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 +1,107 @@
+using YLErp.DBModels.Consts;
+using YLErp.Modules.CalculationModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.EodModule.SettlementModule.V2
+{
+    /// <summary>
+    /// 临时存放
+    /// </summary>
+    class EodPositionSettleServiceTemp<TRisk, TPosition, TPnl> : EodSettleServiceBaseV2
+            where TPnl : EodPnl, new()
+            where TRisk : EodTradeRisk, new()
+            where TPosition : EodTradePosition, new()
+    {
+        public EodPositionSettleServiceTemp(EodSettlementContextV2 context) : base(context)
+        {
+
+        }
+
+        #region----盈亏分解V1----
+
+        //判断是否可以进行盈亏分解计算
+        private bool CanCalcPnlExplain(OtcTradeBase td)
+        {
+            switch (td.TradeType)
+            {
+                case "远期":
+                case "收益互换":
+                case "自定义交易":
+                    return false;
+                default:
+                    return true;
+            }
+        }
+
+        private void CalcPnlExplainV1(trade td, TPnl pnl1, TRisk risk1, double spotPrice1, double riskFreeRate1)
+        {
+            if (!CanCalcPnlExplain(td))
+            {
+                return;
+            }
+
+            var preRisk = DbContext.Set<TRisk>().Where(n => n.ValueDate < _context.SettleDate && n.TradeId == td.id)
+                .OrderByDescending(n => n.ValueDate).Select(n => new { n.ValueDate, n.Vol, n.Pv }).FirstOrDefault();
+
+            if (preRisk == null)
+            {
+                return;
+            }
+
+            DateTime date0;
+
+            double spotPrice0, vol0, riskFreeRate0, PV0, vol1 = risk1.Vol;
+
+            var hisData = DbContext.TradeHisData.Where(n => n.TradeId == td.id && n.ValueDate < _context.SettleDate && n.ValueType == ConsTradeField.NoRiskRate)
+                .OrderByDescending(n => n.ValueDate).Select(n => new { n.Value }).FirstOrDefault();
+
+            spotPrice0 = _context.GetPreEodPriceProvider().GetPrice(td.UnderlyingCode, td.SettlementType);
+
+            PV0 = preRisk.Pv;
+            vol0 = preRisk.Vol;
+            date0 = preRisk.ValueDate;
+
+            riskFreeRate0 = hisData?.Value ?? td.NoRiskRate ?? riskFreeRate1;
+
+            var sdiff = spotPrice1 - spotPrice0;
+            pnl1.PnLDelta = risk1.Delta * sdiff;
+            pnl1.PnLGamma = risk1.Gamma * sdiff * sdiff / 2;
+            pnl1.PnLVega = risk1.Vega * (risk1.Vol - vol0) * 100;
+            pnl1.PnLTheta = risk1.Theta * (_context.SettleDate - _context.PreSettleDate).TotalDays;
+            pnl1.PnLRho = risk1.Rho * (riskFreeRate1 - riskFreeRate0);
+
+            //交易在上一交易日使用当前交易日的标的价格计算出的Pv
+            var PV0s1 = CalcPnlExplainV1(td, date0, spotPrice1, vol0, riskFreeRate0);
+
+            //交易在上一交易日使用当前交易日的波动率计算出的Pv
+            var PV0v1 = CalcPnlExplainV1(td, date0, spotPrice0, vol1, riskFreeRate0);
+
+            //交易在上一交易日使用当前交易日的标的价格和波动率计算出的Pv
+            var PV0s1v1 = CalcPnlExplainV1(td, date0, spotPrice1, vol1, riskFreeRate0);
+
+            pnl1.PnLPrice = PV0s1 - PV0;
+            pnl1.PnLVol = PV0v1 - PV0;
+            pnl1.PnLPriceVolCross = PV0s1v1 - PV0 - pnl1.PnLPrice - pnl1.PnLVol;
+        }
+
+        private static double CalcPnlExplainV1(trade td, DateTime valueDate, double spotPrice, double vol, double riskFreeRate)
+        {
+            var req = new OptionValueCalcRequest(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
+                isEodCalc = true,
+                pricingRequest = QdpPricingRequest.PV_ONLY,
+                spotPrices = new[] { spotPrice },
+                vols = new[] { vol }
+            };
+
+            var result = OptionCalculatorV2.GetOptionValueResult(valueDate, td, req, out _);
+
+            return NumberHelper.Normalize(result.Pv);
+        }
+
+        #endregion
+    }
+}