162 lines
4.3 KiB
C#
162 lines
4.3 KiB
C#
using System.ComponentModel;
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namespace YLErp.BLL.Hedge
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{
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/// <summary>
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/// 对冲交易盈亏
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/// </summary>
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public class HedgePnl
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{
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[DisplayName("估值日")]
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public DateTime ValueDate { get; set; }
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[DisplayName("簿记账户信息")]
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public int BookId { get; set; }
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[DisplayName("结构类型")]
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public string TradeType { get; set; }
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[DisplayName("持仓类型")]
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public string PositionType { get; set; }
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[DisplayName("看涨看跌")]
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public string CallPut { get; set; }
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[DisplayName("买入卖出")]
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public string BuySell { get; set; }
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[DisplayName("标的ID")]
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public int UnderlyingId { get; set; }
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[DisplayName("标的代码")]
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public string UnderlyingCode { get; set; }
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[DisplayName("对冲交易唯一编码")]
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public string HedgeUniqueCode { get; set; }
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[DisplayName("份额")]
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public double Notional { get; set; }
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[DisplayName("是否有新增交易")]
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public bool HasNewTrade { get; set; }
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[DisplayName("昨日价值")]
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public double LastPv { get; set; }
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[DisplayName("当日价值")]
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public double Pv { get; set; }
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[DisplayName("时间价值")]
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public double TimeValue { get; set; }
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[DisplayName("当日盈亏")]
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public double DailyPnL { get; set; }
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[DisplayName("已实现盈亏")]
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public double RealizedPnL { get; set; }
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[DisplayName("总盈亏")]
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public double TotalPnl { get; set; }
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[DisplayName("昨日总盈亏")]
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public double LastTotalPnl { get; set; }
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[DisplayName("成本")]
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public double Cost { get; set; }
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/// <summary>
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/// 当日成本
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/// </summary>
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public double TdCost { get; set; }
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[DisplayName("手续费")]
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public double Commission { get; set; }
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[DisplayName("场内期权合约号")]
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public string ExchangeOptionCode { get; set; }
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[DisplayName("行权价")]
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public double Strike { get; set; }
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[DisplayName("结算价格")]
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public double SettlePrice { get; set; }
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[DisplayName("信用风险敞口")]
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public int CreditExposure { get; set; }
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/// <summary>
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/// 场内期权价格(20200927新增)
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/// </summary>
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public double? ExOptionPrice { get; set; }
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#region 风险参数 场内期权使用
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[DisplayName("Delta")]
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public double Delta { get; set; }
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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; set; }
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[DisplayName("SA_Delta")]
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public double SA_Delta { get; set; }
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[DisplayName("Gamma")]
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public double Gamma { get; set; }
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[DisplayName("Vega")]
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public double Vega { get; set; }
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[DisplayName("Delta")]
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public double DeltaCash { get; set; }
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[DisplayName("Delta")]
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public double GammaCash { get; set; }
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[DisplayName("可对冲Delta")]
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public double DeltaInLots { get; set; }
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[DisplayName("可对冲Gamma手数")]
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public double GammaInLots { get; set; }
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[DisplayName("Theta")]
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public double Theta { get; set; }
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[DisplayName("Rho")]
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public double Rho { get; set; }
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[DisplayName("DdeltaDt")]
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public double DdeltaDt { get; set; }
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[DisplayName("DdeltaDvol")]
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public double DdeltaDvol { get; set; }
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[DisplayName("DvegaDt")]
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public double DvegaDt { get; set; }
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[DisplayName("DvegaDvol")]
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public double DvegaDvol { get; set; }
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[DisplayName("Vol")]
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public double Vol { get; set; }
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[DisplayName("手数")]
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public double Lots { get; set; }
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#endregion
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/// <summary>
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/// 行权日(20190328新增)
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/// </summary>
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public DateTime? ExerciseDate { get; set; }
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[DisplayName("持仓盈亏")]
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public double PositionPnl { get; internal set; }
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public override string ToString()
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{
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return string.IsNullOrWhiteSpace(HedgeUniqueCode) ?
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$"{TradeType}-{UnderlyingCode}-{Notional}-HasNewTrade:{HasNewTrade}" : HedgeUniqueCode;
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}
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}
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}
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