zszq-trs/YLErpDAL/Modules/CalculationModule/Models/OptionCalcParam.cs

using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Enums;
using Qdp.Pricing.Base.Implementations;
using YLErp.Enums;
using YLErp.QdpModule;
using YLErp.ThirdParty.CaculatePrice.DongZheng.Dto;

namespace YLErp.Modules.CalculationModule
{
    #region----基类----

    /// <summary>
    /// 期权交易要素
    /// </summary>
    public abstract class OptionTradeParamBase
    {
        /// <summary>
        /// 交易类型
        /// </summary>
        public abstract string tradeType { get; }

        /// <summary>
        /// 标的代码
        /// </summary>
        public string[] underlyingTickers { get; set; }

        /// <summary>
        /// 行权价
        /// </summary>
        public double strike { get; set; }

        /// <summary>
        /// 开始日期
        /// </summary>
        public Date startDate { get; set; }

        Date _tradeDate;

        /// <summary>
        /// tradeDate(未赋值时返回startDate)
        /// </summary>
        public Date tradeDate
        {
            get => _tradeDate ?? startDate;
            set => _tradeDate = value;
        }

        /// <summary>
        /// 标的到期日
        /// endDate必须有值否则QDP会报错
        /// </summary>
        public Date endDate { get; set; }

        /// <summary>
        /// 行权期日
        /// </summary>
        public Date exerciseDate { get; set; }

        /// <summary>
        /// 行权期日(原始值)
        /// </summary>
        public Date originalExerciseDate
        {
            get => _originalExerciseDate ?? exerciseDate;
            set => _originalExerciseDate = value;
        }

        /// <summary>
        /// 结算日期
        /// </summary>
        public Date settlementDate { get; set; }

        /// <summary>
        /// 行权类型(European|American)
        /// </summary>
        public virtual string exerciseType { get; set; }

        private string _buySell = "Buy";

        /// <summary>
        /// trade.BuySell的转换处理
        /// </summary>
        public string buysell
        {
            get => _buySell;
            set => _buySell = value == "Buy" || value == "买入" || string.IsNullOrWhiteSpace(value) ? "Buy" : "Sell";
        }

        /// <summary>
        /// 无风险利率
        /// </summary>
        public double riskFreeRate { get; set; }

        /// <summary>
        /// 分红率
        /// </summary>
        public double dividendRate { get; set; }

        string _underlyingInstrumentType;
        private Date _originalExerciseDate;

        /// <summary>
        /// 标的资产类型
        /// </summary>
        public string underlyingInstrumentType
        {
            get => _underlyingInstrumentType;
            set => _underlyingInstrumentType = ConsGlobal.InstrumentType.ConvertCalcType(value,true);
        }

        /// <summary>
        /// 看涨看跌(Call|Put)
        /// </summary>
        public virtual OptionType optionType { get; set; }

        /// <summary>
        /// 看涨看跌(Call|Put)
        /// optionType的别名
        /// </summary>
        public OptionType callput
        {
            get => optionType;
            set => optionType = value;
        }

        /// <summary>
        /// 份额
        /// </summary>
        public double notional { get; set; }

        /// <summary>
        /// 行权价是否百分比格式(有可能trade上是true但这个值取false,比如处理累计期权就固定取了false)
        /// </summary>
        public bool isMoneynessOption { get; set; }

        /// <summary>
        /// 行权价是否百分比格式()
        /// </summary>
        internal bool isMoneynessOptionOrigianl { get; set; }

        /// <summary>
        /// 期初标的价格
        /// </summary>
        public double initialSpotPrice { get; set; }

        /// <summary>
        /// 是否有夜盘
        /// </summary>
        public bool hasNightMarket { get; set; }

        /// <summary>
        /// 参与率
        /// </summary>
        public double participationRate { get; set; } = 1.0;

        /// <summary>
        /// 保底收益率
        /// </summary>
        public double principalRate { get; set; }

        /// <summary>
        /// 是否期权年化
        /// </summary>
        public virtual bool isAnnualized { get; set; }

        /// <summary>
        /// 期权年化系数
        /// </summary>
        public double annualizedFactor { get; set; } = 1.0;

        /// <summary>
        /// 是否使用精确时间模式
        /// </summary>
        public bool preciseTimeMode { get; set; }

        /// <summary>
        /// 交易ID
        /// </summary>
        public string tradeId { get; set; }

        /// <summary>
        /// 交易编号
        /// </summary>
        public string tradeNumber { get; set; }

        /// <summary>
        /// ttmDays
        /// </summary>
        public double timeToMaturityDays { get; set; } = double.NaN;

        /// <summary>
        /// 
        /// </summary>
        public Dictionary<Date, double> dividends { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public string[] volSurfaceNames { get; set; }

        /// <summary>
        /// 是否合成远期交易(除香草和合成价差外其他都应该是false)
        /// </summary>
        public bool isForwardTrade { get; set; }

        public override string ToString()
        {
            return tradeType;
        }

