zszq-trs/YLErpDAL/QdpModule/QdpVolHelper.cs

using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Utilities;
using Qdp.Pricing.Library.Common.MathMethods.VolTermStructure;
using Qdp.Pricing.Library.Equity.Engines.Analytical;
using YLErp.Abstract;
using YLErp.BLL.Calculation;
using YLErp.Commons;
using YLErp.Models;
using YLErp.Modules.CalculationModule;
using YLErp.QdpModule.Constants;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 波动率曲面帮助类
    /// </summary>
    public static class QdpVolHelper
    {
        public const string VOL_SURFACE_SUFFIX = "_VolSurface";

        /// <summary>
        /// 从交易的TradeVol构造一个波动率曲面
        /// </summary>
        public static IVolatility GetSurfaceFromTradeVol(DateTime valueDate, ITradeVolLinearParam para)
        {
            if (para == null)
            {
                throw new ArgumentNullException(nameof(para));
            }

            double constVol;

            if (valueDate < para.GetStartDate())
            {
                constVol = para.GetTradeOpenVol();
            }
            else if (valueDate > para.GetMaturityDate())
            {
                constVol = para.GetTradeCloseVol();
            }
            else
            {
                var daycountMode = PS.Config.ErpElement.SmoothingDaycountMode == Configuration.Enums.SmoothingDaycountMode.CalendarDay
                             ? Qdp.Pricing.Base.Enums.DayCountMode.CalendarDay
                             : Qdp.Pricing.Base.Enums.DayCountMode.TradingDay;

                constVol = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
                                             new Date(valueDate),
                                             para.GetTradeOpenVol(), para.GetTradeCloseVol(),
                                             new Date(para.GetStartDate()),
                                             new Date(para.GetMaturityDate()),
                                             para.GetNumOfSmoothingDays(),
                                             daycountMode,
                                             CalendarImpl.Get("chn"),
                                             para.IsIncludeStartDate());
            }

            //生成3*3水平的波动率曲面 
            return GenerateFlatSurface(OtcFormatHelper.FormatValue(constVol, 4));
        }

        /// <summary>
        /// 生成平面波动率
        /// </summary>
        public static IVolatility GenerateFlatSurface(double constVol)
        {
            return GenerateFlatSurface(constVol, ConsVolInfos.DefaultVolStrikeList, ConsVolInfos.DefaultVolTenorList);
        }

        /// <summary>
        /// 生成平面波动率
        /// </summary>
        public static IVolatility GenerateFlatSurface(double constVol, IEnumerable<double> strikes, IEnumerable<string> expires)
        {
            if (strikes == null)
            {
                throw new ArgumentNullException(nameof(strikes));
            }

            if (expires == null)
            {
                throw new ArgumentNullException(nameof(expires));
            }

            var volTable = new List<SingleVol>();

            foreach (var strike in strikes)
            {
                foreach (var expire in expires)
                {
                    volTable.Add(new SingleVol { Expire = expire, Strike = strike, Vol = constVol });
                }
            }

            return new VolatilityImpl()
            {
                VolSurfaceMode = "StrikeVol",
                InterpolationMethod = ConsVolMethod.BiLinear,
                VolTable = volTable
            };
        }

        /// <summary>
        /// 
        /// </summary>
        public static List<SingleVol> GenerateFlatSingleVols(double vol)
        {
            var volTable = new List<SingleVol>(20);

            foreach (var strike in ConsVolInfos.DefaultMoneynessVolStrikeList)
            {
                foreach (var expire in ConsVolInfos.DefaultVolTenorList)
                {
                    volTable.Add(new SingleVol(strike, expire, vol));
                }
            }

            return volTable;
        }

        /// <summary>
        /// 根据一组波动率，算出所有的strike
        /// </summary>
        public static List<double> GetStrikes(IEnumerable<SingleVol> vols)
        {
            if (vols == null)
            {
                return new List<double>(0);
            }
            return vols.GroupBy(v => v.Strike).OrderBy(v => v.Key).Select(v => v.Key).ToList();
        }

