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 +1,199 @@
+using Qdp.Foundation.Implementations;
+using Qdp.Pricing.Base.Utilities;
+using YLErp.Models;
+using YLErp.Modules;
+using YLErp.Modules.CalculationModule;
+
+namespace YLErp.BLL
+{
+    public class trade_asian_optionBLL
+    {
+        /// <summary>
+        /// 计算亚式期权Floating类型交易的浮动行权价
+        /// </summary>
+        public static double? GetAsianStrikePrice(DateTime valueDate, trade trade)
+        {
+            var baseReq = AsianOptionFixingService.GetRequest(valueDate, trade);
+            var strikeReq = new AsianOptionStrikeRequest(baseReq)
+            {
+                IsMoneynessOption = trade.IsMoneynessOptionData,
+                SpotPrice = trade.SpotPrice,
+                Strike = trade.Strike,
+            };
+            tradeBLL.SetFieldsByTradeType(trade);
+            return GetAsianStrikePrice(strikeReq, trade.trade_asian_option);
+        }
+
+        /// <summary>
+        /// 获取亚式期权行权价
+        /// </summary>
+        public static double? GetAsianStrikePrice(AsianOptionStrikeRequest request, trade_asian_option asianOption)
+        {
+            if (request is null)
+            {
+                return null;
+            }
+
+            if (asianOption is null)
+            {
+                using (var db = DbContextFactory.GetYLDbContext())
+                {
+                    asianOption = request.TradeId > 0 ? db.trade_asian_option.AsNoTracking().FirstOrDefault(n => n.TradeId == request.TradeId) : null;
+                }
+
+                if (asianOption is null)
+                {
+                    return null;
+                }
+            }
+
+            if ("Floating".Equals(asianOption.StrikeType, StringComparison.OrdinalIgnoreCase))
+            {
+                var fixings = AsianOptionFixingService.GetFixingString(request, asianOption);
+
+                if (string.IsNullOrWhiteSpace(fixings))
+                {
+                    return null;
+                }
+
+                var fixingValues = fixings.Split(QdpConsts.Semilicon).Select(x =>
+                                    {
+                                        var splits = x.Split(QdpConsts.Comma);
+                                        return Tuple.Create(splits[0].ToDate(), double.Parse(splits[1]));
+                                    }).ToDictionary(x => x.Item1, x => x.Item2);
+                if ("GeometricAverage".Equals(asianOption.PayoffType))
+                {
+                    var n = fixingValues.Count;
+                    return Math.Pow(fixingValues.Select(x => x.Value).Aggregate(func: (result, item) => result * item), 1.0 / n);
+                }
+                else if ("ArithmeticAverage".Equals(asianOption.PayoffType)
+                    || "DiscreteArithmeticAverage".Equals(asianOption.PayoffType)
+                    || "EnhancedArithmeticAverage".Equals(asianOption.PayoffType))
+                {
+                    return fixingValues.Select(x => x.Value).Average();
+                }
+            }
+
+            return request.IsMoneynessOption ? (request.SpotPrice * request.Strike) : request.Strike;
+        }
+
+        //TODO:除权除息
+
+        /// <summary>
+        /// 计算亚式期权Fix类型交易的浮动行权价
+        /// </summary>
+        public static double? GetAsianFinalPrice(trade trade, DateTime? valueDate = null)
+        {
+            if (trade is null)
+            {
+                return null;
+            }
+
+            if (valueDate == null)
+            {
+                valueDate = valuedateBLL.ValueDate;
+            }
+
+            tradeBLL.SetFieldsByTradeType(trade);
+
+            var asianOption = trade.trade_asian_option;
+
+            if (asianOption is null)
+            {
+                using (var db = DbContextFactory.GetYLDbContext())
+                {
+                    trade.trade_asian_option = asianOption = db.trade_asian_option.AsNoTracking().FirstOrDefault(n => n.TradeId == trade.id);
+                }
+
+                if (asianOption is null)
+                {
+                    return null;
+                }
+            }
+
+            if ("Fixed".Equals(asianOption.StrikeType, StringComparison.OrdinalIgnoreCase))
+            {
+                var fixings = AsianOptionFixingService.GetFixingString(valueDate.Value, trade);
+
+                if (string.IsNullOrWhiteSpace(fixings))
+                {
+                    return null;
+                }
+
+                var fixingValues = fixings.Split(QdpConsts.Semilicon).Select(x =>
+                                    {
+                                        var splits = x.Split(QdpConsts.Comma);
+                                        return Tuple.Create(splits[0].ToDate(), double.Parse(splits[1]));
+                                    }).ToDictionary(x => x.Item1, x => x.Item2);
+                if ("GeometricAverage".Equals(asianOption.PayoffType))
+                {
+                    var n = fixingValues.Count;
+                    return Math.Pow(fixingValues.Select(x => x.Value).Aggregate(func: (result, item) => result * item), 1.0 / n);
+                }
+                else if ("ArithmeticAverage".Equals(asianOption.PayoffType)
+                    || "DiscreteArithmeticAverage".Equals(asianOption.PayoffType))
+                {
+                    return fixingValues.Select(x => x.Value).Average();
+                }
+            }
+
+            return null;
+        }
+
+        /// <summary>
+        /// 获取亚式期权 均价起算日之后的均价 未到均价起算日则返回Null
+        /// </summary>
+        public static double? GetAsianAveragePrice(trade trade)
+        {
+            if (trade.trade_asian_option == null)
+            {
+                tradeBLL.SetFieldsByTradeType(trade);
+            }
+
+            if (null != trade.trade_asian_option)
+            {
+                var fixings = AsianOptionFixingService.GetFixingString(valuedateBLL.ValueDate, trade);
+
+                if (!string.IsNullOrWhiteSpace(fixings))
+                {
+                    var fixingValues = string.IsNullOrEmpty(fixings)
+                                        ? new Dictionary<Date, double>() :
+                                        fixings.Split(QdpConsts.Semilicon)
+                                            .Select(x =>
+                                            {
+                                                var splits = x.Split(QdpConsts.Comma);
+                                                return Tuple.Create(splits[0].ToDate(), double.Parse(splits[1]));
+                                            }).ToDictionary(x => x.Item1, x => x.Item2);
+                    if ("GeometricAverage".Equals(trade.trade_asian_option.PayoffType))
+                    {
+                        var n = fixingValues.Count;
+                        return Math.Pow(fixingValues.Select(x => x.Value).Aggregate(func: (result, item) => result * item), 1.0 / n);
+                    }
+                    else if ("ArithmeticAverage".Equals(trade.trade_asian_option.PayoffType) || "DiscreteArithmeticAverage".Equals(trade.trade_asian_option.PayoffType))
+                    {
+                        return fixingValues.Select(x => x.Value).Average();
+                    }
+                }
+            }
+            return null;
+        }
+    }
+
+    public class AsianOptionStrikeRequest : AsianFixingRequest
+    {
+        public AsianOptionStrikeRequest(FixingRequestBase baseReq) : base(baseReq)
+        {
+        }
+
+        public AsianOptionStrikeRequest(DateTime valueDate, int tradeId, string instrumentType, string underlyingCode, DateTime exerciseDate, SettlementTypeEnum settlementType)
+            : base(valueDate, tradeId, instrumentType, underlyingCode, exerciseDate, settlementType)
+        {
+        }
+
+        public bool IsMoneynessOption { get; set; }
+
+        public double? Strike { get; set; }
+
+        public double? SpotPrice { get; set; }
+    }
+}