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债券期货 greek计算数据获取完成

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This commit is contained in:
yexuzhong
2026-08-03 16:40:40 +08:00
parent 3f6c060b4c
commit b41346240c
1 changed files with 99 additions and 28 deletions
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YLErpDAL/Modules/EodModule/GLMSGreeksHandleService.cs
+99 -28
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@@ -31,6 +31,7 @@ namespace YLErp.Modules.EodModule
Dictionary<string, double?> _dDic = new Dictionary<string, double?>();
Dictionary<string, double?> _cDic = new Dictionary<string, double?>();
Dictionary<string, double?> _ytmDic = new Dictionary<string, double?>();
Dictionary<string, double?> _cfDic = new Dictionary<string, double?>();
//期货对应的债券代码
Dictionary<string, string> _TFeaturesBondCodeDic = new Dictionary<string, string>();
@@ -51,24 +52,9 @@ namespace YLErp.Modules.EodModule
using var db = DbContextFactory.GetYLDbContext();
var conn = db.Database.GetDbConnection();
var bondsUmCodes = umDatas.Where(p => instrumentBondsTypes.Contains(p.UnderlyingInstrumentType)).Select(p => p.UnderlyingCode).Distinct().ToList();
if (bondsUmCodes != null && bondsUmCodes.Count > 0)
if (bondsUmCodes == null)
{
var datas = db.china_bond_valuation.AsNoTracking().Where(p => p.valuation_date == valueDate && bondsUmCodes.Contains(p.bond_id)).Select(p => new
{
p.bond_id,
p.modi_dura,
p.convexity,
p.yield
}).ToList();
if (datas != null && datas.Count > 0)
{
foreach (var item in datas)
{
_dDic.Add(item.bond_id, item.modi_dura != null ? (double)item.modi_dura : null);
_cDic.Add(item.bond_id, item.convexity != null ? (double)item.convexity : null);
_ytmDic.Add(item.bond_id, item.yield != null ? (double)item.yield : null);
}
}
bondsUmCodes = new List<string>();
}
var bondIndexUmInnerCodes = umDatas.Where(p => ConsGlobal.InstrumentType.BondIndex.Equals(p.UnderlyingInstrumentType)).Select(p => p.InnerCode??0).Distinct().ToList();
@@ -107,6 +93,7 @@ namespace YLErp.Modules.EodModule
if (bondUm != null)
{
_TFeaturesBondCodeDic.Add(item.Key, bondUm.UnderlyingCode);
bondsUmCodes.Add(bondUm.UnderlyingCode);
}
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(item.Key);
if (um.InnerCode != null)
@@ -114,9 +101,42 @@ namespace YLErp.Modules.EodModule
contractInnerCodeBondInnerCodeDic.Add(um.InnerCode ?? 0, item.Value);
}
}
if (tFeatureBondInnerCodeDic.Count > 0)
if (contractInnerCodeBondInnerCodeDic.Count > 0)
{
var cfDatas = GetCFDatas(contractInnerCodeBondInnerCodeDic, conn);
if (cfDatas != null && cfDatas.Count > 0)
{
foreach (var item in cfDatas)
{
var um = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().FirstOrDefault(p => p.InnerCode == item.Key);
if (um != null)
{
_cfDic.Add(um.UnderlyingCode, item.Value);
}
}
}
}
}
}
if (bondsUmCodes != null && bondsUmCodes.Count > 0)
{
bondsUmCodes = bondsUmCodes.Distinct().ToList();
var datas = db.china_bond_valuation.AsNoTracking().Where(p => p.valuation_date == valueDate && bondsUmCodes.Contains(p.bond_id)).Select(p => new
{
p.bond_id,
p.modi_dura,
p.convexity,
p.yield
}).ToList();
if (datas != null && datas.Count > 0)
{
foreach (var item in datas)
{
_dDic.Add(item.bond_id, item.modi_dura != null ? (double)item.modi_dura : null);
