565 lines
17 KiB
C#
565 lines
17 KiB
C#
using Qdp.Pricing.Base.Interfaces;
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namespace YLErp.Modules.CalculationModule
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{
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/// <summary>
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/// 计算成功以后的结果
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/// </summary>
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public class TradeValueResult
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{
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public TradeValueResult()
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{
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Succeeded = true;
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}
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public TradeValueResult(bool succeeded)
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{
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Succeeded = succeeded;
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}
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public TradeValueResult(IPricingResult result)
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{
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if (result != null)
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{
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Pv = result.Pv;
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Delta = result.Delta;
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Gamma = result.Gamma;
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Vega = result.Vega;
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CalendarDayTheta = result.Theta;
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TradingDayTheta = result.ThetaPnL;
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Rho = result.Rho;
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DeltaCash = result.DeltaCash;
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GammaCash = result.GammaCash;
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VegaCash = result.VegaCash;
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Vol = result.PricingVol;
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DDeltaDVol = result.DDeltaDvol;
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DDeltaDt = result.DDeltaDt;
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DVegaDVol = result.DVegaDvol;
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DVegaDt = result.DVegaDt;
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StoppingTime = result.StoppingTime;
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SA_Delta = result.SA_Delta;
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TimeValue = result.TimeValue;
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Succeeded = result.Succeeded;
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ErrorMessage = result.ErrorMessage;
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PricingT = result.PricingT;
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}
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else
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{
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Succeeded = false;
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ErrorMessage = "空的IPricingResult对象传入";
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}
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}
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public string UnderlyingCode { get; set; }
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public double Pv { get => pv; set => pv = value.Normalize(); }
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public double NPv { get => npv; set => npv = value.Normalize(); }
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/// <summary>
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/// 根据某些机构财务需要，将期权单价保留两位小数之后，再乘以份额得到的总Pv值
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/// </summary>
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public double RoundedPv { get => roundedPv; set => roundedPv = value.Normalize(); }
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public double NRoundedPv { get => nRoundedPv; set => nRoundedPv = value.Normalize(); }
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public TradeValueResultExtend ExtendInfo { get; set; } = new TradeValueResultExtend();
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public double Delta { get => delta; set => delta = value.Normalize(); }
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/// <summary>
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/// 计算申万跨式组合预付金时会用到
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/// </summary>
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internal double DeltaMax { get => deltaMax; set => deltaMax = value.Normalize(); }
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/// <summary>
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/// 亚式Delta
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/// </summary>
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public double SA_Delta { get => sA_Delta; set => sA_Delta = value.Normalize(); }
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/// <summary>
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/// 时间价值
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/// </summary>
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public double TimeValue { get => timeValue; set => timeValue = value.Normalize(); }
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public double Gamma { get => gamma; set => gamma = value.Normalize(); }
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private double _vega;
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public double Vega
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{
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get
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{
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return _vega;
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}
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set
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{
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var temp = value.Normalize();
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if (temp != 0 && VegaCash.Normalize() == 0)
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{
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VegaCash = SpotPrice.Normalize() * temp;
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}
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_vega = temp;
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}
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}
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public double Rho { get => rho; set => rho = value.Normalize(); }
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public double Vol { get => vol; set => vol = value.Normalize(); }
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public double DeltaCash { get => deltaCash; set => deltaCash = value.Normalize(); }
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public double GammaCash { get => gammaCash; set => gammaCash = value.Normalize(); }
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public double VegaCash { get => vegaCash; set => vegaCash = value.Normalize(); }
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public double DDeltaDVol { get => dDeltaDVol; set => dDeltaDVol = value.Normalize(); }
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public double DDeltaDt { get => dDeltaDt; set => dDeltaDt = value.Normalize(); }
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public double DVegaDVol { get => dVegaDVol; set => dVegaDVol = value.Normalize(); }
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public double DVegaDt { get => dVegaDt; set => dVegaDt = value.Normalize(); }
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public double StoppingTime { get => stoppingTime; set => stoppingTime = value.Normalize(); }
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/// <summary>
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/// 日历日Theta
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/// </summary>
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public double CalendarDayTheta { get => calendarDayTheta; set => calendarDayTheta = value.Normalize(); }
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/// <summary>
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/// 交易日Theta
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/// </summary>
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public double TradingDayTheta { get => tradingDayTheta; set => tradingDayTheta = value.Normalize(); }
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public double Theta
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{
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get
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{
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return BLL.valuedateBLL.SystemDate?.ThetaType != "日历日Theta" ? TradingDayTheta : CalendarDayTheta;
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}
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}
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//----------------------------------------
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// 多标的期权
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//----------------------------------------
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public string UnderlyingCode2 { get; set; }
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public double? Delta2 { get => delta2; set => delta2 = value.Normalize(); }
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public double? Gamma2 { get => gamma2; set => gamma2 = value.Normalize(); }
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public double? Vega2 { get => vega2; set => vega2 = value.Normalize(); }
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public double? DeltaCash2 { get => deltaCash2; set => deltaCash2 = value.Normalize(); }
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public double? GammaCash2 { get => gammaCash2; set => gammaCash2 = value.Normalize(); }
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public double? ThetaCash2 { get => thetaCash2; set => thetaCash2 = value.Normalize(); }
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public double CrossGamma { get => crossGamma; set => crossGamma = value.Normalize(); }
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public double CrossVogga { get => crossVogga; set => crossVogga = value.Normalize(); }
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public double CorrVega { get => corrVega; set => corrVega = value.Normalize(); }
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/// <summary>
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/// 报价 卖
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/// </summary>
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public double TradePriceAsk { get => tradePriceAsk; set => tradePriceAsk = value.Normalize(); }
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/// <summary>
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/// 单价四舍五入后的TradePriceAsk
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/// </summary>
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public double RoundedTradePriceAsk { get => roundedTradePriceAsk; set => roundedTradePriceAsk = value.Normalize(); }
