339 lines
16 KiB
C#
339 lines
16 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.Modules.MarginModule;
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//using YLErp.Modules.VolatilityModule;
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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 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保证金
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// /// </summary>
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// private List<trade_span> CalculationNormalOptionMargin(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")
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// {
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// var resultMap = new Dictionary<int, trade_span>();
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// var codes = tradeList.Select(O => O.UnderlyingCode).ToHashSet();
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// var mpProvider = new MarginParamProvider(new OptUserInfo(0, "系统"), settleDate)
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// .Initialize(codes, MarginParamTypeEnum.MarginRate);
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// //客户要求用AskVol计算保证金,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 tradeList)
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// {
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// string 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($"[保证金计算]找不到标的数据(交易编号:{t.TradeNumber},标的代码:{t.UnderlyingCode})");
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// }
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// double vol = SingleVolService.GetSingleVol(new SingleVolReq(t, um), userId);
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// vols[t.id] = vol;
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// t.VolType = vType;
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// }
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
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// userId.ToString(),
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// settleDate,
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// tradeList,
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// priceDict,
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// ValueCalculator.BASIC_PRICING,
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// null,
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// isEndOfDate: true,
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// volType: null,
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// overrideVolsForTrade: vols,
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// isUseTradeVol: PS.Config.IsTradeVol,
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// PreciseTimeMode: !isEodSettle);
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// //tradeList.ForEach(t => t.BuySell = buySellDict[t.id]);
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// foreach (var r in tradeRiskResult.Results)
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// {
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// if (!mpProvider.TryGetMarginRate(r.Trade.UnderlyingCode, out var marginRate))
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// {
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// throw new MarginCalcException($"{r.Trade.UnderlyingCode} 保证金比率不存在");
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// }
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// var trade = tradeList.FirstOrDefault(t => t.id == r.Trade.id);
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// double price = priceDict == null ? r.Trade.SpotPrice ?? 0 : priceDict[r.Trade.UnderlyingId];
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// logger.Info($"茂川标准保证金计算:[{r.Trade.TradeType}_{r.Trade.BuySell}_{r.Trade.OptionType}_{r.Trade.Strike}] => Vol:{r.ValueResult.Vol};Delta:{r.ValueResult.Delta}");
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// //保证金= Delta*标的期货保证金比率*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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// double 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 = settleDate,
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// UnderlyingId = trade.UnderlyingId,
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// UnderlyingCode = 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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// /// <summary>
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// /// 计算其他期权保证金
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// /// </summary>
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// private List<trade_span> CalculationOtherOptionMargin(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")
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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 tradeList)
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// {
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// string 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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// double vol = SingleVolService.GetSingleVol(new SingleVolReq(t, um), userId);
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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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// userId.ToString(), // userId + "_" + price.Key,
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// settleDate,
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// tempTradeList,
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// priceDict,
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// ValueCalculator.BASIC_PRICING,
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// null,
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// isEndOfDate: true,
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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: !isEodSettle);
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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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// 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(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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// changeUmIdFunction(t);
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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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// {
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// changeUmIdFunction(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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// }
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// var newTradeRiskResult = 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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// priceDict,
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// ValueCalculator.BASIC_PRICING,
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// null,
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// isEndOfDate: true,
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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: !isEodSettle);
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// tempTradeList.ForEach(t =>
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// {
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// double cPv = tradeRiskResult.Results.FirstOrDefault(O => O.ValueResult.TradeId == t.id).ValueResult.Pv;
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// double nPv = newTradeRiskResult.Results.FirstOrDefault(O => O.ValueResult.TradeId == t.id).ValueResult.Pv;
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// //保证金= 次日最大亏损;
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// double value = t.OptionType == "看涨" ? cPv - nPv : cPv + nPv;
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// logger.Info($"茂川奇异保证金计算:[{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 = settleDate,
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// UnderlyingId = Math.Abs(t.UnderlyingId),
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// UnderlyingCode = t.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[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(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")
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// {
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// List<trade_span> resultMap = new List<trade_span>();
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// for (int i = 0; i < tradeList.Count; i++)
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// {
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// int tempId = int.MaxValue;
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// tradeList[i].SubTrades.ToList().ForEach(t => t.id = tempId--);
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// List<trade_span> childrenSpans = RunMarginCalculation(userId, userName, tradeList[i].SubTrades.ToList(), settleDate, null, hasOptionInfo, isEodSettle, forSingleTrade, volType);
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// double margin = 0;
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// switch (tradeList[i].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 (int 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 (int j = 0; j < childrenSpans.Count; j++)
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// {
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// double 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 = tradeList[i].id,
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// ClientId = tradeList[i].ClientId,
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// ValueDate = settleDate,
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// UnderlyingId = tradeList[i].UnderlyingId,
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// UnderlyingCode = tradeList[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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// 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(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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// //结果集
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// List<trade_span> resultMap = new List<trade_span>();
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// if (!(priceDict?.Count > 0))
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// {
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// var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
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// priceDict = base.GetSettlePrice(codes, settleDate);
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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;
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// }
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// if (forOtherSide)
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// {
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// return RunMarginCalculationOtherSide(userId, userName, tradeList, settleDate, priceDict, hasOptionInfo, isEodSettle, forSingleTrade, volType);
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// }
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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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// resultMap.AddRange(CalculationStructureOptionMargin(userId, userName, tList, settleDate, priceDict, hasOptionInfo, isEodSettle, forSingleTrade, volType));
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// }
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// tList = 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(userId, userName, tList, settleDate, priceDict, hasOptionInfo, isEodSettle, forSingleTrade, volType));
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// }
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// tList = 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(userId, userName, tList, settleDate, priceDict, hasOptionInfo, isEodSettle, forSingleTrade, volType));
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// }
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// return resultMap;
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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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// {
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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(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary<int, double> { { trade.UnderlyingId, price } }, hasOptionInfo: 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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