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 +1,141 @@
+using CsvHelper;
+using Qdp.Foundation.Implementations;
+using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using YLErp.Abstract;
+using YLErp.BLL;
+using YLErp.DBModels;
+using YLErp.DBModels.Helpers;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.TradeModule.ExoticOptionModule;
+using YLErp.Modules.TradeModule.KnockOutModule.Dto;
+
+namespace YLErp.Modules.TradeModule.KnockOutModule
+{
+    /// <summary>
+    /// 雪球期权敲出计算服务
+    /// </summary>
+    public class SnowBallTradeKnockOutService : ITradeKnockOutService
+    {
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
+        {
+            var snowBallOption = _tradeExtendDataProvider.GetTrade_Snowball_Option(td.id);
+            if (snowBallOption == null)
+            {
+                return new GetKnockOutPayoffResult { IsKnockOut = false };
+            }
+            td.trade_snowball = snowBallOption;
+            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
+        }
+
+        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
+        {
+            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
+            var snowBallOption = td.trade_snowball;
+            if (snowBallOption == null)
+            {
+                return result;
+            }
+            if (snowBallOption.PrepaymentUsed)
+            {
+                var specialSnowBallResult = new SpecialSnowballObservationHelper(td, snowBallOption).GetObservationResultForTraderSide(_valueDate, underlyingPrice, td.Notional);
+                if (specialSnowBallResult != null && specialSnowBallResult.ResultType == SnowballObservationResultType.KoPayoff)
+                {
+                    result.IsKnockOut = true;
+                    result.Payoff = specialSnowBallResult.PaymentAmount;
+                }
+                return result;
+            }
+
+            var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
+            {
+                ParamOverride = p => p.notional = td.Notional
+            };
+
+            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(td, snowBallOption, request);
+            var snowball = (SimpleSnowball)optionTrade.Instrument;
+            var isCall = ConsGlobal.CallPut.IsCall(td.CallPut);
+
+            if (snowball.KOObsDates.Select(x => x.DateTime).Contains(_valueDate))
+            {
+                (var koSettleDate, var koBarrier) = GetSnowBallKoSettleInfo(_valueDate, td, snowBallOption, snowball);
+                // 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
+                if (isCall ? underlyingPrice >= koBarrier : underlyingPrice <= koBarrier)
+                {
+                    result.IsKnockOut = true;
+                    if (snowball.UseOptionPayoffAtKO)
+                    {
+                        double paymentAmount = 0;
+                        var koOptionCashflows = snowball.GetKOPayoff(new Date(_valueDate), underlyingPrice);
+                        paymentAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, td.PrincipalSum(), td.BuySell);
+                        result.Payoff = paymentAmount;
+
+                    }
+                    else
+                    {
+                        var CouponPayment = snowball.CouponPayment(_valueDate, includeStartDate: snowBallOption.CouponIncludeStartDate == true && snowBallOption.CouponDayCount != "Monthly");
+                        var couponPayment = TradeHelper.GetAmountByPaymentAmount(CouponPayment, td.PrincipalSum(), td.BuySell);
+                        if (snowBallOption.AnnualizedPremiumRate.HasValue && snowBallOption.AnnualizedPremiumRate != 0)
+                        {
+                            var tradePrice = (td.StockEqvNotional * td.ParticipationRate * snowBallOption.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(_valueDate))) ?? 0;
+                            if (tradePrice != 0)
+                            {
+                                couponPayment += (td.BuySell == "买入" ? -1 : 1) * tradePrice;
+                            }
+                        }
+                        result.Payoff = couponPayment;
+                    }
+                }
+            }
+
+            return result;
+        }
+
+        //获取雪球期权敲出时要准备的信息
+        public (DateTime koSettleDate, double koBarrier) GetSnowBallKoSettleInfo(DateTime valueDate, OtcTradeBase otcTrade, trade_snowball tradeSnowball, SimpleSnowball snowball)
+        {
+            double koBarrier;
+            var koSettleDate = valueDate;
+            var datesStr = tradeSnowball.KOObservationSettleDates;
+            var KOObsSettleDates = string.IsNullOrWhiteSpace(datesStr) ? null : datesStr.Split(new char[] { ',', ';', '，', '；' }, StringSplitOptions.RemoveEmptyEntries).Select(x => DateTime.Parse(x)).ToArray();
+            if (snowball.CustomizedKOBarriers != null && snowball.CustomizedKOBarriers.Length > 0)
+            {
+                var index = snowball.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
+                koBarrier = snowball.CustomizedKOBarriers[index];
+                if (KOObsSettleDates != null && KOObsSettleDates.Length > index)
+                {
+                    koSettleDate = KOObsSettleDates[index];
+                }
+            }
+            else
+            {
+                koBarrier = tradeSnowball.KOBarrier;
+                if (KOObsSettleDates != null && KOObsSettleDates.Any())
+                {
+                    koSettleDate = KOObsSettleDates[0];
+                }
+            }
+
+            if (tradeSnowball.KORebateType == RebateTypeEnum.AtEnd)
+            {
+                koSettleDate = otcTrade.ExerciseDate.Value;
+            }
+            else if (koSettleDate < valueDate)
+            {
+                koSettleDate = valueDate;
+            }
+
+            if (otcTrade.IsMoneynessOptionData)
+            {
+                koBarrier *= otcTrade.SpotPrice ?? 1.0;
+            }
+
+            return (koSettleDate, koBarrier);
+        }
+
+    }
+}