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 +1,112 @@
+using Qdp.Foundation.Implementations;
+using Qdp.Pricing.Base.Enums;
+using Qdp.Pricing.Base.Implementations;
+using Qdp.Pricing.Library.Equity.Engines.Analytical;
+using YLErp.BLL;
+using YLErp.Modules.VolatilityModule;
+
+namespace YLErp.Modules.ExcelAddinModule
+{
+    /// <summary>
+    /// 
+    /// </summary>
+    public static class ExcelVolatilityService
+    {
+        /// <summary>
+        /// 
+        /// </summary>
+        public static double? GetUnderlyingVol(YLContext db, string optionCode, DateTime valueDate, string userGroup = null)
+        {
+            if (PS.Config.Is光大光子)
+            {
+                return null;
+            }
+
+            var exUm = DataCacheProvider.GetExchangeListOptionDataSource().GetData(optionCode);
+            if (exUm == null)
+            {
+                return null;
+            }
+
+            var um = DataCacheProvider.GetUnderlyingDataSource().GetData(exUm.UnderlyingCode);
+            if (um == null)
+            {
+                return null;
+            }
+
+            var price = um.Price ?? 0;
+
+            if (valuedateBLL.SystemDate.ValueDate > valueDate)
+            {
+                if (ConsGlobal.InstrumentType.IsStock(um.UnderlyingInstrumentType))
+                {
+                    price = (db.eod_stock_price.Where(O => O.ValueDate <= valueDate && O.UnderlyingCode == um.UnderlyingCode)
+                        .OrderByDescending(n => n.ValueDate).Select(n => (double?)n.ClosePrice).FirstOrDefault()) ?? 0;
+                }
+                else
+                {
+                    price = (db.eod_commodity_future_price.Where(O => O.ValueDate <= valueDate && O.UnderlyingCode == um.UnderlyingCode)
+                        .OrderByDescending(n => n.ValueDate).Select(n => (double?)n.ClosePrice).FirstOrDefault()) ?? 0;
+                }
+            }
+
+            var req = new SingleVolReq
+            {
+                VolType = "交易",
+                Strike = exUm.Strike,
+                SpotPrice = price,
+                TradeDate = valueDate,
+                ExerciseDate = exUm.MaturityDate,
+                IsMoneynessOption = "否",
+                //req.CallPut = trade.CallPut;
+                UnderlyingId = exUm.id,
+                UnderlyingCode = exUm.UnderlyingCode,
+                UnderlyingName = um.UnderlyingName,
+                UnderlyingTypeId = um.UnderlyingTypeId,
+                UserGroup = userGroup
+            };
+
+            var vol = SingleVolService.GetSingleVol(req, 0);
+
+            return vol;
+        }
+
+        /// <summary>
+        /// 
+        /// </summary>
+        public static HandleResult<Dictionary<string, Dictionary<string, double?>>> GetTradeVol(DateTime date, List<string> tradeNumbers)
+        {
+            var result = new Dictionary<string, Dictionary<string, double?>>();
+
+            using (var context = new YLContext())
+            {
+                var trades = context.trade.Where(O => tradeNumbers.Contains(O.TradeNumber)).ToList();
+                if (trades == null || trades.Count == 0)
+                { return new HandleResult<Dictionary<string, Dictionary<string, double?>>>("交易代码不存在"); }
+                for (var i = 0; i < trades.Count; i++)
+                {
+                    if (!result.ContainsKey(trades[i].TradeNumber))
+                    { result.Add(trades[i].TradeNumber, new Dictionary<string, double?>()); }
+                    result[trades[i].TradeNumber]["TradeOpenVolatility"] = trades[i].TradeOpenVolatility;
+                    result[trades[i].TradeNumber]["TradeCloseVolatility"] = trades[i].TradeCloseVolatility;
+                    result[trades[i].TradeNumber]["NumOfSmoothingDays"] = trades[i].NumOfSmoothingDays;
+                    if (trades[i].StartDate > date) { result[trades[i].TradeNumber]["TradeVol"] = null; }
+                    else
+                    {
+                        result[trades[i].TradeNumber]["TradeVol"] = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
+                                new Date(date),
+                                trades[i].TradeOpenVolatility.GetValueOrDefault(),
+                                trades[i].TradeCloseVolatility.GetValueOrDefault(),
+                                new Date(trades[i].StartDate.GetValueOrDefault()),
+                                new Date(trades[i].ExerciseDate.GetValueOrDefault()),
+                                trades[i].NumOfSmoothingDays.GetValueOrDefault(),
+                                DayCountMode.TradingDay,
+                                CalendarImpl.Get("chn")
+                            );
+                    }
+                }
+            }
+            return new HandleResult<Dictionary<string, Dictionary<string, double?>>>(result);
+        }
+    }
+}