chore(swap): 删除格林大华保证金#if DEBUG明显bug分支——Release下case空体误落国泰君安公式组
本部署CompanyEnum=国联(走default→DefaultMarginCalculation),且保证金正在其他分支重写,各家期货公司定制对本分支无意义;格林大华case体整体包在#if DEBUG里,Release编译时空case直接fall-through到国泰君安/光大光子/兴业商贸组——若格林大华环境用Release版,保证金一直在用别家公式。连同DAL的GLDHMarginCalculation.cs与UT下整文件注释的死备份一并删除。dotnet build 0错误
This commit is contained in:
hjhan
@@ -1,513 +0,0 @@
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Modules;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 格林大华
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/// </summary>
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public class GLDHMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例
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public static readonly GLDHMarginCalculation Instance;
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static GLDHMarginCalculation()
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{
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Instance = new GLDHMarginCalculation();
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}
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// 定义私有构造函数，使外界不能创建该类实例
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private GLDHMarginCalculation()
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{
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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var resultList = new List<trade_span>();
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if (req.CalcMarginType == Enums.CalcMarginTypeEnum.InitialMargin)
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{
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resultList = calcInitialMargin(req);
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}
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else
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{
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resultList = calcPositionMargin(req);
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}
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return resultList;
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}
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/// <summary>
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/// 初始预付金
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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private List<trade_span> calcInitialMargin(RunMarginCalculationReq req)
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{
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Dictionary<int, trade_span> resultMap = new Dictionary<int, trade_span>();
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var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var marginProvider = _helper.GetMarginParamProvider(Modules.MarginModule.MarginParamTypeEnum.MarginRate);
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var tradeTypes = new List<string>() { "远期", "收益互换" };
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var forword = req.tradeList.Where(O => O.TradeType == "远期");
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foreach (var item in forword)
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{
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var margin =
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item.Notional * (item.SpotPrice ?? 0)
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* (marginProvider.TryGetMarginRate(item.UnderlyingCode, out var m) ? m : 0);
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var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(margin);
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LogFactory.GetLogger<MarginCalculationBase>().Debug($"{margin}={item.Notional}*{item.SpotPrice}* {(marginProvider.TryGetMarginRate(item.UnderlyingCode, out var ms) ? ms : 0)})");
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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var swap = req.tradeList.Where(O => O.TradeType == "收益互换");
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tradeBLL.SetFieldsByTradeType(swap);
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foreach (var item in swap)
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{
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var rate = (item.trade_swap?.GetMarginRate ?? 0) - (item.trade_swap?.PayMarginRate ?? 0);
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var margin = 0d;
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if (rate > 0)
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{
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margin =
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item.StockEqvNotional
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* rate;
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var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId);
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var clientLevel = DataCacheProvider.GetClientLevelDataSource().GetData(client.LevelId ?? 0);
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var clientRatio = clientLevel?.Ratio ?? 1.0;
