698 lines
45 KiB
C#
698 lines
45 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.DBModels.Helpers;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Modules.VolatilityModule;
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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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/// 东证润和预付金计算
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/// </summary>
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public class DongZhengRunHeMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例
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public static readonly DongZhengRunHeMarginCalculation Instance;
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static DongZhengRunHeMarginCalculation()
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{
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Instance = new DongZhengRunHeMarginCalculation();
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}
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// 定义私有构造函数，使外界不能创建该类实例
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protected DongZhengRunHeMarginCalculation()
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{
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}
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private static Dictionary<int, double> GetOverrideVols(RunMarginCalculationReq req)
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{
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Dictionary<int, double> overrideVols = null;
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//东证润和使用日终价的波动率
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if (PS.Config.Company == Configuration.CompanyEnum.润和)
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{
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overrideVols = new Dictionary<int, double>();
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var voltype = req.volType == "对冲" || req.volType == "持仓" ? "交易" : req.volType;
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var excludeTypes = new[] { ConsGlobal.TradeType.PayoffSwap, ConsGlobal.TradeType.CashFlow, ConsGlobal.TradeType.Forward };
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foreach (var td in req.tradeList)
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{
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var underlyingVols = VolatilityHelper.GetVol(req.settleDate, voltype, td.UnderlyingCode, userGroup: null)
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?? throw new Exception($"未找到'{voltype}'波动率:{td.UnderlyingCode}");
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var vol = VolatilityHelper.GetInterpolatedVol(
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volConstructionType: VolConstructionType.Normal,
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volSurface: underlyingVols,
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valueDate: req.settleDate,
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underlyingCode: td.UnderlyingCode,
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exerciseDate: td.ExerciseDate.Value,
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strike: td.Strike ?? 0,
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isBuy: td.BuySell == "买入",
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isCall: td.CallPut == "Call",
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spotPrice: req.PriceProvider.GetPrice(td.UnderlyingCode),
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isMoneynessOption: td.IsMoneynessOption == "是",
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isEodCalc: req.CalcMarginType == CalcMarginTypeEnum.EodMargin);
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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overrideVols[td.id] = td.Vol ?? vol;
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}
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else
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{
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if (!excludeTypes.Contains(td.TradeType))
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{
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overrideVols[td.id] = vol;
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}
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}
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}
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}
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return overrideVols;
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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if (req.tradeList == null || !req.tradeList.Any())
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{
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return new List<trade_span>();
