObservationSettle : this.viewState.KOObservation) : this.viewState.Observation);
- var query = {
- observationNum: obs.ObservationNum,
- observationUnit: obs.ObservationUnit,
- observationHolidayType: obs.ObservationHolidayType,
- startTime: startTime, endTime: endTime,
- alignEnd: _.toString(obs.ObservationAlignEnd) !== "false",
- btnId: observationId,
- couponDayInterval: obs.CouponDayInterval,
- tradeType: this.trade.TradeType,
- ObservationFrequency: obs.ObservationFrequency
- };
-
- query.Comments = isKO ? this.trade.MetaDic["ObservationRemark3"] : (isKS ? this.trade.MetaDic["ObservationRemark2"] : this.trade.MetaDic["ObservationRemark1"]);
-
- if (isKO && !this.viewState.hasObservationDates) {
- query.Comments = this.trade.MetaDic["ObservationRemark2"];
- }
-
- var whith = 500;
- if (isKO) {
- query.title1 = "障碍价格";
- query.title2 = "票息";
- query.isTitle1Percent = this.trade.IsMoneynessOption === "是";
- query.isTitle2Percent = true;
- query.defaultTitle1Value = this.trade.KOBarrier;
- query.defaultTitle2Value = this.trade.TradeType === "凤凰期权" ? this.trade.Coupon : this.trade.KORebate;
- if (this.trade.TradeType === "累计期权") {
- if (this.trade.PayoffType === '固定') {
- query.title2 = "";
- query.defaultTitle2Value = this.trade.Coupon;
- query.showDate2 = true;
- query.date2Title = "结算日期";
- query.showDate2OffsetControl = true;
- query.date2OffsetControlTitle = "结算日期间隔"
- whith += 20;
- } else {
- query.title2 = ""
- }
- }
- else if (this.trade.TradeType === "雪球期权") {
- query.dateTitle = "敲出观察日(T)";
- if (_.toString(this.trade.KOPayoffType) === "0") {
- query.showDate2 = true;
- }
- query.date2Title = "票息支付日";
- query.showDate2OffsetControl = true;
- query.date2OffsetControlTitle = "票息支付日间隔"
- whith += 20;
- }
- }
-
- if (isST) {
- query.title1 = "固定价格";
- query.title2 = "是否了结";
- query.title3 = "了结价格";
- query.isTitle2TrueFalse = true;
- query.isTitle1Percent = this.trade.IsMoneynessOption === "是";
- query.isTitle2Percent = false;
- query.isTitle3Percent = this.trade.IsMoneynessOption === "是";
- }
-
- query = $.param(query);
- sessionStorage.setItem(observationId + "_observationdates", obs.ObservationDates);
- layer.open({
- type: 2, title: "设置自定义观察日", shadeClose: false, shade: 0.4,
- area: [whith + 'px', '560px'], content: "/trade/tradeObservationDates?" + query
- });
- },
- getObservationRate(observation) {
- if (!observation || !observation.hasValue) return '';
- var observationRate = "", newUnit = "";
- switch (observation.ObservationUnit) {
- case "D":
- newUnit = "天"; break;
- case "W":
- newUnit = "周"; break;
- case "M":
- newUnit = "月"; break;
- case "Y":
- newUnit = "年"; break;
- }
- observationRate = observation.ObservationNum + newUnit;
- if (newUnit !== "") {
- observationRate = "每" + observationRate;
- }
- return observationRate;
- },
- setStructureList() {
- var query = {
- structure: this.trade.MetaDic["structures"],
- CalcId: this.trade.CalcId
- };
- query = $.param(query);
- layer.open({
- type: 2, title: "设置结构要素", shadeClose: false, shade: 0.4,
- area: ['900px', '560px'], content: "/trade/StructureList?" + query
- });
- },
- setcashOrPhysical() {
- var cashOrPhysical = this.viewState.CashOrPhysical;
- this.trade.MetaDic["cashOrPhysical"] = cashOrPhysical;
- },
- //变更奇异期权字段状态
- changeFieldState() {
- this.fieldState.resetFieldState(this.trade, false);
- },
- //设置观察频率
- setObservation(observationNum, observationUnit, observationHolidayType, observationDates, alignEnd, calcId, couponDayInterval, Comments, ObservationFrequency) {
- if (!calcId) return;
- let isKO = calcId.endsWith('#KO');
- let isComments = Comments != "";
- let observation = {
- ObservationNum: observationNum,
- ObservationUnit: observationUnit,
- ObservationHolidayType: observationHolidayType,
- ObservationAlignEnd: alignEnd,