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margin *= clientRatio;
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}
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var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(margin);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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//所有客户买入的交易都不收取预付金,包含买入单腿,跨式期权,风险反转期权以及其他多腿组合期权(买入牛市价差或熊市价差时,卖出的那条腿也不收取预付金)
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var sellList = req.tradeList.Where(O => !tradeTypes.Contains(O.TradeType) && O.BuySell == "卖出");
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foreach (var item in sellList)
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{
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var sp = _helper.CreateTradeSpan(item).SetAllSpvAndWorst(0);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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var buyList = req.tradeList.Where(O => !tradeTypes.Contains(O.TradeType) && !resultMap.Keys.Contains(O.id));
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var calcReq =
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_helper.GetCalculateRisksForTradesReq(
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req.PriceProvider,
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null,
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null,
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Qdp.Pricing.Base.Implementations.PricingRequest.Delta);
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calcReq.tradeList = buyList;
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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//客户卖出跨式期权
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//初始预付金 = max(D1,D2)×S×交易所期货预付金率×数量;
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//其中 D1，D2 分别为跨式期权两腿的 Delta 绝对值。
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var tradeIds = buyList.Where(O => (O.StructureType ?? O.TradeType).Contains("跨式") && O.BuySell == "买入").Select(O => O.id);
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var resultDict = tradeRiskResult.Results.Where(O => tradeIds.Contains(O.Trade.id)).GroupBy(O => O.Trade.ParentTradeId).ToDictionary(K => K.Key, V => V.ToList());
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foreach (var item in resultDict)
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{
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var margin =
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item.Value
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.Max(O => Math.Abs(O.ValueResult.DeltaCash)
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* (marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var m) ? m : 0));
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var sp = _helper.CreateTradeSpan(item.Value[0].Trade).SetAllSpvAndWorst(margin);
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sp.SetWorstCastClientPayable();
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resultMap[item.Value[0].Trade.id] = sp;
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for (int i = 1; i < item.Value.Count; i++)
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{
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sp = _helper.CreateTradeSpan(item.Value[i].Trade).SetAllSpvAndWorst(0);
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sp.SetWorstCastClientPayable();
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resultMap[item.Value[i].Trade.id] = sp;
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}
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}
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//客户卖出单腿期权
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//初始预付金 = D×S×交易所期货预付金率×数量;
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tradeIds = buyList.Where(O => !((O.StructureType ?? O.TradeType).Contains("跨式")) && O.BuySell == "买入").Select(O => O.id);
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var resultList = tradeRiskResult.Results.Where(O => tradeIds.Contains(O.Trade.id));
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resultList.ToList().ForEach(O =>
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{
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var margin = Math.Abs(O.ValueResult.DeltaCash * (marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var m) ? m : 0));
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LogFactory.GetLogger<MarginCalculationBase>().Info("初始预付金 = D×S×交易所期货预付金率×数量;");
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LogFactory.GetLogger<MarginCalculationBase>().Info($"{margin}=Math.Abs({O.ValueResult.DeltaCash} * {(marginProvider.TryGetMarginRate(O.Trade.UnderlyingCode, out var ms) ? ms : 0)})");
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var sp = _helper.CreateTradeSpan(O.Trade).SetAllSpvAndWorst(margin);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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});
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 计算每笔预付金