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/// <summary>
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/// 买
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/// </summary>
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public double TradePriceBid { get => tradePriceBid; set => tradePriceBid = value.Normalize(); }
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/// <summary>
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/// 单价四舍五入后的TradePriceBid
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/// </summary>
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public double RoundedTradePriceBid { get => roundedTradePriceBid; set => roundedTradePriceBid = value.Normalize(); }
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/// <summary>
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/// delta手数
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/// </summary>
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public double DeltaInLots { get => deltaInLots; set => deltaInLots = value.Normalize(); }
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public int? UnderlyingId { get; set; }
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public double? Strike { get => strike; set => strike = value.Normalize(); }
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private double? _spotPrice;
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private double? pricingT;
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private double? deltaT1;
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private double? vega4;
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private double? vega3;
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private double? gammaCash4;
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private double? gammaCash3;
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private double? gamma4;
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private double? gamma3;
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private double? deltaCash4;
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private double? deltaCash3;
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private double? delta4;
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private double? delta3;
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private double? strike;
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private double deltaInLots;
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private double roundedTradePriceBid;
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private double tradePriceBid;
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private double roundedTradePriceAsk;
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private double tradePriceAsk;
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private double corrVega;
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private double crossVogga;
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private double crossGamma;
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private double? gammaCash2;
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private double? deltaCash2;
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private double? thetaCash2;
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private double? thetaCash3;
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private double? thetaCash4;
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private double? vega2;
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private double? gamma2;
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private double? delta2;
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private double tradingDayTheta;
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private double calendarDayTheta;
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private double stoppingTime;
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private double dVegaDt;
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private double dVegaDVol;
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private double dDeltaDt;
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private double dDeltaDVol;
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private double vegaCash;
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private double gammaCash;
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private double deltaCash;
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private double vol;
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private double rho;
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private double gamma;
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private double timeValue;
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private double sA_Delta;
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private double deltaMax;
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private double delta;
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private double roundedPv;
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private double nRoundedPv;
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private double pv;
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private double npv;
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public double? SpotPrice
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{
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get { return _spotPrice; }
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set
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{
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var temp = value.Normalize();
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if (temp != 0 && VegaCash.Normalize() == 0)
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{
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VegaCash = Vega.Normalize() * temp;
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}
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_spotPrice = value;
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}
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}
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public string UnderlyingCode3 { get; set; }
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public string UnderlyingCode4 { get; set; }
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public double? Delta3 { get => delta3; set => delta3 = value.Normalize(); }
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public double? Delta4 { get => delta4; set => delta4 = value.Normalize(); }
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public double? DeltaCash3 { get => deltaCash3; set => deltaCash3 = value.Normalize(); }
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public double? DeltaCash4 { get => deltaCash4; set => deltaCash4 = value.Normalize(); }
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public double? Gamma3 { get => gamma3; set => gamma3 = value.Normalize(); }
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public double? Gamma4 { get => gamma4; set => gamma4 = value.Normalize(); }
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public double? GammaCash3 { get => gammaCash3; set => gammaCash3 = value.Normalize(); }
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public double? GammaCash4 { get => gammaCash4; set => gammaCash4 = value.Normalize(); }
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public double? ThetaCash3 { get => thetaCash3; set => thetaCash3 = value.Normalize(); }
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public double? ThetaCash4 { get => thetaCash4; set => thetaCash4 = value.Normalize(); }
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public double? Vega3 { get => vega3; set => vega3 = value.Normalize(); }
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public double? Vega4 { get => vega4; set => vega4 = value.Normalize(); }
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/// <summary>
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/// T+1日Delta
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/// </summary>
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public double? DeltaT1 { get => deltaT1; set => deltaT1 = value.Normalize(); }
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// 第i+1个标的的delta
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public double GetDelta(int i)
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{
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double? result;
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switch (i)
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{
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case 0:
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result = Delta;
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break;
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case 1:
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result = Delta2;
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break;
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case 2:
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result = Delta3;
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break;
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case 3:
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result = Delta4;
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break;
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default:
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throw new ArgumentException($"不合法的标的索引${i}");
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}
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return double.IsNaN(result ?? 0.0) ? 0.0 : result ?? 0.0;
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}
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public double GetGamma(int i)
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{
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double? result;
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switch (i)
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{
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case 0:
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result = Gamma;
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break;
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case 1:
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result = Gamma2;
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break;
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case 2:
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result = Gamma3;
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break;
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case 3:
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result = Gamma4;
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break;
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default:
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throw new ArgumentException($"不合法的标的索引${i}");
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}
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return double.IsNaN(result ?? 0.0) ? 0.0 : result ?? 0.0;
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}
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public double GetVega(int i)
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{
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double? result;
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switch (i)
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{
