zszq-trs/YLErpDAL/Modules/VolatilityModule/SingleVolService.cs

using BaseOUDAL;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.SkewMapVolModule;
using YLErp.QdpModule;
using YLErp.QdpModule.Constants;

namespace YLErp.Modules.VolatilityModule
{
    /// <summary>
    /// 波动率取值服务
    /// </summary>
    public class SingleVolService
    {
        public static double GetSingleVol(SingleVolReq singleVolReq, int userId, bool isEodCalc = false)
        {
            if (string.IsNullOrWhiteSpace(singleVolReq.VolType))
            {
                throw new ServiceException("波动率类型不能为空");
            }

            if (singleVolReq.ExerciseDate == DateTime.MinValue)
            {
                throw new ServiceException("行权日不能为空");
            }

            if (singleVolReq.TradeDate == DateTime.MinValue)
            {
                throw new ServiceException("交易日期不能为空");
            }

            if (PS.Config.ErpElement.SkewMapVolConstruction)
            {
                return GetSingleVolWithSkewMapMode(singleVolReq, userId);
            }
            else
            {
                return GetSingleVolWithNormalMode(singleVolReq, userId, isEodCalc);
            }
        }

        //获取正常模式的波动率
        private static double GetSingleVolWithNormalMode(SingleVolReq singleVolReq, int userId, bool isEodCalc = false)
        {
            var userGroup = singleVolReq.UserGroup.TrimToNull() ?? UserBLL.GetUserGroup(userId);
            var volatility = new VolatilityQueryService(OptUserInfo.SystemUser)
                .GetVolatility(userGroup, singleVolReq.TradeDate, singleVolReq.VolType, singleVolReq.UnderlyingCode);
            if (volatility == null)
            {
                throw new ServiceException($"没有找到{singleVolReq.VolType}波动率数据:{singleVolReq.UnderlyingCode}");
            }
            if (volatility is VolatilityDefault)
            {
                return ConsVolInfos.defVol;
            }
            var req = new InterpolatedVolReq
            {
                valueDate = singleVolReq.TradeDate,
                exerciseDate = singleVolReq.ExerciseDate,
                strike = singleVolReq.Strike,
                isMoneynessOption = singleVolReq.IsMoneynessOption == "是",
                isEodCalc = isEodCalc,
                spot = singleVolReq.SpotPrice,
                volSurfaceType = volatility.VolSurfaceMode
            };
            return QdpVolHelper.GetInterpolatedVolFromNormalSurface(volatility.VolTable, req, volatility.InterpolationMethod);
        }

        //获取skew模式的波动率
        private static double GetSingleVolWithSkewMapMode(SingleVolReq req, int userId)
        {
            if (req.Vols == null)
            {
                var userGroup = UserBLL.GetUserGroup(userId);
                req.Vols = new VolatilityQueryService(OptUserInfo.SystemUser)
                    .GetVolatility(userGroup, req.TradeDate, "交易", req.UnderlyingCode);
            }

            if (req.Vols == null || string.IsNullOrEmpty(req.Vols.VolSurfaceMode))
            {
                throw new InvalidOperationException($"找不到波动率曲面{req.UnderlyingCode}");
            }

            if (!req.BaseVol.HasValue)
            {
                throw new InvalidOperationException($"参数BaseVol缺失");
            }

            //var initParam = new VolSurfaceInitParamsBuilder(userId.ToString()).SetValueDate(singleVolReq.TradeDate)
            //    .SetUnderlying(singleVolReq.UnderlyingId, singleVolReq.UnderlyingCode, singleVolReq.UnderlyingName).SetVolatility(volatility).Build();

            //VolSurfaceInitializerSingleton.GetInitializer(false).InitializeMarketProxy(initParam);

            if (req.VolType == "报价Bid")
            {
                if (!req.BidVar.HasValue || req.BidVar.Value < 1)
                {
                    return 0;
                }
                //var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(userId.ToString());
                var baseVolSurface = SkewMapVolHelper.GetSkewMapBaseVolSurface(req.UnderlyingCode, req.Vols);
                var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);

                var t = TradeCalcHelper.CalculateTTMDays(
                    req.TradeDate,
                    req.ExerciseDate,
                    req.UnderlyingTypeId,
                    precisionOfMinute: false);

                return skewMapVolSurface.GetVolWithBaseVol(
                    baseVol: req.BaseVol.Value,
                    t: Math.Ceiling(t), //不考虑日内精确时间
                    k: req.Strike,
                    spot: req.SpotPrice,
                    isCall: req.CallPut == "Call",
                    isBuy: true,
                    var: req.BidVar ?? 0);
            }
            else if (req.VolType == "报价Ask")
            {
                if (!req.AskVar.HasValue || req.AskVar.Value < 1)
                {
                    return 0;
                }

                //var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(userId.ToString());
                var baseVolSurface = SkewMapVolHelper.GetSkewMapBaseVolSurface(req.UnderlyingCode, req.Vols);
                var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);

                var t = TradeCalcHelper.CalculateTTMDays(
                    req.TradeDate,
                    req.ExerciseDate,
                    req.UnderlyingTypeId,
                    precisionOfMinute: false);

                return skewMapVolSurface.GetVolWithBaseVol(
                    baseVol: req.BaseVol.Value,
                    t: Math.Ceiling(t), //不考虑日内精确时间
                    k: req.Strike,
                    spot: req.SpotPrice,
                    isCall: req.CallPut == "Call",
                    isBuy: false,
                    var: req.AskVar ?? 0);
            }
            else
            {
                throw new Exception("波动率类型应为'报价Bid'或'报价Ask'");
            }
        }
    }
}