480 lines
26 KiB
C#
480 lines
26 KiB
C#
using Microsoft.EntityFrameworkCore;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Model.Enum;
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using YLErp.Modules;
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using YLErp.Modules.MarginModule;
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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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/// 海通预付金计算
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/// </summary>
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public class HaiTongMarginCalculation : 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 HaiTongMarginCalculation Instance;
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static HaiTongMarginCalculation()
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{
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Instance = new HaiTongMarginCalculation();
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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 HaiTongMarginCalculation()
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{
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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var resultMap = new List<trade_span>();
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var list2 = new List<trade>(req.tradeList.Count);
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using (var db = new YLContext())
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{
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var tradeIds = req.tradeList.Select(x => x.id);
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var tradeMarginTemplates = db.trade_margin_template.Where(x => tradeIds.Contains(x.TradeId)).ToList();
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foreach (var td in req.tradeList)
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{
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//交易员买客户卖的雪球，就用span算法；交易员卖客户买，就用文档里的公式
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if (td.TradeType == "雪球期权" && td.BuySell == "卖出")
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{
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double value = 0;
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var actualStrike = td.IsMoneynessOptionData ? td.Strike : td.Strike / td.SpotPrice;
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var SpreadStrike = td.IsMoneynessOptionData ? td.trade_snowball.SpreadStrikeAtMaturity : td.trade_snowball.SpreadStrikeAtMaturity / td.SpotPrice;
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//雪球期权 - 保底雪球（仅收初始预付金，后续不追保）：逐笔交易持仓预付金=簿记预付金模板选为“雪球保底固定比例”；
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//雪球期权 - 非保底雪球（不收初始预付金，后续线性追保，跌多少追多少）：逐笔交易持仓预付金 = max（1 - 标的每日收盘价 / 期初价格,0）*名义本金；
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//雪球期权 - 其他（系统定价类型）：逐笔交易持仓预付金 = Span涨跌停行情下的雪球持仓市值 * 1.1。
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if (td.trade_snowball.KIPayoffType == KIPayoffTypeEnum.ToCallSpreadOption)
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{
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value = ((td.StockEqvNotional) * (SpreadStrike - actualStrike)) ?? 0;
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}
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else if (td.trade_snowball.KIPayoffType == KIPayoffTypeEnum.ToPutSpreadOption)
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{
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value = ((td.StockEqvNotional) * (actualStrike - SpreadStrike)) ?? 0;
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}
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else
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{
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if (req.CalcMarginType != CalcMarginTypeEnum.InitialMargin)
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{
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var closePrice = req.PriceProvider.GetPrice(td.UnderlyingCode);
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value = Math.Max(1 - closePrice / (double)td.SpotPrice, 0) * td.StockEqvNotional + td.InitialMargin ?? 0;
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}
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}
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var client = helper.GetClient(td.ClientId);
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var ts = new trade_span()
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{
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TradeId = td.id,
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ClientId = td.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = td.UnderlyingId,
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UnderlyingCode = td.UnderlyingCode,
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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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IsSingleMargin = true,
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Comment = "雪球特殊算法",
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};
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if (client != null)
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{
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if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保 || client.MarginOptionType == (int)MarginOptionEnum.其他)
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{
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value = 0;
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}
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else
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{
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value = Math.Max((double)value, 0);
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}
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}
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ts.SetAllSpvAndWorst((double)value);
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resultMap.Add(ts);
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}
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else
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{
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list2.Add(td);
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}
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}
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resultMap.AddRange(marginCalculation(req.Clone(list2)));
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return resultMap;
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}
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}
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private List<trade_span> marginCalculation(RunMarginCalculationReq req)
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{
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//结果集
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var resultMap = new Dictionary<int, trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var mpProvider = helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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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.GetUpDownVolRateDic(out var tradeVolRateDicUp, out var tradeVolRateDicDown);
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var prices = new (string, IPriceProvider)[] { ("up", upLimitPrices), ("down", downLimitPrices), ("normal", req.PriceProvider) };
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var volRates = new (int, Dictionary<int, double>)[] {
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(0, null),
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(1, tradeVolRateDicUp),
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(2, tradeVolRateDicDown)
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};
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foreach (var price in prices)