        /// <summary>
        /// 从波动率曲面上找到某点的波动率
        /// </summary>
        /// <param name="exerciseDate">某点的到期日</param>
        /// <param name="strike">某点的行权价</param>
        /// <returns>波动率</returns>
        public static double GetInterpolatedVol(
            ImpliedVolSurface volSurface,
            DateTime exerciseDate,
            double strike,
            bool isMoneynessOption,
            bool isEodCalc,
            double spot = 0.0,
            double? timeFraction = null)
        {
            double vol;
            if (PS.Config.Is润和 && !isEodCalc)
            {
                vol = volSurface.GetValue(timeFraction.Value, strike);
            }
            else
            {
                if (isMoneynessOption)
                {
                    vol = volSurface.GetValue(new Date(exerciseDate), strike * spot, spot);
                }
                else
                {
                    vol = volSurface.GetValue(new Date(exerciseDate), strike, spot);
                }
            }

            return PS.Config.Is润和 ? OtcFormatHelper.FormatValue(vol, 4) : vol;
        }

        /// <summary>
        /// 从波动率曲面上找到某点的波动率
        /// </summary>
        /// <param name="exerciseDate">某点的到期日</param>
        /// <param name="strike">某点的行权价</param>
        /// <returns>波动率</returns>
        public static double GetInterpolatedVol(
            ImpliedVolSurface volSurface,
            Date exerciseDate,
            double strike,
            string isMoneynessOption,
            double spot = 0.0)
        {
            if (isMoneynessOption == "是" || isMoneynessOption == "True")
            {
                return volSurface.GetValue(exerciseDate, strike * spot, spot);
            }
            else
            {
                return volSurface.GetValue(exerciseDate, strike, spot);
            }
        }

        /// <summary>
        /// interpolatevol qdp中 根据波动率曲面得到一个波动率数值
        /// </summary>
        public static double GetInterpolatedVolFromNormalSurface(IEnumerable<SingleVol> vols, InterpolatedVolReq volReq, string interpolationMethod = ConsVolMethod.Default)
        {
            if (vols == null || !vols.Any())
            {
                return double.NaN;
            }

            var surfaceWrap = new VolSurfaceBuilder
            {
                interpolation = interpolationMethod,
                volSurfaceName = "tempVolSurface",
                volSurfaceType = volReq.volSurfaceType
            }.SetVectors(vols).Build(volReq.valueDate);

            double? timeFraction = null;
            double strike = 0;
            if (PS.Config.Is润和 && !volReq.isEodCalc)
            {
                var days = TradeCalcHelper.CalculateTTMDays(volReq.valueDate, volReq.exerciseDate, 0, false);
                var daysInYear = (int)CalculatorHelper.GetTradeDayCount().ToDayCountImpl().DaysInYear();
                timeFraction = days / daysInYear;
                strike = volReq.volSurfaceType == "StrikeVol" ? (volReq.isMoneynessOption ? (volReq.strike * volReq.spot) : volReq.strike) : (volReq.isMoneynessOption ? volReq.strike : (volReq.strike / volReq.spot));
            }
            else
            {
                strike = volReq.strike;
            }

            return GetInterpolatedVol(
                surfaceWrap.VolSurface,
                volReq.exerciseDate,
                strike,
                volReq.isMoneynessOption,
                volReq.isEodCalc,
                volReq.spot,
                timeFraction);
        }

        /// <summary>
        /// 
        /// </summary>
        public static string GetVolSurfaceName(string referenceId, string secondUnderlyingCode = null)
        {
            if (string.IsNullOrEmpty(referenceId))
            {
                throw new ArgumentException($"“{nameof(referenceId)}”不能是 Null 或为空。", nameof(referenceId));
            }

            return string.IsNullOrWhiteSpace(secondUnderlyingCode)
                ? $"{referenceId}{VOL_SURFACE_SUFFIX}"
                : $"{referenceId}_{secondUnderlyingCode}{VOL_SURFACE_SUFFIX}";
        }

        /// <summary>
        /// 
        /// </summary>
        public static string GenerateVolSurfaceKey(this string underlyingCode)
        {
            return underlyingCode + VOL_SURFACE_SUFFIX;
        }

        /// <summary>
        /// 用自定义波动率值构造一个水平的波动率曲面
        /// </summary>
        public static IVolatility GetDefaultVolatility(double vol)
        {
            var vols = new List<SingleVol>
            {
                new SingleVol
                {
                    Strike = 1,
                    Expire = "1D",
                    Vol = vol
                },
                new SingleVol
                {
                    Strike = 1,
                    Expire = "1Y",
                    Vol = vol
                }
            };

            return new VolatilityImpl
            {
                VolTable = vols,
                VolSurfaceMode = ConsVolInfos.defVolMode,
                InterpolationMethod = ConsVolInfos.defInterpolationMethod
            };
        }
    }

    /// <summary>
    /// 
    /// </summary>
    public class InterpolatedVolReq
    {
        public DateTime valueDate { get; set; }

        public DateTime exerciseDate { get; set; }

        public double strike { get; set; }

        public bool isMoneynessOption { get; set; }

        public string volSurfaceType { get; set; } = "StrikeVol";

        public double spot { get; set; }

        public bool isEodCalc { get; set; } = false;
    }
}