- CouponDayInterval: couponDayInterval,
- ObservationFrequency: ObservationFrequency
- };
-
- var self = this;
- _.each(observation, (val, key) => self.trade[key] = val);
-
- observation.hasValue = true;
- observation.ObservationDates = observationDates;
-
- if (isKO) {
- self.viewState.KOObservation = observation;
- var dates = observationDates.split(';').filter(o => o);
- if (dates.length === 4) {
- self.trade.KOObservationDates = dates[0] + ";" + dates[2] + ";" + dates[3] + ";";
- } else if (self.trade.TradeType === "累计期权" && self.trade.PayoffType === "固定") {
- self.trade.KOObservationSettleDates = dates[1];
- self.trade.KOObservationDates = dates[0] + ";" + dates[2] + ";";
- observation.ObservationDates = observationDates + ";0";
- } else {
- self.trade.KOObservationDates = observationDates;
- }
- if (!this.viewState.hasObservationDates) {
- self.viewState.KOObservationSettle = _.clone(observation);
- if (dates.length === 4) {
- self.trade.KOObservationSettleDates = dates[1];
- } else {
- self.trade.KOObservationSettleDates = dates[0];
- }
- if (isComments || this.trade.MetaDic["ObservationRemark2"] != undefined) this.trade.MetaDic["ObservationRemark2"] = Comments;
- } else {
- if (isComments || this.trade.MetaDic["ObservationRemark3"] != undefined) this.trade.MetaDic["ObservationRemark3"] = Comments;
- }
-
- self.trade.MetaDic["敲出观察周期"] = observationNum + observationUnit + "|" + ObservationFrequency;
- }
- else if (calcId.endsWith('#KS')) {
- self.viewState.KOObservationSettle = _.clone(observation);
- self.trade.KOObservationSettleDates = observationDates;
- this.viewState.hasObservationDates = true;
- if (isComments || this.trade.MetaDic["ObservationRemark2"] != undefined) this.trade.MetaDic["ObservationRemark2"] = Comments;
- }
- else if (calcId.endsWith('#ST')) {
- self.viewState.Observation = observation;
- this.trade.MetaDic["observationDate"] = observationDates;
- if (isComments || this.trade.MetaDic["ObservationRemark1"] != undefined) this.trade.MetaDic["ObservationRemark1"] = Comments;
- }
- else {
- self.trade.MetaDic["敲入观察周期"] = observationNum + observationUnit + "|" + ObservationFrequency;
-
- self.viewState.Observation = observation;
- self.trade.ObservationDates = observationDates;
- if (isComments || this.trade.MetaDic["ObservationRemark1"] != undefined) this.trade.MetaDic["ObservationRemark1"] = Comments;
- }
- },
- setStructure(value, calcId) {
- this.trade.MetaDic["structures"] = value;
- },
- //变更票息结算方式
- changeCouponPayType() {
- this.trade.CouponPayType = parseInt(this.trade.CouponPayType) || 0;
- this.trade.IncludeCouponAfterKI = true;
- },
- //变更交易场所
- changeTradingPlace() {
- this.trade.MetaDic["交易场所"] = this.viewState.Extend.TradingPlace;
- },
- //变更清算机构
- changeClearingAgency() {
- this.trade.MetaDic["清算机构"] = this.viewState.Extend.ClearingAgency;
- },
- changeMainProtocolCode() {
- this.getSupProtocolCode();
- },
- getMainProtocolCode() {
- $("#MainProtocolCode option").remove();
- main.post("/Client/getMainProtocolCodes", { clientId: $("#ClientId").val() }, { async: false }).done(function (resp) {
- var obj = $("#MainProtocolCode");
- _.forEach(resp, (v) => {
- obj.append("");
- })
- });
- this.getSupProtocolCode()
- },
- getSupProtocolCode() {
- $("#SupProtocolCode option").remove();
- if ($("#MainProtocolCode").val()) {
- main.post("/Client/getSideProtocols", { mainProtocol: $("#MainProtocolCode").val() }, { async: false }).done(function (resp) {
- var obj = $("#SupProtocolCode");
- _.forEach(resp, (v) => {
- obj.append("");
- })
- });
- }
- },
- changeMarginTemplate() {
- tradeUtils.changeMarginTemplate(this.trade, this.tradeMarginTemplates);
- },
- //变更亚式期权行权价类型
- changeStrikeType() {
- if (this.trade.StrikeType === 'Segmented') {
- this.trade.PayoffType = 'EnhancedArithmeticAverage';
- }