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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private List<trade_span> calcPositionMargin(RunMarginCalculationReq req)
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{
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var resultMap = new Dictionary<int, trade_span>();
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var tradeTypes = new List<string>() { "远期", "收益互换" };
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//结算s
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req.PriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.SettlePrice);
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//收盘
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var closePriceProvider = new EodPriceProvider(req.settleDate).GetPriceProvider(SettlementTypeEnum.ClosePrice);
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var _helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var marginProvider = _helper.GetMarginParamProvider(Modules.MarginModule.MarginParamTypeEnum.MarginRate);
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//获取涨跌停价格字典
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_helper.GetUpDownLimitPrices(out var upPrices, out var downPrices);
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//获取持仓波动率字典
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_helper.GetUpDownVolRateDic(out var upVolRateDic, out _);
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var clientGroup = req.tradeList.GroupBy(O => new { O.ClientId, O.UnderlyingCode }).ToDictionary(K => K.Key, V => V.ToList());
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foreach (var item in clientGroup)
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{
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var forword = req.tradeList.Where(O => O.TradeType == "远期");
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foreach (var t in forword)
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{
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var margin =
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t.Notional * (t.SpotPrice ?? 0)
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* (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var m) ? m : 0);
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LogFactory.GetLogger<MarginCalculationBase>().Info($"该交易{t.TradeNumber}id{t.id};远期" +
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$"{margin} ={t.Notional * (t.SpotPrice ?? 0) * (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var s) ? s : 0)}");
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var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(margin);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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var swap = req.tradeList.Where(O => O.TradeType == "收益互换");
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tradeBLL.SetFieldsByTradeType(swap);
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foreach (var t in swap)
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{
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var rate = (t.trade_swap?.GetMarginRate ?? 0) - (t.trade_swap?.PayMarginRate ?? 0);
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var margin = 0d;
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if (rate > 0)
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{
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margin =
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t.StockEqvNotional
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* (marginProvider.TryGetMarginRate(t.UnderlyingCode, out var m) ? m : 0);
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LogFactory.GetLogger<MarginCalculationBase>().Info($"该交易{t.TradeNumber}id{t.id}收益互换{margin}");
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var client = DataCacheProvider.GetClientDataSource().GetData(t.ClientId);
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var clientLevel = DataCacheProvider.GetClientLevelDataSource().GetData(client.LevelId ?? 0);
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var clientRatio = clientLevel?.Ratio ?? 1.0;
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margin *= clientRatio;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"该交易 margin *= clientRatio {t.TradeNumber} id{t.id}收益互换{margin}");
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}
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var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(margin);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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/*计算总维持预付金时，先分标的计算，再进行汇总计算。
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* 如果客户在标的 i 上只有买权合约，则该标的不计入预付金计算范围；
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* 如果客户在在标的 i 上有卖权合约，则该标的的所有合约都纳入预付金计算范围。
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*/
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var option = item.Value.Where(O => !tradeTypes.Contains(O.TradeType));
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if (option.All(O => O.BuySell == "卖出"))
