从山证v2.3.0拷贝
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吴方海
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Qdp.ComputeService.Data.CommonModels.ValuationParams.Equity;
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using Qdp.ComputeServiceV2.Data.CommonModels.TradeInfos.Options;
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Utilities;
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using Qdp.Pricing.Library.Options.Products.SyntheticSpread;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Runtime.CompilerServices;
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using YLErp.BLL.Calculation;
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using YLErp.DBModels;
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using YLErp.DBModels.Helpers;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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[TestClass]
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public class SSpreadOptionCalcTest
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{
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[TestMethod("测试雪球期权PV")]
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public void TestSSpreadOptionCalcCrossGammas()
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{
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var spotPrice = 3200d;
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var coefficients = new double[] { -1, 1 };
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var td = new trade
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{
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id = 1,
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AssetBookName = "test",
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AssetId = 1,
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BasisGap = 0,
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BasisUnderlyingCode = null,
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BasisUnderlyingId = 0,
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BuySell = "卖出",
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CalcFlag = 1,
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ClientId = 1,
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ClientName = "客户名称",
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Comments = null,
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CreateDate = DateTime.Now,
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UnderlyingCode = "RB00-TA00",
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UnderlyingInstrumentType = ConsGlobal.InstrumentType.CommodityFutures,
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Strike = 3000,
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StartDate = new DateTime(2020, 12, 1),
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ExerciseDate = new DateTime(2020, 12, 31),
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MaturityDate = new DateTime(2023, 12, 31),
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OptionType = "看涨",
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ExerciseMode = ConsGlobal.ExerciseMode.American,
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Notional = 100,
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NoRiskRate = 0.05,
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ParticipationRate = 1,
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PrincipalRate = 0,
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IsAnnualized = false,
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AnnualizeFactor = 1,
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DividendRate = 0,
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IsMoneynessOption = "否",
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SpotPrice = 3200
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};
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var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy("111");
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var crossGammas = SSpreadOptionCalc.CalculateSyntheticNormalSpreadCrossGammas(
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marketProxy,
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"2020-12-25",
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td.UnderlyingCode,
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td.UnderlyingInstrumentType,
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td.Strike ?? 0,
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td.StartDate.Value.ToString("yyyy-MM-dd"),
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td.MaturityDate.Value.ToString("yyyy-MM-dd"),
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td.CallPut,
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td.ExerciseMode,
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spotPrice,
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coefficients.ToArray(),
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td.Notional,
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"1111111",
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td.NoRiskRate ?? 0.0,
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td.BuySell,
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td.ExerciseDate.Value.ToString("yyyy-MM-dd"),
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td.ParticipationRate ?? 1.0,
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td.PrincipalRate ?? 0.0,
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td.IsAnnualized,
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td.AnnualizeFactor ?? 1.0,
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td.DividendRate ?? 0,
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td.IsMoneynessOptionData,
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td.SpotPrice ?? 0,
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hasNightMarket: false,
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commodityFuturesPreciseTimeMode: false,
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riskFreeRateOverride: td.NoRiskRate ?? double.NaN,
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dividendRateOverride: td.DividendRate ?? double.NaN);
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Assert.IsNotNull(crossGammas);
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var crossGammas2 = OptionCalculatorV2.CalcSSpreadCrossGammas(new DateTime(2020, 12, 25), td, new OptionValueCalcRequest(0.05)
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{
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spotPrices = new[] { spotPrice },
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vols = new[] { 1.3 },
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}, coefficients);
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Assert.IsNotNull(crossGammas);
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}
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}
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static class SSpreadOptionCalc
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{
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/// <summary>
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/// 股指期货类型转换为商品期货类型
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/// </summary>
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[MethodImpl(MethodImplOptions.AggressiveInlining)]
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private static string ConvertInstrumentType(string instrumentType)
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{
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return ConsGlobal.InstrumentType.IsStockIF(instrumentType) ? ConsGlobal.InstrumentType.CommodityFutures : instrumentType;
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}
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public static OptionExercise ConvertExerciseType(string exerciseType)
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{
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if (exerciseType != null)
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{
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switch (exerciseType.ToUpper())
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{
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case "美式":
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case "AMERICAN":
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return OptionExercise.American;
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default:
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return OptionExercise.European;
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}
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}
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else
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{
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return OptionExercise.European;
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}
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}
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public static SyntheticNormalSpreadOptionTrade CreateSyntheticNormalSpreadOptionTrade(
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string tradeId,
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string volSurfaceName,
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string tradeDate,
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string underlyingTicker,
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string underlyingInstrumentType,
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double strike,
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string startDate,
