从山证v2.3.0拷贝
This commit is contained in:
吴方海
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namespace YLErp.Modules.ApiModule.PricingModule.CustomizedAsianPricing
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{
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public class CustomizedAsianPricingModel : OptionPricingModelV2
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{
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public string ExoticAsianType { get; set; }
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public double LockPrice { get; set; }
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public DateTime LockObsStartDate { get; set; }
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public DateTime LockObsEndDate { get; set; }
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public bool IsLocked { get; set; }
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public DateTime LockStartDate { get; set; }
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public double? AvgPriceRate { get; set; }
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public double? FinalPriceSpread { get; set; }
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public string Fixings { get; set; }
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}
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}
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using System.Reflection;
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namespace YLErp.Modules.ApiModule.PricingModule
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{
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/// <summary>
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/// OptionPricingApiHelper
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/// </summary>
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public static class OptionPricingApiHelper
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{
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static readonly Dictionary<string, (Func<string, object> valueConv, Action<OptionPricingModelV2, object> valueSet)> _dic;
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static OptionPricingApiHelper()
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{
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_dic = new Dictionary<string, (Func<string, object> valueConv, Action<OptionPricingModelV2, object> valueSet)>(StringComparer.OrdinalIgnoreCase);
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}
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/// <summary>
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/// 根据模型属性名设置属性值
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/// </summary>
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public static void SetValueByPropName(OptionPricingModelV2 model, string propName, string value)
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{
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if (string.IsNullOrEmpty(value))
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{
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return;
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}
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if (!_dic.TryGetValue(propName, out var tuple))
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{
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Func<string, object> valueConv = null;
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var prop = typeof(OptionPricingModelV2).GetProperty(propName,
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BindingFlags.Public | BindingFlags.Instance | BindingFlags.IgnoreCase | BindingFlags.SetProperty);
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if (prop != null)
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{
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if (prop.PropertyType == typeof(string))
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{
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valueConv = s => s;
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}
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else if (prop.PropertyType == typeof(int) || prop.PropertyType.IsEnum || prop.PropertyType == typeof(int?))
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{
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valueConv = s => int.TryParse(s, out var n) ? (object)n : throw new ServiceException("参数值不符合要求，参数名:" + propName);
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}
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else if (prop.PropertyType == typeof(double) || prop.PropertyType == typeof(double?))
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{
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valueConv = s => double.TryParse(s, out var d) ? (object)d : throw new ServiceException("参数值不符合要求，参数名:" + propName);
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}
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else if (prop.PropertyType == typeof(bool) || prop.PropertyType == typeof(bool?))
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{
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valueConv = s => s == "true";
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}
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else if (prop.PropertyType == typeof(DateTime) || prop.PropertyType == typeof(DateTime?))
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{
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valueConv = s => DateTime.TryParse(s, out var d) ? (object)d : throw new ServiceException("参数值不符合要求，参数名:" + propName);
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}
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else
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{
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System.Diagnostics.Debug.WriteLine("!!!ExtendSetter:没有处理值转换:" + propName);
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}
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}
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else
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{
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System.Diagnostics.Debug.WriteLine("!!!ExtendSetter:没有找到对应属性信息:" + propName);
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}
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_dic[propName] = tuple = (valueConv, (m, o) => prop?.SetValue(m, o));
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}
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if (tuple.valueConv != null)
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{
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tuple.valueSet(model, tuple.valueConv(value));
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}
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}
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/// <summary>
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/// 检查请求数据是否正确
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/// </summary>
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public static void CheckPricingRequestData(OptionPricingModelV2 req)
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{
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if (req == null)
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{
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throw new ServiceException("参数为null");
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}
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if (string.IsNullOrEmpty(req.UnderlyingCode))
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{
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throw new ServiceException("缺少标的代码");
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}
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(req.UnderlyingCode);
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if (underlying == null)
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{
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throw new ServiceException("没有找到标的信息:" + req.UnderlyingCode);
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}
