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 @@
+namespace YLErp.Modules.VolatilityModule
+{
+    /// <summary>
+    /// 波动率取值请求
+    /// </summary>
+    public class SingleVolReq
+    {
+        public SingleVolReq()
+        {
+
+        }
+
+        public SingleVolReq(OtcTrade trade, underlying_manager udm)
+        {
+            if (trade is null)
+            {
+                throw new ArgumentNullException(nameof(trade));
+            }
+
+            if (udm is null)
+            {
+                throw new ArgumentNullException(nameof(udm));
+            }
+
+            VolType = trade.VolType;
+            Strike = trade.Strike ?? 0;
+            SpotPrice = trade.SpotPrice ?? 0;
+            TradeDate = trade.TradeDate.Value;
+            ExerciseDate = trade.ExerciseDate.Value;
+            IsMoneynessOption = trade.IsMoneynessOption;
+            CallPut = trade.CallPut;
+
+            UnderlyingId = udm.id;
+            UnderlyingCode = udm.UnderlyingCode;
+            UnderlyingName = udm.UnderlyingName;
+            UnderlyingTypeId = udm.UnderlyingTypeId;
+        }
+
+        /// <summary>
+        /// 取波动率时宏源这样的多团队需要赋值此字段
+        /// </summary>
+        public string UserGroup { get; set; }
+
+        //--------------------------------------
+        // trade
+        //--------------------------------------
+
+        public string VolType { get; set; }
+
+        /// <summary>
+        /// 行权价
+        /// </summary>
+        public double Strike { get; set; }
+
+        /// <summary>
+        /// 标的价格
+        /// </summary>
+        public double SpotPrice { get; set; }
+
+        /// <summary>
+        /// 成交日(波动率的日期取这个日期)
+        /// </summary>
+        public DateTime TradeDate { get; set; }
+
+        /// <summary>
+        /// 行权日
+        /// </summary>
+        public DateTime ExerciseDate { get; set; }
+
+        /// <summary>
+        /// 是否相对行权价(是|其它值)
+        /// </summary>
+        public string IsMoneynessOption { get; set; }
+
+        /// <summary>
+        /// [skew]CallPut
+        /// </summary>
+        public string CallPut { get; set; }
+
+        //--------------------------------------
+        // underlying
+        //--------------------------------------
+
+        /// <summary>
+        /// 标的ID
+        /// </summary>
+        public int UnderlyingId { get; set; }
+
+        /// <summary>
+        /// 标的代码
+        /// </summary>
+        public string UnderlyingCode { get; set; }
+
+        /// <summary>
+        /// 标的名称
+        /// </summary>
+        public string UnderlyingName { get; set; }
+
+        /// <summary>
+        /// [skew]品种ID
+        /// </summary>
+        public int UnderlyingTypeId { get; set; }
+
+        //--------------------------------------
+        // skew
+        //--------------------------------------
+
+        /// <summary>
+        /// [skew]BaseVol
+        /// </summary>
+        public double? BaseVol { get; set; }
+
+        /// <summary>
+        /// [skew]BidVar
+        /// </summary>
+        public int? BidVar { get; set; }
+
+        /// <summary>
+        /// [skew]AskVar
+        /// </summary>
+        public int? AskVar { get; set; }
+
+        //--------------------------------------
+        // vols
+        //--------------------------------------
+
+        public Abstract.IVolatility Vols { get; set; }
+    }
+}