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 +1,86 @@
+namespace YLErp.Modules.ScenarioModule
+{
+    /// <summary>
+    /// 情景分析API请求
+    /// </summary>
+    public class ScenarioCalcApiRequest
+    {
+        /// <summary>
+        /// 交易数据筛选
+        /// </summary>
+        public ScenarioCalcApiDataFilter DataFilter { get; set; }
+
+        /// <summary>
+        /// 情景分析配置
+        /// </summary>
+        public ScenarioConfigV2 ScenarioConfig { get; set; }
+
+        /// <summary>
+        /// 估值日期
+        /// </summary>
+        public DateTime ValueDate { get; set; }
+
+        /// <summary>
+        /// 波动率类型
+        /// </summary>
+        public string VolType { get; set; }
+
+        /// <summary>
+        /// 无风险利率
+        /// </summary>
+        public double RiskFreeRate { get; set; }
+
+        /// <summary>
+        /// 使用交易分红率
+        /// </summary>
+        public bool UseTradeDivendRate { get; set; }
+
+        /// <summary>
+        /// 情景分析标的参数
+        /// </summary>
+        public IEnumerable<ScenarioUnderlyingModel> UnderlyingParams { get; set; }
+    }
+
+    public class ScenarioCalcApiDataFilter
+    {
+        /// <summary>
+        /// 查看日期
+        /// </summary>
+        public DateTime? ValueDate { get; set; }
+
+        /// <summary>
+        /// 客户编号
+        /// </summary>
+        public IEnumerable<string> ClientNumbers { get; set; }
+
+        /// <summary>
+        /// 客户名称
+        /// </summary>
+        public IEnumerable<string> ClientNames { get; set; }
+
+        /// <summary>
+        /// 簿记账户组名称
+        /// </summary>
+        public IEnumerable<string> AssetGroupNames { get; set; }
+
+        /// <summary>
+        /// 簿记账户名称
+        /// </summary>
+        public IEnumerable<string> AssetBookNames { get; set; }
+
+        /// <summary>
+        /// 标的代码
+        /// </summary>
+        public IEnumerable<string> UnderlyingCodes { get; set; }
+
+        /// <summary>
+        /// 标的品种
+        /// </summary>
+        public IEnumerable<string> VarietyCodes { get; set; }
+
+        /// <summary>
+        /// 交易类型
+        /// </summary>
+        public IEnumerable<string> TradeTypes { get; set; }
+    }
+}
@@ -0,0 +1,84 @@
+using YLErp.Modules.CalculationModule;
+
+namespace YLErp.Modules.ScenarioModule
+{
+    /// <summary>
+    /// 情景分析计算结果
+    /// </summary>
+    public class ScenarioCalcResult
+    {
+        public string ConfigName { get; set; }
+
+        public IEnumerable<ScenarioCalcResultItem> Trades { get; set; }
+
+        public IEnumerable<ScenarioUnderlyingModel> Underlyings { get; set; }
+
+        public IEnumerable<ScenarioCalcResultItem> ResultItems { get; set; }
+
+        public string xType { get; set; }
+
+        public string yType { get; set; }
+
+        public IEnumerable<string> xRates { get; set; }
+
+        public IEnumerable<string> yRates { get; set; }
+    }
+
+    /// <summary>
+    /// 情景分析计算结果单项
+    /// </summary>
+    public class ScenarioCalcResultItem
+    {
+        public int xIndex { get; set; }
+
+        public int yIndex { get; set; }
+
+        public string UnderlyingCode { get; set; }
+
+        public string UnderlyingPrice { get; set; }
+
+        public int TradeId { get; set; }
+
+        public double ZeroPv { get; set; }
+
+        public double Pv { get; set; }
+
+        public double Delta { get; set; }
+
+        public double Gamma { get; set; }
+
+        public double Theta { get; set; }
+
+        public double Vega { get; set; }
+
+        public double PnL { get; set; }
+
+        public double DeltaChg { get; set; }
+
+        public double DeltaInLots { get; set; }
+
+        public double DeltaCash { get; set; }
+
+        public double GammaCash { get; set; }
+
+        public void AddValueResult(TradeValueResult valueResult, double contractSize, double zeroPv, double zeroDelta)
+        {
+            Pv += NumberHelper.Normalize(valueResult.Pv);
+            Delta += NumberHelper.Normalize(valueResult.Delta);
+            Gamma += NumberHelper.Normalize(valueResult.Gamma);
+            Theta += NumberHelper.Normalize(valueResult.Theta);
+            Vega += NumberHelper.Normalize(valueResult.Vega);
+
+            PnL += NumberHelper.Normalize(valueResult.Pv - zeroPv);
+
+            DeltaChg += NumberHelper.Normalize(valueResult.Delta - zeroDelta);
+
+            DeltaCash += NumberHelper.Normalize(valueResult.DeltaCash);
