198 lines
10 KiB
C#
198 lines
10 KiB
C#
using YLErp.BLL;
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using YLErp.BLL.Calculation;
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using YLErp.BLL.Calculation.V2;
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using YLErp.BLL.Calculation.V2.Parameter;
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using YLErp.Modules.ClientModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TQuoteModule
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{
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/// <summary>
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/// WebApi-QdpCalculationController-helper
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/// </summary>
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public static class QdpCalculationApiHelpere
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{
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/// <summary>
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/// 计算某一个期权的买卖价格
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/// </summary>
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public static ClientOptionQuoteResult ValueOptionV2(OptionValueRequest req, string userGroup = null)
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{
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try
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{
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var valueDate = req.ValueDate ?? CalculatorHelper.RealtimeQuoteValueDate();
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if (req.MaturityDate < valueDate)
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{
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return new ClientOptionQuoteResult() { Info = "到期日小于估值日", StatusCode = -1 };
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}
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var qdpMarketId = Guid.NewGuid().ToString();
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var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(qdpMarketId);
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volatility bidVol = null, askVol = null;
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underlying_manager underlying = null;
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Variety variety = null;
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using (var db = DbContextFactory.GetYLDbContext())
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{
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underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(req.UnderlyingCode);
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if (underlying != null)
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{
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underlying.QuotationDate = valueDate;
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if (PS.Config.ErpElement.SkewMapVolConstruction)
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{
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bidVol = askVol = VolatilityHelper.GetVol(valueDate.Date, "交易", underlying.UnderlyingCode, userGroup ?? "");
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}
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else
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{
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bidVol = VolatilityHelper.GetVol(valueDate.Date, "报价Bid", underlying.UnderlyingCode, userGroup ?? "");
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askVol = VolatilityHelper.GetVol(valueDate.Date, "报价Ask", underlying.UnderlyingCode, userGroup ?? "");
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}
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variety = db.variety.FirstOrDefault(x => x.VarietyCode != null && x.id == underlying.UnderlyingTypeId);
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}
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}
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if (underlying != null && bidVol != null && askVol != null)
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{
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//var maturityDate = req.MaturityDate.ToString("yyyy-MM-dd");
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//根据用户设置的bid/ask天数调整规则来分别调整到期日
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//TODO: bidMaturityShift和askMaturityShift应该从某数据库表读取
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var bidMaturityShift = 0;
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var askMaturityShift = 0;
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var otherInfo = "";
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var client_param = ClientPricingParamService.GetPricingParam(valueDate.Date, req.MaturityDate.Date);
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if (client_param != null)
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{
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askMaturityShift = client_param.ask_tuning_day ?? 0;
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bidMaturityShift = client_param.bid_tuning_day ?? 0;
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otherInfo = client_param.ToJson();//$"ask到期日偏离{askMaturityShift}天,bid到期日偏离{bidMaturityShift}天";
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}
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var dayCount = CalculatorHelper.GetTradeDayCount();
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var bidMaturityDate = QdpCalendarHelper.ShiftDate(req.MaturityDate, dayCount, bidMaturityShift).DateTime;
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var askMaturityDate = QdpCalendarHelper.ShiftDate(req.MaturityDate, dayCount, askMaturityShift).DateTime;
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//使用全局的DiscountCurve以提高计算效率
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var discountCurveName = Guid.NewGuid().ToString();
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var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, valuedateBLL.RiskFreeRate / 100.0);
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marketProxy.AddYieldCurve(discountCurveName, valueDate.ToString("yyyy-MM-dd"), discountCurve);
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var volSurfaceName = underlying.GenerateVolSurfaceName();
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var parameter = new VanillaOptionParameter()
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{
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ValueDate = valueDate,
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SpotPrices = new Dictionary<string, double>() { { req.UnderlyingCode, req.SpotPrice } },
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DiscountCurveName = discountCurveName,
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HasNightMarket = variety.HasNightMarket,
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PreciseTimeMode = req.commodityFuturesPreciseTimeMode
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};
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var trade = new trade()
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{
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TradeType = "香草期权",
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TradeDate = valueDate,
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MaturityDate = bidMaturityDate,
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ExerciseDate = bidMaturityDate,