- if (this.trade.StrikeType != "Floating" && this.trade.PayoffType == 'EnhancedArithmeticAverage' && $("#EnhancedPriceTitle")) {
- $("#EnhancedPriceTitle").show();
- if (parseFloat(this.trade.EnhancedPrice) === 0) {
- this.trade.EnhancedPrice = this.trade.Strike;
- }
- } else if ($("#EnhancedPriceTitle")) {
- $("#EnhancedPriceTitle").hide();
- }
- },
- //变更亚式期权均价计算类型
- changePayOffType() {
- if (this.trade.StrikeType != "Floating" && this.trade.PayoffType == 'EnhancedArithmeticAverage') {
- if ($("#EnhancedPriceTitle")) {
- $("#EnhancedPriceTitle").show();
- }
- if (parseFloat(this.trade.EnhancedPrice) === 0) {
- this.trade.EnhancedPrice = this.trade.Strike;
- }
- } else if ($("#EnhancedPriceTitle")) {
- $("#EnhancedPriceTitle").hide();
- }
- },
- //亚式结算方式
- consAsiaSettleModes() {
- if (this.trade.PayoffType == 'EnhancedArithmeticAverage' && !this.trade.SettleMode) {
- this.trade.SettleMode = 'AtHit';
- }
- return consRebateTypes;
- },
- changeKOBarrier() {
- if (this.viewState.KOObservation.ObservationDates) {
- var arr = this.trade.KOObservationDates.split(';').filter(o => o);
- if (arr.length >= 3 || this.trade.TradeType === '累计期权') {
- let fmt = this.trade.IsMoneynessOption === "是" ? consNumberFormat.umpriceP : pricingFormat.umprice;
- var barrierStr = _.toString(this.trade.KOBarrier) ? fmt(this.trade.KOBarrier) : '';
- var index = arr.length >= 3 ? arr.length - 2 : 1;
- var barrierArr = arr[index].split(',');
- barrierArr.forEach(function (v, i) {
- barrierArr[i] = barrierStr;
- });
- arr[index] = barrierArr.join(',');
- this.trade.KOObservationDates = arr.join(';');
- if (this.trade.TradeType === "雪球期权") {
- arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], arr[2]);
- } else if (this.trade.TradeType === "累计期权" && arr.length >= 3) {
- arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], arr[2]);
- }
- this.viewState.KOObservation.ObservationDates = arr.join(';');
- main.message("敲出障碍价格已同步");
- }
- }
- },
- changeRebate() {
- if (this.viewState.KOObservation.ObservationDates) {
- var arr = this.trade.KOObservationDates.split(';').filter(o => o);
- if (arr.length >= 3) {
- var rebateStr = pricingFormat.premiumRate(this.trade.TradeType === "凤凰期权" ? this.trade.Coupon : this.trade.KORebate) + ""
- var index = arr.length - 1;
- var rebateArr = arr[index].split(',');
- rebateArr.forEach(function (v, i) {
- rebateArr[i] = rebateStr;
- });
- arr[index] = rebateArr.join(',');
- this.trade.KOObservationDates = arr.join(';');
- if (this.trade.TradeType === "雪球期权") {
- arr = [].concat(arr[0], this.trade.KOObservationSettleDates, arr[1], arr[2]);
- }
- this.viewState.KOObservation.ObservationDates = arr.join(';');
- main.message("票息已同步");
- }
- }
- },
- changePayoffType() {
- this.trade.AccumuType = '';
- if (this.trade.TradeType === '累计期权') {
- if (this.trade.SettlementMode === '现金期末' && this.trade.PayoffType === '固定') {
- this.trade.PayoffType = '浮动';
- }
- }
-
- if (this.trade.TradeType === '二元期权') {
- if (this.trade.ExerciseMode === 'European' || this.trade.PayoffType === 'DoubleNoTouch' || this.trade.PayoffType === 'UpNoTouch' || this.trade.PayoffType === 'DownNoTouch') {
- this.trade.RebateAnnualizedAtKO = false;
- }
- if (this.trade.PayoffType === 'AssetOrNothing') {
- this.trade.CashOrNothingAmountRate = "";
- this.trade.CashOrNothingAmount = "";
- }
- }
-
- this.fieldState.resetFieldState(this.trade);
- }
- },
- computed: {
- maxTradeDate() {
- let exerciseDate = this.trade.ExerciseDate;
- return exerciseDate;//&& exerciseDate <= pageVue.SysDate ? exerciseDate : pageVue.SysDate;
- },
- structure() {
- return "";
- },
- observationRate() {
- return this.getObservationRate(this.viewState.Observation);
- },
- koObservationRate() {
- return this.getObservationRate(this.viewState.KOObservation);
- },
- koObservationSettleRate() {