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}
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var resultMap = new Dictionary<int, trade_span>();
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//为了算客户角度的一个预付金数值
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helper.ReverseTradeSide();
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helper.SetFieldsByTradeType();
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helper.GetUpDownLimitPrices(out var upLimitPrices, out var downLimitPrices);
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helper.GetTradVolRateDic(out var tradeVolRateDic);
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var vols = new[] { null, tradeVolRateDic };
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", req.PriceProvider) };
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var overrideVols = GetOverrideVols(helper.req);
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var loops = prices.SelectMany(n => vols.Select(m => new
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{
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pricekey = n.Item1,
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priceProvider = n.Item2,
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addVolRateDic = m
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})).ToArray();
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foreach (var loop in loops)
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{
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var calcReq = helper.GetCalculateRisksForTradesReq(priceProvider: loop.priceProvider, addVolRateDic: loop.addVolRateDic, overrideVols: overrideVols, isEodCalc: req.CalcMarginType == CalcMarginTypeEnum.EodMargin);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(calcReq);
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if (tradeRiskResult.Results == null || tradeRiskResult.Results.Count < 1)
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{
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continue;
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}
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var key = $"{loop.pricekey}_{(loop.addVolRateDic == null ? 0 : 1)}";
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foreach (var item in tradeRiskResult.Results)
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{
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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var clientRatio = helper.GetClient(item.Trade)?.Ratio ?? 1.0;
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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}
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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if (!contains)
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{
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resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
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}
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switch (key)
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{
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case "up_0":
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tempTradeSpan.Spv1 = value; break;
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case "up_1":
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tempTradeSpan.Spv2 = value; break;
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case "down_0":
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tempTradeSpan.Spv3 = value; break;
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case "down_1":
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tempTradeSpan.Spv4 = value; break;
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case "normal_0":
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tempTradeSpan.Spv5 = value; break;
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}
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if (contains)
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{
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tempTradeSpan.SetWorstCastClientPayable();
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}
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}
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}
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 计算客户预付金
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/// <para>从国君预付金那里赋值过来的</para>
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/// <para>逻辑和国君保持一致,唯一区别是商品类对手方预付金,正负值都需要</para>
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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var clientSpanNews = new List<ClientSpan>();
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using (var db = new YLContext())