        /// <summary>
        /// 对象克隆
        /// </summary>
        public OptionTradeParamBase Clone()
        {
            return (OptionTradeParamBase)MemberwiseClone();
        }

        /// <summary>
        /// 获取绝对行权价
        /// </summary>
        public double GetAbsStrike()
        {
            return isMoneynessOption ? strike * initialSpotPrice : strike;
        }
    }

    #endregion

    #region----香草期权----

    /// <summary>
    /// 香草期权
    /// </summary>
    public class VanillaOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "香草期权";
    }

    #endregion

    #region----合成价差期权----

    /// <summary>
    /// 合成价差期权
    /// </summary>
    public class SSpreadOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "合成价差期权";

        /// <summary>
        /// 合约系数
        /// </summary>
        public double[] coefficients { get; set; }
    }

    #endregion

    #region----彩虹期权----

    /// <summary>
    /// 彩虹期权
    /// </summary>
    public class RainbowOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "彩虹期权";

        public double[] strikes { get; set; }

        public string rainbowType { get; set; }

        public double cashAmount { get; set; }

        public double correlation { get; set; }
    }

    #endregion

    #region----亚式期权----

    /// <summary>
    /// 亚式期权
    /// </summary>
    public class AsianOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "亚式期权";

        /// <summary>
        /// 亚式期权类型
        /// </summary>
        public string payoffType { get; set; }

        /// <summary>
        /// 结算类型
        /// </summary>
        public string settleMode { get; set; }

        /// <summary>
        /// 行权价类型
        /// </summary>
        public string strikeStyle { get; set; }

        /// <summary>
        /// 杠杆率
        /// </summary>
        public double strikeGearingFactor { get; set; } = 1;

        /// <summary>
        /// fixing
        /// </summary>
        public string fixings { get; set; }

        /// <summary>
        /// 起算日
        /// </summary>
        public Date averagingPeriodStartDate { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 增强价格
        /// </summary>
        public double enhancedPrice { get; set; }
    }

    #endregion

    #region----障碍期权----

    /// <summary>
    /// 障碍期权
    /// </summary>
    public class BarrierOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "障碍期权";

        /// <summary>
        /// 障碍类型
        /// </summary>
        public string barrierType { get; set; }

        /// <summary>
        /// 障碍价格
        /// </summary>
        public double barrierPrice { get; set; }

        /// <summary>
        /// 高障碍价格
        /// </summary>
        public double upperBarrierPrice { get; set; }

        /// <summary>
        /// 是否离散观察
        /// </summary>
        public bool isDiscrete { get; set; }

        /// <summary>
        /// 敲入观察频率
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 补偿金额
        /// </summary>
        public double rebate { get; set; }

        /// <summary>
        /// 高障碍补偿金额
        /// </summary>
        public double rebateHigh { get; set; }

        /// <summary>
        /// 补偿支付类型
        /// </summary>
        public string rebateType { get; set; } = string.Empty;

        /// <summary>
        /// 障碍偏移
        /// </summary>
        public double barrierShift { get; set; }

        /// <summary>
        /// 敲入状态
        /// </summary>
        public string barrierStatus { get; set; } = "Monitoring";

        /// <summary>
        /// 补偿按敲出日年化
        /// </summary>
        public bool rebateAnnualizedAtKO { get; set; }

        /// <summary>
        /// 补偿计息规则
        /// </summary>
        public string rebateDayCount { get; set; }
    }

    #endregion

    #region----二元期权----

    /// <summary>
    /// 二元期权
    /// </summary>
    public class BinaryOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "二元期权";

        /// <summary>
        /// 看涨看跌
        /// </summary>
        public override OptionType optionType
        {
            get => ConsGlobal.ExerciseMode.IsAmerican(exerciseType) ? OptionType.Call : base.optionType;
            set => base.optionType = value;
        }

        /// <summary>
        /// 二元类型
        /// </summary>
        public string payoffType { get; set; }

        /// <summary>
        /// 高障碍价格
        /// </summary>
        public double upperBarrier { get; set; } = double.NaN;

        /// <summary>
        /// 补偿金额
        /// </summary>
        public double cashOrNothingAmount { get; set; }

        /// <summary>
        /// 高障碍补偿金额
        /// </summary>
        public double cashOrNothingAmountHigh { get; set; } = double.NaN;

        /// <summary>
        /// 是否离散观察
        /// </summary>
        public bool isDiscreteMonitored { get; set; }
        /// <summary>
        /// 敲入观察频率
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 补偿支付
        /// </summary>
        public string binaryRebateType { get; set; } = "AtEnd";

        /// <summary>
        /// 
        /// </summary>
        public string binaryOptionReplicationStrategy { get; set; } = "None";

        /// <summary>
        /// 
        /// </summary>
        public double replicationShiftSize { get; set; }

        /// <summary>
        /// 补偿按敲出日年化
        /// </summary>
        public bool rebateAnnualizedAtKO { get; set; }