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if (!req.MaturityDate.HasValue || req.MaturityDate.Value == default)
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{
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req.MaturityDate = req.ExerciseDate;
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}
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req.UnderlyingId = underlying.id;
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req.UnderlyingAssetClass = underlying.UnderlyingType;
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req.UnderlyingAssetName = underlying.UnderlyingName;
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req.UnderlyingInstrumentType = underlying.UnderlyingInstrumentType;
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if (req.Notional <= 0)
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{
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throw new ServiceException("持仓份额必须大于0");
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}
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if (req.TradeType != "香草期权" && req.ExtendFields != null && req.ExtendFields.Count > 0)
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{
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foreach (var kv in req.ExtendFields)
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{
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OptionPricingApiHelper.SetValueByPropName(req, kv.Key, kv.Value);
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}
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var isAutoCall = req.TradeType == "雪球期权" || req.TradeType == "凤凰期权";
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if (isAutoCall)
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{
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req.Strike = req.SpreadStrike1;
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}
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if (!req.IsAnnualized)
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{
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req.AnnualizeFactor = 1;
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if (isAutoCall)
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{
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req.IsAnnualized2 = false;
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req.AnnualizeFactor2 = 1;
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}
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}
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else if (isAutoCall)
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{
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req.IsAnnualized2 = true;
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req.AnnualizeFactor2 = req.AnnualizeFactor;
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req.IsAnnualized = false;
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req.AnnualizeFactor = 1;
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}
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}
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//检查并尽可能修复数据
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req.CheckAndRepairValues();
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if (!req.VolValue.HasValue)
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{
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req.VolValue = 0.3;
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}
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req.Vol = req.VolValue;
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}
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}
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}
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@@ -0,0 +1,127 @@
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Utilities;
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using Qdp.Pricing.Library.Base.Curves.Interfaces;
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using Qdp.Pricing.Library.Common.Interfaces;
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using Qdp.Pricing.Library.Common.Market;
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using Qdp.Pricing.Library.Options.MonteCarlo;
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using Qdp.Pricing.Library.Options.Products.Asian;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Modules.ApiModule.PricingModule.CustomizedAsianPricing;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.PricingModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.ApiModule.PricingModule
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{
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/// <summary>
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/// 期权定价api服务
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/// </summary>
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public partial class OptionPricingApiService
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{
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/// <summary>
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/// 获取期权定价结果
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/// </summary>
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public CalcOptionPriceResult GetOptionPrice(OptionPricingModelV2 req)
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{
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if (req.ExtendFields != null && req.ExtendFields.Count > 0)
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{
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var dic = new Dictionary<string, string>(StringComparer.OrdinalIgnoreCase);
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foreach (var kv in req.ExtendFields)
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{
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dic[kv.Key] = req.ExtendFields[kv.Key];
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}
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req.ExtendFields = dic;
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}
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OptionPricingApiHelper.CheckPricingRequestData(req);
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string fixings = null;
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if (req.ExtendFields != null)
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{
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req.ExtendFields.TryGetValue("fixings", out fixings);
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}
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var result = new PriceCalcService(OptUserInfo.SystemUser).CalcOptionPrice(req, req.IsCalcMargin
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, CalcScenarioEnum.Pricing, req.IsCalcGreeks, fixings: fixings);
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return result;
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}
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public CalcOptionPriceResult GetCustomizedAsianOptionPrice(CustomizedAsianPricingModel req)
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{
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var startDate = new Date(req.StartDate.Value);
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var maturityDate = new Date(req.ExerciseDate.Value);
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var callPut = req.CallPut.ToUpper() == "PUT" ? OptionType.Put : OptionType.Call;
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var lockObsStartDate = new Date(req.LockObsStartDate);
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var lockObsEndDate = new Date(req.LockObsEndDate);
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var lockStartDate = new Date(req.LockStartDate);
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var calendar = CalendarImpl.Get("chn");
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var dayCount = CalculatorHelper.GetTradeDayCount().ToDayCountImpl();
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var option = new EnhancedAsianOptionWithLockAndBarrier(
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startDate,
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maturityDate,