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{
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var tradeIds = req.tradeSpans.Select(t => t.TradeId).ToList();
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var tradeList = db.trade.AsNoTracking().Where(t => tradeIds.Contains(t.id)).ToList();
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var underlyingIdList = tradeList.Select(t => t.UnderlyingId).ToList();
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var underlyingList = db.underlying_manager.AsNoTracking().Where(t => underlyingIdList.Contains(t.id)).ToList();
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//获取收盘日那天对应的预付金模板
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var tradeTemplates = db.trade_margin_template.AsNoTracking().Where(t => tradeIds.Contains(t.TradeId) && t.ValueDate <= req.settleDate);
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var groupQuery = from tt in tradeTemplates
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group tt by tt.TradeId into tts
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select new
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{
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TradeId = tts.Key,
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ValueDate = tts.Max(n => n.ValueDate)
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};
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var groupTemplates = from gq in groupQuery
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join tt in tradeTemplates
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on new { gq.TradeId, gq.ValueDate } equals new { tt.TradeId, tt.ValueDate }
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select tt;
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var tradeSpanInfo = (from tradeSpan in req.tradeSpans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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join um in underlyingList on trade.UnderlyingId equals um.id
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join tradetemplate in groupTemplates on tradeSpan.TradeId equals tradetemplate.TradeId into templates
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from tradetemplate in templates.DefaultIfEmpty()
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan, tradetemplate, um.UnderlyingTypeId }).ToList();
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//商品类预付金计算
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if (!PS.Config.ErpElement.IsStockMargin)
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{
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var spans = req.tradeSpansOtherSide != null
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? req.tradeSpansOtherSide.Where(n => n != null).ToArray() : Enumerable.Empty<trade_span>();
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var tradeSpanInfoOtherSide = (from tradeSpan in spans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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join um in underlyingList on trade.UnderlyingId equals um.id
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan, um.UnderlyingTypeId }).ToList();
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var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var varietyGroups = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT).GroupBy(t => t.UnderlyingTypeId).Select(t => new ClientSpan
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{
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VarietyId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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Spv5 = t.Sum(g => g.tradeSpan.Spv5) * (-1),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType
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}).ToList();
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foreach (var item in varietyGroups)
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{
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item.WorstCastClientPayable = new[] { item.Spv1 ?? 0, item.Spv2 ?? 0, item.Spv3 ?? 0, item.Spv4 ?? 0, item.Spv5 ?? 0 }.Min();
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item.TwoSideMargin = new[] { item.Spv1 ?? 0, item.Spv2 ?? 0, item.Spv3 ?? 0, item.Spv4 ?? 0, item.Spv5 ?? 0 }.Min();
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#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
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var tradeIdList = clientGroup.Where(x => x.UnderlyingTypeId == item.VarietyId).Select(x => x.tradeSpan.TradeId);
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var tradeSpansUpdate = db.trade_span.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.ValueDate == req.settleDate).ToList();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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else if (item.WorstCastClientPayable == item.Spv5)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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}
