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 +1,304 @@
+using YLErp.DBModels.Consts;
+using YLErp.Modules.VolatilityModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.EodModule.SettlementModule
+{
+    /// <summary>
+    /// 结算波动率接口(暂未考虑多标的处理)
+    /// </summary>
+    public interface IEodVolProvider
+    {
+        double? GetVol(OtcTradeBase td, double spotPrice);
+    }
+
+    #region----持仓波动率----
+
+    /// <summary>
+    /// TradeVol模式持仓波动率提供
+    /// </summary>
+    class EodPositionVolProvider_Trade : TradeVolitalityProvider, IEodVolProvider
+    {
+        Dictionary<int, double> _overridVolDic;
+
+        public EodPositionVolProvider_Trade(DateTime valueDate) : base(valueDate)
+        {
+
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            if (td is null)
+            {
+                throw new ArgumentNullException(nameof(td));
+            }
+
+            if (td.id < 1)
+            {
+                return null;
+            }
+
+            if (_overridVolDic == null)
+            {
+                using (var db = DbContextFactory.GetYLDbContext())
+                {
+                    _overridVolDic = db.eod_trade_vol_override.Where(x => x.valuedate == _valueDate)
+                        .Select(n => new { n.tradeid, n.vol }).ToDictionary(n => n.tradeid, m => m.vol);
+                }
+            }
+
+            if (_overridVolDic.TryGetValue(td.id, out var vol))
+            {
+                return vol;
+            }
+
+            if (TryGetVol(td.id, td.ExerciseDate.Value, out vol))
+            {
+                return vol;
+            }
+
+            return VolatilityHelper.GetTradeVol(_valueDate, td.TradeDate.Value, td.ExerciseDate.Value,
+                td.TradeOpenVolatility ?? 0, td.TradeCloseVolatility ?? 0, td.NumOfSmoothingDays ?? 0);
+        }
+    }
+
+    #endregion
+
+    #region----曲面波动率----
+
+    /// <summary>
+    /// 曲面波动率模式持仓波动率提供
+    /// </summary>
+    class EodUnderlyingVolProvider : UnderlyingVolitalityProvider
+    {
+        protected EodUnderlyingVolProvider(DateTime valueDate, IEnumerable<string> volTypes) : base(valueDate, volTypes)
+        {
+
+        }
+
+        protected double? InnerGetVol(OtcTradeBase td, string volType, double spotPrice)
+        {
+            if (td is null)
+            {
+                throw new ArgumentNullException(nameof(td));
+            }
+
+            var userGroup = string.Empty;
+
+            if (ConsUserGroup.HasGroup)
+            {
+                userGroup = DataCacheProvider.GetAssetUnitDataSource().GetData(td.AssetId)?.UserGroup;
+
+                if (string.IsNullOrEmpty(userGroup))
+                {
+                    throw new Exception($"[结算交易'{td.TradeNumber}'][取{volType}波动率]未能获取用户组!");
+                }
+            }
+
+            var unVol = GetVol(volType, userGroup, td.UnderlyingCode);
+
+            if (unVol == null)
+            {
+                return null;
+            }
+
+            var constVol = VolatilityHelper.GetInterpolatedVol(
+                volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
+                volSurface: unVol,
+                valueDate: _valueDate,
+                underlyingCode: td.UnderlyingCode,
+                exerciseDate: td.ExerciseDate.Value,
+                strike: td.Strike ?? 0,
+                isBuy: td.BuySell == "买入",
+                isCall: td.CallPut == "Call",
+                spotPrice: spotPrice,
+                isMoneynessOption: td.IsMoneynessOption == "是",
+                isEodCalc: true);
+
+            return constVol;
+        }
+    }
+
+    /// <summary>
+    /// 单个曲面波动率类型
+    /// </summary>
+    class EodUnderlyingSingleVolProvider : EodUnderlyingVolProvider, IEodVolProvider
+    {
+        readonly string _volType;
+
+        public EodUnderlyingSingleVolProvider(DateTime valueDate, string volType)
+            : base(valueDate, new[] { volType })
+        {
+            _volType = volType ?? throw new ArgumentNullException(nameof(volType));
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            return InnerGetVol(td, _volType, spotPrice);
+        }
+    }
+
+    /// <summary>
+    /// 曲面波动率模式持仓波动率提供
+    /// </summary>
+    class EodPositionVolProvider_Underlying : EodUnderlyingVolProvider, IEodVolProvider
+    {