- return this.getObservationRate(this.viewState.KOObservationSettle);
- },
- inputFormatStrike() {
- let fmt = {};
- if (this.trade.IsMoneynessOption === '是') {
- fmt.append = '%';
- fmt.negative = false;
- fmt.precision = pricingFormat.umpriceP.precision;
- } else {
- fmt.append = '';
- fmt.negative = true;
- fmt.precision = pricingFormat.umprice.precision;
- }
- return fmt;
- },
- inputFormatSinglePriceOnly() {
- let underlying = this.viewState.underlying;
- let quoteUnit = underlying && underlying.QuoteUnitString
- ? "元/" + (this.viewState.synthetic ? "份" : underlying.QuoteUnitString) : '';
- return { precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: quoteUnit };
- },
- inputFormatSinglePrincipalOnly() {
- let underlying = this.viewState.underlying;
- let quoteUnit = underlying && underlying.QuoteUnitString
- ? "元/" + (this.viewState.synthetic ? "份" : underlying.QuoteUnitString) : '';
- return { precision: pricingFormat.tradeSinglePrice.precision, negative: true, append: quoteUnit };
- },
- inputFormatTradeAmount() {
- let fmt = { precision: 10, append: '' };
- let variety = this.viewState.variety;
- if (variety) {
- if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
- fmt.append = '股';
- } else {
- var QuoteUnit = variety.QuoteUnit;
- var unit = QuoteUnit.substring(QuoteUnit.lastIndexOf('/') + 1).trim();
- fmt.append = unit === "500千克" ? "吨" : unit || '';
- }
- }
- return fmt;
- },
- inputFormatTradeAmountV() {
- let fmt = { precision: pricingFormat.notional.precision, append: '' };
- let variety = this.viewState.variety;
- if (variety) {
- if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
- fmt.append = '股';
- } else {
- var QuoteUnit = variety.QuoteUnit;
- var unit = QuoteUnit.substring(QuoteUnit.lastIndexOf('/') + 1).trim();
- fmt.append = unit === "500千克" ? "吨" : unit || '';
- }
- }
- return fmt;
- },
- inputFormatTradePrice() {
- return { precision: 2, negative: true, grouping: true, append: '' };
- },
- inputFormatNotional() {
- let fmt = { precision: 10, append: '' };
- let variety = this.viewState.variety;
- if (variety) {
- if (variety.InstrumentType === 'Stock' || !variety.QuoteUnit) {
- fmt.append = '股';
- } else {
- fmt.append = '份';
- }
- }
- return fmt;
- },
- showExerciseMode() {
- switch (this.trade.TradeType) {
- case '彩虹期权': case '合成价差期权': case '双鲨期权':
- this.trade.ExerciseMode = 'European'; return 1;
- case '凤凰期权': case '雪球期权': case '累计期权':
- case '自定义交易': case '现金流交易': return 0;
- case '障碍期权':
- if ((this.trade.BarrierType || '').startsWith('双')) {
- this.trade.ExerciseMode = 'European'; return 1;
- }
- break;
- }
- return this.trade.ExerciseMode === 'European' ? 11 : 101;
- },
- showOptionType() {
- switch (this.trade.TradeType) {
- case '现金流交易': this.trade.OptionType = ""; return false;
- case '区间累积期权': case '双鲨期权':
- case '气囊结构': case '收益增强结构': return false;
- case '二元期权': return this.trade.ExerciseMode === 'European';
- default: return true;
- }
- },
- //亚式行权价类型
- consAsiaStrikeType() {
- let isAmerican = this.trade.ExerciseMode === 'American';
- if (isAmerican && this.trade.StrikeType === 'Floating') {
- this.trade.StrikeType = 'Fixed';
- }
- return isAmerican ? [{ value: 'Fixed', text: '固定行权价' }]
- : [{ value: 'Fixed', text: '固定行权价' }, { value: 'Floating', text: '浮动行权价' }, { value: 'Segmented', text: '分段式' }];
- },
- //二元补偿支付类型
- binaryRebateTypes() {
- if (this.trade.ExerciseMode === 'American' && this.trade.PayoffType === 'DoubleNoTouch') {
- this.trade.RebateType = 'AtEnd';
- return [{ value: 'AtEnd', text: '递延' }];
- }
- return consRebateTypes;
- },
- //是否需要标的
- needUnderlying() {
- return this.trade.TradeType !== '现金流交易';
- },
- annualDayDiff() {
- let diff = this.AnnualizeFactor.ttmDays - this.AnnualizeFactor.refDays;
- return diff < 0 ? diff.toString() : "+" + diff;