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string endDate,
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string optionType,
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string exerciseType,
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double notional,
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string tradeType,
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string exerciseDate,
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double participationRate,
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double principalRate,
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bool isAnnualized,
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double annualizeFactor,
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double[] coefficients = null,
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bool isMoneynessOption = false,
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double initialSpotPrice = 0.0,
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Dictionary<Date, double> dividends = null,
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bool hasNightMarket = false,
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bool commodityFuturesPreciseTimeMode = false,
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double timeToMaturityDays = double.NaN,
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double riskFreeRateOverride = double.NaN,
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double dividendRateOverride = double.NaN)
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{
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underlyingInstrumentType = ConvertInstrumentType(underlyingInstrumentType);
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var exercise = ConvertExerciseType(exerciseType);
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var optionStartDate = startDate.ToDate();
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var underlyingMaturityDate = string.IsNullOrWhiteSpace(endDate) ? null : endDate.ToDate();
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var temp_exerciseDate = exerciseDate.ToDate();
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if (temp_exerciseDate < optionStartDate)
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{
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return null;
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}
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Date[] exerciseDates = null;
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Date[] observationDates = null;
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if (exercise == OptionExercise.American)
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{
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exerciseDates = CalendarImpl.Get("chn").BizDaysBetweenDatesInclEndDay(optionStartDate, temp_exerciseDate).ToArray();
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observationDates = CalendarImpl.Get("chn").BizDaysBetweenDatesExcluStartDay(optionStartDate, temp_exerciseDate).ToArray();
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}
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else
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{
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exerciseDates = new Date[] { temp_exerciseDate };
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observationDates = new Date[] { temp_exerciseDate };
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}
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if (underlyingInstrumentType == null)
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{
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throw new Exception("标的资产类型不能为空");
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}
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var optionDayCount = CalculatorHelper.GetTradeDayCount();
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var pricingTOverride = double.IsNaN(timeToMaturityDays) ? double.NaN : QdpCalendarHelper.CalculateTFromDays(timeToMaturityDays, optionDayCount, optionStartDate.DateTime);
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var syntheticNormalSpreadOption =
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new SyntheticNormalSpreadOption(
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optionStartDate,
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exercise,
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(OptionType)Enum.Parse(typeof(OptionType), optionType),
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strike,
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(InstrumentType)Enum.Parse(typeof(InstrumentType), underlyingInstrumentType),
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CalendarImpl.Get("chn"),
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optionDayCount.ToDayCountImpl(),
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CurrencyCode.CNY,
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CurrencyCode.CNY,
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exerciseDates,
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observationDates,
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coefficients, // coefficients
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notional,
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null,
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null,
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0.0,
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isMoneynessOption,
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initialSpotPrice,
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dividends,
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hasNightMarket: hasNightMarket,
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commodityFuturesPreciseTimeMode: commodityFuturesPreciseTimeMode,
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pricingToverride: pricingTOverride,
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riskFreeRateOverride: riskFreeRateOverride,
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dividendRateOverride: dividendRateOverride,
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participationRate: participationRate,
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isAnnualized: isAnnualized,
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annualizedFactor: annualizeFactor)
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{
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UnderlyingTickers = new string[] { underlyingTicker }
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};
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if (string.IsNullOrWhiteSpace(tradeId))
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{
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tradeId = Guid.NewGuid().ToString();
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}
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return new SyntheticNormalSpreadOptionTrade(
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tradeId,
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tradeDate.ToDate(),
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syntheticNormalSpreadOption.StartDate,
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syntheticNormalSpreadOption.ExerciseDates.Last(),
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QdpConverter.ConvertTradeType(tradeType),
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syntheticNormalSpreadOption.Notional,
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0.0,
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syntheticNormalSpreadOption)
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{
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ValuationParameters = new OptionValuationParameters("RiskFreeDiscountCurve", MarketProxy.ConstantZeroCurve, volSurfaceName, syntheticNormalSpreadOption.UnderlyingTickers[0]),
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ProtectionRate = principalRate,
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ParticipationRate = participationRate,
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AnnualizedFactor = annualizeFactor,
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OriginalNotional = TradeHelper.GetStockEqvNotional(notional * initialSpotPrice, participationRate, annualizeFactor)
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};
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}
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public static double[] CalculateSyntheticNormalSpreadCrossGammas(
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IQdpMarketProxy marketProxy,
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string valueDate,
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string underlyingTicker,
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string underlyingInstrumentType,
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double strike,
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string startDate,
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string endDate,
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string optionType,
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string exerciseType,
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double spotPrice,
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double[] coefficients,
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double notional,
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string volSurfaceName,
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double riskFreeRate,
