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 +1,68 @@
+using YLErp.Abstract;
+using YLErp.Modules.CalculationModule.Abstract;
+
+namespace YLErp.Modules.DataProviderModule
+{
+    /// <summary>
+    /// 波动率数据提供
+    /// </summary>
+    public class VolatilityDataProvider : IVolatilityDataProvider
+    {
+        readonly UnderlyingVolProvider _UnderlyingVolProvider;
+        readonly OtcPositionVolProvider _OtcPositionVolProvider;
+        readonly OtcHedgingVolProvider _OtcHedgingVolProvider;
+        readonly OtcEodOverrideVolProvider _OtcEodOverrideVolProvider;
+        readonly ExOptionSavedVolProvider _ExOptionSavedVolProvider;
+
+        public VolatilityDataProvider(DateTime valueDate)
+        {
+            _UnderlyingVolProvider = new UnderlyingVolProvider(valueDate);
+            _OtcPositionVolProvider = new OtcPositionVolProvider(valueDate);
+            _OtcHedgingVolProvider = new OtcHedgingVolProvider(valueDate);
+            _OtcEodOverrideVolProvider = new OtcEodOverrideVolProvider(valueDate);
+            _ExOptionSavedVolProvider = new ExOptionSavedVolProvider(valueDate);
+        }
+
+
+        /// <summary>
+        /// 场内期权保存的波动率
+        /// </summary>
+        public double? GetExOptionSavedVol(string optionCode, DateTime valueDate)
+        {
+            return _ExOptionSavedVolProvider.GetSavedVol(optionCode, valueDate);
+        }
+
+        /// <summary>
+        /// 场外期权对冲波动率
+        /// </summary>
+        public double? GetOtcHedgingVol(int tradeId, DateTime valueDate)
+        {
+            return _OtcHedgingVolProvider.GetVol(tradeId, valueDate);
+        }
+
+        /// <summary>
+        /// 标的波动率
+        /// </summary>
+        public IVolatility GetUnderlyingVol(DateTime valueDate, string voltype, string contractCode, string userGroup)
+        {
+            return _UnderlyingVolProvider.GetVolatility(voltype, contractCode, userGroup);
+        }
+
+        /// <summary>
+        /// 场外期权结算波动率
+        /// </summary>
+        public double? GetOtcEodOverrideVol(int tradeId, DateTime valueDate)
+        {
+            return _OtcEodOverrideVolProvider.GetVol(tradeId, valueDate);
+        }
+
+        /// <summary>
+        /// 场外期权持仓波动率
+        /// </summary>
+        public IOtcTradeVolatility GetOtcPositionVol(int tradeId, DateTime valueDate)
+        {
+            return _OtcPositionVolProvider.GetVol(tradeId, valueDate);
+        }
+
+    }
+}