@using Microsoft.AspNetCore.Html @using Newtonsoft.Json @{ var dailySummary = ViewBag.RiskLimitDailySummary; } @functions{ public HtmlString FixNumber(double number, int fixNumber = 2) { if (double.IsNaN(number)) { number = 0; } return new HtmlString(number.ToString($"N{fixNumber}")); } public HtmlString Fix0Number(double number) { return FixNumber(number, 0); } public HtmlString GetWarningStyle(double limitValue, double checkValue) { if ((limitValue * -1) > checkValue) { return new HtmlString("class='overstep'"); } if ((limitValue * -0.9) > checkValue) { return new HtmlString("class='danger'"); } if ((limitValue * -0.8) > checkValue) { return new HtmlString("class='warn'"); } return new HtmlString(""); } public HtmlString GetInput(double number, string typeStr, string inputEvent = "") { var numberStr = Fix0Number(number); string str = ""; return new HtmlString(str + "
@(YLErp.PS.Config.Company)投资管理有限公司 市场风险日报表 |
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结算日期:@ViewBag.ValueDate.ToString("yyyy-MM-dd")
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| 场 外 期 权 业 务 |
资金概况 | 期货预付金占用 | 期货客户权益 | 期货风险度 | 商品别 | 期权持仓名义本金 | 期权持仓市值 |
*单元:元 *币别:人民币 |
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| 商品别 | *@采用光子波动率 | 采用光证波动率 | |||||||||||
| @GetInput(dailySummary.HoldingDeposit, "text", "onchange=\"CalcDivide('#HoldingDeposit', '#Amount', '#Risk');\"") | @*期货客户权益*@@GetInput(dailySummary.Amount, "text", "onchange=\"CalcDivide('#HoldingDeposit', '#Amount', '#Risk');\"") | @*期货风险度*@@FixNumber(dailySummary.Risk) | @*商品别*@场外期权 | @*期权期初权利金*@@Fix0Number(dailySummary.OptionStockEqvNotional) | @Fix0Number(dailySummary.PositionValue.Option.BaseValue) | @Fix0Number(dailySummary.PositionValue.Option.AuxiliaryValue) | |||||||
| 场内期权 | @GetInput(dailySummary.ExchangeStockEqvNotional, "text", "onchange=\"CalcSum('#stockEqvNotional_option', '#stockEqvNotional_exchange', '#stockEqvNotional_summary');\"") | @Fix0Number(dailySummary.PositionValue.Exchange.BaseValue) | @Fix0Number(dailySummary.PositionValue.Exchange.AuxiliaryValue) | ||||||||||
| 期权汇总 | @Fix0Number(dailySummary.StockEqvNotional) | @Fix0Number(dailySummary.PositionValue.Summary.BaseValue) | @Fix0Number(dailySummary.PositionValue.Summary.AuxiliaryValue) | ||||||||||
| @*持仓市值_光子波动率_美式二叉树*@ | 差异值 | @*持仓市值_光证波动率_美式二叉树*@@Fix0Number(dailySummary.PositionValue.DiffValue) | |||||||||||
| 年盈亏概况 | 商品别 | 亏损限额 | 年盈亏 | ||||||||||
| 已完结盈亏 | 持仓盈亏 | 总盈亏 | |||||||||||
| 采用光子波动率 | 采用光证波动率 | 采用光子波动率 | 采用光证波动率 | ||||||||||
| 期权 | 场外期权 | @*持仓市值_亏损限额*@@Fix0Number(dailySummary.YearPnl.LimitValue) | @*已完结盈亏*@@Fix0Number(dailySummary.YearPnl.Option.OptionEndPnl) | @*年盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Option.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Option.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Option.BaseValue) | @*年盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Option.AuxiliaryValue) | ||||||
