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 +1,129 @@
+using NPOI.SS.Formula.Functions;
+using Qdp.Foundation.Implementations;
+using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.TradeModule.ExoticOptionModule;
+
+namespace YLErp.Modules.TradeModule
+{
+    public class TradeSnowballService : YLBaseService
+    {
+        public TradeSnowballService(OptUserInfo userInfo) : base(userInfo)
+        {
+        }
+
+        public TradeSnowballService(YLBaseService baseService) : base(baseService)
+        {
+        }
+
+        public List<autocall_observation> GetObservations(int tradeId, DateTime valueDate)
+        {
+            var trade = DbContext.trade.FirstOrDefault(t => t.id == tradeId);
+            var tradeSnowball = DbContext.trade_snowball.FirstOrDefault(t => t.TradeId == tradeId);
+            if (trade == null || tradeSnowball == null)
+            {
+                return null;
+            }
+
+            // 如果是敲出转期权，则不支付票息
+            if (tradeSnowball.KOPayoffType != KOPayoffTypeEnum.Rebate)
+            {
+                return null;
+            }
+
+            if (trade.TradeStatus == ConsTrade.已到期 || trade.TradeStatus == ConsTrade.已执行 || trade.TradeStatus.Contains("待确认"))
+            {
+                return null;
+            }
+
+            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(trade, tradeSnowball);
+
+            if (optionTrade == null)
+            {
+                return null;
+            }
+            var snowball = (SimpleSnowball)optionTrade.Instrument;
+
+            var observationEndDate =
+                tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut ?
+                tradeSnowball.KnockInOutDate.Value :
+                valueDate;
+            var qdpEndDate = new Date(observationEndDate);
+            qdpEndDate = snowball.KOObsDates.Where(d => d <= qdpEndDate).Max();
+
+            var observation = snowball.GetEffectiveObservation(qdpEndDate, tradeSnowball.CouponIncludeStartDate ?? false);
+
+            if (tradeSnowball.PrepaymentUsed)
+            {
+                var payoff = new SpecialSnowballObservationHelper(trade, tradeSnowball).GetEffectiveObservation(qdpEndDate, optionTrade.Notional);
+
+                observation = payoff == null ? null : new Qdp.Pricing.Library.Options.Products.Autocall.Phoenix.ObservationPayment
+                {
+                    CouponRate = payoff.CouponRate,
+                    EndDate = payoff.CouponEndDate,
+                    PaymentAmount = payoff.CouponPaymentAmount,
+                    PaymentDate = qdpEndDate,
+                    StartDate = payoff.CouponStartDate,
+                    Notional = Math.Abs(optionTrade.Notional * (trade.SpotPrice ?? 0))
+                };
+            }
+            if (observation == null)
+            {
+                return null;
+            }
+            else
+            {
+                var tradeCashCoupon = DbContext.trade_cash.FirstOrDefault(t => t.TradeId == tradeId && t.Action == "系统操作-票息" && t.ValidState != "InValid" && !t.IsDeleted);
+                var tradeCashDetial = tradeCashCoupon != null ? DbContext.trade_cash_detail.FirstOrDefault(x => x.TradeCashId == tradeCashCoupon.id && x.Action == "系统操作-期权费") : null;
+                return new List<autocall_observation>()
+                {
+                    new autocall_observation {
+                        StartDate = observation.StartDate.DateTime,
+                        EndDate = observation.EndDate.DateTime,
+                        CouponRate = observation.CouponRate,
+                        StockEqvNotional = Math.Abs(observation.Notional),
+                        PaymentAmount = observation.PaymentAmount,
+                        AnnualizedPremiumRate = tradeSnowball.AnnualizedPremiumRate,
+                        AnnualizedTradePrice = tradeCashDetial?.Amount ?? 0,
+                        PaymentDate =
+                            tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut ?
+                            tradeCashCoupon?.ValueDate ?? observationEndDate:
+                            observation.PaymentDate.DateTime
+                    }
+                };
+            }
+        }
+
+        public double GetKOOptionPayoff(int tradeId, DateTime valueDate, double price)
+        {
+            var trade = DbContext.trade.AsNoTracking().FirstOrDefault(t => t.id == tradeId);
+            var tradeSnowball = DbContext.trade_snowball.AsNoTracking().FirstOrDefault(t => t.TradeId == tradeId);
+            return GetKOOptionPayoff(trade, tradeSnowball, valueDate, price);
+        }
+
+        public double GetKOOptionPayoff(OtcTradeBase trade, trade_snowball tradeSnowball, DateTime valueDate, double price)
+        {
+            if (trade == null || tradeSnowball == null)
+            {
+                return 0.0;
+            }
+
+            if (tradeSnowball.KOPayoffType == KOPayoffTypeEnum.Rebate)
+            {
+                return 0.0;
+            }
+
+            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(trade, tradeSnowball);
+            var snowball = (SimpleSnowball)optionTrade.Instrument;
+            var payoffs = snowball.GetKOPayoff(new Date(valueDate), price);
+            if (payoffs != null && payoffs.Length > 0)
+            {
+                return payoffs[0].PaymentAmount;
+            }
+            else
+            {
+                return 0.0;
+            }
+        }
+    }
+}