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{
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foreach (var t in option)
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{
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var sp = _helper.CreateTradeSpan(t).SetAllSpvAndWorst(0);
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sp.SetWorstCastClientPayable();
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resultMap[sp.TradeId] = sp;
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}
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}
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else
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{
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var prices = new Dictionary<int, Dictionary<string, double>>();
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var umCodeList = option.Select(O => O.UnderlyingCode).ToHashSet();
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foreach (var code in umCodeList)
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{
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prices[1] = new Dictionary<string, double>();
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prices[2] = new Dictionary<string, double>();
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prices[3] = new Dictionary<string, double>();
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prices[4] = new Dictionary<string, double>();
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prices[5] = new Dictionary<string, double>();
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prices[6] = new Dictionary<string, double>();
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prices[7] = new Dictionary<string, double>();
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prices[8] = new Dictionary<string, double>();
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var upPrice = upPrices.GetPrice(code);
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var downPrice = downPrices.GetPrice(code);
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LogFactory.GetLogger<MarginCalculationBase>().Info($"涨跌价格:{upPrice} {downPrice}");
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var interval = (upPrice - downPrice) / 6;
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var settlePrice = req.PriceProvider.GetPrice(code);
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LogFactory.GetLogger<MarginCalculationBase>().Info($"settlePrice:{settlePrice} interval:=(upPrice - downPrice) / 6={interval}={(upPrice - downPrice)} / {6}");
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prices[1][code] = settlePrice - 3 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金1:prices[1][{code}] = settlePrice - 3 * interval;{prices[1][code]}={settlePrice}- 3 * {interval}");
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prices[2][code] = settlePrice - 2 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金2:prices[2][{code}] = settlePrice - 2 * interval:{prices[2][code]}={settlePrice}- 2 * {interval}");
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prices[3][code] = settlePrice - 1 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金3:prices[3][{code}] = settlePrice - 1 * interval:{prices[3][code]}={settlePrice}- 1 * {interval}");
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prices[4][code] = settlePrice;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金4:prices[4][{code}] = settlePrice:{prices[4][code] = settlePrice}");
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prices[5][code] = settlePrice + 1 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金5:prices[5][{code}] = settlePrice - 1 * interval:{prices[5][code]}={settlePrice}+ 1 * {interval}");
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prices[6][code] = settlePrice + 2 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金6:prices[6][{code}] = settlePrice - 2 * interval:{prices[6][code]}={settlePrice}+ 2 * {interval}");
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prices[7][code] = settlePrice + 3 * interval;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金7:prices[7][{code}] = settlePrice - 3 * interval:{prices[7][code]} ={settlePrice}+3 * {interval}");
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prices[8][code] = closePriceProvider.GetPrice(code);
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金8收盘价算Detal:{prices[8][code] = closePriceProvider.GetPrice(code)}");
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}
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foreach (var p in prices)
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{
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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calcScenario: req.GetCalcScenario(),
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tradeList: item.Value,
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priceProvider: new ManualPriceProvider(p.Value),
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pricingRequest: QdpPricingRequest.BASIC_PRICING,