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#endregion
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}
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var clientSpan = new ClientSpan
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{
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = varietyGroups.Sum(g => g.Spv1),
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Spv2 = varietyGroups.Sum(g => g.Spv2),
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Spv3 = varietyGroups.Sum(g => g.Spv3),
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Spv4 = varietyGroups.Sum(g => g.Spv4),
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Spv5 = varietyGroups.Sum(g => g.Spv5),
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//负数代表客户应缴预付金，正数代表客户应收预付金
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WorstCastClientPayable = varietyGroups.Sum(g => g.WorstCastClientPayable),
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MySideMargin = varietyGroups.Sum(g => g.WorstCastClientPayable),
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TwoSideMargin = varietyGroups.Sum(g => g.TwoSideMargin),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType,
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AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null && req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
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};
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//单笔预付金算法的交易不参与品种轧差;
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var singleMarginTrade = clientGroup.Where(O => O.trade.MarginType != DBModels.Enums.MarginTypeEnum.DEFAULT).Select(O => O.tradeSpan);
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clientSpan.Spv1 += singleMarginTrade.Sum(O => O.Spv1 * (-1));
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clientSpan.Spv2 += singleMarginTrade.Sum(O => O.Spv2 * (-1));
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clientSpan.Spv3 += singleMarginTrade.Sum(O => O.Spv3 * (-1));
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clientSpan.Spv4 += singleMarginTrade.Sum(O => O.Spv4 * (-1));
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clientSpan.Spv5 += singleMarginTrade.Sum(O => O.Spv5 * (-1));
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clientSpan.WorstCastClientPayable += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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clientSpan.MySideMargin += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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clientSpan.TwoSideMargin += singleMarginTrade.Sum(O => O.TwoSideMargin);
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clientSpan.MySideMargin = Math.Min(clientSpan.MySideMargin ?? 0, 0);
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//交易员不支付预付金
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clientSpan.WorstCastClientPayable = Math.Min(clientSpan.WorstCastClientPayable ?? 0, 0);
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clientSpanNews.Add(clientSpan);
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}
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//处理从客户角度的预付金计算（将交易买卖方向反向处理）
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var clientGroupsOtherSide = tradeSpanInfoOtherSide.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroupsOtherSide)
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{
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var varietyGroups = clientGroup.Where(O => O.trade.MarginType == DBModels.Enums.MarginTypeEnum.DEFAULT).GroupBy(t => t.UnderlyingTypeId).Select(t => new ClientSpan
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{
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VarietyId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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Spv1 = t.Sum(g => g.tradeSpan.Spv1) * (-1),
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Spv2 = t.Sum(g => g.tradeSpan.Spv2) * (-1),
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Spv3 = t.Sum(g => g.tradeSpan.Spv3) * (-1),
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Spv4 = t.Sum(g => g.tradeSpan.Spv4) * (-1),
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Spv5 = t.Sum(g => g.tradeSpan.Spv5) * (-1),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType
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}).ToList();
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foreach (var item in varietyGroups)
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{
