203 lines
10 KiB
C#
203 lines
10 KiB
C#
//using System;
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//using System.Collections.Generic;
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//using System.Linq;
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//using YLErp.BLL.Calculation.V2;
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//using YLErp.DBModels;
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//using YLErp.Model;
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//using YLErp.QdpModule;
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//using CalculatorHelper = YLErp.BLL.Calculation.CalculatorHelperOld;
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//namespace YLErp.BLL.MarginCalculationBak
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//{
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// public class HongYuanMarginCalculation : 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 HongYuanMarginCalculation Instance;
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// static HongYuanMarginCalculation()
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// {
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// Instance = new HongYuanMarginCalculation();
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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 HongYuanMarginCalculation()
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// {
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// }
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// private List<trade_span> CalculationSingleTrade(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool isInitialMargin = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易")
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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 tempTradeList = new List<trade>();
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// var codes = new HashSet<string>(tradeList.Select(O => O.UnderlyingCode).ToArray());
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// if (!(priceDict?.Count > 0))
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// {
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// //结算的时候价格列表一定是空的;
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// priceDict = base.GetSettlePrice(codes, settleDate);
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// }
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// else
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// {
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// //价格列表不是空的说明是计算实时保证金或期初保证金
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// //宏源在计算实时保证金的时候使用前一天的收盘价这个逻辑是一开始确认的，后续对数据的时候要再次确认 --时嬴政
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// var lastDate = QdpCalendarHelper.GetNonHolidayDefore(settleDate.AddDays(-1));
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// priceDict = base.GetSettlePrice(codes, lastDate);
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// }
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// if (priceDict.Count == 0)
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// {
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// //如果价格没有传入也没从数据库获取到，就直接返回，没必要往下运行了。但不应该报错;
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// return resultMap.Values.ToList();
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// }
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// var clientIds = new HashSet<int>(tradeList.Select(O => O.ClientId ?? 0).ToArray());
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// var clientClassDict = new clientBLL().GetClients(clientIds.ToList()).ToDictionary(K => K.id, V => V.ProperClientClass);
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// var ratioDict = new clientlevelBLL().GetClientlevels(clientIds).ToDictionary(K => K.Key, V => isInitialMargin ? (V.Value.Ratio1 ?? 1) : (V.Value.Ratio ?? 1));
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// var vols = new Dictionary<int, double>();
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// tradeList.ForEach(t =>
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// {
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// double vol = t.TradeOpenVolatility ?? 0;
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// if (!clientClassDict.ContainsKey(t.ClientId ?? 0))
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// {
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// throw new Exception($"交易编号为{t.TradeNumber}的客户适当性类型不存在,无法计算保证金!");
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// }
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// if (clientClassDict[t.ClientId ?? 0].Contains("普通投资者"))
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// {
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// vol = vol * 1.2;
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// }
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// vols[t.id] = vol;
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// tempTradeList.Add(t.Clone());
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// if (!priceDict.ContainsKey(t.UnderlyingId))
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// { priceDict[t.UnderlyingId] = t.SpotPrice ?? 0; }
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// });
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// Action<trade> changeUmIdFunction = (t) =>
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// {
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// if (t.OptionType == "看跌")
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// {
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// t.UnderlyingId = t.UnderlyingId * -1;
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// if (t.trade_spread_option != null)
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// {
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// t.trade_spread_option.UnderlyingId1 = t.trade_spread_option.UnderlyingId1 * -1;
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// t.trade_spread_option.UnderlyingId2 = t.trade_spread_option.UnderlyingId2 * -1;
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// t.trade_spread_option.UnderlyingId3 = t.trade_spread_option.UnderlyingId3 * -1;
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// t.trade_spread_option.UnderlyingId4 = t.trade_spread_option.UnderlyingId4 * -1;
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// }
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// if (t.trade_rainbow_option != null)
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// {
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// t.trade_rainbow_option.UnderlyingId1 = t.trade_rainbow_option.UnderlyingId1 * -1;
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// t.trade_rainbow_option.UnderlyingId2 = t.trade_rainbow_option.UnderlyingId2 * -1;
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// }
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// }
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// };
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// Dictionary<int, double[]> dict = base.GetUpDownLimitPrice(priceDict);
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// Dictionary<int, double> underlyingPrice = new Dictionary<int, double>();
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// tempTradeList.ForEach(t =>
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// {
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// changeUmIdFunction(t);
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// underlyingPrice[t.UnderlyingId] = t.OptionType == "看涨" ? dict[t.UnderlyingId][0] : dict[t.UnderlyingId][1];
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// });
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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// userId.ToString(), // userId + "_" + price.Key,
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// settleDate,
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// tempTradeList,
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// underlyingPrice,
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// ValueCalculator.PV_ONLY,
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// null,
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// isEndOfDate: true,
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// volType: volType,
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// overrideVolsForTrade: vols,
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// isUseTradeVol: PS.Config.IsTradeVol,
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// PreciseTimeMode: !isEodSettle);
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// tradeRiskResult.Results.ForEach(r =>
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// {
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// System.Diagnostics.Debug.WriteLine($"{r.Trade.StructureType}-{r.Trade.SpotPrice}-{r.Trade.TradeOpenVolatility}-{r.ValueResult.Pv}");
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// //保证金= 次日最大亏损;
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// double value = ratioDict[r.Trade.ClientId ?? 0] * r.ValueResult.Pv;
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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 = r.Trade.ClientId,
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// ValueDate = settleDate,
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// UnderlyingId = Math.Abs(r.Trade.UnderlyingId),
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// UnderlyingCode = r.Trade.UnderlyingCode,
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// OptId = userId,
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// OptName = 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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// private List<trade_span> CalcMargin(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool isInitialMargin = false, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易")
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// {
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// //结果集
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// List<trade_span> resultMap = new List<trade_span>();
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// List<trade> tList = 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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// for (int i = 0; i < tList.Count; i++)
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// {
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// int tempId = int.MaxValue;
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// tList[i].SubTrades.ToList().ForEach(t => t.id = tempId--);
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// List<trade_span> spans = CalculationSingleTrade(userId, userName, tList[i].SubTrades.ToList(), settleDate, priceDict, isInitialMargin, isEodSettle, forSingleTrade, volType);
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// double margin = 0;
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// if (tList[i].StructureType.Contains("跨式"))
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// { margin = spans.Max(O => O.WorstCastClientPayable ?? 0); }
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// else
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// { margin = spans.Sum(O => O.WorstCastClientPayable ?? 0); }
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// resultMap.Add(new trade_span
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// {
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// TradeId = tList[i].id,
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// ClientId = tList[i].ClientId,
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// ValueDate = settleDate,
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// UnderlyingId = tList[i].UnderlyingId,
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// UnderlyingCode = tList[i].UnderlyingCode,
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// OptId = userId,
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// OptName = 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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// }
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// }
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// tList = 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(CalculationSingleTrade(userId, userName, tList, settleDate, priceDict, isInitialMargin, isEodSettle, forSingleTrade, volType));
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// }
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// return resultMap;
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// }
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// public override List<trade_span> RunMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
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// {
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// return CalcMargin(userId, userName, tradeList, settleDate, priceDict, false, hasOptionInfo, isEodSettle, forSingleTrade, volType);
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// }
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// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
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// {
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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 (YLContext db = new YLContext())
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// { trade.SubTrades = db.trade.Where(x => x.ParentTradeId == trade.id).ToList(); }
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// }
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// var tradeMargin = CalcMargin(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, price == 0 ? null : new Dictionary<int, double> { { trade.UnderlyingId, price } }, isInitialMargin, hasOptionInfo);
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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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