+        readonly string _volType;
+
+        Dictionary<int, double> _overridVolDic;
+
+        public EodPositionVolProvider_Underlying(DateTime valueDate, string volType)
+            : base(valueDate, new[] { volType })
+        {
+            _volType = volType ?? throw new ArgumentNullException(nameof(volType));
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            if (_overridVolDic == null)
+            {
+                using (var db = DbContextFactory.GetYLDbContext())
+                {
+                    _overridVolDic = db.eod_trade_vol_override.Where(x => x.valuedate == _valueDate)
+                        .Select(n => new { n.tradeid, n.vol }).ToDictionary(n => n.tradeid, m => m.vol);
+                }
+            }
+
+            if (_overridVolDic.TryGetValue(td.id, out var vol))
+            {
+                return vol;
+            }
+
+            return InnerGetVol(td, _volType, spotPrice);
+        }
+    }
+
+    #endregion
+
+    #region----对冲波动率----
+
+    /// <summary>
+    /// 对冲波动率提供
+    /// </summary>
+    class EodHedgeVolProvider : TradeHedgeVolProvider, IEodVolProvider
+    {
+        public EodHedgeVolProvider(DateTime valueDate) : base(valueDate)
+        {
+
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            if (td is null)
+            {
+                throw new ArgumentNullException(nameof(td));
+            }
+
+            if (TryGetVol(td.id, out var vol))
+            {
+                return vol;
+            }
+
+            return td.TradeSavedVol ?? 0;
+        }
+    }
+
+    /// <summary>
+    /// 开仓波动率提供(开仓波动率只在TradeVol模式下结算)
+    /// </summary>
+    class EodOpenVolProvider : TradeHedgeVolProvider, IEodVolProvider
+    {
+        public EodOpenVolProvider(DateTime valueDate) : base(valueDate)
+        {
+
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            return td?.TradeOpenVolatility;
+        }
+    }
+
+    #endregion
+
+    #region----扩展波动率----
+
+    /// <summary>
+    /// 扩展波动率(光证)提供
+    /// </summary>
+    class EodExtendVolProvider_GZ : VarietyVolProvider, IEodVolProvider
+    {
+        public EodExtendVolProvider_GZ(DateTime valueDate) : base(valueDate)
+        {
+
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            if (td is null)
+            {
+                throw new ArgumentNullException(nameof(td));
+            }
+
+            if (TryGetVol(td.UnderlyingCode, out var vol))
+            {
+                return vol;
+            }
+
+            return null;
+        }
+    }
+
+    /// <summary>
+    /// 扩展波动率(BidAskVol)提供
+    /// </summary>
+    class EodExtendVolProvider_BidAskVol : EodUnderlyingVolProvider, IEodVolProvider
+    {
+        public EodExtendVolProvider_BidAskVol(DateTime valueDate)
+            : base(valueDate, new[] { "报价Ask", "报价Bid" })
+        {
+        }
+
+        public double? GetVol(OtcTradeBase td, double spotPrice)
+        {
+            if (td is null)
+            {
+                throw new ArgumentNullException(nameof(td));
+            }
+
+            return InnerGetVol(td, td.BuySell == "买入" ? "报价Ask" : "报价Bid", spotPrice);
+        }
+    }
+
+    #endregion
+
+    /// <summary>
+    /// 波动率提供者工厂
+    /// </summary>
+    public class EodVolProviderFactory
+    {
+        public static IEodVolProvider GetEodVolProvider(DateTime valueDate, string volType)
+        {
+            switch (volType)
+            {
+                case "持仓":
+                    if (PS.Config.IsTradeVol)
+                    {
+                        return new EodPositionVolProvider_Trade(valueDate);
+                    }
+                    volType = BLL.valuedateBLL.SystemDate.EodSettleVolMode.TrimToNull() ?? "财务";
+                    return new EodPositionVolProvider_Underlying(valueDate, volType);
+                case "开仓":
+                    return new EodOpenVolProvider(valueDate);
+                case "对冲":
+                    return new EodHedgeVolProvider(valueDate);
+                case "BidAskVol":
+                    return new EodExtendVolProvider_BidAskVol(valueDate);
+                case "光证":
+                    return new EodExtendVolProvider_GZ(valueDate);
+                default:
+                    return new EodUnderlyingSingleVolProvider(valueDate, volType);
+            }
+        }
+    }
+}