- },
- annualDayDiff2() {
- let diff = this.AnnualizeFactor2.ttmDays - this.AnnualizeFactor2.refDays;
- return diff < 0 ? diff.toString() : "+" + diff;
- },
- //雪球敲出赔付类别
- snowballKOPayoffTypeEnums() {
- if (this.trade.OptionType === "看涨") {
- return [{ value: '0', text: '票息补偿' }, { value: '1', text: '敲出转看涨' }, { value: '2', text: '敲出转牛市价差' }];
- } else {
- return [{ value: '0', text: '票息补偿' }, { value: '1', text: '敲出转看跌' }, { value: '2', text: '敲出转熊市价差' }];
- }
- },
- //雪球敲入到期支付类别
- snowballKIPayoffTypeEnums() {
- let kiPayoffType = this.trade.KIPayoffType + "";
- let isInitialKnockedIn = this.trade.IsInitialKnockedIn;
- if (this.trade.OptionType === "看涨") {
- switch (kiPayoffType) {
- case "0":
- if (isInitialKnockedIn) {
- this.trade.KIPayoffType = "1";
- }
- break;
- case "1": case "2": break;
- case "3":
- this.trade.KIPayoffType = "1";
- break;
- case "4":
- this.trade.KIPayoffType = "2";
- break;
- default:
- this.trade.KIPayoffType = "0";
- this.changeFieldState();
- break;
- }
- if (isInitialKnockedIn) {
- return [{ value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
- } else {
- return [{ value: '0', text: '无' }, { value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
- }
- } else {
- switch (kiPayoffType) {
- case "0":
- if (isInitialKnockedIn) {
- this.trade.KIPayoffType = "3";
- }
- break;
- case "3": case "4": break;
- case "1":
- this.trade.KIPayoffType = "3";
- break;
- case "2":
- this.trade.KIPayoffType = "4";
- break;
- default:
- this.trade.KIPayoffType = "0";
- this.changeFieldState();
- break;
- }
- if (isInitialKnockedIn) {
- return [{ value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
- } else {
- return [{ value: '0', text: '无' }, { value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
- }
- }
- },
- //凤凰敲入到期支付类别
- autocallKIPayoffTypeEnums() {
- let kiPayoffType = this.trade.KIPayoffType + "";
- if (this.trade.OptionType === "看涨") {
- switch (kiPayoffType) {
- case "1": case "2": break;
- case "0": case "3":
- this.trade.KIPayoffType = "1"; break;
- case "4":
- this.trade.KIPayoffType = "2"; break;
- default:
- this.trade.KIPayoffType = "1";
- this.changeFieldState();
- break;
- }
- return [{ value: '1', text: '敲入转看跌' }, { value: '2', text: '敲入转熊市价差' }];
- } else {
- switch (kiPayoffType) {
- case "3": case "4": break;
- case "0": case "1":
- this.trade.KIPayoffType = "3"; break;
- case "2":
- this.trade.KIPayoffType = "4"; break;
- default:
- this.trade.KIPayoffType = "3";
- this.changeFieldState();
- break;
- }
- return [{ value: '3', text: '敲入转看涨' }, { value: '4', text: '敲入转牛市价差' }];
- }
- }
- }
-};
-
-const tradePricing = {};
-
-//tradeCalc,逻辑参见'交易数据互算'
-(function (global) {
-
- var _Precision = null;
-
- const consCalcReason = Object.freeze({
- None: 0, SpotPrice: 1, Notional: 2, TradeAmount: 3,
- StockEqvNotional: 4, StockEqvNotionalReal: 5,
- TradePrice: 6, PremiumRate: 7, TradeSinglePrice: 8, Pv: 9,
- SpotPrice2: 11, TradeAmountV: 12, OriginalPrincipalSum: 13
- });
-
- function setPrecision(otcformat) {
- _Precision = {
- umprice: otcformat.umprice.precision,
- notional: otcformat.notional.precision,
- stockEqvNotional: otcformat.stockEqvNotional.precision,
- tradePrice: otcformat.tradePrice.precision,
- premiumRate: otcformat.premiumRate.precision,
- tradeSinglePrice: otcformat.tradeSinglePrice.precision
- };
- }
-
- function tradeCalc(trade, reason, countRatio) {
- if (!trade) return;
-
- if (!_Precision) {
- if (!otcformat) throw 'missing otcformat';
- setPrecision(otcformat.trading);
- }
-
- let isAutoCall = trade.TradeType === '雪球期权' || trade.TradeType === '凤凰期权';
-
- let data = {
- reason: reason,
- countRatio: Math.abs(countRatio) || 1,
- spotPrice: Math.abs(trade.SpotPrice) || 0,
- principalRateWrite: trade.PrincipalRateWrite ? Math.abs(trade.PrincipalRateWrite) || 0 : 0,
