392 lines
19 KiB
C#
392 lines
19 KiB
C#
using YLErp.BLL.Calculation;
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using YLErp.Configuration;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels.Helpers;
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using YLErp.Enums;
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using YLErp.Model;
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using YLErp.Modules;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.TradeModule;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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///
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/// </summary>
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public static class MarginDefault
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{
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/// <summary>
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/// 计算日终预付金
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/// </summary>
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public static List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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var result = new List<trade_span>();
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var eodTradeids = new YLContext().eod_trade_risk_manual.Where(x => x.ValueDate == req.settleDate && x.Margin != null && string.IsNullOrEmpty(x.VolType)).Select(x => x.TradeId);
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var tempTradeList = req.tradeList.Where(O => eodTradeids.Contains(O.id)).ToList();
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if (tempTradeList.Any())
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{
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result = EodtraderiskmanualCalculation(req.Clone(tempTradeList));
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}
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tempTradeList = req.tradeList.Where(O => O.TradeType == "现金流交易" && !eodTradeids.Contains(O.id)).ToList();
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if (tempTradeList.Any())
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{
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result.AddRange(cashflowMarginCalculation(req.Clone(tempTradeList)));
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}
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tempTradeList = req.tradeList.Where(O => O.TradeType != "现金流交易" && O.MarginType != MarginTypeEnum.DEFAULT && !eodTradeids.Contains(O.id)).ToList();
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if (tempTradeList.Any())
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{
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result.AddRange(SingleMarginCalculation(req.Clone(tempTradeList)));
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}
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tempTradeList = req.tradeList.Where(O => O.TradeType != "现金流交易" && O.MarginType == MarginTypeEnum.DEFAULT && !eodTradeids.Contains(O.id)).ToList();
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if (tempTradeList.Any())
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{
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result.AddRange(DefaultMarginCalculation.Instance.RunMarginCalculation(req.Clone(tempTradeList)));
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}
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foreach (var ret in result)
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{
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var trade = tempTradeList.FirstOrDefault(o => o.id == ret.TradeId);
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if (trade != null && trade.TradeType == "现金流交易")
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{
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ret.WorstCastClientPayable = 0;
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}
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}
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return result;
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}
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private static List<trade_span> cashflowMarginCalculation(RunMarginCalculationReq runMarginCalculationReq)
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{
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List<trade_span> result = new List<trade_span>();
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runMarginCalculationReq.tradeList.ForEach(O =>
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{
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result.Add(new trade_span()
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{
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TradeId = O.id,
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OptDate = DateTime.Now,
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OptId = runMarginCalculationReq.userId,
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OptName = runMarginCalculationReq.userName,
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ClientId = O.ClientId,
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UnderlyingId = O.UnderlyingId,
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UnderlyingCode = O.UnderlyingCode,
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ValueDate = runMarginCalculationReq.settleDate,
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Spv1 = 0,
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Spv2 = 0,
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Spv3 = 0,
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Spv4 = 0,
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Spv5 = 0,
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Spv6 = 0,
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Spv7 = 0,
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Spv8 = 0,
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Spv = 0,
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WorstCastClientPayable = 0,
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TwoSideMargin = 0
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});
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});
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return result;
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}
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private static List<trade_span> SingleMarginCalculation(RunMarginCalculationReq req)
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{
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var result = new List<trade_span>();
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double value = 0;
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foreach (var trade in req.tradeList)
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{
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bool isSingleMargin = false;
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switch (trade.MarginType)
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{
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case MarginTypeEnum.FIXED:
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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value = (trade.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * trade.SpotPrice, trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional) * trade.MarginRate;
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}
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else
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{
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if (PS.Config.ErpElement.EodFixedMarginUseSpotPrice)
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{
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value = (trade.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * trade.SpotPrice, trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional) * trade.PositionMarginRate;
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}
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else
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{
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value = (trade.StockEqvNotional == 0 || (trade.SpotPrice ?? 0) == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * req.PriceProvider.GetPrice(trade.UnderlyingCode), trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional * req.PriceProvider.GetPrice(trade.UnderlyingCode) / (trade.SpotPrice ?? 0)) * trade.PositionMarginRate;
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}
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}
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break;
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case MarginTypeEnum.FLOAT:
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value = (trade.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * trade.SpotPrice, trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional) * trade.MarginRate;
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if (req.CalcMarginType != CalcMarginTypeEnum.InitialMargin)
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{
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if (trade.TradeType == "远期")
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{
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var eodpriceProvider = new YLErp.Modules.DataProviderModule.EodPriceProvider(req.settleDate);
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var spotPrice = eodpriceProvider.GetPrice(trade.UnderlyingCode, SettlementTypeEnum.ClosePrice);//收盘价