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OptionExercise.European,
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callPut,
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strike: req.Strike.Value,
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lockPrice: req.LockPrice,
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barrierPrice: req.BarrierPrice.HasValue ? req.BarrierPrice.Value : double.NaN, // 13659.26,
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isLocked: req.IsLocked,
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lockObsStartDate: lockObsStartDate,
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lockObsEndDate: lockObsEndDate,
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lockStartDate: lockStartDate,
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underlyingInstrumentType: InstrumentType.CommodityFutures,
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calendar: calendar,
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dayCount: dayCount,
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payoffCcy: CurrencyCode.CNY,
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settlementCcy: CurrencyCode.CNY,
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exerciseDates: new Date[] { maturityDate },
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observationDates: calendar.BizDaysBetweenDatesExcluStartDay(lockObsEndDate, maturityDate).ToArray(),
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fixings: QdpHelper.ParseFixingsFromString(req.Fixings),
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avgPriceRate: req.AvgPriceRate.HasValue ? req.AvgPriceRate.Value : 1.0,
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finalPriceSpread: req.FinalPriceSpread.HasValue ? req.FinalPriceSpread.Value : 0.0,
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notional: req.Notional);
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var mcEngine = new GbmMonteCarloEngine(5000, 1e-3, 1e-6, 1, true);
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var vol = req.Vol.Value;
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var spot = req.SpotPrice.Value;
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var r = req.RiskFreeRate.Value;
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var q = req.DividendRate.Value;
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var valueDate = new Date(req.ValueDate.Value);
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//var market = TestHelper.CreateMarket(valueDate, vol: vol, spot: spot, riskFreeRate: r, dividendRate: q);
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var marketProxy = new MarketProxy(valueDate, r);
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marketProxy.SetVolSurface("volsurf", vol);
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var volsurf = marketProxy.QdpMarket.VolSurfaces["volsurf"];
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var dividendCurveName = Guid.NewGuid().ToString();
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var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(dividendCurveName, q);
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marketProxy.SetYieldCurve(dividendCurveName, dividendCurve);
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var market = new MarketCondition(
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x => x.ValuationDate.Value = marketProxy.QdpMarket.ReferenceDate,
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x => x.DiscountCurve.Value = marketProxy.QdpMarket.YieldCurves[MarketProxy.RiskFreeDiscountCurve],
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x => x.DividendCurves.Value = new Dictionary<string, IYieldCurve> { { "", marketProxy.QdpMarket.YieldCurves[dividendCurveName] } },
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x => x.VolSurfaces.Value = new Dictionary<string, IVolSurface> { { "", volsurf } },
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x => x.SpotPrices.Value = new Dictionary<string, double> { { "", spot } }
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);
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var result = mcEngine.Calculate(option, market, QdpPricingRequest.BASIC_GREEKS);
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return new CalcOptionPriceResult()
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{
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CalcId = req.CalcId,
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calcResult = new TradeValueResult(result)
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};
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}
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}
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}
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@@ -0,0 +1,52 @@
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namespace YLErp.Modules.ApiModule.PricingModule
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{
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public class OptionPricingModelV1
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{
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public IEnumerable<OtcOptionTradeFull> Trades { get; set; }
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/// <summary>
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/// 是否计算预付金
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/// </summary>
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public bool IsCalcMargin { get; set; }
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/// <summary>
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/// 是否计算greeks
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/// </summary>
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public bool IsCalcGreeks { get; set; }
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}
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public class OptionPricingModelV2 : OtcOptionTradeFull
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{
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/// <summary>
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/// 是否计算预付金
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/// </summary>
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public bool IsCalcMargin { get; set; }
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/// <summary>
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/// 是否计算greeks
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/// </summary>
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public bool IsCalcGreeks { get; set; }
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/// <summary>
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/// 交易方向： Buy | Sell
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/// </summary>
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public string TradeSide { get => BuySell; set => BuySell = value; }
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/// <summary>
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/// 波动率值
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/// </summary>
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public double? VolValue { get => TradeOpenVolatility; set => TradeOpenVolatility = value; }
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public Dictionary<string, string> ExtendFields { get; set; }
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/// <summary>
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/// 无风险利率别名
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/// </summary>
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public double? RiskFreeRate { get => NoRiskRate; set => NoRiskRate = value; }
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/// <summary>
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/// 权利金
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/// </summary>
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public double Premium { get => TradeSinglePrice ?? 0; set => TradeSinglePrice = value; }
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}
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}
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