- singlePrincipalWrite: trade.SinglePrincipalWrite ? Math.abs(trade.SinglePrincipalWrite) || 0 : 0,
- participationRate: trade.ParticipationRate ? Math.abs(trade.ParticipationRate) || 0 : 1,
- annualizeFactor: isAutoCall
- ? (trade.AnnualizeFactor2 ? Math.abs(trade.AnnualizeFactor2) || 0 : 1)
- : (trade.AnnualizeFactor ? Math.abs(trade.AnnualizeFactor) || 0 : 1),
- getAnnRate() {
- return isAutoCall ? this.participationRate : this.participationRate * this.annualizeFactor;
- },
- //通过名义本金+期权费率计算权利金总额
- getTradePriceByPremiumRate() {
- return tradeHelper.GetTradePriceByPremiumRate(trade.PremiumRate, trade.StockEqvNotional, this.participationRate
- , trade.OriginalPrincipalSum, isAutoCall ? 1 : this.annualizeFactor, trade.BuySell, trade.TradeType, true);
- },
- //通过名义本金+期权单价计算权利金总额
- getTradePriceBySinglePrice() {
- return tradeHelper.GetTradePriceBySinglePrice(trade.TradeSinglePrice, trade.StockEqvNotional, trade.Notional
- , trade.OriginalPrincipalSum, isAutoCall ? 1 : this.annualizeFactor, trade.BuySell, trade.TradeType, true);
- },
- getNotionalEqv() {
- return isAutoCall ? trade.StockEqvNotional * this.participationRate : trade.StockEqvNotionalReal;
- },
- //通过有效交易份额算交易数量
- getTradeAmount(notional) {
- return _.round(notional / this.countRatio, 10);
- },
- //通过有效交易份额算交易数量
- getTradeAmountV(notional) {
- let annRate = this.getAnnRate();
- return _.round((annRate ? notional / annRate : notional) / this.countRatio, _Precision.notional);
- }
- };
-
- let instance = { data: data };
-
- //期初标的价格(只受自身影响)
- instance.SpotPrice = function () {
- switch (data.reason) {
- case consCalcReason.SpotPrice:
- trade.SpotPrice = _.round(trade.SpotPrice, _Precision.umprice) || 0;
- data.spotPrice = Math.abs(trade.SpotPrice);
- break;
- case consCalcReason.SpotPrice2:
- data.reason = consCalcReason.SpotPrice;
- data.spotPrice = _.round(trade.SpotPrice, _Precision.umprice) || 0;
- data.spotPrice = Math.abs(data.spotPrice);
- break;
- }
- };
-
- //交易份额/数量(受名义本金、期初价格影响)
- //特别说明:凤凰雪球的实际份额是非年化的,其他是年化折算后的
- instance.Notional = function () {
- switch (data.reason) {
- case consCalcReason.Notional:
- trade.Notional = _.round(trade.Notional, _Precision.notional);
- trade.OriginalNotional = trade.Notional;
- trade.TradeAmount = data.getTradeAmount(trade.Notional);
- trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
- break;
- case consCalcReason.TradeAmount:
- trade.TradeAmount = _.round(trade.TradeAmount, 10);
- trade.Notional = _.round(trade.TradeAmount * data.countRatio, 10);
- trade.OriginalNotional = trade.Notional;
- trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
- break;
- case consCalcReason.TradeAmountV:
- trade.TradeAmountV = _.round(trade.TradeAmountV, _Precision.notional);
- trade.TradeAmount = _.round(trade.TradeAmountV * data.getAnnRate(), 10);
- trade.Notional = _.round(trade.TradeAmount * data.countRatio, 10);
- trade.OriginalNotional = trade.Notional;
- break;
- case consCalcReason.SpotPrice:
- //数量成交方式下数量是固定的,期初标的价格会导致名义本金变动
- //名义本金成交方式下名义本金是固定的,期权标的价格的变动会导致交易份额变动
- if (trade.IsUsePremiumRate) {
- let notional = data.spotPrice ? data.getNotionalEqv() / data.spotPrice : 0;
- trade.Notional = _.round(notional, _Precision.notional);
- trade.OriginalNotional = trade.Notional;
- trade.TradeAmount = data.getTradeAmount(trade.Notional);
- trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
- }
- break;
- case consCalcReason.StockEqvNotional:
- {
- let notionalV = data.spotPrice ? trade.StockEqvNotional / data.spotPrice : 0;
- trade.Notional = _.round(notionalV * data.getAnnRate(), _Precision.notional);
- trade.OriginalNotional = trade.Notional;
- trade.TradeAmount = data.getTradeAmount(trade.Notional);
- trade.TradeAmountV = data.getTradeAmount(notionalV);//特殊使用
- }
- break;
- case consCalcReason.StockEqvNotionalReal:
