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 +1,94 @@
+using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix;
+using YLErp.Abstract;
+using YLErp.BLL;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.TradeModule.KnockOutModule.Dto;
+
+namespace YLErp.Modules.TradeModule.KnockOutModule
+{
+    /// <summary>
+    /// 凤凰期权敲出计算服务
+    /// </summary>
+    public class AutocallTradeKnockOutService : ITradeKnockOutService
+    {
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
+        {
+
+            var autocallOption = _tradeExtendDataProvider.GetTrade_Autocall_Option(td.id);
+            if (autocallOption == null)
+            {
+                return new GetKnockOutPayoffResult { IsKnockOut = false };
+            }
+            td.trade_autocall = autocallOption;
+            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
+        }
+
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
+        {
+            var result = new GetKnockOutPayoffResult { IsKnockOut = false };
+            var autocallOption = td.trade_autocall;
+            if (autocallOption == null)
+            {
+                return result;
+            }
+            //1、获取敲出观察日期
+            var optionTrade = QdpTradeBuilder.GetAutocallOptionTrade(td, autocallOption,
+                   new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate()) { ParamOverride = x => { x.notional = td.Notional; } });
+            var autocall = (AutoCall)optionTrade.Instrument;
+            var kiBarrier = td.IsMoneynessOptionData ? autocallOption.KIBarrier * td.SpotPrice : autocallOption.KIBarrier;
+            var isCall = ConsGlobal.CallPut.IsCall(td.CallPut);
+            if (autocall.KOObsDates.Select(x => x.DateTime).Contains(_valueDate)) //当前日为观察日
+            {
+
+                //2、敲出判断
+                double koBarrier;
+                if (autocall.CustomizedKOBarriers != null && autocall.CustomizedKOBarriers.Length > 0)
+                {
+                    var index = autocall.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(_valueDate);
+                    koBarrier = autocall.CustomizedKOBarriers[index];
+                }
+                else
+                {
+                    koBarrier = autocallOption.KOBarrier;
+                }
+
+                if (td.IsMoneynessOptionData)
+                {
+                    koBarrier *= td.SpotPrice ?? 1.0;
+                }
+
+                //看涨 - 向上敲出,看跌 - 向下敲出
+                var isKnockedOut = isCall ? underlyingPrice >= koBarrier : underlyingPrice <= koBarrier;
+
+                if (isKnockedOut)
+                {
+                    result.IsKnockOut = true;
+                    var couponBarrier = td.IsMoneynessOptionData ? autocallOption.CouponBarrier * td.SpotPrice : autocallOption.CouponBarrier;
+                    if (isCall ? underlyingPrice >= couponBarrier : underlyingPrice <= couponBarrier)  // 与派息障碍价格比较
+                    {
+                        var observation = autocall.GetEffectiveObservation(_valueDate, includeTradeStartDate: autocallOption.CouponIncludeStartDate == true && autocallOption.CouponDayCount != "Monthly");
+                        if (observation != null)
+                        {
+                            result.Payoff = observation.PaymentAmount;
+                        }
+                    }
+                    if (autocallOption.CouponPayType == CouponPayTypeEnum.AtCreated) //如果是产生时支付，持仓payoff为当日票息
+                    {
+                        return result;
+                    }
+
+                    //如果到期支付 或者 敲出支付  持仓payoff加上之前的票息
+                    using (var db = DbContextFactory.GetYLDbContext())
+                    {
+                        var obsAmount = db.autocall_observation.Where(o => o.TradeId == td.id && o.EndDate != _valueDate).Sum(p => p.PaymentAmount);
+                        result.Payoff += obsAmount;
+                    }
+                    return result;
+
+                }
+            }
+
+            return result;
+        }
+    }
+}