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item.WorstCastClientPayable = new[] { item.Spv1 ?? 0, item.Spv2 ?? 0, item.Spv3 ?? 0, item.Spv4 ?? 0, item.Spv5 ?? 0 }.Min();
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}
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var clientSpan = clientSpanNews.FirstOrDefault(x => x.ClientId == clientGroup.Key && x.ValueDate == req.settleDate);
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clientSpan.OtherSideMargin = varietyGroups.Sum(g => g.WorstCastClientPayable);
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var singleMarginTrade = clientGroup.Where(O => O.trade.MarginType != DBModels.Enums.MarginTypeEnum.DEFAULT).Select(O => O.tradeSpan);
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clientSpan.OtherSideMargin += singleMarginTrade.Sum(O => O.WorstCastClientPayable * (-1));
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}
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}
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}
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//权益类预付金计算
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else
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{
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var defaultMarginTemplates = db.margin_template_v2.Where(x => x.IsDefault && !x.IsForClient).ToList();
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var groupMarginTemplates = db.margin_template_v2.Where(x => !x.IsDefault && x.MarginType == (int)MarginTypeV2Enum.多腿).ToList();
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var clientGroups = tradeSpanInfo.GroupBy(t => t.trade.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var worstCastClientPayable = 0.0;
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var groupTradeIds = new List<int>();
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#region 默认组合的交易类型的交易处理
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defaultMarginTemplates.ForEach(x =>
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{
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var marginDetail = db.margin_template_detail.Where(y => y.MarginTemplateId == x.id && y.ValueDate <= req.settleDate).OrderByDescending(y => y.ValueDate).FirstOrDefault();
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if (marginDetail == null && (x.RuleType != (int)MarginRuleTypeEnum.无预付金 && x.RuleType != (int)MarginRuleTypeEnum.自动赎回买入预付金规则 && x.RuleType != (int)MarginRuleTypeEnum.含赔付预付金计算规则 && x.RuleType != (int)MarginRuleTypeEnum.保底预付金规则))
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{
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throw new Exception(string.Format("[{0}]不在{1}有效期内", req.settleDate.ToString("YYYY-MM-DD"), x.Name));
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}
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if (x.RuleType == (int)MarginRuleTypeEnum.类香草预付金规则)
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{
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var groupRatio = marginDetail.GroupRatio ?? 0;
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var stockEqvNotional = marginDetail.StockEqvNotional ?? 0;
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var singleStockEqvNotional = marginDetail.SingleStockEqvNotional ?? 0;
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var amount = marginDetail.PositionUnderlyingAmount ?? 0;
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//香草期权只考虑交易员买入的交易，卖出的交易不需要考虑预付金
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var tradeVanillaSpanInfo = clientGroup.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && y.trade.BuySell == "买入" && y.tradetemplate == null && y.tradeSpan.IsSingleMargin != true);
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//自定义预付金
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var tradeVanillaSpanInfoSingle = clientGroup.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && y.trade.BuySell == "买入" && y.tradetemplate == null && y.tradeSpan.IsSingleMargin == true);
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var umdStockEqvNotional = tradeVanillaSpanInfo.GroupBy(y => y.trade.UnderlyingId).Select(t => new
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{
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UnderlyingId = t.Key,
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StockEqvNotional = t.Sum(g => TradeHelper.GetStockEqvNotionalReal(g.trade.StockEqvNotional, g.trade.ParticipationRate, g.trade.AnnualizeFactor)),
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PositionStockEqvNotional = t.Sum(g => TradeHelper.GetStockEqvNotionalReal(g.trade.StockEqvNotional, g.trade.ParticipationRate, g.trade.AnnualizeFactor) * g.tradeSpan.UnderlyingPrice / g.trade.SpotPrice)
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}).ToList();
