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 +1,123 @@
+using YLErp.Enums;
+using YLErp.Modules.PricingModule;
+
+namespace YLErp.Web.WebAPI.Controllers
+{
+    /// <summary>
+    /// 期权定价
+    /// </summary>
+    public class PricingController : BaseController
+    {
+        /// <summary>
+        ///  计算pv margin greeks
+        /// </summary>
+        [HttpPost("m/api/pricing/calc-basic")]
+        public JsonResult Calc(OtcOptionTradeFull req)
+        {
+            if (req is null)
+            {
+                return JsonError("错误:请求参数为空");
+            }
+
+            var trade = InitialTrade(req);
+
+            var result = new PriceCalcService(CurUser).CalcOptionPrice(trade, false, CalcScenarioEnum.Pricing, true);
+
+            return JsonSuccess(new { result.calcResult, result.Day1Pnl });
+        }
+
+        /// <summary>
+        ///  根据权利金反算
+        /// </summary>
+        [HttpPost("m/api/pricing/calc-target")]
+        public JsonResult CalcTargetValue(OtcOptionTradeFull req, int calTarget)
+        {
+            if (req is null)
+            {
+                return JsonError("错误:请求参数为空");
+            }
+
+            var trade = InitialTrade(req);
+            trade.TradePrice = trade.TradeSinglePrice;
+
+            var targetValue = new PriceCalcService(CurUser).CalcSnowballSpecialistTargetValue(trade, calTarget);
+            //敲出票息和红利票息
+            if (calTarget == 1)
+            {
+                var obsInfos = trade.KOObservationDates.Split(';');
+                var kORebates = obsInfos[2].Split(',');
+                trade.KOObservationDates = string.Join(";", new[] {
+                    obsInfos[0],
+                    obsInfos[1],
+                    string.Join(",",kORebates.Select(x => String.IsNullOrEmpty(x) ? targetValue.ToString() : x))
+                });
+                trade.Coupon = targetValue;
+            }
+            //敲出票息
+            else if (calTarget == 2)
+            {
+                var obsInfos = trade.KOObservationDates.Split(';');
+                var kORebates = obsInfos[2].Split(',');
+                trade.KOObservationDates = string.Join(";", new[] {
+                    obsInfos[0],
+                    obsInfos[1],
+                    string.Join(",",kORebates.Select(x => String.IsNullOrEmpty(x) ? targetValue.ToString() : x))
+                });
+            }
+            //红利票息
+            else if (calTarget == 3)
+            {
+                trade.Coupon = targetValue;
+            }
+
+            var result = new PriceCalcService(CurUser).CalcOptionPrice(trade, false, CalcScenarioEnum.Pricing, false);
+
+            return JsonSuccess(new { TargetValue = double.IsNaN(targetValue) ? 0 : targetValue, result.calcResult });
+        }
+
+        /// <summary>
+        /// 定价页面初始值
+        /// </summary>
+        [HttpPost("m/api/pricing/init-values")]
+        public JsonResult GetInitValues(PricingInitValuesRequest req)
+        {
+            var result = new PricingDataService(CurUser).GetPricingInitValues(req);
+            return JsonSuccess(result);
+        }
+
+        /// <summary>
+        /// 初始化交易参数
+        /// </summary>
+        /// <param name="req"></param>
+        /// <returns></returns>
+        private OtcOptionTradeFull InitialTrade(OtcOptionTradeFull trade)
+        {
+            //OtcOptionTradeFull trade = new OtcOptionTradeFull();
+            //YLAutoMapper.Map<OptionPricingModelV3, OtcOptionTradeFull>(req, trade);
+
+            // initial trade params
+            trade.PrepaymentUsed = true;
+            if (string.IsNullOrEmpty(trade.CouponDayCount) || trade.CouponDayCount == "非年化")
+            {
+                trade.CouponDayCount = string.Empty;
+                trade.IsFixedCoupon = true;
+            }
+            trade.TradeDate = trade.StartDate;
+            trade.AnnualizeFactor2 = 1;
+            trade.NumOfSmoothingDays = 1;
+            trade.ParentTradeId = 0;
+            trade.TradeCloseVolatility = trade.Vol;
+            trade.TradeOpenVolatility = trade.Vol;
+            trade.AnnualizeFactor = 1;
+            trade.ParticipationRate = 1;
+            trade.IsGroup = 0;
+            trade.CountRatio = 1;
+            if (!trade.MetaDic.ContainsKey("敲入观察周期"))
+            {
+                trade.MetaDic.Add("敲入观察周期", "1D");
+            }
+            return trade;
+        }
+    }
+
+}