- {
- let eqv = trade.StockEqvNotionalReal;
- //凤凰雪球的交易份额非年化而有效名义本金年化所以需要膨胀
- data.isAutoCall && data.annualizeFactor && (eqv /= data.annualizeFactor);
- let notional = data.spotPrice ? eqv / data.spotPrice : 0;
- trade.Notional = _.round(notional, _Precision.notional);
- trade.OriginalNotional = trade.Notional;
- trade.TradeAmount = data.getTradeAmount(trade.Notional);
- trade.TradeAmountV = data.getTradeAmountV(trade.Notional);
- }
- break;
- }
- };
-
- //名义本金(受期初价格、数量/份额影响)
- //非名义本金变动原因，名义本金以有效名义本金为准
- instance.StockEqvNotional = function () {
- let eqv = null, eqvReal = null;
- switch (data.reason) {
- case consCalcReason.Notional:
- if (isAutoCall) {
- eqv = data.participationRate ? trade.Notional * data.spotPrice / data.participationRate : 0;
- } else {
- eqvReal = trade.Notional * data.spotPrice;
- }
- break;
- case consCalcReason.TradeAmount:
- if (isAutoCall) {
- eqv = data.participationRate ? trade.TradeAmount * data.countRatio * data.spotPrice / data.participationRate : 0;
- } else {
- eqvReal = trade.TradeAmount * data.countRatio * data.spotPrice;
- }
- break;
- case consCalcReason.TradeAmountV:
- eqv = trade.TradeAmountV * data.countRatio * data.spotPrice;
- break;
- case consCalcReason.StockEqvNotional:
- eqv = trade.StockEqvNotional;
- break;
- case consCalcReason.StockEqvNotionalReal:
- eqvReal = trade.StockEqvNotionalReal;
- break;
- case consCalcReason.SpotPrice:
- //数量成交方式下数量是固定的,期初标的价格会导致名义本金变动
- //名义本金成交方式下名义本金是固定的,期权标的价格的变动会导致交易份额变动
- if (!trade.IsUsePremiumRate) {
- if (isAutoCall) {
- eqv = data.participationRate ? trade.Notional * data.spotPrice / data.participationRate : 0;
- } else {
- eqvReal = trade.Notional * data.spotPrice;
- }
- }
- break;
- }
-
- if (eqv !== null) {
- trade.StockEqvNotional = _.round(eqv, _Precision.stockEqvNotional);
- eqvReal = trade.StockEqvNotional * data.participationRate * data.annualizeFactor;
- trade.StockEqvNotionalReal = _.round(eqvReal, 10);
- }
- else if (eqvReal !== null) {
- trade.StockEqvNotionalReal = _.round(eqvReal, 10);
- let annParticipation = data.participationRate * data.annualizeFactor;
- eqv = annParticipation ? trade.StockEqvNotionalReal / annParticipation : 0;
- trade.StockEqvNotional = _.round(eqv, _Precision.stockEqvNotional);
- }
- };
-
- //权利金费用(受期初价格、名义本金影响)
- instance.TradePrice = function () {
- switch (data.reason) {
- case consCalcReason.Notional:
- case consCalcReason.TradeAmount:
- case consCalcReason.TradeAmountV:
- case consCalcReason.StockEqvNotional:
- case consCalcReason.OriginalPrincipalSum:
- case consCalcReason.StockEqvNotionalReal:
- {
- let tradePrice = trade.IsUsePremiumRate ? data.getTradePriceByPremiumRate() : data.getTradePriceBySinglePrice();
- return trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
- }
- case consCalcReason.TradePrice:
- {
- trade.TradePrice = _.round(trade.TradePrice, _Precision.tradePrice);
- let singlePrice = 0;
- let premiumRate = 0;
- if (trade.TradePrice > 0) {
- let tradePrice2 = (Math.abs(trade.TradePrice) || 0) - trade.OriginalPrincipalSum;
- if (tradePrice2 > 0) {
- singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
- let eqv = data.getNotionalEqv();
- premiumRate = eqv ? tradePrice2 / eqv : 0;
- }
- }
- else {
- let tradePrice2 = (trade.TradePrice || 0) - trade.OriginalPrincipalSum * (trade.BuySell === "卖出" ? -1 : 1);
- singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
- let eqv = data.getNotionalEqv();
- premiumRate = eqv ? tradePrice2 / eqv : 0;
- }
- trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
- trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
- }
- return;
- case consCalcReason.Pv:
- {
- let singlePrice = 0;
- let premiumRate = 0;
- let tradePrice2 = (trade.TradePrice) || 0;
- singlePrice = trade.Notional ? tradePrice2 / trade.Notional : 0;
