255 lines
11 KiB
C#
255 lines
11 KiB
C#
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.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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/// 申银万国
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/// </summary>
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public class SYWGMarginCalculation : 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 SYWGMarginCalculation Instance;
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static SYWGMarginCalculation()
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{
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Instance = new SYWGMarginCalculation();
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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 SYWGMarginCalculation()
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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 tradeSpans = new List<trade_span>();
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if (req.tradeList == null || req.tradeList.Count < 1)
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{
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return tradeSpans;
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}
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var tempStockTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
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if (tempStockTradeList.Any())
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{
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var stockTradeSpanlist = StockMarginCalculation(req.Clone(tempStockTradeList));
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if (stockTradeSpanlist.Count > 0)
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{
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tradeSpans.AddRange(stockTradeSpanlist);
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}
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}
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var tempFutureTradeList = req.tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
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if (tempFutureTradeList.Any())
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{
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var futureTradeSpanlist = FutureMarginCalculation(req.Clone(tempFutureTradeList));
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if (futureTradeSpanlist.Count > 0)
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{
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tradeSpans.AddRange(futureTradeSpanlist);
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}
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}
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return tradeSpans;
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}
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/// <summary>
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/// 股票类期权计算预付金
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/// </summary>
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public List<trade_span> StockMarginCalculation(RunMarginCalculationReq req)
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{
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var tradeSpans = new List<trade_span>();
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if (req.tradeList == null || req.tradeList.Count < 1)
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{
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return tradeSpans;
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}
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var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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foreach (var t in req.tradeList)
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{
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if (!helper.GetSpecialMargin(t, 0, out var value))
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{
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var client = helper.GetClient(t);
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if (client == null)
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{
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continue;
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}
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var clientRatio = client?.Ratio ?? 1.0;
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//如果是股票去名义本金，如果是期货取：份额 * 即期价格
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value = (t.StockEqvNotional == 0 ? TradeHelper.GetStockEqvNotional(t.Notional * t.SpotPrice, t.ParticipationRate, t.AnnualizeFactor) : t.StockEqvNotional) * marginRation * (t.BuySell == "买入" ? 1 : 0) * clientRatio;
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}
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tradeSpans.Add(new trade_span
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{
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TradeId = t.id,
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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ClientId = t.ClientId,
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UnderlyingId = t.UnderlyingId,
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UnderlyingCode = t.UnderlyingCode,
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ValueDate = req.settleDate,
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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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}
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return tradeSpans;
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}
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/// <summary>
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/// 商品期权计算预付金
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/// </summary>
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public List<trade_span> FutureMarginCalculation(RunMarginCalculationReq req)
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{
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var futureTradeList = req.tradeList;
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if (futureTradeList == null || !futureTradeList.Any())
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{
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return new List<trade_span>(0);
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}
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var tradeSpans = new List<trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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helper.SetFieldsByTradeType();
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using (var db = new YLContext())
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{
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var underlyingCodes = futureTradeList.Select(t => t.UnderlyingCode).ToHashSet();
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var mpProvider = new MarginParamProvider(req.UserInfo, req.settleDate).Initialize(underlyingCodes, MarginParamTypeEnum.MarginRate);
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var overrideVolsForTrades = VolCaculator.Instance.GetVol(futureTradeList, req.settleDate);
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var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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tradeList: futureTradeList,
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calcScenario: req.GetCalcScenario(),
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priceProvider: req.PriceProvider,
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pricingRequest: QdpPricingRequest.BASIC_GREEKS, addVolRateDic: null,
