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 +1,150 @@
+using BaseOUDAL;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.SkewMapVolModule;
+using YLErp.QdpModule;
+using YLErp.QdpModule.Constants;
+
+namespace YLErp.Modules.VolatilityModule
+{
+    /// <summary>
+    /// 波动率取值服务
+    /// </summary>
+    public class SingleVolService
+    {
+        public static double GetSingleVol(SingleVolReq singleVolReq, int userId, bool isEodCalc = false)
+        {
+            if (string.IsNullOrWhiteSpace(singleVolReq.VolType))
+            {
+                throw new ServiceException("波动率类型不能为空");
+            }
+
+            if (singleVolReq.ExerciseDate == DateTime.MinValue)
+            {
+                throw new ServiceException("行权日不能为空");
+            }
+
+            if (singleVolReq.TradeDate == DateTime.MinValue)
+            {
+                throw new ServiceException("交易日期不能为空");
+            }
+
+            if (PS.Config.ErpElement.SkewMapVolConstruction)
+            {
+                return GetSingleVolWithSkewMapMode(singleVolReq, userId);
+            }
+            else
+            {
+                return GetSingleVolWithNormalMode(singleVolReq, userId, isEodCalc);
+            }
+        }
+
+        //获取正常模式的波动率
+        private static double GetSingleVolWithNormalMode(SingleVolReq singleVolReq, int userId, bool isEodCalc = false)
+        {
+            var userGroup = singleVolReq.UserGroup.TrimToNull() ?? UserBLL.GetUserGroup(userId);
+            var volatility = new VolatilityQueryService(OptUserInfo.SystemUser)
+                .GetVolatility(userGroup, singleVolReq.TradeDate, singleVolReq.VolType, singleVolReq.UnderlyingCode);
+            if (volatility == null)
+            {
+                throw new ServiceException($"没有找到{singleVolReq.VolType}波动率数据:{singleVolReq.UnderlyingCode}");
+            }
+            if (volatility is VolatilityDefault)
+            {
+                return ConsVolInfos.defVol;
+            }
+            var req = new InterpolatedVolReq
+            {
+                valueDate = singleVolReq.TradeDate,
+                exerciseDate = singleVolReq.ExerciseDate,
+                strike = singleVolReq.Strike,
+                isMoneynessOption = singleVolReq.IsMoneynessOption == "是",
+                isEodCalc = isEodCalc,
+                spot = singleVolReq.SpotPrice,
+                volSurfaceType = volatility.VolSurfaceMode
+            };
+            return QdpVolHelper.GetInterpolatedVolFromNormalSurface(volatility.VolTable, req, volatility.InterpolationMethod);
+        }
+
+        //获取skew模式的波动率
+        private static double GetSingleVolWithSkewMapMode(SingleVolReq req, int userId)
+        {
+            if (req.Vols == null)
+            {
+                var userGroup = UserBLL.GetUserGroup(userId);
+                req.Vols = new VolatilityQueryService(OptUserInfo.SystemUser)
+                    .GetVolatility(userGroup, req.TradeDate, "交易", req.UnderlyingCode);
+            }
+
+            if (req.Vols == null || string.IsNullOrEmpty(req.Vols.VolSurfaceMode))
+            {
+                throw new InvalidOperationException($"找不到波动率曲面{req.UnderlyingCode}");
+            }
+
+            if (!req.BaseVol.HasValue)
+            {
+                throw new InvalidOperationException($"参数BaseVol缺失");
+            }
+
+            //var initParam = new VolSurfaceInitParamsBuilder(userId.ToString()).SetValueDate(singleVolReq.TradeDate)
+            //    .SetUnderlying(singleVolReq.UnderlyingId, singleVolReq.UnderlyingCode, singleVolReq.UnderlyingName).SetVolatility(volatility).Build();
+
+            //VolSurfaceInitializerSingleton.GetInitializer(false).InitializeMarketProxy(initParam);
+
+            if (req.VolType == "报价Bid")
+            {
+                if (!req.BidVar.HasValue || req.BidVar.Value < 1)
+                {
+                    return 0;
+                }
+                //var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(userId.ToString());
+                var baseVolSurface = SkewMapVolHelper.GetSkewMapBaseVolSurface(req.UnderlyingCode, req.Vols);
+                var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);
+
+                var t = TradeCalcHelper.CalculateTTMDays(
+                    req.TradeDate,
+                    req.ExerciseDate,
+                    req.UnderlyingTypeId,
+                    precisionOfMinute: false);
+
+                return skewMapVolSurface.GetVolWithBaseVol(
+                    baseVol: req.BaseVol.Value,
+                    t: Math.Ceiling(t), //不考虑日内精确时间
+                    k: req.Strike,
+                    spot: req.SpotPrice,
+                    isCall: req.CallPut == "Call",
+                    isBuy: true,
+                    var: req.BidVar ?? 0);
+            }
+            else if (req.VolType == "报价Ask")
+            {
+                if (!req.AskVar.HasValue || req.AskVar.Value < 1)
+                {
+                    return 0;
+                }
+
+                //var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(userId.ToString());
+                var baseVolSurface = SkewMapVolHelper.GetSkewMapBaseVolSurface(req.UnderlyingCode, req.Vols);
+                var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);
+
+                var t = TradeCalcHelper.CalculateTTMDays(
+                    req.TradeDate,
+                    req.ExerciseDate,
+                    req.UnderlyingTypeId,
+                    precisionOfMinute: false);
+
+                return skewMapVolSurface.GetVolWithBaseVol(
+                    baseVol: req.BaseVol.Value,
+                    t: Math.Ceiling(t), //不考虑日内精确时间
+                    k: req.Strike,
+                    spot: req.SpotPrice,
+                    isCall: req.CallPut == "Call",
+                    isBuy: false,
+                    var: req.AskVar ?? 0);
+            }
+            else
+            {
+                throw new Exception("波动率类型应为'报价Bid'或'报价Ask'");
+            }
+        }
+    }
+}