33 lines
1.3 KiB
C#
33 lines
1.3 KiB
C#
using YLErp.DBModels.Helpers;
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using YLErp.Modules.VolatilityModule;
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namespace YLErp.Modules.PricingModule
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{
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/// <summary>
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/// 反算波动率和执行价服务
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/// </summary>
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public class ReverseCalcService
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{
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/// <summary>
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/// 根据平仓单价计算隐含波动率
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/// </summary>
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public static double? GetImpliedUnWindVol(trade td, DateTime unWindDate, double unWindPrice, double underlyingPrice, bool isEod)
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{
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try
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{
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var trade = td.Clone();
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trade.TradeSinglePrice = unWindPrice;
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trade.PremiumRate = TradeHelper.GetPremiumRateByTradeSinglePrice(trade.TradeSinglePrice, trade.SpotPrice);
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trade.BuySell = "买入";
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trade.VolType = trade.BuySell == "卖出" ? "报价Bid" : "报价Ask";
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return VolatilityHelper.GetImpliedVol(unWindDate, trade, trade.TTMDays, underlyingPrice, isEod);
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger("计算隐含波动率").Error("根据平仓单价计算隐含波动率出错", ex);
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throw new ServiceException("计算隐含波动率出错,平仓单价设置偏低或偏高，内部错误信息:" + ex.Message);
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}
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}
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}
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}
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