_cDic.Add(item.bond_id, item.convexity != null ? (double)item.convexity : null);
_ytmDic.Add(item.bond_id, item.yield != null ? (double)item.yield : null);
}
}
}
@@ -181,22 +201,66 @@ namespace YLErp.Modules.EodModule
return res;
}
private GLMSGreeksCalcArgs GetCalcArgs(string underlyingCode,string underlyingInstrumentType)
private GLMSGreeksCalcArgs GetCalcArgs(string underlyingCode, string underlyingInstrumentType)
{
var res = new GLMSGreeksCalcArgs();
if (ConsGlobal.InstrumentType.RateYield.Equals(underlyingInstrumentType))
{
return null;
return res;
}
return new GLMSGreeksCalcArgs
if (ConsGlobal.InstrumentType.TBFutures.Equals(underlyingInstrumentType))
{
};
var bondUnderlyingCode = _TFeaturesBondCodeDic.GetValueOrDefault(underlyingCode, null);
if (!string.IsNullOrEmpty(bondUnderlyingCode))
{
res.P = _pDic.GetValueOrDefault(bondUnderlyingCode, null);
res.D = _dDic.GetValueOrDefault(bondUnderlyingCode, null);
res.C = _cDic.GetValueOrDefault(bondUnderlyingCode, null);
res.Ytm = _ytmDic.GetValueOrDefault(bondUnderlyingCode, null);
}
res.CF = _cfDic.GetValueOrDefault(underlyingCode, null);
}
else
{
res.P = _pDic.GetValueOrDefault(underlyingCode, null);
res.D = _dDic.GetValueOrDefault(underlyingCode, null);
res.C = _cDic.GetValueOrDefault(underlyingCode, null);
res.Ytm = _ytmDic.GetValueOrDefault(underlyingCode, null);
}
//
return res;
}
private Dictionary<long, double> GetCFDatas(Dictionary<long, long> contractInnerCodeBondInnerCodeDic, DbConnection conn)
private Dictionary<long, double?> GetCFDatas(Dictionary<long, long> contractInnerCodeBondInnerCodeDic, DbConnection conn)
{
var sql = "SELECT infopubldate,contractinnercode,ibmarketinnercode,conversionfactors FROM fut_conversionfactors WHERE (contractinnercode,ibmarketinnercode) IN ((2059453,477500));";
return null;
if (contractInnerCodeBondInnerCodeDic == null || contractInnerCodeBondInnerCodeDic.Count == 0)
return new Dictionary<long, double?>();
var parameters = new DynamicParameters();
var tupleList = new List<string>();
int idx = 0;
foreach (var kvp in contractInnerCodeBondInnerCodeDic)
{
var cp = $"@C{idx}";
var bp = $"@B{idx}";
tupleList.Add($"({cp},{bp})");
parameters.Add(cp, kvp.Key);
parameters.Add(bp, kvp.Value);
idx++;
}
var sql = $@"SELECT infopubldate, contractinnercode, ibmarketinnercode, conversionfactors
FROM fut_conversionfactors
WHERE (contractinnercode, ibmarketinnercode) IN ({string.Join(",", tupleList)})";
var datas = conn.Query<CFQueryDto>(sql, parameters, commandTimeout: 1800).ToList();
return datas.GroupBy(p => p.contractinnercode).ToDictionary(d => d.Key, d =>
{
var res = d.OrderByDescending(p => p.infopubldate).First().conversionfactors;
return res != null ? (double)res : (double?)null;
});
}
private void handle(GreeksCalcDto dto, underlying_manager um)
@@ -206,8 +270,6 @@ namespace YLErp.Modules.EodModule
return;
}
var calcArgs = GetCalcArgs(um.UnderlyingCode, um.UnderlyingInstrumentType);
if (ConsGlobal.InstrumentType.RateYield.Equals(um.UnderlyingInstrumentType))
@@ -310,4 +372,13 @@ namespace YLErp.Modules.EodModule
public decimal? spread { get; set; }
}
public class CFQueryDto
{
public DateTime infopubldate { get; set; }
public long contractinnercode { get; set; }
public long ibmarketinnercode { get; set; }
public decimal? conversionfactors { get; set; }
}
}