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var underlyingIds = umdStockEqvNotional.Select(y => y.UnderlyingId);
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var totalStockEqvNotional = umdStockEqvNotional.Sum(y => y.PositionStockEqvNotional);
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if (totalStockEqvNotional >= stockEqvNotional && umdStockEqvNotional.Any(y => y.PositionStockEqvNotional >= singleStockEqvNotional) && underlyingIds.Count() >= amount)
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{
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//获取组合持仓名义本金和初始名义本金的较高者
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var maxStockEqvNotional = Math.Max(umdStockEqvNotional.Sum(y => y.StockEqvNotional >= singleStockEqvNotional ? singleStockEqvNotional : y.StockEqvNotional), umdStockEqvNotional.Sum(y => y.PositionStockEqvNotional >= singleStockEqvNotional ? singleStockEqvNotional : y.PositionStockEqvNotional ?? 0));
|
|
worstCastClientPayable += maxStockEqvNotional * groupRatio + tradeVanillaSpanInfo.Sum(y => y.tradeSpan.PositionWin ?? 0);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += tradeVanillaSpanInfo.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
|
|
//自定义预付金处理的交易
|
|
worstCastClientPayable += tradeVanillaSpanInfoSingle.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
else if (x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则1 && x.DefaultParameterType == (int)DefaultMarginParameterTypeEnum.个股)
|
|
{
|
|
//排除指数类交易
|
|
var clientGroupWithoutIndex = clientGroup.Where(y => !(y.trade.UnderlyingCode.StartsWith("000") && y.trade.UnderlyingCode.EndsWith(".SH") || y.trade.UnderlyingCode.StartsWith("39") || y.trade.UnderlyingCode.StartsWith("IF") || y.trade.UnderlyingCode.StartsWith("IH") || y.trade.UnderlyingCode.StartsWith("IC")) && y.tradetemplate == null);
|
|
|
|
//初始预付金率
|
|
var redeemRatio = marginDetail.MarginRatio1 ?? 0;
|
|
//持仓预付金率
|
|
var redeemRatio1 = marginDetail.MarginRatio2 ?? 0;
|
|
var redeemPriceLimit = marginDetail.RedeemPriceLimit ?? 0;
|
|
var redeemAmount = marginDetail.PositionUnderlyingAmount ?? 0;
|
|
var tradeSpanInfoGroupSingle = clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && (y.trade.BuySell == "卖出" && y.tradeSpan.IsSingleMargin == true || y.trade.BuySell == "买入"));
|
|
var tradeSpanInfoGroup = clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && y.trade.BuySell == "卖出" && y.tradeSpan.IsSingleMargin != true);
|
|
if (tradeSpanInfoGroup.Select(y => y.trade.UnderlyingId).Distinct().Count() >= redeemAmount)
|
|
{
|
|
var groupSpotPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.trade.SpotPrice * y.trade.Notional) ?? 0);
|
|
var groupPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.tradeSpan.UnderlyingPrice * y.trade.Notional) ?? 0);
|
|
var groupStockEqvNotional = tradeSpanInfoGroup.Sum(y => TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor));
|
|
|
|
if (groupPriceWithNotional / groupSpotPriceWithNotional <= (1 - redeemPriceLimit))
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio1;
|
|
worstCastClientPayable += groupStockEqvNotional * (1 - groupPriceWithNotional / groupSpotPriceWithNotional);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
//卖出的保本雪球，指数类的凤凰雪球需要单独计算预付金，买入的期权，进行累加
|
|
//以及自定义预付金处理的交易
|
|
worstCastClientPayable += tradeSpanInfoGroupSingle.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType)).Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
}
|
|
else if (x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则2 && x.DefaultParameterType == (int)DefaultMarginParameterTypeEnum.个股)
|
|
{
|
|
//排除指数类交易
|
|
var clientGroupWithoutIndex = clientGroup.Where(y => !(y.trade.UnderlyingCode.StartsWith("000") && y.trade.UnderlyingCode.EndsWith(".SH") || y.trade.UnderlyingCode.StartsWith("39") || y.trade.UnderlyingCode.StartsWith("IF") || y.trade.UnderlyingCode.StartsWith("IH") || y.trade.UnderlyingCode.StartsWith("IC")) && y.tradetemplate == null);
|
|
|
|
//初始预付金率
|
|
var redeemRatio = marginDetail.MarginRatio1 ?? 0;
|
|
//持仓预付金率
|
|
var redeemRatio1 = marginDetail.MarginRatio2 ?? 0;
|
|
var redeemPriceLimit = marginDetail.RedeemPriceLimit ?? 0;
|
|
var redeemAmount = marginDetail.PositionUnderlyingAmount ?? 0;
|
|
var tradeSpanInfoGroupSingle = clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && (y.trade.BuySell == "卖出" && y.tradeSpan.IsSingleMargin == true || y.trade.BuySell == "买入"));
|
|
var tradeSpanInfoGroup = clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && y.trade.BuySell == "卖出" && y.tradeSpan.IsSingleMargin != true);
|
|
if (tradeSpanInfoGroup.Select(y => y.trade.UnderlyingId).Distinct().Count() >= redeemAmount)
|
|
{
|
|
var groupSpotPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.trade.SpotPrice * y.trade.Notional) ?? 0);
|
|
var groupPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.tradeSpan.UnderlyingPrice * y.trade.Notional) ?? 0);
