319 lines
13 KiB
C#
319 lines
13 KiB
C#
using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Modules.MarginModule;
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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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public class MaoChuanMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例(单例模式)
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public static readonly MaoChuanMarginCalculation Instance;
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static MaoChuanMarginCalculation()
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{
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Instance = new MaoChuanMarginCalculation();
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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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private MaoChuanMarginCalculation()
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{
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}
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/// <summary>
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/// 计算香草期权和亚式期权预付金
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/// </summary>
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private List<trade_span> CalculationNormalOptionMargin(RunMarginCalculationReq req)
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{
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var resultMap = new Dictionary<int, trade_span>();
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var codes = req.tradeList.Select(O => O.UnderlyingCode).ToHashSet();
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var mpProvider = new MarginParamProvider(req.UserInfo, req.settleDate)
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.Initialize(codes, MarginParamTypeEnum.MarginRate);
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//客户要求用AskVol计算预付金,所以先把所有交易方向改为卖出并把VolType赋值为 BidAskVol;
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//Dictionary<int, string> buySellDict = tradeList.ToDictionary(K => K.id, V => V.BuySell);
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//tradeList.ForEach(t => t.BuySell = "卖出");
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var vols = new Dictionary<int, double>();
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foreach (var t in req.tradeList)
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{
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var vType = t.VolType;
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t.VolType = "报价Ask";
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var um = _underlyingDataProvider.GetUnderlying(t.UnderlyingCode);
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if (um == null)
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{
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throw new MarginCalcException($"[预付金计算]找不到标的数据(交易编号:{t.TradeNumber},标的代码:{t.UnderlyingCode})");
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}
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var vol = SingleVolService.GetSingleVol(new SingleVolReq(t, um), req.userId, isEodCalc: req.CalcMarginType == CalcMarginTypeEnum.EodMargin);
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vols[t.id] = vol;
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t.VolType = vType;
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}
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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: CalcScenarioEnum.EodSettlement,
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_PRICING,
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addVolRateDic: null,
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volType: null,
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overrideVolsForTrade: vols,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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//tradeList.ForEach(t => t.BuySell = buySellDict[t.id]);
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foreach (var r in tradeRiskResult.Results)
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{
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if (!mpProvider.TryGetMarginRate(r.Trade.UnderlyingCode, out var marginRate))
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{
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throw new MarginCalcException($"{r.Trade.UnderlyingCode} 预付金比率不存在");
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}
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var trade = req.tradeList.FirstOrDefault(t => t.id == r.Trade.id);
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if (!req.PriceProvider.TryGetPrice(r.Trade.UnderlyingCode, out var price))
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{
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price = r.Trade.SpotPrice ?? 0;
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}
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logger.Info($"茂川标准预付金计算:[{r.Trade.TradeType}_{r.Trade.BuySell}_{r.Trade.OptionType}_{r.Trade.Strike}] => Vol:{r.ValueResult.Vol};Delta:{r.ValueResult.Delta}");
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//预付金= Delta*标的期货预付金比率*标的期货价格*持仓规模 (qdp计算出的Delta已经乘过数量了,所以这里不用再乘了);
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var value = Math.Abs(r.ValueResult.Delta) * marginRate * price;// * r.Trade.Notional;
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if (r.Trade.BuySell == "买入") { value = Math.Abs(value); } else { value = 0 - Math.Abs(value); }
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var tempTradeSpan = new trade_span
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{
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TradeId = r.Trade.id,
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ClientId = trade.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = trade.UnderlyingId,
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UnderlyingCode = trade.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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Spv1 = value,
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Spv2 = value,
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Spv3 = value,
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Spv4 = value,
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WorstCastClientPayable = value
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};
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resultMap[r.Trade.id] = tempTradeSpan;
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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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/// 计算其他期权预付金
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/// </summary>
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private List<trade_span> CalculationOtherOptionMargin(RunMarginCalculationReq req)
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{
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var resultMap = new Dictionary<int, trade_span>();
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var tempTradeList = new List<trade>();
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var vols = new Dictionary<int, double>();
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foreach (var t in req.tradeList)
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{
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var vType = t.VolType;
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t.VolType = "报价Ask";
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var um = _underlyingDataProvider.GetUnderlying(t.UnderlyingCode);
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var vol = SingleVolService.GetSingleVol(new SingleVolReq(t, um), req.userId, req.CalcMarginType == CalcMarginTypeEnum.EodMargin);
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vols[t.id] = vol;
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t.VolType = vType;
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tempTradeList.Add(t.Clone());
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}
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: tempTradeList,
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calcScenario: CalcScenarioEnum.EodSettlement,
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_PRICING,
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addVolRateDic: null,
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volType: null,
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overrideVolsForTrade: vols,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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//if (priceDict == null)
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//{
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// priceDict = new Dictionary<int, double>();
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// Dictionary<int, string[]> rateDict = base.GetUpDownLimitRate(req.tradeList.Select(O => O.UnderlyingId).ToArray());
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// tempTradeList.ForEach(t =>
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// {
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// double[] arr = base.GetUpDownLimitPrice(rateDict[t.id], (t.SpotPrice ?? 0), double.Parse(rateDict[t.id][2]));
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// priceDict[t.UnderlyingId] = t.OptionType == "看涨" ? arr[1] : arr[0];
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// });
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//}
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//else
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//{
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// Dictionary<int, double[]> dict = base.GetUpDownLimitPrice(priceDict);
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// tempTradeList.ForEach(t =>
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// priceDict[t.UnderlyingId] = t.OptionType == "看涨" ? dict[t.id][1] : dict[t.id][0]);
