zszq-trs/YLErpDAL/Modules/VolatilityModule/TradeHedgeVolService.cs

using YLErp.BLL;

namespace YLErp.Modules.VolatilityModule
{
    /// <summary>
    /// 交易对冲波动率服务
    /// </summary>
    public class TradeHedgeVolService
    {
        /// <summary>
        /// 批量保存对冲波动率
        /// </summary>
        public void SaveTradeHedgeVols(Dictionary<int, double> tradeIdHedgeVolDic, int userId, string userName, DateTime? valueDate = null)
        {
            if (tradeIdHedgeVolDic == null)
            {
                throw new ArgumentNullException(nameof(tradeIdHedgeVolDic));
            }
            if (!valueDate.HasValue)
            {
                valueDate = valuedateBLL.ValueDate;
            }

            var tradeIds = tradeIdHedgeVolDic.Keys.ToList();
            using (var con = DbContextFactory.GetYLDbContext())
            {
                var tradeHedgeVols = con.trade_hedge_vol.Where(v => tradeIds.Contains(v.TradeId) && v.ValueDate == valueDate).ToDictionary(v => v.TradeId, v => v);
                foreach (var tradeIdHedgeVol in tradeIdHedgeVolDic)
                {
                    trade_hedge_vol hedgeTradeVol;
                    if (tradeHedgeVols.ContainsKey(tradeIdHedgeVol.Key))
                    {
                        hedgeTradeVol = tradeHedgeVols[tradeIdHedgeVol.Key];
                    }
                    else
                    {
                        hedgeTradeVol = new trade_hedge_vol
                        {
                            TradeId = tradeIdHedgeVol.Key,
                            ValueDate = valueDate,
                        };
                        con.trade_hedge_vol.Add(hedgeTradeVol);
                    }

                    hedgeTradeVol.OptId = userId;
                    hedgeTradeVol.OptName = userName;
                    hedgeTradeVol.OptDate = DateTime.Now;
                    hedgeTradeVol.TradeSavedVol = tradeIdHedgeVol.Value;

                }

                con.SaveChanges();
            }
        }

        /// <summary>
        /// 获取对冲波动率
        /// </summary>
        public static double GetTradeHedgeVol(OtcTrade trade, DateTime valueDate)
        {
            if (trade is null)
            {
                throw new ArgumentNullException(nameof(trade));
            }

            return GetTradeHedgeVol(trade.id, valueDate, trade.TradeSavedVol ?? ConsGlobal.DefaultVol);
        }

        /// <summary>
        /// 获取对冲波动率
        /// </summary>
        /// <param name="tradeId">交易ID</param>
        /// <param name="valueDate">取值日期</param>
        /// <param name="tradeSavedVol">交易表数据中tradeSavedVol值</param>
        public static double GetTradeHedgeVol(int tradeId, DateTime valueDate, double? tradeSavedVol = null)
        {
            if (tradeId <= 0)
            {
                throw new ServiceException($"{nameof(tradeId)}应该大于0");
            }

            using (var db = DbContextFactory.GetYLDbContext())
            {
                var tradeHedgeVol = db.trade_hedge_vol.Where(v => v.TradeId == tradeId && v.ValueDate <= valueDate)
                    .OrderByDescending(v => v.ValueDate).Select(n => (double?)n.TradeSavedVol).FirstOrDefault();

                if (tradeHedgeVol.HasValue)
                {
                    return tradeHedgeVol.Value;
                }

                if (tradeSavedVol.HasValue)
                {
                    return tradeSavedVol.Value;
                }

                var trade = db.trade.Where(t => t.id == tradeId && t.ValidState != "InValid")
                    .Select(n => new { n.TradeSavedVol }).FirstOrDefault();

                if (trade == null)
                {
                    throw new ServiceException("系统中不存在相关交易");
                }

                return trade.TradeSavedVol ?? ConsGlobal.DefaultVol;
            }
        }
    }
}