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.Abstract;
+using YLErp.Commons;
+using YLErp.Enums;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.CalculationModule.Abstract
+{
+    /// <summary>
+    /// 场外交易估值计算上下文接口
+    /// </summary>
+    public interface IOtcTradeValueCalcContext : IDisposable
+    {
+        /// <summary>
+        /// 计算场景枚举
+        /// </summary>
+        CalcScenarioEnum CalcScenario { get; }
+
+        /// <summary>
+        /// 用户组
+        /// </summary>
+        string UserGroup { get; set; }
+
+        /// <summary>
+        /// 估值日期
+        /// </summary>
+        DateTime ValueDate { get; }
+
+        /// <summary>
+        /// 波动率类型
+        /// </summary>
+        string VolType { get; }
+
+        bool IsEodCalc { get; }
+
+        /// <summary>
+        /// 系统全局无风险利率
+        /// </summary>
+        double SysRiskFreeRate { get; }
+
+        /// <summary>
+        /// 是否精确时间模式
+        /// </summary>
+        bool IsPreciseTimeMode { get; }
+
+        /// <summary>
+        /// 增加波动率比率
+        /// </summary>
+        double AddingVolRate { get; }
+
+        /// <summary>
+        /// QDP市场代理
+        /// </summary>
+        MarketProxy MarketProxy { get; }
+
+        /// <summary>
+        /// 数据提供者(接口实现中不能为null)
+        /// </summary>
+        IOptionCalcDataProvider DataProvider { get; }
+
+        /// <summary>
+        /// 错误处理接口
+        /// </summary>
+        IErrorHandler ErrorHandler { get; }
+
+        /// <summary>
+        /// 是否计算T+1日Delta
+        /// </summary>
+        bool CalcDeltaT1 { get; }
+
+        /// <summary>
+        /// 追踪
+        /// </summary>
+        TraceWrap Trace { get; }
+
+        //----------------------------------------
+        //方法
+        //----------------------------------------
+
+        /// <summary>
+        /// 根据交易品种ID获取此交易品种是否存在夜盘
+        /// </summary>
+        bool HasNightMarket(int varietyId);
+
+        /// <summary>
+        /// 获取标的关联性
+        /// </summary>
+        double GetCorrelation(int underlyingId1, int underlyingId2);
+
+        /// <summary>
+        /// 为计算准备波动率
+        /// </summary>
+        bool PrepareVolatility(string qdpTradeId, OtcTradeBase trade, double spotPrice, out string[] volsurfaceNames);
+
+        /// <summary>
+        /// 获取交易的无风险利率
+        /// </summary>
+        double GetRiskFreeRate(OtcTradeBase trade);
+
+        /// <summary>
+        /// 获取交易的分红率
+        /// </summary>
+        double GetDividendRate(OtcTradeBase trade);
+
+        /// <summary>
+        /// 获取期权计算模式
+        /// </summary>
+        PricingRequest GetPricingRequest(OtcTradeBase trade);
+
+        /// <summary>
+        /// 为亚式期权交易获取fixing数据
+        /// </summary>
+        string GetFixingString(OtcTradeBase trade, trade_asian_option asianOption, double spotPrice);
+    }
+}