| 场内期权 | @*已完结盈亏*@@Fix0Number(dailySummary.YearPnl.Option.ExchangeEndPnl) | @*年盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Exchange.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Exchange.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Exchange.BaseValue) | @*年盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Exchange.AuxiliaryValue) | ||||||||
| 期权汇总 | @*已完结盈亏*@@Fix0Number(dailySummary.YearPnl.Option.EndPnl) | @*年盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Summary.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Position.Summary.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Summary.BaseValue) | @*年盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.YearPnl.Option.Total.Summary.AuxiliaryValue) | ||||||||
| @*年盈亏_持仓盈亏_采用光子波动率_差异值*@ | 差异值 | @*年盈亏_持仓盈亏_采用光证波动率_差异值*@@Fix0Number(dailySummary.YearPnl.Option.Position.DiffValue) | @*年盈亏_总盈亏_采用光子波动率_差异值*@差异值 | @*年盈亏_总盈亏_采用光证波动率_差异值*@@Fix0Number(dailySummary.YearPnl.Option.Total.DiffValue) | |||||||||
| 期货避险 | @*已完结盈亏*@@GetInput(dailySummary.YearPnl.Future.EndPnl, "text", "onchange=\"CalcSum('#YearPnlOption_EndPnl', '#YearPnlFuture_EndPnl', '#YearPnlSummary_EndPnl');\"") | @*年盈亏_持仓盈亏*@@GetInput(dailySummary.YearPnl.Future.Pnl, "text", "onchange=\"CalcSum('#YearPnlOptionPositionSummary_BaseValue', '#YearPnlFuture_Pnl', '#YearPnlSummaryOption_BaseValue');CalcSum('#YearPnlOptionPositionSummary_AuxiliaryValue', '#YearPnlFuture_Pnl', '#YearPnlSummaryOption_AuxiliaryValue');\"") | @*年盈亏_总盈亏*@@GetInput(dailySummary.YearPnl.Future.TotalPnl, "text", "onchange=\"CalcSum('#YearPnlOptionTotalSummary_BaseValue', '#YearPnlFuture_TotalPnl', '#YearPnlSummaryTotal_BaseValue');CalcSum('#YearPnlOptionTotalSummary_AuxiliaryValue', '#YearPnlFuture_TotalPnl', '#YearPnlSummaryTotal_AuxiliaryValue');\"") | ||||||||||
| 合计 | @*已完结盈亏_汇总*@@Fix0Number(dailySummary.YearPnl.Summary.EndPnl) | @*年盈亏_持仓盈亏_采用光子波动率_汇总*@@Fix0Number(dailySummary.YearPnl.Summary.Option.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率_汇总*@@Fix0Number(dailySummary.YearPnl.Summary.Option.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率_汇总*@@Fix0Number(dailySummary.YearPnl.Summary.Total.BaseValue) | @*年盈亏_总盈亏_采用光证波动率_汇总*@@Fix0Number(dailySummary.YearPnl.Summary.Total.AuxiliaryValue) | ||||||||
| 日盈亏概况 | 商品别 | 亏损限额 | 日盈亏 | ||||||||||
| 已完结盈亏 | 持仓盈亏 | 总盈亏 | |||||||||||
| 采用光子波动率 | 采用光证波动率 | 采用光子波动率 | 采用光证波动率 | ||||||||||
| 期权 | 场外期权 | @*持仓市值_亏损限额*@@Fix0Number(dailySummary.DailyPnl.LimitValue) | @*已完结盈亏*@@Fix0Number(dailySummary.DailyPnl.Option.OptionEndPnl) | @*日盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Option.BaseValue) | @*日盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Option.AuxiliaryValue) | @*日盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Option.BaseValue) | @*日盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Option.AuxiliaryValue) | ||||||