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//}
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var newTradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: tempTradeList,
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calcScenario: CalcScenarioEnum.EodSettlement,
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_PRICING,
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addVolRateDic: null,
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volType: null,
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overrideVolsForTrade: vols,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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foreach (var t in tempTradeList)
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{
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var cPv = tradeRiskResult.Results.FirstOrDefault(O => O.ValueResult.TradeId == t.id).ValueResult.Pv;
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var nPv = newTradeRiskResult.Results.FirstOrDefault(O => O.ValueResult.TradeId == t.id).ValueResult.Pv;
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//预付金= 次日最大亏损;
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var value = t.OptionType == "看涨" ? cPv - nPv : cPv + nPv;
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logger.Info($"茂川奇异预付金计算:[{t.TradeType}_{t.BuySell}_{t.OptionType}_{t.Strike}] => 当日Pv:{cPv};次日Pv:{nPv}");
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var tempTradeSpan = new trade_span
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{
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TradeId = t.id,
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ClientId = t.ClientId,
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ValueDate = req.settleDate,
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UnderlyingId = t.UnderlyingId,
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UnderlyingCode = t.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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Spv1 = value,
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Spv2 = value,
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Spv3 = value,
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Spv4 = value,
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WorstCastClientPayable = value
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};
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resultMap[t.id] = tempTradeSpan;
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}
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return resultMap.Values.ToList();
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}
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private List<trade_span> CalculationStructureOptionMargin(RunMarginCalculationReq req)
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{
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var resultMap = new List<trade_span>();
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foreach (var td in req.tradeList)
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{
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var tempId = int.MaxValue;
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td.SubTrades.ToList().ForEach(t => t.id = tempId--);
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var childrenSpans = RunMarginCalculation(req.Clone(td.SubTrades.ToList()));
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double margin = 0;
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switch (td.StructureType)
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{
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case "牛市价差":
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case "熊市价差":
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case "亚式熊市价差":
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case "三领口组合":
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for (var j = 0; j < childrenSpans.Count; j++)
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{
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margin += childrenSpans[j].WorstCastClientPayable ?? 0;
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}
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break;
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case "跨式组合":
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case "宽跨式组合":
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for (var j = 0; j < childrenSpans.Count; j++)
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{
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var absMargin = Math.Abs(childrenSpans[j].WorstCastClientPayable ?? 0);
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if (margin < absMargin)
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{
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margin = absMargin;
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}
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}
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break;
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case "复制标的资产":
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case "蝶式组合":
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case "飞鹰式组合":
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case "比例价差":
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case "日历价差":
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case "箱式价差":
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case "风险逆转":
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default:
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break;
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}
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var tempTradeSpan = 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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Spv1 = margin,
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Spv2 = margin,
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Spv3 = margin,
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Spv4 = margin,
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WorstCastClientPayable = margin
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};
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resultMap.Add(tempTradeSpan);
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}
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return resultMap;
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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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if (req.tradeList == null || !req.tradeList.Any())
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{
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return resultMap;
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}
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if (req.forOtherSide)
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{
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return RunMarginCalculationOtherSide(req);
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}
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var tList = req.tradeList.Where(O => O.TradeType == "结构化交易").ToList();
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if (tList.Count > 0)
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{
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resultMap.AddRange(CalculationStructureOptionMargin(req.Clone(tList)));
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}
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tList = req.tradeList.Where(O => O.TradeType == "香草期权" || O.TradeType == "亚式期权").ToList();
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if (tList.Count > 0)
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{
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resultMap.AddRange(CalculationNormalOptionMargin(req.Clone(tList)));
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}
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tList = req.tradeList.Where(O => O.TradeType != "结构化交易" && O.TradeType != "香草期权" && O.TradeType != "亚式期权").ToList();
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if (tList.Count > 0)
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{
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resultMap.AddRange(CalculationOtherOptionMargin(req.Clone(tList)));
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}
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return resultMap;
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}
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public override double GetTradeMargin(GetTradeMarginReq req)
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{
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var trade = req.trade;
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if (trade.TradeType == "结构化交易" && (trade.SubTrades == null || trade.SubTrades.Count() == 0))
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{
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using (var db = new YLContext())
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{
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trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList();
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}
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}
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var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
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if (null != tradeMargin)
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{
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return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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}
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return 0.0;
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}
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}
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}
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