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 +1,92 @@
+using BaseOUDAL;
+using System.Text.RegularExpressions;
+using YLErp.Modules.CalculationModule;
+
+namespace YLErp.Modules.VolatilityModule.SkewMapVolModule
+{
+    /// <summary>
+    /// 从数据库中查询SkewVol
+    /// </summary>
+    public class SkewVolQueryService
+    {
+        public static volatility GetVol(int userId, SkewVolRequest req)
+        {
+            if (req is null)
+            {
+                throw new ArgumentNullException(nameof(req));
+            }
+
+            if (string.IsNullOrWhiteSpace(req.VolType))
+            {
+                throw new Exception("波动率类型不能为空");
+            }
+
+            var userGroup = UserBLL.GetUserGroup(userId);
+
+            var vols = VolatilityHelper.GetVol(req.valueDate, "交易", req.UnderlyingCode, userGroup);
+
+            if (vols == null || string.IsNullOrEmpty(vols.VolSurfaceMode))
+            {
+                throw new InvalidOperationException($"找不到波动率曲面{req.UnderlyingCode}");
+            }
+
+            var singleVols = vols.VolTable;
+
+            for (var i = 0; i < singleVols.Count; i++)
+            {
+                if (!Regex.IsMatch(singleVols[i].Expire, @"\d")) { continue; }
+
+                var ExerciseDate = GetExerciseDate(req.valueDate, singleVols[i].Expire);
+
+                singleVols[i].Vol = SkewMapVolHelper.GetInterpolatedVol(
+                        volSurface: vols,
+                        valueDate: req.valueDate,
+                        underlyingCode: req.UnderlyingCode,
+                        exerciseDate: ExerciseDate,
+                        strikePrice: req.Strike,
+                        isBuy: req.VolType == "报价Bid",
+                        isCall: false,
+                        spotPrice: req.Strike,
+                        skewMapVolVar: (int)(req.VolType == "报价Bid" ? vols.GetBidVar() : vols.GetAskVar())
+                    );
+            }
+            vols.Data = singleVols.ToJson();
+            return vols;
+        }
+
+        private static DateTime GetExerciseDate(DateTime valueDate, string term)
+        {
+            var result = valueDate;
+            var m = Regex.Match(term, @"^(?<num>\d+)(?<unit>[D|W|M|Y])$");
+            if (!m.Success) { return result; }
+            var number = int.Parse(m.Groups["num"].Value);
+            switch (m.Groups["unit"].Value)
+            {
+                case "D":
+                    result = result.AddDays(number);
+                    break;
+                case "W":
+                    result = result.AddDays(number * 7);
+                    break;
+                case "M":
+                    result = result.AddMonths(number).AddDays(-1);
+                    break;
+                case "Y":
+                    result = result.AddYears(number).AddDays(-1);
+                    break;
+            }
+            return result;
+        }
+    }
+
+    public class SkewVolRequest
+    {
+        public DateTime valueDate { get; set; }
+
+        public string VolType { get; set; }
+
+        public string UnderlyingCode { get; set; }
+
+        public double Strike { get; set; }
+    }
+}