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TradeValueResult curValue = ForwardradeCalcService.CalcValue(trade, spotPrice);
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var tradePrice = (trade.TradePrice * trade.Notional / trade.OriginalNotional) ?? 0;
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double pnl = 0;
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pnl = curValue.Pv + tradePrice * (trade.BuySell == "买入" ? -1 : 1);
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value += pnl;
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if (value < 0)
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{ value = 0; }
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}
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else
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{
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: new[] { trade },
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calcScenario: req.GetCalcScenario(),
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: null,
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volType: req.volType, isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
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{
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LogFactory.GetLogger<MarginCalculationBase>().Error("Pv计算失败:" + tradeRiskResult.ErrorMessage);
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}
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var tradePrice = (trade.TradePrice * trade.Notional / trade.OriginalNotional) ?? 0;
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double pnl = 0;
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if (trade.BuySell == "买入")
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{
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pnl = tradePrice - Math.Abs(tradeRiskResult.Results.First().ValueResult.Pv);
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}
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else
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{
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pnl = Math.Abs(tradeRiskResult.Results.First().ValueResult.Pv) - tradePrice;
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}
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value += pnl;
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if (value < 0)
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{ value = 0; }
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}
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}
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break;
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case MarginTypeEnum.FLOATP:
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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value = (trade.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * trade.SpotPrice, trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional) * trade.MarginRate;
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}
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else if (req.CalcMarginType != CalcMarginTypeEnum.InitialMargin)
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{
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value = (trade.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(trade.Notional * req.PriceProvider.GetPrice(trade.UnderlyingCode), trade.ParticipationRate, trade.AnnualizeFactor) : trade.StockEqvNotional) * trade.PositionMarginRate;
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: new[] { trade },
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calcScenario: req.GetCalcScenario(),
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: null,
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volType: req.volType, isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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if (!string.IsNullOrWhiteSpace(tradeRiskResult.ErrorMessage))
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{
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LogFactory.GetLogger<MarginCalculationBase>().Error("Pv计算失败:" + tradeRiskResult.ErrorMessage);
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}
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var tradePrice = (trade.TradePrice * trade.Notional / trade.OriginalNotional) ?? 0;
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double pnl = 0;
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if (trade.BuySell == "买入")
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{
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pnl = tradePrice - Math.Abs(tradeRiskResult.Results.First().ValueResult.Pv);
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}
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else
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{
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pnl = Math.Abs(tradeRiskResult.Results.First().ValueResult.Pv) - tradePrice;
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}
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value += pnl;
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if (value < 0)
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{ value = 0; }
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}
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break;
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default:
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case MarginTypeEnum.NONE:
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value = 0;
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break;
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}
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result.Add(new trade_span()
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{
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TradeId = trade.id,
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = trade.ClientId,
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UnderlyingId = trade.UnderlyingId,
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UnderlyingCode = trade.UnderlyingCode,
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ValueDate = req.settleDate,
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Spv1 = value,
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Spv2 = value,
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Spv3 = value,
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Spv4 = value,
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Spv5 = value,
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Spv6 = value,
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Spv7 = value,
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Spv8 = value,
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Spv = value,
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WorstCastClientPayable = value,
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TwoSideMargin = value,
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IsSingleMargin = isSingleMargin
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});
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}
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return result;
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}
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private static List<trade_span> EodtraderiskmanualCalculation(RunMarginCalculationReq req)
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{
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var result = new List<trade_span>();
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List<int> reqids = req.tradeList.Select(x => x.id).ToList();
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var eodTradeRiskManual = new YLContext().eod_trade_risk_manual.Where(x => reqids.Contains(x.TradeId) && x.ValueDate == req.settleDate && x.Margin != null && string.IsNullOrEmpty(x.VolType));
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if (eodTradeRiskManual.Any())
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{
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var tradeRiskManuals = (from trade in req.tradeList
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join riskManuals in eodTradeRiskManual on trade.id equals riskManuals.TradeId
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select new { trade, riskManuals }).ToList();
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foreach (var item in tradeRiskManuals)
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{
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double value = item.riskManuals.Margin ?? 0;
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result.Add(new trade_span()
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{
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TradeId = item.trade.id,
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = item.trade.ClientId,
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UnderlyingId = item.trade.UnderlyingId,
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UnderlyingCode = item.trade.UnderlyingCode,
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ValueDate = req.settleDate,
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Spv1 = value,
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Spv2 = value,
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Spv3 = value,
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Spv4 = value,
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Spv5 = value,
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Spv6 = value,
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Spv7 = value,