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addVolRateDic: p.Key < 8 ? upVolRateDic : null, //1~7为PM,波动率应当上浮,第8个为DM,波动率不用变化
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: true);
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foreach (var risk in tradeRiskResult.Results)
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{
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var code = risk.Trade.UnderlyingCode;
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var pric = p.Value[risk.Trade.UnderlyingCode];
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易编号：{risk.Trade.TradeNumber} id：{risk.Trade.id}标的：{code} 交易价格为：{pric}");
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if (!resultMap.TryGetValue(risk.Trade.id, out var tradeSpan))
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{
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resultMap[risk.Trade.id] = tradeSpan = _helper.CreateTradeSpan(risk.Trade);
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}
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switch (p.Key)
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{
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case 1:
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tradeSpan.Spv1 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV1为：{tradeSpan.Spv1}");
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break;
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case 2:
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tradeSpan.Spv2 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV2为：{tradeSpan.Spv2}");
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break;
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case 3:
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tradeSpan.Spv3 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV3为：{tradeSpan.Spv3}");
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break;
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case 4:
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tradeSpan.Spv4 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV4为：{tradeSpan.Spv4}");
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break;
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case 5:
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tradeSpan.Spv5 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV5为：{tradeSpan.Spv5}");
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break;
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case 6:
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tradeSpan.Spv6 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV6为：{tradeSpan.Spv6}");
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break;
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case 7:
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tradeSpan.Spv7 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV7为：{tradeSpan.Spv7}");
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break;
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case 8:
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tradeSpan.Spv8 = risk.ValueResult.Pv;
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LogFactory.GetLogger<MarginCalculationBase>().Info($"格林持仓预付金该交易的PV8为：{tradeSpan.Spv8}");
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tradeSpan.DeltaMargin = risk.ValueResult.DeltaCash;
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break;
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default:
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break;
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}
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//第八个pv不参与pm计算
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if (p.Key < 8)
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{
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tradeSpan.SetWorstCastClientPayable();
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}
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}
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}
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}
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}
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 计算每个客户预付金
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/// </summary>
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/// <param name="req"></param>
|
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/// <returns></returns>
|
||||
public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
|
||||
{
|
||||
var clientSpanNews = new List<ClientSpan>();
|
||||
var _mpProvider = new MarginParamProvider(req.UserInfo, req.settleDate);
|
||||
|
||||
using (var db = new YLContext())
|
||||
{
|
||||
if (req.tradeSpans != null && req.tradeSpans.Count > 0)
|
||||
{
|
||||
var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
|
||||
var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
|
||||
var tradeSpanInfo = (from tradeSpan in req.tradeSpans
|
||||
join trade in tradeList on tradeSpan.TradeId equals trade.id
|
||||
where tradeSpan.ValueDate == req.settleDate
