从山证v2.3.0拷贝

2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
@@ -0,0 +1,115 @@
+using Qdp.Pricing.Base.Implementations;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.EodModule.SettlementModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.EodModule
+{
+    [TestClass]
+    public class EodSettlementTest : UnitTestBase
+    {
+        [TestMethod("收盘估值计算")]
+        public void TestCalcPv()
+        {
+            var settleDate = new DateTime(2021, 4, 27);
+            var predicate = PredicateBuilder.Create<trade>(t => t.TradeNumber == "CW20210016E0002");
+            var otcTrades = new EodSettleDataQueryService(GetOptUser())
+                        .GetOtcTrades(settleDate, predicate, out var tradeCashProvider);
+            var td = otcTrades.FirstOrDefault();
+            if (td == null)
+            {
+                Console.WriteLine("没有找到交易");
+                return;
+            }
+            var eodpriceProvider = new YLErp.Modules.DataProviderModule.EodPriceProvider(settleDate);
+            var spotPrice = eodpriceProvider.GetPrice(td.UnderlyingCode, SettlementTypeEnum.ClosePrice);
+            var req = new OptionValueCalcRequest(td.NoRiskRate ?? 0)
+            {
+                correlations = null,//不计算彩虹等多标的期权暂时不需要
+                engineName = null,
+                preciseTimeMode = false, //日终一定是false
+                pricingRequest = QdpPricingRequest.BASIC_GREEKS,
+                spotPrices = new[] { spotPrice }
+            };
+            if (td.TradeType != ConsGlobal.TradeType.CashFlow)
+            {
+                var volProvider = EodVolProviderFactory.GetEodVolProvider(settleDate, "持仓");
+                var vol = volProvider.GetVol(td, spotPrice) ?? ConsGlobal.DefaultVol;
+                req.vols = new[] { vol };
+            }
+            var option = OptionCalculatorV2.GetOptionValueResult(settleDate, td, req, out var underlyings);
+            Console.WriteLine($"[{td.TradeType},{td.TradeNumber},{td.id}] pv:{option.Pv}, delta:{option.Delta}");
+        }
+
+        [TestMethod("测试盈亏分解--当天新开仓的交易")]
+        public void TestCalcPnlExplainV2_NewOtcTradeDeal()
+        {
+            var db = DbContextFactory.GetYLDbContext();
+
+            var td = db.trade.FirstOrDefault(n => n.TradeNumber == "CW20210016C0001");
+
+            YLErp.BLL.tradeBLL.SetFieldsByTradeType(td);
+
+            var pnl = new EodPnl();
+
+            double spot0 = 5910, spot1 = 5911, pv1 = 53796.37;
+
+            var pS0V1Q1T1 = CalcPnlExplainV2(td, new CalcField
+            {
+                spot = spot0,
+                vol = 0.28,
+                dividendRate = 0,
+                riskFreeRate = 0.03,
+                date = new DateTime(2021, 4, 27)
+            }, PricingRequest.Pv | PricingRequest.Delta, x =>
+            {
+
+            });
+
+            if (pS0V1Q1T1 != null)
+            {
+                pnl.PnLVega += NumberHelper.Normalize(pS0V1Q1T1.Pv - ((td.TradeSinglePrice ?? 0) * td.Notional));
+                pnl.PnLDelta += NumberHelper.Normalize(pS0V1Q1T1.Delta * (spot1 - spot0));
+                pnl.PnLGamma += NumberHelper.Normalize(pv1 - pS0V1Q1T1.Pv - pnl.PnLDelta);
+                Console.WriteLine($"pS0V1Q1T1 pv:{pS0V1Q1T1.Pv}, delta:{pS0V1Q1T1.Delta}");
+            }
+            Console.WriteLine("计算失败");
+        }
+
+        //计算pv和delta
+        private static TradeValueResult CalcPnlExplainV2(trade td, CalcField f, PricingRequest pricingRequest
+            , Action<OptionTradeParamBase> paramOverride = null)
+        {
+            td.NoRiskRate = f.riskFreeRate;
+            td.DividendRate = f.dividendRate;
+
+            var req = new OptionValueCalcRequest(f.riskFreeRate)
+            {
+                correlations = null,//不计算彩虹等多标的期权暂时不需要
+                engineName = null,
+                preciseTimeMode = false, //日终一定是false
+                pricingRequest = pricingRequest,
+                spotPrices = new[] { f.spot },
+                vols = new[] { f.vol },
+                ParamOverride = paramOverride
+            };
+
+            return OptionCalculatorV2.GetOptionValueResult(f.date, td, req, out _);
+        }
+
+        class CalcField
+        {
+            //public double pv;
+
+            public DateTime date;
+
+            public double vol;
+
+            public double dividendRate;
+
+            public double spot;
+
+            public double riskFreeRate;
+        }
+    }
+}