zszq-trs/YLErpDAL/Modules/TradeModule/DealModule/SpreadOptionValidator.cs

using YLErp.BLL;
using YLErp.Model;
using YLErp.QdpModule;

namespace YLErp.Modules.TradeModule.DealModule
{
    /// <summary>
    /// 价差期权数据验证
    /// </summary>
    public static class SpreadOptionValidator
    {
        /// <summary>
        /// 验证价差期权数据
        /// </summary>
        public static string Validate(trade req)
        {
            var errorMsg = "";
            SpreadOptionPayoff payoff = null;
            try
            {
                payoff = new SpreadOptionPayoff(req.trade_spread_option.Payoff);
            }
            catch (ArgumentException e)
            {
                errorMsg = e.Message;
            }
            var numberOfUnderlyings = payoff.Weights.Length;
            if (string.IsNullOrEmpty(errorMsg))
            {
                req.trade_spread_option.UnderlyingId1 = req.UnderlyingId;
                req.trade_spread_option.UnderlyingAssetCode1 = req.UnderlyingCode;
                req.trade_spread_option.TradeOpenVolatility1 = req.TradeOpenVolatility;
                req.trade_spread_option.TradeCloseVolatility1 = req.TradeCloseVolatility;
                req.trade_spread_option.NumOfSmoothingDays1 = req.NumOfSmoothingDays;
                // remove redundant underlying ids/codes
                if (numberOfUnderlyings == 2)
                {
                    req.trade_spread_option.UnderlyingId3 = null;
                    req.trade_spread_option.UnderlyingId4 = null;
                    req.trade_spread_option.UnderlyingAssetCode3 = null;
                    req.trade_spread_option.UnderlyingAssetCode4 = null;
                }
                else if (numberOfUnderlyings == 3)
                {
                    req.trade_spread_option.UnderlyingId4 = null;
                    req.trade_spread_option.UnderlyingAssetCode4 = null;
                }

                if (!req.trade_spread_option.UnderlyingId1.HasValue ||
                    string.IsNullOrEmpty(req.trade_spread_option.UnderlyingAssetCode1) ||
                    !req.trade_spread_option.UnderlyingId2.HasValue ||
                    string.IsNullOrEmpty(req.trade_spread_option.UnderlyingAssetCode2))
                {
                    errorMsg = "标的ID和代码不能为空";
                }
                if (string.IsNullOrEmpty(errorMsg) && numberOfUnderlyings >= 3)
                {
                    if (!req.trade_spread_option.UnderlyingId3.HasValue ||
                        string.IsNullOrEmpty(req.trade_spread_option.UnderlyingAssetCode3))
                    {
                        errorMsg = "标的ID和代码不能为空";
                    }
                    if (string.IsNullOrEmpty(errorMsg) && numberOfUnderlyings >= 4)
                    {
                        if (!req.trade_spread_option.UnderlyingId4.HasValue ||
                        string.IsNullOrEmpty(req.trade_spread_option.UnderlyingAssetCode4))
                        {
                            errorMsg = "标的ID和代码不能为空";
                        }
                    }
                }
            }
            if (string.IsNullOrEmpty(errorMsg))
            {
                errorMsg = checkSpreadOptionVolatilitySettings(req, numberOfUnderlyings);
            }

            if (string.IsNullOrEmpty(errorMsg))
            {
                errorMsg = checkCorrelations(req.trade_spread_option);
            }
            return errorMsg;
        }

        private static string checkCorrelations(trade_spread_option spreadOption)
        {
            var errorMsg = "";
            var ids = spreadOption.UnderlyingIds();
            var codes = spreadOption.UnderlyingAssetCodes();
            using (var db = DbContextFactory.GetYLDbContext())
            {
                for (int i = 0; i < ids.Length - 1 && string.IsNullOrEmpty(errorMsg); i++)
                {
                    for (int j = i + 1; j < ids.Length && string.IsNullOrEmpty(errorMsg); j++)
                    {
                        if (correlationBLL.findCorrelation(ids[i], ids[j], db) == 0.0)
                        {
                            errorMsg = $"未设定{codes[i]}与{codes[j]}的相关性";
                        }
                    }
                }
            }
            return errorMsg;
        }

        private static string checkSpreadOptionVolatilitySettings(trade req, int numberOfUnderlyings)
        {
            var errorMsg = checkVolatilitySetting(req.trade_spread_option.TradeOpenVolatility2,
                req.trade_spread_option.TradeCloseVolatility2,
                req.trade_spread_option.NumOfSmoothingDays2,
                req.StartDate, req.ExerciseDate);
            if (string.IsNullOrEmpty(errorMsg) && numberOfUnderlyings >= 3)
            {
                errorMsg = checkVolatilitySetting(req.trade_spread_option.TradeOpenVolatility3,
                    req.trade_spread_option.TradeCloseVolatility3,
                    req.trade_spread_option.NumOfSmoothingDays3,
                    req.StartDate, req.ExerciseDate);
            }
            if (string.IsNullOrEmpty(errorMsg) && numberOfUnderlyings >= 4)
            {
                errorMsg = checkVolatilitySetting(req.trade_spread_option.TradeOpenVolatility4,
                    req.trade_spread_option.TradeCloseVolatility4,
                    req.trade_spread_option.NumOfSmoothingDays4,
                    req.StartDate, req.ExerciseDate);
            }
            return errorMsg;
        }

        private static string checkVolatilitySetting(double? open, double? close, int? smoothing, DateTime? startDate, DateTime? exerciseDate)
        {
            if (open.HasValue && open.Value < 0)
            {
                return "开仓波动率不能小于0";
            }
            if (close.HasValue && close.Value < 0)
            {
                return "目标波动率不能小于0";
            }

            if (smoothing.HasValue)
            {
                if (smoothing.Value < 0)
                {
                    return "平滑过渡天数不能小于0";
                }
                if (exerciseDate.HasValue && startDate.HasValue
                    && smoothing > QdpCalendarHelper.GetNonHolidayDaysBetween(startDate.Value, exerciseDate.Value) + 1)
                {
                    return "平滑过渡天数不能大于存续天数";
                }
            }

            return "";
        }

    }
}