|
||||
select new { trade, tradeSpan }).ToList();
|
||||
|
||||
var umCode = tradeList.Select(O => O.UnderlyingCode).ToHashSet();
|
||||
var marginProvider = _mpProvider.Initialize(umCode, MarginParamTypeEnum.MarginRate);
|
||||
|
||||
var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
|
||||
foreach (var item in clientGroups)
|
||||
{
|
||||
var tradeTypes = new List<string>() { "远期", "收益互换" };
|
||||
var forword = item.Where(O => O.trade.TradeType == "远期");
|
||||
var swap = item.Where(O => O.trade.TradeType == "收益互换");
|
||||
|
||||
var worstCastClientPayable_forward = -forword.Sum(O => O.tradeSpan.WorstCastClientPayable ?? 0);
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持预付金远期为：{worstCastClientPayable_forward}");
|
||||
var worstCastClientPayable_swap = -swap.Sum(O => O.tradeSpan.WorstCastClientPayable ?? 0);
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持预付金收益互换为：{worstCastClientPayable_swap}");
|
||||
var worstCastClientPayable_option = 0d;
|
||||
|
||||
var option = item.Where(O => !tradeTypes.Contains(O.trade.TradeType));
|
||||
if (option.Any(O => O.trade.BuySell == "买入"))
|
||||
{
|
||||
var dm = option.Sum(O =>
|
||||
{
|
||||
var margin = (marginProvider.TryGetMarginRate(O.trade.UnderlyingCode, out var m) ? m : 0);
|
||||
var a = Math.Abs((O.tradeSpan.DeltaMargin ?? 0) * margin) - O.tradeSpan.Spv8 ?? 0;
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持保证的dm为：{a}");
|
||||
return Math.Abs((O.tradeSpan.DeltaMargin ?? 0) * margin) - O.tradeSpan.Spv8 ?? 0;
|
||||
});
|
||||
|
||||
dm = Math.Max(dm, 0);
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持保证最大的dm：{dm}");
|
||||
//计算标的 i 在上 7 种情形下客户持仓的持仓价值 MVi,k(k=1,2,3…7)（客户卖出期权，期权价值取负值），
|
||||
//则客户在标的 i 上隔日最大亏损 Li = －min(Vi,k)，对第 i 个标的取维持预付金 PMi = Max(Li,0);
|
||||
//var pm = option.GroupBy(O => O.trade.UnderlyingCode).Sum(O => Math.Max(O.Sum(B => B.tradeSpan.WorstCastClientPayable ?? 0), 0));
|
||||
var underlyingGroup = option.GroupBy(O => O.trade.UnderlyingCode);
|
||||
var pmList = new List<double>();
|
||||
foreach (var unItem in underlyingGroup)
|
||||
{
|
||||
var list = new List<double>()
|
||||
{
|
||||
unItem.Sum(O => O.tradeSpan.Spv1??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv2??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv3??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv4??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv5??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv6??0),
|
||||
unItem.Sum(O => O.tradeSpan.Spv7??0),
|
||||
}; LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持预付金 7 种情形下客户持仓值为1：" +
|
||||
$"{unItem.Sum(O => O.tradeSpan.Spv1 ?? 0)}" +
|
||||
" 2:" + $"{unItem.Sum(O => O.tradeSpan.Spv2 ?? 0)}" +
|
||||
" 3:" + $"{unItem.Sum(O => O.tradeSpan.Spv3 ?? 0)}" +
|
||||
" 4:" + $"{unItem.Sum(O => O.tradeSpan.Spv4 ?? 0)}" +
|
||||
" 5:" + $"{unItem.Sum(O => O.tradeSpan.Spv5 ?? 0)}" +
|
||||
" 6:" + $"{unItem.Sum(O => O.tradeSpan.Spv6 ?? 0)}" +
|
||||
" 7:" + $"{unItem.Sum(O => O.tradeSpan.Spv7 ?? 0)} 代码角度若为卖出期权则为负数(-min)所以最小的加-则为正数");
|
||||
var pmi = list.Max(O => O);
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持预付金PM为Max(Li,0){pmi}");
|
||||
pmList.Add(pmi);
|
||||
}
|
||||
|
||||
var pm = pmList.Sum();
|
||||
|
||||
worstCastClientPayable_option = Math.Max(dm, pm);
|
||||
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持保证标的i维持预付金M=Max(dm，pm){worstCastClientPayable_option}={Math.Max(dm, pm)}");
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"格林维持保证标的i维持预付金M=Max(dm，pm){worstCastClientPayable_option}");
|
||||
#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
|
||||
|
||||
var sumDelta = option.Sum(O => Math.Abs(O.tradeSpan.DeltaMargin ?? 0));
|
||||
tradeIds = option.Select(x => x.trade.id).ToList();
|
||||
var tradeSpansUpdate = db.trade_span.Where(x => tradeIds.Contains(x.TradeId) && x.ClientId == item.Key && x.ValueDate == req.settleDate).ToList();
|
||||
var tradeSpansReq = req.tradeSpans.Where(x => tradeIds.Contains(x.TradeId) && x.ClientId == item.Key && x.ValueDate == req.settleDate).ToList();
|
||||
|
||||
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = worstCastClientPayable_option * Math.Abs(x.DeltaMargin ?? 0) / sumDelta);
|
||||
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = worstCastClientPayable_option * Math.Abs(x.DeltaMargin ?? 0) / sumDelta);
|
||||
|
||||
#endregion
|
||||
}
|
||||
var worstCastClientPayable = -worstCastClientPayable_option + worstCastClientPayable_forward + worstCastClientPayable_swap;
|
||||
LogFactory.GetLogger<MarginCalculationBase>().Info($"{worstCastClientPayable = -worstCastClientPayable_option + worstCastClientPayable_forward + worstCastClientPayable_swap}");
|
||||
var clientSpan = new ClientSpan
|
||||
{
|
||||
ClientId = item.Key,
|
||||
ValueDate = req.settleDate,
|
||||
Spv1 = worstCastClientPayable,
|
||||
Spv2 = worstCastClientPayable,
|
||||
Spv3 = worstCastClientPayable,
|
||||
Spv4 = worstCastClientPayable,
|
||||
//负数代表客户应缴预付金，正数代表客户应收预付金
|
||||
WorstCastClientPayable = worstCastClientPayable,
|
||||
SwapWorstCastClientPayable = worstCastClientPayable_swap,
