zszq-trs/YLErpDAL/QdpModule/QdpObservationHelperForSnowball.cs

using Qdp.Pricing.Base.Enums;
using YLErp.Models;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 雪球观察日列表帮助类
    /// </summary>
    public static class QdpObservationHelperForSnowball
    {
        /// <summary>
        /// 生成观察日列表
        /// </summary>
        public static IEnumerable<ObservationItemForSnowball> GenerateObservationList(ObservationRequestForSnowball req)
        {
            if (req is null)
            {
                throw new ArgumentNullException(nameof(req));
            }

            req.LockCount--; //前端锁3个月实际代表抹去2个月

            if (req.LockCount < 0)
            {
                req.LockCount = 0;
            }

            var dates = GetDatesWithFixedTerm(req);

            if (dates.Length == 0 || dates[^1] != req.EndDate)
            {
                var arr = new DateTime[dates.Length + 1];
                dates.CopyTo(arr, 0);
                dates = arr;
                dates[^1] = req.EndDate;
            }

            if (dates.Length <= req.LockCount)
            {
                req.LockCount = dates.Length - 1;
            }

            var kobarrier = req.KoBarrier;
            var touchLimit = Math.Abs(req.KoBarrierStep) < 1e-6;
            var list = new List<ObservationItemForSnowball>(dates.Length);

            var noTouchLimit = req.KoBarrierStep > 0 ? req.KoBarrierLimit < req.KoBarrier : req.KoBarrierLimit > req.KoBarrier;

            for (var i = req.LockCount; i < dates.Length; i++)
            {
                var date = dates[i].ToString("yyyy-MM-dd");

                var item = new ObservationItemForSnowball
                {
                    KoDate = date,
                    CouponDate = date,
                    KoBarrier = kobarrier,
                    KoCoupon = req.KoCoupon
                };

                //票息支付日递延
                if (req.CouponPaymentDateDeferred != 0)
                {
                    item.CouponDate = QdpCalendarHelper.AddDate(dates[i], req.CouponPaymentDateDeferred).ToString("yyyy-MM-dd");
                }

                if (i > req.LockCount)
                {
                    if (noTouchLimit)
                    {
                        kobarrier += req.KoBarrierStep;
                        item.KoBarrier = kobarrier;
                    }
                    else if (!touchLimit)
                    {
                        kobarrier += req.KoBarrierStep;

                        touchLimit = req.KoBarrierStep > 0
                            ? kobarrier > req.KoBarrierLimit : kobarrier < req.KoBarrierLimit;

                        if (touchLimit)
                        {
                            kobarrier = req.KoBarrierLimit;
                        }

                        item.KoBarrier = kobarrier;
                    }
                }

                list.Add(item);
            }

            return list;
        }

        /// <summary>
        /// 
        /// </summary>
        private static DateTime[] GetDatesWithFixedTerm(ObservationDatesRequest req)
        {
            //观察日间隔

            if (string.IsNullOrEmpty(req.Interval))
            {
                req.Interval = "1D";
            }

            //节假日调整，可选值:None 不调整、Previous 向前调整、Following 向后调整，默认:向后调整

            var bdc = BusinessDayConvention.Following;

            if (!string.IsNullOrWhiteSpace(req.HolidayAdjustment))
            {
                bdc = req.HolidayAdjustment switch
                {
                    "None" => BusinessDayConvention.None,
                    "Previous" => BusinessDayConvention.Previous,
                    "ModifiedPrevious" => BusinessDayConvention.ModifiedPrevious,
                    "Following" => BusinessDayConvention.Following,
                    "ModifiedFollowing" => BusinessDayConvention.ModifiedFollowing,
                    _ => throw new ServiceException("请求参数'HolidayAdjustment'的值不符合要求"),
                };
            }

            //对齐规则，可选值:EndDate 向到期日对齐、StartDate 向开始日对齐，默认:向到期日对齐

            var alignEnd = true;

            if (!string.IsNullOrEmpty(req.Alignment))
            {
                alignEnd = req.Alignment switch
                {
                    "EndDate" or "向到期日对齐" => true,
                    "StartDate" or "向开始日对齐" => false,
                    _ => throw new ServiceException("请求参数'Alignment'的值不符合要求"),
                };
            }

            if (!string.IsNullOrEmpty(req.CalcMode))
            {
                switch (req.CalcMode)
                {
                    case "00":
                    case "01":
                    case "10":
                    case "11": break;
                    default: throw new ServiceException("请求参数'CalcMode'的值不符合要求");
                }
            }
            else
            {
                req.CalcMode = "01";
            }

            return QdpObservationHelper.GetDatesWithFixedTerm(req.StartDate, req.EndDate, req.Interval, bdc, alignEnd, req.CalcMode);
        }
    }

    /// <summary>
    /// 雪球观察日列表数据项
    /// </summary>
    public class ObservationItemForSnowball
    {
        /// <summary>
        /// 敲出观察日
        /// </summary>
        public string KoDate { get; set; }

        /// <summary>
        /// 票息支付日
        /// </summary>
        public string CouponDate { get; set; }

        /// <summary>
        /// 敲出障碍价格
        /// </summary>
        public double KoBarrier { get; set; }

        /// <summary>
        /// 敲出票息
        /// </summary>
        public string KoCoupon { get; set; }
    }
}