|
|
var groupStockEqvNotional = tradeSpanInfoGroup.Sum(y => TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor));
|
|
var groupStockEqvNotionalNow = tradeSpanInfoGroup.Sum(y => (TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor) * y.tradeSpan.UnderlyingPrice / y.trade.SpotPrice) ?? 0);
|
|
|
|
if (groupPriceWithNotional / groupSpotPriceWithNotional <= (1 - redeemPriceLimit))
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotionalNow * redeemRatio1;
|
|
worstCastClientPayable += groupStockEqvNotional * (1 - groupPriceWithNotional / groupSpotPriceWithNotional);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
//卖出的保本雪球，指数类的凤凰雪球需要单独计算预付金，买入的期权，进行累加
|
|
//以及自定义预付金处理的交易
|
|
worstCastClientPayable += tradeSpanInfoGroupSingle.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += clientGroupWithoutIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType)).Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
}
|
|
else if ((x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则1 || x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则2) && x.DefaultParameterType == (int)DefaultMarginParameterTypeEnum.指数)
|
|
{
|
|
//指数类交易
|
|
var clientGroupIndex = clientGroup.Where(y => (y.trade.UnderlyingCode.StartsWith("000") && y.trade.UnderlyingCode.EndsWith(".SH") || y.trade.UnderlyingCode.StartsWith("39") || y.trade.UnderlyingCode.StartsWith("IF") || y.trade.UnderlyingCode.StartsWith("IH") || y.trade.UnderlyingCode.StartsWith("IC")) && y.tradetemplate == null);
|
|
|
|
worstCastClientPayable += clientGroupIndex.Where(y => x.TradeTypes.Contains(y.trade.TradeType)).Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += clientGroup.Where(y => x.TradeTypes.Contains(y.trade.TradeType) && y.tradetemplate == null).Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
});
|
|
|
|
#endregion
|
|
|
|
#region 自定义组合预付金规则
|
|
|
|
groupMarginTemplates.ForEach(x =>
|
|
{
|
|
var marginDetail = db.margin_template_detail.Where(y => y.MarginTemplateId == x.id && y.ValueDate <= req.settleDate).OrderByDescending(y => y.ValueDate).FirstOrDefault();
|
|
if (marginDetail == null)
|
|
{
|
|
throw new Exception(string.Format("[{0}]不在{1}有效期内", req.settleDate.ToString("YYYY-MM-DD"), x.Name));
|
|
}
|
|
//非自定义预付金的交易
|
|
var tradeSpanInfoGroup = clientGroup.Where(y => y.tradetemplate != null && y.tradetemplate.MarginTemplateId == x.id && y.tradeSpan.IsSingleMargin != true);
|
|
//自定义预付金的交易
|
|
var tradeSpanInfoGroupSingle = clientGroup.Where(y => y.tradetemplate != null && y.tradetemplate.MarginTemplateId == x.id && y.tradeSpan.IsSingleMargin == true);
|
|
groupTradeIds.AddRange(tradeSpanInfoGroup.Select(y => y.trade.id));
|
|
groupTradeIds.AddRange(tradeSpanInfoGroupSingle.Select(y => y.trade.id));
|
|
if (x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则1)
|
|
{
|
|
//初始预付金率
|
|
var redeemRatio = marginDetail.MarginRatio1 ?? 0;
|
|
//持仓预付金率
|
|
var redeemRatio1 = marginDetail.MarginRatio2 ?? 0;
|
|
var redeemPriceLimit = marginDetail.RedeemPriceLimit ?? 0;
|
|
|
|
var groupSpotPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.trade.SpotPrice * y.trade.Notional) ?? 0);
|
|
var groupPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.tradeSpan.UnderlyingPrice * y.trade.Notional) ?? 0);
|
|
var groupStockEqvNotional = tradeSpanInfoGroup.Sum(y => TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor));
|
|
|
|
if (groupPriceWithNotional / groupSpotPriceWithNotional <= (1 - redeemPriceLimit))
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio1;
|
|
worstCastClientPayable += groupStockEqvNotional * (1 - groupPriceWithNotional / groupSpotPriceWithNotional);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
}
|
|
else if (x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则2)
|
|
{
|
|
//初始预付金率
|
|
var redeemRatio = marginDetail.MarginRatio1 ?? 0;
|
|
//持仓预付金率
|
|
var redeemRatio1 = marginDetail.MarginRatio2 ?? 0;
|
|
var redeemPriceLimit = marginDetail.RedeemPriceLimit ?? 0;
|
|
|
|
var groupSpotPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.trade.SpotPrice * y.trade.Notional) ?? 0);
|
|
var groupPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.tradeSpan.UnderlyingPrice * y.trade.Notional) ?? 0);
|
|
var groupStockEqvNotional = tradeSpanInfoGroup.Sum(y => TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor));
|
|
var groupStockEqvNotionalNow = tradeSpanInfoGroup.Sum(y => (TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor) * y.tradeSpan.UnderlyingPrice / y.trade.SpotPrice) ?? 0);
|
|
|
|
if (groupPriceWithNotional / groupSpotPriceWithNotional <= (1 - redeemPriceLimit))
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotionalNow * redeemRatio1;
|
|
worstCastClientPayable += groupStockEqvNotional * (1 - groupPriceWithNotional / groupSpotPriceWithNotional);
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