|
||||
MySideMargin = worstCastClientPayable,
|
||||
OptId = req.userId,
|
||||
OptName = req.userName,
|
||||
OptDate = DateTime.Now,
|
||||
SpanType = req.SpanType,
|
||||
AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
|
||||
&& req.clientAdditionalMarginDic.TryGetValue(item.Key, out var dd) ? dd : 0
|
||||
};
|
||||
clientSpanNews.Add(clientSpan);
|
||||
}
|
||||
}
|
||||
//span类型为实时删除所有实时计算的交易的预付金信息
|
||||
if (req.SpanType == ClientSpan.SpanType_RealTime)
|
||||
{
|
||||
if (req.RefreshClientIds != null)
|
||||
{
|
||||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
|
||||
}
|
||||
else
|
||||
{
|
||||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}={req.SpanType}");
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
if (req.ClientIds != null)
|
||||
{
|
||||
var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
||||
db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
|
||||
}
|
||||
else
|
||||
{
|
||||
var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
||||
db.BulkDelete<ClientSpan>(sql);
|
||||
}
|
||||
var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag)
|
||||
.Select(n => new { n.ValueDate, n.ClientId }).ToList();
|
||||
//筛选出可以修改的clientSpan
|
||||
clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
|
||||
}
|
||||
if (clientSpanNews.Count > 0)
|
||||
{
|
||||
//MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
|
||||
db.client_span.AddRange(clientSpanNews);
|
||||
}
|
||||
db.SaveChanges();
|
||||
}
|
||||
return req.tradeSpans;
|
||||
}
|
||||
public override double GetTradeMargin(GetTradeMarginReq req)
|
||||
{
|
||||
var trade = req.trade;
|
||||
using (YLContext db = new YLContext())
|
||||
{
|
||||
if (trade.TradeType == "结构化交易")
|
||||
{
|
||||
trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
|
||||
}
|
||||
}
|
||||
var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
|
||||
if (null != tradeMargin)
|
||||
{
|
||||
return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
|
||||
}
|
||||
return 0.0;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -131,11 +131,6 @@ namespace YLErp.BLL.MarginCalculation
|
||||
case CompanyEnum.东吴:
|
||||
result.AddRange(DongWuMarginCalculation.Instance.RunMarginCalculation(req.Clone(tempTradeList)));
|
||||
break;
|
||||
case CompanyEnum.格林大华:
|
||||
#if DEBUG
|
||||
result.AddRange(GLDHMarginCalculation.Instance.RunMarginCalculation(req.Clone(tempTradeList)));
|
||||
break;
|
||||
#endif
|
||||
case CompanyEnum.国泰君安:
|
||||
case CompanyEnum.光大光子:
|
||||
case CompanyEnum.兴业商贸:
|
||||
|
||||
@@ -1,217 +0,0 @@
|
||||
//using System;
|
||||
//using System.Collections.Generic;
|
||||
//using System.Linq;
|
||||
//using YLErp.DBModels;
|
||||
//using YLErp.Model;
|
||||
|
||||
//namespace YLErp.BLL.MarginCalculationBak
|
||||
//{
|
||||
// /// <summary>
|
||||
// /// 格林大华
|
||||
// /// </summary>
|
||||
// public class GLDHMarginCalculation : MarginCalculationBase
|
||||
// {
|
||||
// // 定义一个静态变量来保存类的实例
|
||||
// public static readonly GLDHMarginCalculation Instance;
|
||||
|
||||
// static GLDHMarginCalculation()
|
||||
// {
|
||||
// Instance = new GLDHMarginCalculation();
|
||||
// }
|
||||
|
||||
// // 定义私有构造函数，使外界不能创建该类实例
|
||||
// private GLDHMarginCalculation()
|
||||
// {
|
||||
// }
|
||||
|
||||
// public override List<trade_span> RunMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
|
||||
// {
|
||||
// List<trade_span> tradeSpans = new List<trade_span>();
|
||||
// //实际计算的时候没有使用到收盘价格，所以先把取价格的逻辑注释掉;
|
||||
// //if (!(priceDict?.Count > 0))
|
||||
// //{
|
||||
// // var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
|
||||
// // priceDict = base.GetSettlePrice(codes, settleDate);
|
||||
// //}
|
||||
// //if (priceDict.Count == 0)
|
||||
// //{
|
||||
// // //如果价格没有传入也没从数据库获取到，就直接返回，没必要往下运行了。但不应该报错;
|
||||
// // return tradeSpans;
|
||||
// //}
|
||||
// if (tradeList != null && tradeList.Count > 0)
|
||||
// {
|
||||
// var tempStockTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
|
||||
// if (tempStockTradeList.Any())
|
||||
// {
|
||||
// var stockTradeSpanlist = StockMarginCalculation(userId, userName, tempStockTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
|
||||
// if (stockTradeSpanlist.Count > 0)
|
||||
// {
|
||||
// tradeSpans.AddRange(stockTradeSpanlist);
|
||||
// }
|
||||
// }
|
||||
// var tempFutureTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
|
||||
// if (tempFutureTradeList.Any())
|
||||
// {
|
||||
// var futureTradeSpanlist = FutureMarginCalculation(userId, userName, tempFutureTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
|
||||
// if (futureTradeSpanlist.Count > 0)
|
||||
// {
|
||||
// tradeSpans.AddRange(futureTradeSpanlist);
|
||||
// }
|
||||
// }
|
||||
// }
|
||||
// return tradeSpans;
|
||||
// }
|
||||
|
||||
// /// <summary>
|
||||
// /// 股票类期权计算保证金
|
||||
// /// </summary>
|
||||
// /// <param name="userId"></param>
|
||||
// /// <param name="userName"></param>
|
||||
// /// <param name="tradeList"></param>
|
||||
// /// <param name="settleDate"></param>
|
||||
// /// <param name="priceDict"></param>
|
||||
// /// <returns></returns>