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string tradeType,
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string exerciseDate,
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double participationRate,
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double principalRate,
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bool isAnnualized,
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double annualizeFactor,
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double dividendRate = 0.0,
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bool isMoneynessOption = false,
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double initialSpotPrice = 0.0,
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Dictionary<Date, double> dividends = null,
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bool hasNightMarket = false,
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bool commodityFuturesPreciseTimeMode = false,
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string engineName = null,
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string discountCurveName = null,
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bool ignoreSkewMap = false,
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bool isForwardTrade = false,
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double timeToMaturityDays = double.NaN,
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double riskFreeRateOverride = double.NaN,
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double dividendRateOverride = double.NaN)
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{
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if (coefficients == null || coefficients.Length == 1)
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{
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return null;
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}
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string tradeId = null;
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var trade = CreateSyntheticNormalSpreadOptionTrade(
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tradeId,
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volSurfaceName,
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valueDate,
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underlyingTicker,
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underlyingInstrumentType,
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strike,
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startDate,
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endDate,
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optionType,
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exerciseType,
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notional,
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tradeType,
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exerciseDate,
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participationRate,
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principalRate,
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isAnnualized,
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annualizeFactor,
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coefficients,
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isMoneynessOption,
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initialSpotPrice,
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dividends,
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hasNightMarket,
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commodityFuturesPreciseTimeMode,
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timeToMaturityDays,
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riskFreeRateOverride,
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dividendRateOverride);
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var market = marketProxy.GetQdpMarket(valueDate);
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if (market == null)
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{
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marketProxy.CreateMarket(valueDate);
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market = marketProxy.GetQdpMarket(valueDate);
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if (market == null)
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{
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return null;
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}
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var volPart = QdpVolHelper.GetDefaultVolatility(1.3);
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var volSurfaceWrap = new VolSurfaceBuilder
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{
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volSurfaceName = volSurfaceName,
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volSurfaceType = "MoneynessVol",
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interpolation = "BiLinear"
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}.SetVectors(volPart.VolTable).Build(valueDate);
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marketProxy.SaveVolSurface(volSurfaceWrap);
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}
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var useLocalDiscountCurve = string.IsNullOrWhiteSpace(discountCurveName);
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//设置DiscountCurve
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if (useLocalDiscountCurve)
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{
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discountCurveName = Guid.NewGuid().ToString();
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var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, riskFreeRate);
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marketProxy.AddYieldCurve(discountCurveName, valueDate, discountCurve);
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}
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//设置标的价格
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marketProxy.AddStockPrice(underlyingTicker, valueDate, spotPrice);
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OptionValuationParameters parameters;
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if (underlyingInstrumentType == "Stock")
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{
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//设置DividendCurve
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var dividendCurveName = Guid.NewGuid().ToString();
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var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(dividendCurveName, dividendRate);
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marketProxy.AddYieldCurve(dividendCurveName, valueDate, dividendCurve);
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parameters = new OptionValuationParameters(
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isForwardTrade ? MarketProxy.ConstantZeroCurve : discountCurveName,
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dividendCurveName,
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volSurfaceName,
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underlyingTicker);
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}
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else
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{
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parameters = new OptionValuationParameters(
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isForwardTrade ? MarketProxy.ConstantZeroCurve : discountCurveName,
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MarketProxy.ConstantZeroCurve,
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volSurfaceName,
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underlyingTicker);
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}
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var result = trade.CalcCrossGammas(marketProxy.GetQdpMarket(valueDate), parameters);
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if (result == null)
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{
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return null;
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}
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var crossGammas = new List<double>();
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// 先获取返回的结果矩阵中的对角线上的元素，对应的是每个标的的Gamma
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for (var i = 0; i < coefficients.Length; ++i)
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{
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crossGammas.Add(result[i, i]);
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}
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// 再获取两两对应的Cross Gamma
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for (var i = 0; i < coefficients.Length - 1; ++i)
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{
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for (var j = i + 1; j < coefficients.Length; ++j)
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{
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crossGammas.Add(result[i, j]);
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}
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}
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return crossGammas.ToArray();
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}
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}
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}
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