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case 0:
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result = Vega;
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break;
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case 1:
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result = Vega2;
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break;
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case 2:
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result = Vega3;
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break;
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case 3:
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result = Vega4;
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break;
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default:
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throw new ArgumentException($"不合法的标的索引${i}");
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}
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return double.IsNaN(result ?? 0.0) ? 0.0 : result ?? 0.0;
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}
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public double GetDeltaCash(int i)
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{
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double? result;
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switch (i)
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{
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case 0:
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result = DeltaCash;
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break;
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case 1:
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result = DeltaCash2;
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break;
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case 2:
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result = DeltaCash3;
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break;
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case 3:
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result = DeltaCash4;
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break;
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default:
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throw new ArgumentException($"不合法的标的索引${i}");
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}
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return double.IsNaN(result ?? 0.0) ? 0.0 : result ?? 0.0;
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}
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public double GetGammaCash(int i)
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{
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double? result;
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switch (i)
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{
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case 0:
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result = GammaCash;
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break;
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case 1:
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result = GammaCash2;
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break;
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case 2:
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result = GammaCash3;
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break;
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case 3:
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result = GammaCash4;
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break;
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default:
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throw new ArgumentException($"不合法的标的索引${i}");
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}
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return double.IsNaN(result ?? 0.0) ? 0.0 : result ?? 0.0;
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}
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//------------------------------------------
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public int TradeId { get; set; }
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public string BuySell { get; set; }
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public bool Succeeded { get; set; }
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public string ErrorMessage { get; set; }
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/// <summary>
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/// 错误原因
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/// </summary>
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internal TradeValueFailReason FailReason { get; set; }
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/// <summary>
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/// 是否来自手动风险维护
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/// </summary>
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internal bool FromManual { get; set; }
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/// <summary>
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/// 预付金
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/// </summary>
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internal double? Margin { get; set; }
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/// <summary>
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/// 设置错误信息,设置后Succeeded变为false
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/// </summary>
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/// <param name="errorMessage"></param>
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public TradeValueResult SetError(string errorMessage)
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{
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Succeeded = false;
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ErrorMessage = errorMessage;
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return this;
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}
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public double? PricingT { get => pricingT; set => pricingT = value.Normalize(); }
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public override string ToString()
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{
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return Succeeded ? $"[{TradeId}]{UnderlyingCode},pv:{Pv}" : ErrorMessage;
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}
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/// <summary>
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/// 是否敲出
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/// </summary>
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public bool IsKnockOut { get; set; } = false;
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/// <summary>
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/// 敲出收益
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/// </summary>
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public double KnockOutPayoff { get; set; }
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/// <summary>
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/// PV* 如果敲出则为 敲出收益KnockOutPayoff，未敲出 则为PV
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/// </summary>
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public double PvContainsKnockOut { get; set; }
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/// <summary>
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/// Delta* 如果敲出则为0 未敲出 则等于Delta
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/// </summary>
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public double DeltaContainsKnockOut { get; set; }
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/// <summary>
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/// Gamma* 如果敲出则为0 未敲出 则等于Delta
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/// </summary>
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public double GammaContainsKnockOut { get; set; }
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/// <summary>
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/// Theta(轧差)
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/// </summary>
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public double ThetaNet { get; set; }
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/// <summary>
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/// Delta_R
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/// </summary>
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public double? Delta_r { get; set; }
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public double? Delta_r_1bp { get; set; }
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public double? Dv01 { get; set; }
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public double? Gamma_r { get; set; }
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public double? Gamma_r_1bp { get; set; }
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public double? Vega_r { get; set; }
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public double? Vega_r_1bp { get; set; }
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public double? Vega_1bp { get; set; }
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}
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public class TradeValueResultExtend
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{
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public double QuotePv { get; set; }
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public double FloatingWinLoss { get; set; }
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public double QuoteFloatingWinLoss { get; set; }
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public double Commission { get; set; }
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public double QuoteCommission { get; set; }
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public double AnnualFee { get; set; }
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public double QuoteAnnualFee { get; set; }
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public double IM { get; set; }
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public double QuoteIM { get; set; }
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public double PFE { get; set; }
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public double QuotePFE { get; set; }
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public double RealPnl { get;set; }
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}
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public enum TradeValueFailReason
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{
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none,
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/// <summary>
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/// 缺少交易数据
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/// </summary>
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missingTrade,
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/// <summary>
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/// 缺少波动率
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/// </summary>
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missingVol
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}
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}
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