| 场内期权 | @*已完结盈亏*@@Fix0Number(dailySummary.DailyPnl.Option.ExchangeEndPnl) | @*年盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Exchange.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Exchange.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Exchange.BaseValue) | @*年盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Exchange.AuxiliaryValue) | ||||||||
| 期权汇总 | @*已完结盈亏*@@Fix0Number(dailySummary.DailyPnl.Option.EndPnl) | @*年盈亏_持仓盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Summary.BaseValue) | @*年盈亏_持仓盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Position.Summary.AuxiliaryValue) | @*年盈亏_总盈亏_采用光子波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Summary.BaseValue) | @*年盈亏_总盈亏_采用光证波动率*@@Fix0Number(dailySummary.DailyPnl.Option.Total.Summary.AuxiliaryValue) | ||||||||
| @*日盈亏_持仓盈亏_采用光子波动率_差异值*@ | 差异值 | @*日盈亏_持仓盈亏_采用光证波动率_差异值*@@Fix0Number(dailySummary.DailyPnl.Option.Position.DiffValue) | @*日盈亏_总盈亏_采用光子波动率_差异值*@差异值 | @*日盈亏_总盈亏_采用光证波动率_差异值*@@Fix0Number(dailySummary.DailyPnl.Option.Total.DiffValue) | |||||||||
| 期货避险 | @*已完结盈亏*@@GetInput(dailySummary.DailyPnl.Future.EndPnl, "text", "onchange=\"CalcSum('#DailyPnlOption_EndPnl', '#DailyPnlFuture_EndPnl', '#DailyPnlSummary_EndPnl');\"") | @*日盈亏_持仓盈亏*@@GetInput(dailySummary.DailyPnl.Future.Pnl, "text", "onchange=\"CalcSum('#DailyPnlOptionPositionSummary_BaseValue', '#DailyPnlFuture_Pnl', '#DailyPnlSummaryOption_BaseValue');CalcSum('#DailyPnlOptionPositionSummary_AuxiliaryValue', '#DailyPnlFuture_Pnl', '#DailyPnlSummaryOption_AuxiliaryValue');\"") | @*日盈亏_总盈亏*@@GetInput(dailySummary.DailyPnl.Future.TotalPnl, "text", "onchange=\"CalcSum('#DailyPnlOptionTotalSummary_BaseValue', '#DailyPnlFuture_TotalPnl', '#DailyPnlSummaryTotal_BaseValue');CalcSum('#DailyPnlOptionTotalSummary_AuxiliaryValue', '#DailyPnlFuture_TotalPnl', '#DailyPnlSummaryTotal_AuxiliaryValue');\"") | ||||||||||
| 合计 | @*已完结盈亏_汇总*@@Fix0Number(dailySummary.DailyPnl.Summary.EndPnl) | @*日盈亏_持仓盈亏_采用光子波动率_汇总*@@Fix0Number(dailySummary.DailyPnl.Summary.Option.BaseValue) | @*日盈亏_持仓盈亏_采用光证波动率_汇总*@@Fix0Number(dailySummary.DailyPnl.Summary.Option.AuxiliaryValue) | @*日盈亏_总盈亏_采用光子波动率_汇总*@@Fix0Number(dailySummary.DailyPnl.Summary.Total.BaseValue) | @*日盈亏_总盈亏_采用光证波动率_汇总*@@Fix0Number(dailySummary.DailyPnl.Summary.Total.AuxiliaryValue) | ||||||||
| 风险概况 | 商品别 | Delta限额 | Delta金额 | Gamma限额 | Gamma金额 | ||||||||
| 采用光子波动率 | 采用光证波动率 | 采用光子波动率 | 采用光证波动率 | ||||||||||