|
||||
// public List<trade_span> StockMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
|
||||
// {
|
||||
// List<trade_span> tradeSpans = new List<trade_span>();
|
||||
// if (tradeList != null && tradeList.Count > 0)
|
||||
// {
|
||||
// using (YLContext db = new YLContext())
|
||||
// {
|
||||
// var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
|
||||
// var clientIds = tradeList.Select(t => t.ClientId).ToList();
|
||||
// var clientList = (from client in db.client
|
||||
// join clientlevel in db.clientlevel
|
||||
// on client.LevelId equals clientlevel.id into tempClientlevel
|
||||
// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
|
||||
// where clientIds.Contains(client.id)
|
||||
// select new
|
||||
// {
|
||||
// client,
|
||||
// clientlevel = clientlevelTT
|
||||
// }).ToList();
|
||||
|
||||
// if (clientList != null)
|
||||
// {
|
||||
|
||||
// tradeList.ForEach(t =>
|
||||
// {
|
||||
// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
|
||||
// if (client != null)
|
||||
// {
|
||||
// //未设置相关保证金系数默认为1.0
|
||||
// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
|
||||
// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
|
||||
// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0)) * clientRatio;
|
||||
// var twoSideMargin = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
|
||||
// tradeSpans.Add(new trade_span
|
||||
// {
|
||||
// TradeId = t.id,
|
||||
// OptDate = DateTime.Now,
|
||||
// OptId = userId,
|
||||
// OptName = userName,
|
||||
// ClientId = client.client.id,
|
||||
// UnderlyingId = t.UnderlyingId,
|
||||
// UnderlyingCode = t.UnderlyingCode,
|
||||
// ValueDate = settleDate,
|
||||
// Spv1 = value,
|
||||
// Spv2 = value,
|
||||
// Spv3 = value,
|
||||
// Spv4 = value,
|
||||
// WorstCastClientPayable = value,
|
||||
// TwoSideMargin = twoSideMargin
|
||||
// });
|
||||
// }
|
||||
// });
|
||||
// }
|
||||
// }
|
||||
// }
|
||||
// return tradeSpans;
|
||||
// }
|
||||
|
||||
// /// <summary>
|
||||
// /// 商品期权计算保证金
|
||||
// /// </summary>
|
||||
// /// <param name="userId"></param>
|
||||
// /// <param name="userName"></param>
|
||||
// /// <param name="futureTradeList"></param>
|
||||
// /// <param name="settleDate"></param>
|
||||
// /// <param name="priceDict"></param>
|
||||
// /// <returns></returns>
|
||||
// public List<trade_span> FutureMarginCalculation(int userId, string userName, List<trade> futureTradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
|
||||
// {
|
||||
// List<trade_span> tradeSpans = new List<trade_span>();
|
||||
// if (futureTradeList != null && futureTradeList.Count > 0)
|
||||
// {
|
||||
// using (YLContext db = new YLContext())
|
||||
// {
|
||||
// var marginRation = valuedateBLL.SystemDate.FutureMarginRatio ?? 0.15;
|
||||
// var clientIds = futureTradeList.Select(t => t.ClientId).ToList();
|
||||
// var clientList = (from client in db.client
|
||||
// join clientlevel in db.clientlevel
|
||||
// on client.LevelId equals clientlevel.id into tempClientlevel
|
||||
// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
|
||||
// where clientIds.Contains(client.id)
|
||||
// select new
|
||||
// {
|
||||
// client,
|
||||
// clientlevel = clientlevelTT
|
||||
// }).ToList();
|
||||
|
||||
// if (clientList != null)
|
||||
// {
|
||||
|
||||
// futureTradeList.ForEach(t =>
|
||||
// {
|
||||
// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
|
||||
// if (client != null)
|
||||
// {
|
||||
// //未设置相关保证金系数默认为1.0
|
||||
// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
|
||||
// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
|
||||
// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0)) * clientRatio;
|
||||
// var twoSideMargin = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
|
||||
// tradeSpans.Add(new trade_span
|
||||
// {
|
||||
// TradeId = t.id,
|
||||
// OptDate = DateTime.Now,
|
||||
// OptId = userId,
|
||||
// OptName = userName,
|
||||
// ClientId = client.client.id,
|
||||
// UnderlyingId = t.UnderlyingId,
|
||||
// UnderlyingCode = t.UnderlyingCode,
|
||||
// ValueDate = settleDate,
|
||||
// Spv1 = value,
|
||||
// Spv2 = value,
|
||||
// Spv3 = value,
|
||||
// Spv4 = value,
|
||||
// WorstCastClientPayable = value,
|
||||
// TwoSideMargin = twoSideMargin
|
||||
// });
|
||||
// }
|
||||
// });
|
||||
// }
|
||||
// }
|
||||
// }
|
||||
// return tradeSpans;
|
||||
// }
|
||||
|
||||
// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
|
||||
// {
|
||||
// using (YLContext db = new YLContext())
|
||||
// {
|
||||
// if (trade.TradeType == "结构化交易")
|
||||
// {
|
||||
// trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
|
||||
// }
|
||||
// }
|
||||
|
||||
// var tradeMargin = RunMarginCalculation(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary<int, double> { { trade.UnderlyingId, price } }, hasOptionInfo: hasOptionInfo);
|
||||
// if (null != tradeMargin)
|
||||
// {
|
||||
// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
|
||||
// }
|
||||
// return 0.0;
|
||||
// }
|
||||
// }
|
||||
//}
|
||||
Reference in New Issue
Block a user