}
|
|
else if (x.RuleType == (int)MarginRuleTypeEnum.触发条件预付金规则3)
|
|
{
|
|
//预付金比例
|
|
var redeemRatio = marginDetail.MarginRatio1 ?? 0;
|
|
//追加比例
|
|
var redeemRatio1 = marginDetail.MarginRatio2 ?? 0;
|
|
var redeemPriceLimit = marginDetail.RedeemPriceLimit ?? 0;
|
|
|
|
var groupSpotPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.trade.SpotPrice * y.trade.Notional) ?? 0);
|
|
var groupPriceWithNotional = tradeSpanInfoGroup.Sum(y => (y.tradeSpan.UnderlyingPrice * y.trade.Notional) ?? 0);
|
|
var groupStockEqvNotional = tradeSpanInfoGroup.Sum(y => TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor));
|
|
var groupStockEqvNotionalNow = tradeSpanInfoGroup.Sum(y => (TradeHelper.GetStockEqvNotionalReal(y.trade.StockEqvNotional, y.trade.ParticipationRate, y.trade.AnnualizeFactor) * y.tradeSpan.UnderlyingPrice / y.trade.SpotPrice) ?? 0);
|
|
|
|
var times = 0.0;
|
|
if (marginDetail.MarginRatio2 > 0)
|
|
{
|
|
if (marginDetail.PriceLimitType == 0)
|
|
{
|
|
times = Math.Floor(((1 - groupPriceWithNotional / groupSpotPriceWithNotional) - redeemPriceLimit) / marginDetail.MarginRatio2.Value);
|
|
}
|
|
else
|
|
{
|
|
times = Math.Floor(((groupPriceWithNotional / groupSpotPriceWithNotional - 1) - redeemPriceLimit) / marginDetail.MarginRatio2.Value);
|
|
}
|
|
}
|
|
|
|
if (marginDetail.UsePositionStockEqvNotional)
|
|
{
|
|
if (times >= 1)
|
|
{
|
|
//满足追加比例时，持仓名本分段式处理
|
|
var rateTemp = 0.0;
|
|
if (marginDetail.PriceLimitType == 0)
|
|
{
|
|
rateTemp = 1 - (redeemPriceLimit + marginDetail.MarginRatio2.Value * times);
|
|
}
|
|
else
|
|
{
|
|
rateTemp = 1 + (redeemPriceLimit + marginDetail.MarginRatio2.Value * times);
|
|
}
|
|
worstCastClientPayable += groupStockEqvNotional * rateTemp * redeemRatio;
|
|
}
|
|
else
|
|
{
|
|
//不满足追加比例时，用初始预付金
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * redeemRatio;
|
|
}
|
|
|
|
if (groupSpotPriceWithNotional > 0 && marginDetail.MarginRatio2 > 0 && groupPriceWithNotional / groupSpotPriceWithNotional <= (1 - redeemPriceLimit) && marginDetail.PriceLimitType == 0 || groupPriceWithNotional / groupSpotPriceWithNotional >= (1 + redeemPriceLimit) && marginDetail.PriceLimitType == 1)
|
|
{
|
|
worstCastClientPayable += groupStockEqvNotional * marginDetail.MarginRatio2.Value * times;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
worstCastClientPayable += tradeSpanInfoGroup.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
}
|
|
|
|
//自定义预付金处理的交易
|
|
worstCastClientPayable += tradeSpanInfoGroupSingle.Sum(y => y.tradeSpan.WorstCastClientPayable ?? 0);
|
|
});
|
|
|
|
#endregion
|
|
|
|
//自定义单腿规则的预付金加总
|
|
worstCastClientPayable += clientGroup.Where(x => x.tradetemplate != null && !groupTradeIds.Contains(x.trade.id)).Sum(x => x.tradeSpan.WorstCastClientPayable ?? 0);
|
|
|
|
var clientSpan = new ClientSpan
|
|
{
|
|
ClientId = clientGroup.Key,
|
|
ValueDate = req.settleDate,
|
|
//负数代表客户应缴预付金，正数代表客户应收预付金
|
|
WorstCastClientPayable = -worstCastClientPayable,
|
|
OptId = req.userId,
|
|
OptName = req.userName,
|
|
OptDate = DateTime.Now,
|
|
SpanType = req.SpanType
|
|
};
|
|
|
|
clientSpanNews.Add(clientSpan);
|
|
}
|
|
}
|
|
|
|
//span类型为实时删除所有实时计算的交易的预付金信息
|
|
if (req.SpanType == ClientSpan.SpanType_RealTime)
|
|
{
|
|
if (req.RefreshClientIds != null)
|
|
{
|
|
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
|
|
}
|
|
else
|
|
{
|
|
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (req.ClientIds != null)
|
|
{
|
|
var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
|
db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
|
|
}
|
|
else
|
|
{
|
|
var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
|
db.BulkDelete<ClientSpan>(sql);
|
|
}
|
|
|
|
var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag)
|
|
.Select(n => new { n.ValueDate, n.ClientId }).ToList();
|
|
//筛选出可以修改的clientSpan
|
|
clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
|
|
}
|
|
if (clientSpanNews.Count > 0)
|
|
{
|
|
MySqlBulkExtensions.BulkInsert(db, clientSpanNews);
|
|
}
|
|
|
|
db.SaveChanges();
|
|
return req.tradeSpans;
|
|
}
|
|
}
|
|
|
|
public override double GetTradeMargin(GetTradeMarginReq req)
|
|
{
|
|
using (var db = new YLContext())
|
|
{
|
|
if (req.trade.TradeType == "结构化交易")
|
|
{
|
|
req.trade.SubTrades = db.trade.Where(x => x.ParentTradeId == req.realTradeId).ToList();
|
|
}
|
|
|
|
var marginReq = req.GetRunMarginCalculationReq();
|
|
if (req.trade.IsGroup == 1)
|
|
{
|
|
marginReq.tradeList = db.trade.Where(x => x.ParentTradeId == req.realTradeId).ToList();
|
|
}
|
|
var tradeMargin = RunMarginCalculation(marginReq);
|
|
if (null != tradeMargin)
|
|
{
|
|
var margin = req.trade.IsGroup == 1 ? tradeMargin.Sum(x => x.WorstCastClientPayable ?? 0) : (tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0);
|
|
return margin;
|
|
}
|
|
return 0.0;
|
|
}
|
|
}
|
|
|
|
}
|
|
}
|