108 lines
4.0 KiB
C#
108 lines
4.0 KiB
C#
using YLErp.DBModels.Consts;
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using YLErp.Modules.CalculationModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.EodModule.SettlementModule.V2
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{
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/// <summary>
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/// 临时存放
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/// </summary>
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class EodPositionSettleServiceTemp<TRisk, TPosition, TPnl> : EodSettleServiceBaseV2
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where TPnl : EodPnl, new()
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where TRisk : EodTradeRisk, new()
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where TPosition : EodTradePosition, new()
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{
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public EodPositionSettleServiceTemp(EodSettlementContextV2 context) : base(context)
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{
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}
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#region----盈亏分解V1----
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//判断是否可以进行盈亏分解计算
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private bool CanCalcPnlExplain(OtcTradeBase td)
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{
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switch (td.TradeType)
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{
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case "远期":
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case "收益互换":
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case "自定义交易":
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return false;
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default:
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return true;
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}
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}
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private void CalcPnlExplainV1(trade td, TPnl pnl1, TRisk risk1, double spotPrice1, double riskFreeRate1)
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{
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if (!CanCalcPnlExplain(td))
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{
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return;
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}
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var preRisk = DbContext.Set<TRisk>().Where(n => n.ValueDate < _context.SettleDate && n.TradeId == td.id)
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.OrderByDescending(n => n.ValueDate).Select(n => new { n.ValueDate, n.Vol, n.Pv }).FirstOrDefault();
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if (preRisk == null)
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{
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return;
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}
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DateTime date0;
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double spotPrice0, vol0, riskFreeRate0, PV0, vol1 = risk1.Vol;
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var hisData = DbContext.TradeHisData.Where(n => n.TradeId == td.id && n.ValueDate < _context.SettleDate && n.ValueType == ConsTradeField.NoRiskRate)
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.OrderByDescending(n => n.ValueDate).Select(n => new { n.Value }).FirstOrDefault();
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spotPrice0 = _context.GetPreEodPriceProvider().GetPrice(td.UnderlyingCode, td.SettlementType);
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PV0 = preRisk.Pv;
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vol0 = preRisk.Vol;
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date0 = preRisk.ValueDate;
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riskFreeRate0 = hisData?.Value ?? td.NoRiskRate ?? riskFreeRate1;
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var sdiff = spotPrice1 - spotPrice0;
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pnl1.PnLDelta = risk1.Delta * sdiff;
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pnl1.PnLGamma = risk1.Gamma * sdiff * sdiff / 2;
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pnl1.PnLVega = risk1.Vega * (risk1.Vol - vol0) * 100;
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pnl1.PnLTheta = risk1.Theta * (_context.SettleDate - _context.PreSettleDate).TotalDays;
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pnl1.PnLRho = risk1.Rho * (riskFreeRate1 - riskFreeRate0);
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//交易在上一交易日使用当前交易日的标的价格计算出的Pv
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var PV0s1 = CalcPnlExplainV1(td, date0, spotPrice1, vol0, riskFreeRate0);
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//交易在上一交易日使用当前交易日的波动率计算出的Pv
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var PV0v1 = CalcPnlExplainV1(td, date0, spotPrice0, vol1, riskFreeRate0);
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//交易在上一交易日使用当前交易日的标的价格和波动率计算出的Pv
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var PV0s1v1 = CalcPnlExplainV1(td, date0, spotPrice1, vol1, riskFreeRate0);
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pnl1.PnLPrice = PV0s1 - PV0;
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pnl1.PnLVol = PV0v1 - PV0;
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pnl1.PnLPriceVolCross = PV0s1v1 - PV0 - pnl1.PnLPrice - pnl1.PnLVol;
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}
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private static double CalcPnlExplainV1(trade td, DateTime valueDate, double spotPrice, double vol, double riskFreeRate)
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{
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var req = new OptionValueCalcRequest(riskFreeRate)
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{
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correlations = null,//不计算彩虹等多标的期权暂时不需要
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engineName = null,
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preciseTimeMode = false, //日终一定是false
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isEodCalc = true,
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pricingRequest = QdpPricingRequest.PV_ONLY,
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spotPrices = new[] { spotPrice },
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vols = new[] { vol }
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};
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var result = OptionCalculatorV2.GetOptionValueResult(valueDate, td, req, out _);
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return NumberHelper.Normalize(result.Pv);
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}
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#endregion
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}
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}
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