| 期权 | 场外期权 | @*Delta金额_Delta限额*@@Fix0Number(dailySummary.DeltaCashLimit.LimitValue) | @*Delta金额_采用光子波动率*@@Fix0Number(dailySummary.DeltaCashLimit.Option.Option.BaseValue) | @*Delta金额_采用光证波动率*@@Fix0Number(dailySummary.DeltaCashLimit.Option.Option.AuxiliaryValue) | @*Gamma金额_Gamma限额*@@Fix0Number(dailySummary.GammaCashLimit.LimitValue) | @*Gamma金额_采用光子波动率*@@Fix0Number(dailySummary.GammaCashLimit.Option.Option.BaseValue) | @*Gamma金额_采用光证波动率*@@Fix0Number(dailySummary.GammaCashLimit.Option.Option.AuxiliaryValue) | ||||||
| 场内期权 | @*Delta金额_采用光子波动率*@@Fix0Number(dailySummary.DeltaCashLimit.Option.Exchange.BaseValue) | @*Delta金额_采用光证波动率*@@GetInput(dailySummary.DeltaCashLimit.Option.Exchange.AuxiliaryValue, "button", "onclick=\"$('#maskLayer').show()\" onchange=\"CalcAuxliary();CalcSub('#deltaCashExchange_BaseValue', '#deltaCashExchange_Auxiliary', '#daltaCashSummary_DiffValue');\"") | @*Gamma金额_采用光子波动率*@@GetInput(dailySummary.GammaCashLimit.Option.Exchange.BaseValue, "text", "onchange=\"CalcSum('#gammaCashOption_Base', '#gammaCashExchange_BaseValue', '#gammaCashSummary_BaseValue');CalcSub('#gammaCashSummary_BaseValue', '#gammaCashSummary_Auxiliary', '#gammaCashSummary_DiffValue');CalcSum('#gammaCashSummary_BaseValue', '#gammaCashSummary_FutureValue', '#gammaCashSummary_OptionSummary');\"") | @*Gamma金额_采用光证波动率*@@GetInput(dailySummary.GammaCashLimit.Option.Exchange.AuxiliaryValue, "text", "onchange=\"CalcSum('#gammaCashOption_Auxiliary', '#gammaCashExchange_Auxiliary', '#gammaCashSummary_Auxiliary');CalcSub('#gammaCashSummary_BaseValue', '#gammaCashSummary_Auxiliary', '#gammaCashSummary_DiffValue');CalcSum('#gammaCashSummary_Auxiliary', '#gammaCashSummary_FutureValue', '#gammaCashSummary_ExchangeSummary');\"") | |||||||||
| 期权汇总 | @*Delta金额_采用光子波动率*@@Fix0Number(dailySummary.DeltaCashLimit.Option.Summary.BaseValue) | @*Delta金额_采用光证波动率*@@Fix0Number(dailySummary.DeltaCashLimit.Option.Summary.AuxiliaryValue) | @*Gamma金额_采用光子波动率*@@Fix0Number(dailySummary.GammaCashLimit.Option.Summary.BaseValue) | @*Gamma金额_采用光证波动率*@@Fix0Number(dailySummary.GammaCashLimit.Option.Summary.AuxiliaryValue) | |||||||||
| @*Delta金额_采用光子波动率_差异值*@ | 差异值 | @*Delta金额_采用光证波动率_差异值*@@Fix0Number(dailySummary.DeltaCashLimit.Option.DiffValue) | @*Gamma金额_采用光子波动率_差异值*@差异值 | @*Gamma金额_采用光证波动率_差异值*@@Fix0Number(dailySummary.GammaCashLimit.Option.DiffValue) | |||||||||
| 期货避险 | @Fix0Number(dailySummary.DeltaCashLimit.FutureValue) | @GetInput(dailySummary.GammaCashLimit.FutureValue, "text", "onchange=\"CalcSum('#gammaCashSummary_BaseValue', '#gammaCashSummary_FutureValue', '#gammaCashSummary_OptionSummary');CalcSum('#gammaCashSummary_Auxiliary', '#gammaCashSummary_FutureValue', '#gammaCashSummary_ExchangeSummary');\"") | |||||||||||
| 合计 | @Fix0Number(dailySummary.DeltaCashLimit.Summary.BaseValue) | @Fix0Number(dailySummary.DeltaCashLimit.Summary.AuxiliaryValue) | @Fix0Number(dailySummary.GammaCashLimit.Summary.BaseValue) | @Fix0Number(dailySummary.GammaCashLimit.Summary.AuxiliaryValue) | |||||||||