- premiumRate = data.spotPrice ? singlePrice / data.spotPrice : 0;
- trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
- trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
- trade.TradePrice = _.round(tradePrice2 + trade.OriginalPrincipalSum, _Precision.tradePrice);
- }
- return;
- case consCalcReason.SpotPrice:
- if (trade.IsUsePremiumRate) {
- let singlePrice = trade.PremiumRate * data.spotPrice;
- trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
- let tradePrice = data.getTradePriceByPremiumRate();
- trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
- }
- else {
- let premiumRate = data.spotPrice ? trade.TradeSinglePrice / data.spotPrice : 0;
- trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
- let tradePrice = data.getTradePriceBySinglePrice();
- trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
- }
- return;
- case consCalcReason.PremiumRate:
- {
- trade.PremiumRate = _.round(trade.PremiumRate, _Precision.premiumRate);
- let singlePrice = trade.PremiumRate * data.spotPrice;
- trade.TradeSinglePrice = _.round(singlePrice, _Precision.tradeSinglePrice);
- let tradePrice = data.getTradePriceByPremiumRate();
- trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
- }
- return;
- case consCalcReason.TradeSinglePrice:
- {
- trade.TradeSinglePrice = _.round(trade.TradeSinglePrice, _Precision.tradeSinglePrice);
- let premiumRate = data.spotPrice ? trade.TradeSinglePrice / data.spotPrice : 0;
- trade.PremiumRate = _.round(premiumRate, _Precision.premiumRate);
- let tradePrice = trade.IsUsePremiumRate ? data.getTradePriceByPremiumRate() : data.getTradePriceBySinglePrice();
- trade.TradePrice = _.round(tradePrice, _Precision.tradePrice);
- }
- return;
- }
- };
-
- instance.OriginalPrincipalSum = function () {
- switch (data.reason) {
- case consCalcReason.TradeAmountV:
- trade.OriginalPrincipalSum = _.round(trade.TradeAmount * data.singlePrincipalWrite * countRatio, _Precision.tradePrice);
- trade.PrincipalRateWrite = trade.OriginalPrincipalSum / (trade.StockEqvNotional * (isAutoCall ? 1 : data.annualizeFactor));
- break;
- case consCalcReason.StockEqvNotional:
- trade.OriginalPrincipalSum = _.round(trade.StockEqvNotional * data.principalRateWrite * (isAutoCall ? 1 : data.annualizeFactor), _Precision.tradePrice);
- trade.SinglePrincipalWrite = trade.TradeAmount === 0 ? 0 : trade.OriginalPrincipalSum / trade.TradeAmount;
- break;
- }
- };
-
-
- instance.CalcFns = (function () {
-
- switch (reason) {
- case consCalcReason.SpotPrice:
- case consCalcReason.SpotPrice2:
- return [this.SpotPrice].concat(trade.IsUsePremiumRate ? [this.Notional] : [this.StockEqvNotional, this.OriginalPrincipalSum, this.TradePrice]);
- case consCalcReason.Notional:
- case consCalcReason.TradeAmount:
- case consCalcReason.TradeAmountV:
- return [this.Notional, this.StockEqvNotional, this.OriginalPrincipalSum, this.TradePrice];
- case consCalcReason.StockEqvNotional:
- case consCalcReason.StockEqvNotionalReal:
- return [this.StockEqvNotional, this.Notional, this.OriginalPrincipalSum, this.TradePrice];
- case consCalcReason.TradePrice:
- case consCalcReason.Pv:
- case consCalcReason.PremiumRate:
- case consCalcReason.OriginalPrincipalSum:
- case consCalcReason.TradeSinglePrice:
- return [this.TradePrice];
- default: return [];
- }
-
- }.call(instance));
-
- instance.Execute = function () {
- this.CalcFns.forEach(x => x());
- };
-
- return instance;
- }
-
- tradePricing.calcReason = consCalcReason;
-
- //reason:consCalcReason
- tradePricing.tradeCalc = function (trade, reason, countRatio) {
- new tradeCalc(trade, reason, countRatio).Execute();
- };
-
- tradePricing.tradeCalc.setPrecision = function (otcformat) {
- otcformat && setPrecision(otcformat);
- };
-
-}(window.tradePricing));
\ No newline at end of file