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 +1,139 @@
+using System.Text.RegularExpressions;
+using YLErp.DBModels.Consts;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.VolatilityModule;
+
+namespace YLErp.Web.WebAPI.Controllers
+{
+    /// <summary>
+    /// 波动率
+    /// </summary>
+    public class VolatilityController : BaseController
+    {
+        /// 定价页面获取单个波动率值
+        /// </summary>
+        [HttpPost("m/api/volatility/single")]
+        public JsonResult GetSingleVolValue(SingleVolReq req)
+        {
+            var userGroup = UserBLL.GetUserGroup(CurUser.UserId);
+
+            if (PS.Config.ErpElement.SkewMapVolConstruction)
+            {
+                try
+                {
+                    if (req.IsMoneynessOption == "是")
+                    {
+                        req.Strike = req.SpotPrice * req.Strike;
+                    }
+
+                    var volType = req.VolType;
+
+                    req.Vols = VolatilityHelper.GetVol(req.TradeDate, "交易", req.UnderlyingCode, userGroup);
+                    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 == null || req.BaseVol <= 0)
+                    {
+                        req.BaseVol = SkewMapVolHelper.GetSkewMapBaseVolForTrade(req.TradeDate, req.UnderlyingCode, req.Vols, req.UnderlyingTypeId, req.ExerciseDate);
+                    }
+
+                    int? varValue = null;
+
+                    switch (volType)
+                    {
+                        case "报价Ask":
+                            varValue = req.AskVar;
+                            break;
+                        case "报价Bid":
+                            varValue = req.BidVar;
+                            break;
+                    }
+
+                    if (!varValue.HasValue)
+                    {
+                        var vol = VolatilityHelper.GetVol(req.TradeDate, "交易", req.UnderlyingCode, CurUser.UserGroup);
+                        if (vol == null)
+                        {
+                            return JsonError("找不到波动率:" + req.UnderlyingCode);
+                        }
+                        switch (volType)
+                        {
+                            case "报价Ask":
+                                req.AskVar = varValue = (int)(vol.GetAskVar() ?? 0);
+                                break;
+                            case "报价Bid":
+                                req.BidVar = varValue = (int)(vol.GetBidVar() ?? 0);
+                                break;
+                        }
+                    }
+
+                    req.VolType = volType;
+
+                    var TargetVol = SingleVolService.GetSingleVol(req, CurUser.UserId);
+
+                    return JsonSuccess(new SingleVolResult
+                    {
+                        VarValue = varValue,
+                        VolValue = TargetVol,
+                        BaseVolValue = req.BaseVol
+                    });
+                }
+                catch (ArgumentException ex)
+                {
+                    if (Regex.IsMatch(ex.Message, @"列.\d+.不属于表"))
+                    {
+                        return JsonError("Var值超出SkewMap可选范围");
+                    }
+                    return JsonError(ex.Message);
+                }
+                catch (Exception ex)
+                {
+                    return JsonError(ex.Message);
+                }
+            }
+            else
+            {
+                if (ConsUserGroup.HasGroup && string.IsNullOrWhiteSpace(userGroup))
+                {
+                    return JsonSuccess(new SingleVolResult());
+                }
+
+                var vol = SingleVolService.GetSingleVol(req, CurUser.UserId);
+
+                if (PS.Config.Is润和)
+                {
+                    req.VolType = "交易";
+                    var Midvol = SingleVolService.GetSingleVol(req, CurUser.UserId);
+                    return JsonSuccess(new SingleVolResult { VolValue = vol, MidVolValue = Midvol });
+                }
+
+                return JsonSuccess(new SingleVolResult { VolValue = vol });
+            }
+        }
+
+        class SingleVolResult
+        {
+            /// <summary>
+            /// 波动率值
+            /// </summary>
+            public double? VolValue { get; set; }
+
+            /// <summary>
+            /// 光大光子var值
+            /// </summary>
+            public double? VarValue { get; set; }
+
+            /// <summary>
+            /// 光大光子basevol
+            /// </summary>
+            public double? BaseVolValue { get; set; }
+
+            /// <summary>
+            /// 东证专用midvol
+            /// </summary>
+            public double? MidVolValue { get; set; }
+        }
+    }
+}