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Spv8 = value,
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Spv = value,
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WorstCastClientPayable = value,
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TwoSideMargin = value,
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IsSingleMargin = true
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});
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}
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}
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return result;
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}
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public static List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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return DefaultMarginCalculation.Instance.CalcClientMargin(req);
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}
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/// <summary>
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/// 这个方法不明白什么意思
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/// 按照历史代码，国君应该一直返回的是false，但事实是根据收盘数据看2021年9月24日及以前返回的是true
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/// </summary>
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public static bool IsMarginCalcNeedSpecial(DateTime valueDate)
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{
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//国君商品类预付金需要算反向预付金，权益类不需要
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if (PS.Config.IsGuoJun && (!PS.Config.ErpElement.IsStockMargin || PS.Config.ClientElement.TwoSideMargin) && valuedateBLL.TwoSideMarginValueDate.HasValue && valueDate >= valuedateBLL.TwoSideMarginValueDate)
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{
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return true;
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}
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return false;
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}
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public static double? GetInitialMarginRatio(trade trade)
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{
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return 0;
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}
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public static double? GetPositionMarginRatio(trade trade)
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{
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return 0;
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}
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public static double GetInitialMarginWithPreHandle(trade trade)
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{
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var tradeClone = trade.Clone();
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tradeBLL.SetFieldsByTradeType(tradeClone);
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var realTradeId = tradeClone.id;
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tradeClone.id = 0;
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tradeClone.VolType = "报价Bid";
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tradeClone.TradeCloseVolatility = null;//不设置为null会影响计算结果
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(tradeClone.UnderlyingCode);
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tradeClone.StockEqvNotional = tradeClone.OriginalStockEqvNotional ?? 0;
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tradeClone.Notional = tradeClone.OriginalNotional ?? 0;
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tradeClone.TradeAmount = underlying != null && underlying.CountRatio != 0 ? tradeClone.Notional / underlying.CountRatio : tradeClone.Notional;
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if (!tradeClone.TTMDays.HasValue)
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{
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tradeClone.TTMDays = TradeCalcHelper.CalculateTTMDays(tradeClone.TradeDate.Value, tradeClone.ExerciseDate.Value,
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underlying?.UnderlyingTypeId ?? 0, PS.Config.ErpElement.PrecisionOfMinuteInQuote);
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}
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return GetInitialMargin(tradeClone, realTradeId, true);
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}
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public static double GetInitialMargin(trade trade, int realTradeId, bool hasOptionInfo = false)
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{
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if (trade is null)
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{
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return 0;
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}
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode);
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trade.MaturityDate = um?.MaturityDate;
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///关于交易id的多义性: 1.组合交易需要真实的交易id；2.考虑到波动率不能获取持仓波动率，将id赋值为0；3.定价页面结构化交易子交易id会赋值-1和-2
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var req = new GetTradeMarginReq
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{
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realTradeId = realTradeId,
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trade = trade,
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price = trade.SpotPrice ?? 0,
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hasOptionInfo = hasOptionInfo,
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calcMarginType = CalcMarginTypeEnum.InitialMargin
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};
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return GetTradeMargin(req);
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}
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/// <summary>
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/// isInitialMargin为true: 为初始预付金
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/// isInitialMargin为false: 为实时预付金
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/// </summary>
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public static double GetTradeMargin(GetTradeMarginReq req)
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{
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if (req.trade.TradeType == "结构化交易")
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{
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var option = StructureOption_Code.StructureOptions.FirstOrDefault(o => o.Name == req.trade.StructureType || o.CnName == req.trade.StructureType);
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//自由组合时不在变更StructureType字段值，保持原有结构化交易的内容;
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if (option != null)
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{
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req.trade.StructureType = option.CnName;
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}
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}
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double? tempInitialMargin = null;
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if (req.calcMarginType != CalcMarginTypeEnum.InitialMargin && req.trade.CalcFlag == 1)
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{
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tempInitialMargin = req.trade.InitialMargin;
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req.trade.InitialMargin = null;
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}
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try
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{
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if (req.trade.TradeType == "现金流交易")
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{
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return 0;
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}
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else if (req.trade.MarginType != MarginTypeEnum.DEFAULT)
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{
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var result = SingleMarginCalculation(req.GetRunMarginCalculationReq());
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return (result.FirstOrDefault()?.WorstCastClientPayable) ?? 0;
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}
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else
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{
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return DefaultMarginCalculation.Instance.GetTradeMargin(req);
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}
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}
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finally
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{
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if (req.calcMarginType == CalcMarginTypeEnum.InitialMargin && req.trade.CalcFlag == 1 && req.trade.InitialMargin == null)
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{
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req.trade.InitialMargin = tempInitialMargin;
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}
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}
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}
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}
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}
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