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volType: req.volType, overrideVolsForTrade: overrideVolsForTrades, isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin);
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logger.Info($"商品期货预付金计算,交易入:[{futureTradeList.Count}条],返回[{tradeRiskResult.Results.Count}],错误:{tradeRiskResult.ErrorMessage}");
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var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
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var FutureMarginAddRatio = valuedateBLL.SystemDate.FutureMarginAddRatio ?? 0;
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if (tradeRiskResult.Results.Count <= 0)
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{
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return tradeSpans;
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}
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foreach (var trade in futureTradeList)
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{
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var closePrice = req.PriceProvider.GetPrice(trade.UnderlyingCode);
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var optionValueList = tradeRiskResult.Results.Where(t => t.Trade.id == trade.id && t.ValueResult != null && t.Trade != null && !double.IsNaN(t.ValueResult.Delta) && !double.IsNaN(t.ValueResult.Vega) && !double.IsNaN(t.ValueResult.Gamma)).ToList();
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//未设置相关预付金系数默认为1.0
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double clientRatio = 1, clientAddRatio = 0;
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var client = helper.GetClient(trade);
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if (client != null)
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{
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clientRatio = client.Ratio ?? 1;
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clientAddRatio = client.AddRatio ?? 0;
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}
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if (optionValueList.Any())
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{
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var deltaMerge = 0.0;
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var deltaShort = optionValueList.Sum(t => t.ValueResult.Delta * (t.Trade.BuySell == "买入" ? 1 : 0));
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var deltaMax = optionValueList.Sum(t => t.ValueResult.DeltaMax * (t.Trade.BuySell == "买入" ? 1 : 0));
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//跨式组合和宽跨式组合用到的是组合交易里面的Max Delta作为deltaMerge参与预付金的计算
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deltaMerge = trade.TradeType == "结构化交易" && (trade.StructureType == "跨式组合" || trade.StructureType == "宽跨式组合") ? Math.Abs(deltaMax) : Math.Abs(deltaShort);
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logger.Info("交易id为" + trade.id + "的delta:" + deltaMerge);
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//if (deltaLong * deltaShort == 0)
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//{
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// deltaMerge = Math.Abs(deltaShort);
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//}
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//else if (deltaLong * deltaShort < 0)
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//{
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// if (Math.Abs(deltaLong) >= Math.Abs(deltaShort))
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// {
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// deltaMerge = 0;
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// }
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// else
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// {
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// deltaMerge = Math.Abs(deltaShort) - Math.Abs(deltaLong);
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// }
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//}
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//else
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//{
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// deltaMerge = Math.Abs(deltaShort);
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//}
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mpProvider.TryGetMarginRate(trade.UnderlyingCode, out var marginRate);
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//预付金 = (交易预付金率+公司预付金率加点)*合约名义金额(期货价格*数量)*delta
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var margin = deltaMerge * closePrice * (marginRate + FutureMarginAddRatio + clientAddRatio) * alphaRate * clientRatio;
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if (trade.TradeType == "自定义交易")
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{
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if (helper.GetSpecialMargin(trade, 0, out var value))
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{
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margin = value;
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}
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}
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tradeSpans.Add(new trade_span
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{
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TradeId = trade.id,//默认记录为第一条交易记录中
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OptDate = DateTime.Now,
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OptId = req.userId,
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OptName = req.userName,
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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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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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Comment = $"标的{trade.UnderlyingCode},deltaMerge:{deltaMerge},closePrice:{closePrice},Margin:{marginRate},FutureMarginAddRatio:{FutureMarginAddRatio},clientAddRatio:{clientAddRatio},alphaRate:{alphaRate},clientRatio:{clientRatio}"
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});
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}
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else
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{
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var nanTradeValue = tradeRiskResult.Results.Where(t => t.Trade.id == trade.id && (double.IsNaN(t.ValueResult.Delta) || !double.IsNaN(t.ValueResult.Vega) || !double.IsNaN(t.ValueResult.Gamma))).Select(t => t.ValueResult).ToList();
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nanTradeValue.ForEach(optionValue =>
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{
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logger.Error($"交易ID:{trade.UnderlyingId},Delta:{optionValue.Delta},DeltaCash{optionValue.DeltaCash},Vega{optionValue.Vega},Gamma:{optionValue.Gamma},vol:{optionValue.Vol}");
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});
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}
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}
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}
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return tradeSpans;
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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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using (var db = new YLContext())
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{
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if (trade.TradeType == "结构化交易")
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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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