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OptionType = req.OptionType,
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ExerciseMode = req.Exercise,
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BuySell = "Buy",
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Strike = req.Strike,
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Notional = req.Notional,
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UnderlyingCode = req.UnderlyingCode
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};
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parameter.Volatility = VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: bidVol,
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valueDate: valueDate,
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underlyingCode: req.UnderlyingCode,
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exerciseDate: bidMaturityDate,
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strike: req.Strike,
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isBuy: true,
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isCall: req.OptionType == "Call",
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spotPrice: req.SpotPrice,
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isMoneynessOption: false);
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var bidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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trade.MaturityDate = askMaturityDate;
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trade.ExerciseDate = askMaturityDate;
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parameter.Volatility = VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: askVol,
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valueDate: valueDate,
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underlyingCode: req.UnderlyingCode,
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exerciseDate: askMaturityDate,
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strike: req.Strike,
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isBuy: false,
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isCall: req.OptionType == "Call",
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spotPrice: req.SpotPrice,
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isMoneynessOption: false);
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var askResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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var valueResult = new ClientOptionQuoteResult()
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{
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BuyQuote = Math.Abs(bidResult.Pv) / req.Notional,
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BuyVol = bidResult.Vol,
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BuyPv = Math.Abs(bidResult.Pv),
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BuyPercentageQuote = Math.Abs(bidResult.Pv) / req.Notional / req.SpotPrice,
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SellQuote = Math.Abs(askResult.Pv) / req.Notional,
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SellVol = askResult.Vol,
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SellPv = Math.Abs(askResult.Pv),
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SellPercentageQuote = Math.Abs(askResult.Pv) / req.Notional / req.SpotPrice,
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SellMargin =
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CommodityFutureOptionMargin(
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Math.Abs(askResult.Pv),
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req.Notional,
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req.Strike,
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req.SpotPrice,
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variety.Margin ?? 0.0, //避免品种预付金未设置而导致计算出错
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req.OptionType)
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};
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QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
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return valueResult;
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}
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else
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{
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LogFactory.GetLogger().Error($"ValueOptionV2: 未找到标的{req.UnderlyingCode}或其波动率为空！");
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return null;
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}
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger().Error("ValueOptionV2", ex);
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return null;
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}
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}
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/// <summary>
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/// 期货期权卖方交易预付金的收取标准为下列两者中较大者：
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///（1）权利金（期权合约结算价×标的期货合约交易单位）＋标的期货合约交易预付金－期权合约虚值额的一半
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///（2）权利金（期权合约结算价×标的期货合约交易单位）＋标的期货合约交易预付金的一半
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///看涨虚值额 = max（期权合约执行价格 - 标的期货合约当日结算价，0）*合约乘数；
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///看跌虚值额=max（标的期货合约当日结算价 - 期权合约执行价格，0）*合约乘数。
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///豆粕期权的合约乘数是10、标的期货合约的交易单位是10.
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///所以以上2个公式可以结合成为一个公式：
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///预付金=权利金＋MAX（期货预付金－1/2虚值额，1/2期货预付金）
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/// </summary>
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/// <param name="premium">权利金</param>
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/// <param name="amount">交易量</param>
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/// <param name="strike">行权价</param>
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/// <param name="spotPrice">现价</param>
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/// <param name="futureMarginRatio">期货预付金率</param>
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/// <param name="optionType">看涨看跌</param>
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/// <returns></returns>
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private static double CommodityFutureOptionMargin(double premium, double amount, double strike, double spotPrice, double futureMarginRatio, string optionType = "Call")
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{
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var futureMargin = futureMarginRatio * amount * spotPrice;
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var outTheMoney =
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(optionType.ToUpper() == "PUT")
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? Math.Max(spotPrice - strike, 0) * amount //看跌虚值额
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: Math.Max(strike - spotPrice, 0) * amount; //看涨虚值额
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return premium + Math.Max(futureMargin - outTheMoney * 0.5, futureMargin * 0.5);
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}
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}
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}
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