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{
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foreach (var itemDic in volRates)
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{
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var key = $"{price.Item1}_{itemDic.Item1}";
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: req.tradeList,
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calcScenario: req.GetCalcScenario(),
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priceProvider: price.Item2,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: itemDic.Item2,
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: false);
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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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foreach (var item in tradeRiskResult.Results)
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{
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var client = helper.GetClient(item.Trade.ClientId);
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var clientRatio = client?.Ratio ?? 1.0;
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var clientRatio1 = client?.Ratio1 ?? 1.0;
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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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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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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value = double.IsNaN(pv) ? 0 : pv * clientRatio1;
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}
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else
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{
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value = double.IsNaN(pv) ? 0 : pv * clientRatio;
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}
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}
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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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if (item.Trade.TradeType == "雪球期权" && item.Trade.BuySell == "买入")
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{
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resultMap[item.Trade.id].IsSingleMargin = true;
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resultMap[item.Trade.id].Comment = "雪球买入";
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}
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}
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switch (key)
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{
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case "up_1":
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tempTradeSpan.Spv1 = value; break;
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case "up_0":
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tempTradeSpan.Spv2 = value; break;
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case "up_2":
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tempTradeSpan.Spv3 = value; break;
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case "normal_0":
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tempTradeSpan.Delta = item.ValueResult.Delta;
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tempTradeSpan.UnderlyingPrice = req.PriceProvider.GetPrice(item.ValueResult.UnderlyingCode);
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mpProvider.TryGetMarginRate(item.ValueResult.UnderlyingCode, out var marginRate);
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tempTradeSpan.DeltaMargin = (tempTradeSpan.Delta * tempTradeSpan.UnderlyingPrice * marginRate) ?? 0;
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break;
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case "normal_1":
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tempTradeSpan.Spv4 = value; break;
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case "normal_2":
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tempTradeSpan.Spv5 = value; break;
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case "down_1":
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tempTradeSpan.Spv6 = value; break;
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case "down_0":
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tempTradeSpan.Spv7 = value; break;
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case "down_2":
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tempTradeSpan.Spv8 = 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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if (client != null)
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{
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var value2 = (double)tempTradeSpan.WorstCastClientPayable;
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保)
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{
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value2 = item.Trade.BuySell == "卖出" ? 0 : Math.Max(value2, 0);
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.对手方单向追保 || client.MarginOptionType == (int)MarginOptionEnum.其他)
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{
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value2 = 0;
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}
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else if (client.MarginOptionType == (int)MarginOptionEnum.双向追保)
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{
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value2 = Math.Max(value2, 0);
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}
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tempTradeSpan.WorstCastClientPayable = value2;
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}
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}
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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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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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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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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 tradeSpanInfo = (from tradeSpan in req.tradeSpans
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join trade in tradeList on tradeSpan.TradeId equals trade.id
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where tradeSpan.ValueDate == req.settleDate
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select new { trade, tradeSpan }).ToList();
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//海通预付金保底收益率-用来计算名义本金
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double GuaranteedIncome = (db.valuedate.FirstOrDefault().GuaranteedIncome ?? 100) / 100;
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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 client = DataCacheProvider.GetClientDataSource().GetData(clientGroup.Key);
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var clientLevel = DataCacheProvider.GetClientLevelDataSource().GetData(client.LevelId ?? 0);
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var clientRatio = clientLevel?.Ratio ?? 1.0;
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var underlyingGroup = clientGroup.Where(x => x.tradeSpan.IsSingleMargin != true).GroupBy(t => t.trade.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key,
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ValueDate = req.settleDate,
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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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Spv1 = -t.Sum(g => g.tradeSpan.Spv1),
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Spv2 = -t.Sum(g => g.tradeSpan.Spv2),
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Spv3 = -t.Sum(g => g.tradeSpan.Spv3),
