zszq-trs/YLErpDAL/Modules/VolatilityModule/SkewMapVolModule/SkewVolQueryService.cs

using BaseOUDAL;
using System.Text.RegularExpressions;
using YLErp.Modules.CalculationModule;

namespace YLErp.Modules.VolatilityModule.SkewMapVolModule
{
    /// <summary>
    /// 从数据库中查询SkewVol
    /// </summary>
    public class SkewVolQueryService
    {
        public static volatility GetVol(int userId, SkewVolRequest req)
        {
            if (req is null)
            {
                throw new ArgumentNullException(nameof(req));
            }

            if (string.IsNullOrWhiteSpace(req.VolType))
            {
                throw new Exception("波动率类型不能为空");
            }

            var userGroup = UserBLL.GetUserGroup(userId);

            var vols = VolatilityHelper.GetVol(req.valueDate, "交易", req.UnderlyingCode, userGroup);

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

            var singleVols = vols.VolTable;

            for (var i = 0; i < singleVols.Count; i++)
            {
                if (!Regex.IsMatch(singleVols[i].Expire, @"\d")) { continue; }

                var ExerciseDate = GetExerciseDate(req.valueDate, singleVols[i].Expire);

                singleVols[i].Vol = SkewMapVolHelper.GetInterpolatedVol(
                        volSurface: vols,
                        valueDate: req.valueDate,
                        underlyingCode: req.UnderlyingCode,
                        exerciseDate: ExerciseDate,
                        strikePrice: req.Strike,
                        isBuy: req.VolType == "报价Bid",
                        isCall: false,
                        spotPrice: req.Strike,
                        skewMapVolVar: (int)(req.VolType == "报价Bid" ? vols.GetBidVar() : vols.GetAskVar())
                    );
            }
            vols.Data = singleVols.ToJson();
            return vols;
        }

        private static DateTime GetExerciseDate(DateTime valueDate, string term)
        {
            var result = valueDate;
            var m = Regex.Match(term, @"^(?<num>\d+)(?<unit>[D|W|M|Y])$");
            if (!m.Success) { return result; }
            var number = int.Parse(m.Groups["num"].Value);
            switch (m.Groups["unit"].Value)
            {
                case "D":
                    result = result.AddDays(number);
                    break;
                case "W":
                    result = result.AddDays(number * 7);
                    break;
                case "M":
                    result = result.AddMonths(number).AddDays(-1);
                    break;
                case "Y":
                    result = result.AddYears(number).AddDays(-1);
                    break;
            }
            return result;
        }
    }

    public class SkewVolRequest
    {
        public DateTime valueDate { get; set; }

        public string VolType { get; set; }

        public string UnderlyingCode { get; set; }

        public double Strike { get; set; }
    }
}