+            GammaCash += NumberHelper.Normalize(valueResult.GammaCash);
+
+            ZeroPv += Math.Abs(NumberHelper.Normalize(zeroPv));
+
+            DeltaInLots = NumberHelper.Normalize(Delta) / (contractSize < 1 ? 1 : contractSize);
+        }
+    }
+}
@@ -0,0 +1,38 @@
+namespace YLErp.Modules.ScenarioModule
+{
+    /// <summary>
+    /// 情景分析计算接口
+    /// </summary>
+    public class ScenarioRequest
+    {
+        public int ConfigId { get; set; }
+
+        public TradeScenarioSearchModel SearchModel { get; set; } = new TradeScenarioSearchModel();
+
+        /// <summary>
+        /// 波动率类型
+        /// </summary>
+        public string VolType { get; set; }
+
+        /// <summary>
+        /// 无风险利率
+        /// </summary>
+        public double RiskFreeRate { get; set; }
+
+        /// <summary>
+        /// 估值日期
+        /// </summary>
+        public DateTime ValueDate { get; set; }
+
+        public IEnumerable<ScenarioUnderlyingModel> Underlyings { get; set; }
+
+        /// <summary>
+        /// 使用交易分红率
+        /// </summary>
+        public bool UseTradeDivendRate { get; set; }
+        /// <summary>
+        /// 是否完全对冲假设
+        /// </summary>
+        public bool IsFullyHedged { get; set; } = false;
+    }
+}
@@ -0,0 +1,81 @@
+namespace YLErp.Modules.ScenarioModule
+{
+    /// <summary>
+    /// 情景分析标的参数
+    /// </summary>
+    public class ScenarioUnderlyingModel
+    {
+        /// <summary>
+        /// [out]标的品种代码
+        /// </summary>
+        public string VarietyCode { get; set; }
+
+        /// <summary>
+        /// [in]标的代码
+        /// </summary>
+        public string UnderlyingCode { get; set; }
+
+        /// <summary>
+        /// [in]标的价格
+        /// </summary>
+        public double? UnderlyingPrice { get; set; }
+
+        /// <summary>
+        /// [in]分红率
+        /// </summary>
+        public double? DividenRate { get; set; }
+
+        /// <summary>
+        /// 分红率(初始传入)
+        /// </summary>
+        internal double? OriDividenRate { get; set; }
+
+        /// <summary>
+        /// [in]波动率
+        /// </summary>
+        public double? ConstVol { get; set; }
+
+        /// <summary>
+        /// 波动率(初始传入)
+        /// </summary>
+        internal double? OriVol { get; set; }
+
+        double? _preVol, _preDividenRate;
+
+        internal void SetVol(double value)
+        {
+            if (_preVol == null)
+            {
+                ConstVol = _preVol = value;
+            }
+            else if (!double.IsNaN(_preVol.Value) && Math.Abs(_preVol.Value - value) > 1e-6)
+            {
+                ConstVol = null;
+                _preVol = double.NaN;
+            }
+        }
+
+        internal void SetDividenRate(double value)
+        {
+            if (_preDividenRate == null)
+            {
+                DividenRate = _preDividenRate = value;
+            }
+            else if (!double.IsNaN(_preDividenRate.Value) && Math.Abs(_preDividenRate.Value - value) > 1e-6)
+            {
+                DividenRate = null;
+                _preDividenRate = double.NaN;
+            }
+        }
+
+        public override string ToString()
+        {
+            return $"{VarietyCode}--{UnderlyingCode}--price:{UnderlyingPrice}--div:{DividenRate}--vol:{ConstVol}";
+        }
+
+        public ScenarioUnderlyingModel Clone()
+        {
+            return (ScenarioUnderlyingModel)MemberwiseClone();
+        }
+    }
+}
@@ -0,0 +1,40 @@
+using BaseOUDAL;
+
+namespace YLErp.Modules.ScenarioModule
+{
+    /// <summary>
+    /// 情景分析交易筛选Model
+    /// </summary>
+    public class TradeScenarioSearchModel : BaseSearchReq
+    {
+        public bool IsSelAll { get; set; }
+
+        /// <summary>
+        /// 持仓日期
+        /// </summary>
+        public DateTime? PositionDate { get; set; }
+
+        public List<int> AssetIds { get; set; }
+
+        public IEnumerable<int> AssetGroupIds { get; set; }
+
+        public List<int> ClientIds { get; set; }
+
+        public IEnumerable<int> UnderlyingIds { get; set; }
+
+        public IEnumerable<int> VarietyIds { get; set; }
+
+        public IEnumerable<string> TradeTypes { get; set; }
+
+        public List<int> EodTradeIds { get; set; }
+
+        public List<int> OtcTradeIds { get; set; }
+
+        public List<long> ExchangeTradeIds { get; set; }
+
+        public List<int> UserAssets { get; set; }
+
+        public List<int> UserClients { get; set; }
+        public List<int> CurUserTradeIds { get; set; }
+    }
+}