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Spv4 = -t.Sum(g => g.tradeSpan.Spv4),
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Spv5 = -t.Sum(g => g.tradeSpan.Spv5),
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Spv6 = -t.Sum(g => g.tradeSpan.Spv6),
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Spv7 = -t.Sum(g => g.tradeSpan.Spv7),
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Spv8 = -t.Sum(g => g.tradeSpan.Spv8),
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WorstCastClientPayable = -t.Sum(g => g.tradeSpan.WorstCastClientPayable),
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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 underlyingGroup)
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{
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if (client.MarginOptionType == (int)MarginOptionEnum.单向追保 || client.MarginOptionType == (int)MarginOptionEnum.双向追保)
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{
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if (clientGroup.Where(m => m.trade.UnderlyingId == item.UnderlyingId && m.trade.ClientId == item.ClientId).Count() > 1)
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{
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item.SetWorstCastClientPayableMin();
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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.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.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && 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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else if (item.WorstCastClientPayable == item.Spv6)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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}
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else if (item.WorstCastClientPayable == item.Spv7)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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}
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else if (item.WorstCastClientPayable == item.Spv8)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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}
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#endregion
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}
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else
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{
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var tradeSpansUpdate = db.trade_span.Where(x => x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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tradeSpansUpdate.ForEach(x => x.Comment = "单笔计算");
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}
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//客户信息中追保方向为“单向追保”或“双向追保”的客户： call 看涨
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//(1)Call净名义本金 = 客户Call卖方持仓名义本金 - 客户Call买方持仓名义本金；
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//(2)Put净名义本金 = 客户Put卖方持仓名义本金 - 客户Put买方持仓名义本金；
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//(3)单品种预付金占用 = max(0, max（∑逐笔交易持仓预付金，（Call净名义本金 + Put净名义本金）*1 % *1.1）)；
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//(4)预付金占用 =∑单品种预付金占用。
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//客户信息追保方向“对手方单向追保”或“其他”的客户：预付金占用 = 0。
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var callsale = clientGroup.Where(m => m.trade.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
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var callbuy = clientGroup.Where(m => m.trade.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
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var putsale = clientGroup.Where(m => m.trade.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
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var putbuy = clientGroup.Where(m => m.trade.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
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var StockEqvNotional = (double)((callsale - callbuy + putsale - putbuy) * GuaranteedIncome * clientRatio);
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if (client.MarginOptionType != (int)MarginOptionEnum.双向追保)
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{
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item.WorstCastClientPayable = -Math.Max(0, Math.Max(-(double)item.WorstCastClientPayable, StockEqvNotional));
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}
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}
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else
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{
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item.WorstCastClientPayable = 0;
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}
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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 = underlyingGroup.Sum(g => g.Spv1),
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Spv2 = underlyingGroup.Sum(g => g.Spv2),
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Spv3 = underlyingGroup.Sum(g => g.Spv3),
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Spv4 = underlyingGroup.Sum(g => g.Spv4),
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Spv5 = underlyingGroup.Sum(g => g.Spv5),
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Spv6 = underlyingGroup.Sum(g => g.Spv6),
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Spv7 = underlyingGroup.Sum(g => g.Spv7),
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Spv8 = underlyingGroup.Sum(g => g.Spv8),
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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 = underlyingGroup.Sum(g => g.WorstCastClientPayable),
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DeltaMargin = tradeSpanInfo.Where(g => g.trade.ClientId == clientGroup.Key).Sum(g => g.tradeSpan.DeltaMargin * -1),
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TwoSideMargin = underlyingGroup.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
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&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key, out var dd) ? dd : 0
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};
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#region 雪球期权单独处理
|
||
|
||
var tradeSpanSingle = clientGroup.Where(x => x.tradeSpan.IsSingleMargin == true);
|
||
clientSpan.WorstCastClientPayable += tradeSpanSingle.Sum(x => -(x.tradeSpan.WorstCastClientPayable ?? 0));
|
||
|
||
#endregion
|
||
|
||
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)
|
||
{
|
||
//var clientIds = clientSpanNews.Select(t => t.ClientId).Distinct().ToList();
|
||
//var clientSpanOlds = db.client_span.Where(t => t.SpanType == SpanType);
|
||
if (req.RefreshClientIds != null)
|
||
{
|
||
//clientSpanOlds = db.client_span.Where(t => RefreshClientIds.Contains(t.ClientId ?? 0));
|
||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
|
||
}
|
||
else
|
||
{
|
||
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
|
||
}
|
||
//MySqlBulkExtensions.BulkDelete(db, clientSpanOlds);
|
||
}
|
||
else
|
||
{
|
||
if(req.ClientIds !=null)
|
||
{
|
||
|
||
}
|
||
//var clientSpanOldsWithOutFlag = db.client_span.Where(t => t.ValueDate == settleDate && t.SpanType == SpanType && !t.ModifiedFlag).ToList();
|
||
//MySqlBulkExtensions.BulkDelete(db, clientSpanOldsWithOutFlag);
|
||
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).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)
|
||
{
|
||
var trade = req.trade;
|
||
using (var db = new YLContext())
|
||
{
|
||
if (trade.TradeType == "结构化交易")
|
||
{
|
||
trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
|
||
}
|
||
}
|
||
var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
|
||
if (null != tradeMargin && tradeMargin.FirstOrDefault() != null)
|
||
{
|
||
var margin = tradeMargin.FirstOrDefault().WorstCastClientPayable ?? 0.0;
|
||
|
||
return margin;
|
||
}
|
||
return 0.0;
|
||
}
|
||
|
||
|
||
}
|
||
}
|