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 +1,147 @@
+using Qdp.Foundation.Implementations;
+using Qdp.Pricing.Base.Implementations;
+using Qdp.Pricing.Base.Utilities;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using YLErp.Abstract;
+using YLErp.BLL.Eod;
+using YLErp.BLL;
+using YLErp.DBModels;
+using YLErp.Modules.TradeModule.KnockOutModule.Dto;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.TradeModule.KnockOutModule
+{
+    /// <summary>
+    /// 障碍期权敲出服务
+    /// </summary>
+    public class BarrierOptionTradeKnockOutService : ITradeKnockOutService
+    {
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
+        {
+            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
+
+            var barrierOption = _tradeExtendDataProvider.GetTrade_Barrier_Option(td.id);
+            if (barrierOption == null)
+            {
+                return new GetKnockOutPayoffResult { IsKnockOut = false };
+            }
+            td.trade_barrier_option = barrierOption;
+            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
+        }
+
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
+        {
+            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
+            var barrierOption = td.trade_barrier_option;
+            if (barrierOption == null)
+            {
+                return result;
+            }
+            //连续每天观察  离散根据观察日判断  如果非观察日 不检测敲入敲出
+            if ("离散".Equals(barrierOption.Discrete))
+            {
+                var observationDates = QdpHelper.GetObservationDatesFromString(barrierOption.ObservationDates);
+                //每日观察或者当前结算日是观察日的时候，才检查是否会敲入敲出
+                if (observationDates != null && observationDates.Length > 0 && !observationDates.Contains(_valueDate))
+                {
+                    return result;
+                }
+            }
+            var BarrierPrice = td.IsMoneynessOptionData ? barrierOption.BarrierPrice * td.SpotPrice : barrierOption.BarrierPrice;
+            var UpperBarrierPrice = td.IsMoneynessOptionData ? barrierOption.UpperBarrierPrice * td.SpotPrice : barrierOption.UpperBarrierPrice;
+            switch (barrierOption.BarrierType)
+            {
+                case "上升敲出":
+                    if (underlyingPrice >= BarrierPrice)
+                    {
+                        result.IsKnockOut = true;
+                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate);
+                    }
+                    break;
+                case "下降敲出":
+                    if (underlyingPrice <= BarrierPrice)
+                    {
+                        result.IsKnockOut = true;
+                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate);
+                    }
+                    break;
+                case "双障碍敲出":
+                    if (underlyingPrice >= UpperBarrierPrice || underlyingPrice <= BarrierPrice)
+                    {
+                        result.IsKnockOut = true;
+                        var upDown = underlyingPrice >= UpperBarrierPrice ? true : false;
+                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate, upDown);
+                    }
+                    break;
+            }
+
+            return result;
+        }
+
+        /// <summary>
+        /// 计算具体收益
+        /// </summary>
+        /// <param name="td"></param>
+        /// <param name="barrierOption"></param>
+        /// <param name="underlyingPrice"></param>
+        /// <param name="upDown">双障碍敲出 才有用</param>
+        /// <returns></returns>
+        private double CalcBarrierOptionTradeKnockOutPayoff(trade td, trade_barrier_option barrierOption, double underlyingPrice,DateTime _valueDate, bool upDown = false)
+        {
+            var spotPrice = td.SpotPrice ?? 0;
+
+            double rebate, rebateRate; //计算补偿金额
+            if (upDown)
+            {
+                if (td.IsUsePremiumRate == true)
+                {
+                    rebateRate = barrierOption.RebateHighRate ?? 0;
+                    rebate = rebateRate * spotPrice;
+                }
+                else
+                {
+                    rebate = barrierOption.RebateHigh ?? 0;
+                    rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
+                }
+            }
+            else
+            {
+                if (td.IsUsePremiumRate == true)
+                {
+                    rebateRate = barrierOption.RebateRate ?? 0;
+                    rebate = rebateRate * spotPrice;
+                }
+                else
+                {
+                    rebate = barrierOption.Rebate ?? 0; //补偿金额
+                    rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
+                }
+            }
+
+            if (barrierOption.RebateAnnualizedAtKO) //补偿按敲出日年化
+            {
+                var rebateDayCountImpl = string.IsNullOrWhiteSpace(barrierOption.RebateDayCount) ? new Act365() : barrierOption.RebateDayCount.ToDayCountImpl();
+                var fraction = rebateDayCountImpl.CalcDayCountFraction(new Date(td.StartDate.Value), new Date(_valueDate));
+                rebate *= fraction;
+                rebate += Math.Abs((td.TradeSinglePrice - td.TradeSinglePrice * fraction) ?? 0);
+            }
+
+            var payoff = td.Notional * rebate + ((td.Notional / td.OriginalNotional * td.OriginalPrincipalSum) ?? 0);  // 补偿金额 * 持仓份额 + 保底收益总额*尺长比例
+
+            //交易员视角
+            if (valuedateBLL.SystemDate.UnwindAmountAngle == 1)
+            {
+                payoff = payoff * (td.BuySell == "卖出" ? -1 : 1);
+            }
+            else
+            {
+                payoff = payoff * EodOperationBase.GetSign(td.BuySell);
+            }
+            return payoff;
+        }
+    }
+}