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 +1,144 @@
+using System.Diagnostics;
+using YLErp.Modules.TradeModule.ExoticOptionModule;
+
+namespace YLErp.Modules.TradeModule.ObservationModule
+{
+    /// <summary>
+    /// 雪球期权观察
+    /// </summary>
+    partial class OptionObservationService
+    {
+        /// <summary>
+        /// 雪球期权
+        /// </summary>
+        private CheckObservationResult CheckSnowballKioStatus(trade td, DateTime valueDate, double price)
+        {
+            var tdEx = td.trade_snowball;
+
+            if (tdEx.PrepaymentUsed)
+            {
+                return CheckSnowballKioStatusForSpecial(td, tdEx, valueDate, price);
+            }
+
+            var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };
+
+            var (blKI, blKO) = IsObservationDay(td, valueDate, tdEx.ObservationDates, tdEx.KOObservationDates);
+
+            result.IsObservationDay = (tdEx.KIPayoffType != KIPayoffTypeEnum.None && blKI) || blKO;
+            if (tdEx.IsInitialKnockedIn)
+            {
+                result.IsObservationDay = blKO;
+            }
+            if (result.IsObservationDay)
+            {
+                //若所有条件都未满足的默认值处理
+                if (tdEx.KnockInOutStatusCn == "已敲入")
+                {
+                    result.KnockInOutStatusObservation = "敲入";
+                }
+                else
+                {
+                    result.KnockInOutStatusObservation = "观察中";
+                }
+
+                result.KOBarrier = TradeObservationHelper.GetPriceByDate(tdEx.KOObservationDates, valueDate) ?? tdEx.KOBarrier;
+
+                if (td.IsMoneynessOptionData)
+                {
+                    result.KOBarrier *= td.SpotPrice ?? 0;
+                }
+
+                var kiBarrier = new Lazy<double?>(() => td.IsMoneynessOptionData ? tdEx.KIBarrier * td.SpotPrice : tdEx.KIBarrier);
+
+                if (ConsGlobal.CallPut.IsCall(td.OptionType))
+                {
+                    //向上敲出向下敲入
+                    if (blKO && price >= result.KOBarrier.Value)
+                    {
+                        result.KnockInOutStatusObservation = "敲出";
+                    }
+                    else if (blKI && price <= kiBarrier.Value && tdEx.KIPayoffType != KIPayoffTypeEnum.None)
+                    {
+                        result.KnockInOutStatusObservation = "敲入";
+                    }
+                }
+                else
+                {
+                    //向下敲出向上敲入
+                    if (blKO && price <= result.KOBarrier.Value)
+                    {
+                        result.KnockInOutStatusObservation = "敲出";
+                    }
+                    else if (blKI && price >= kiBarrier.Value && tdEx.KIPayoffType != KIPayoffTypeEnum.None)
+                    {
+                        result.KnockInOutStatusObservation = "敲入";
+                    }
+                }
+
+                if (result.KnockInOutStatusObservation == "敲出" && tdEx.KOPayoffType != KOPayoffTypeEnum.Rebate)
+                {
+                    var kOOptionPayoff = new TradeSnowballService(this).GetKOOptionPayoff(td, tdEx, valueDate, price);
+                    result.CheckData["snowball_ExerciseMoneyAtKO"] = kOOptionPayoff.OtcFormatMoney(); //交割金额
+                }
+            }
+            else
+            {
+                result.KOBarrier = tdEx.KOBarrier;
+
+                if (td.IsMoneynessOptionData)
+                {
+                    result.KOBarrier *= td.SpotPrice ?? 0;
+                }
+            }
+
+            //结算金额
+            var defaultAmount = new TradeSnowballBLL(this).GetDefaultAmount(td, tdEx, valueDate, price);
+            result.CheckData["结算金额"] = defaultAmount.OtcFormatMoney();
+
+            return result;
+        }
+
+        /// <summary>
+        /// 雪球期权
+        /// </summary>
+        private CheckObservationResult CheckSnowballKioStatusForSpecial(OtcTrade td, trade_snowball tdEx, DateTime valueDate, double price)
+        {
+            Debug.Assert(tdEx.PrepaymentUsed);
+
+            var result = new CheckObservationResult
+            {
+                UnderlyingCode = td.UnderlyingCode,
+                IsObservationDay = true,
+                KnockInOutStatusObservation = tdEx.KnockInOutStatusCn == "已敲入" ? "敲入" : "观察中",
+                KOBarrier = td.IsMoneynessOptionData ? tdEx.KOBarrier * (td.SpotPrice ?? 0) : tdEx.KOBarrier
+            };
+
+            var res = new TradeSnowballBLL(this).GetDefaultAmountForSpecialSnowball(td, tdEx, valueDate, price);
+
+            switch (res.ResultType)
+            {
+                case SnowballObservationResultType.NonObservationDay:
+                    result.IsObservationDay = false;
+                    break;
+                case SnowballObservationResultType.KnockedIn:
+                    result.KnockInOutStatusObservation = "敲入";
+                    break;
+                case SnowballObservationResultType.KoPayoff:
+                    result.KnockInOutStatusObservation = "敲出";
+                    break;
+                case SnowballObservationResultType.KiPayoffAtEndDate:
+                    result.KnockInOutStatusObservation = "敲入";
+                    break;
+                case SnowballObservationResultType.Monitoring:
+                case SnowballObservationResultType.NkiPayoffAtEndDate:
+                    break;
+            }
+
+            result.KOBarrier = res.KoBarrier;
+            result.CheckData["结算金额"] = res.PaymentAmount.OtcFormatMoney();
+
+            return result;
+        }
+
+    }
+}