        /// <summary>
        /// 补偿计息规则
        /// </summary>
        public string rebateDayCount { get; set; }
    }

    #endregion

    #region----价差期权----

    /// <summary>
    /// 价差期权
    /// </summary>
    public class SpreadOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "价差期权";

        /// <summary>
        /// 
        /// </summary>
        public double[] weights { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public SpreadType spreadType { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public double[] correlations { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public double[] dividendRates { get; set; }
    }

    #endregion

    #region----双鲨期权----

    /// <summary>
    /// 双鲨期权
    /// </summary>
    public class DoubleSharkFinOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "双鲨期权";

        /// <summary>
        /// 低行权价
        /// </summary>
        public double strikeLow { get; set; }

        /// <summary>
        /// 高行权价
        /// </summary>
        public double strikeHigh { get; set; }

        /// <summary>
        /// 高障碍价格
        /// </summary>
        public double barrierHigh { get; set; }

        /// <summary>
        /// 低障碍价格
        /// </summary>
        public double barrierLow { get; set; }

        /// <summary>
        /// 高参与率
        /// </summary>
        public double callParticipationRate { get; set; }

        /// <summary>
        /// 低参与率
        /// </summary>
        public double putParticipationRate { get; set; }

        /// <summary>
        /// 补偿金额
        /// </summary>
        public double rebate { get; set; }

        /// <summary>
        /// 高补偿金额
        /// </summary>
        public double rebateHigh { get; set; } = double.NaN;

        /// <summary>
        /// 补偿支付方式
        /// </summary>
        public string rebateType { get; set; } = string.Empty;

        /// <summary>
        /// 是否离散观察
        /// </summary>
        public bool isDiscrete { get; set; }

        /// <summary>
        /// 敲入观察频率
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 敲入敲出状态
        /// </summary>
        public string barrierStatus { get; set; } = "Monitoring";
    }

    #endregion

    #region----凤凰期权----

    /// <summary>
    /// 凤凰期权
    /// </summary>
    public class AutocallOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "凤凰期权";

        /// <summary>
        /// 行权类型(European|American)
        /// </summary>
        public override string exerciseType
        {
            get => "European";
            set { }
        }

        /// <summary>
        /// 票息
        /// </summary>
        public double coupon { get; set; }

        /// <summary>
        /// 票息年化
        /// </summary>
        public bool isFixedCoupon { get; set; }

        /// <summary>
        /// 票息日历规则
        /// </summary>
        public string couponDayCount { get; set; }

        /// <summary>
        /// 票息障碍价格
        /// </summary>
        public double couponBarrier { get; set; }

        /// <summary>
        /// 票息当期支付
        /// </summary>
        public bool couponPayAtMaturity { get; set; }

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

        /// <summary>
        /// 敲出观察频率
        /// </summary>
        public string koObservationDateStr { get; set; }

        /// <summary>
        /// 敲入障碍价格
        /// </summary>
        public double kiBarrier { get; set; }

        /// <summary>
        /// 敲入观察频率
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 敲入未敲出仍支付票息
        /// </summary>
        public bool includeCouponAfterKI { get; set; }

        /// <summary>
        /// 敲入期权行权价2
        /// </summary>
        public double spreadStrike { get; set; }

        /// <summary>
        /// 敲入期权类型(默认:Put)
        /// </summary>
        public string kiOptionType { get; set; } = "Put";

        /// <summary>
        /// 
        /// </summary>
        public string barrierStatus { get; set; } = "Monitoring";

        /// <summary>
        /// 
        /// </summary>
        public List<autocall_observation> happenedObservations { get; set; }

        /// <summary>
        /// 期权年化
        /// </summary>
        public override bool isAnnualized
        {
            get => annualizedOptionPayoff;
            set => annualizedOptionPayoff = value;
        }

        /// <summary>
        /// 期权年化
        /// </summary>
        public bool annualizedOptionPayoff { get; set; }
    }

    #endregion

    #region----雪球期权----

    /// <summary>
    /// 雪球期权
    /// </summary>
    public class SnowballOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "雪球期权";

        /// <summary>
        /// 行权类型(European|American)
        /// </summary>
        public override string exerciseType
        {
            get => "European";
            set { }
        }

        #region 敲出设置

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

        /// <summary>
        /// 敲出观察日期
        /// </summary>
        public string koObservationDateStr { get; set; }

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

        /// <summary>
        /// 敲出票息率
        /// </summary>
        public double koRebate { get; set; }

        /// <summary>
        /// 票息日历规则
        /// </summary>
        public string couponDayCount { get; set; }

        /// <summary>
        /// 是否固定票息
        /// </summary>
        public bool isFixedCoupon { get; set; }

        /// <summary>
        /// 是否敲出转期权
        /// </summary>
        public bool useOptionPayoffAtKO { get; set; }

        /// <summary>
        /// 敲出转期权类型(默认:Call)
        /// </summary>
        public OptionType koOptionType { get; set; } = OptionType.Call;

        /// <summary>
        /// 敲出期权行权价1(敲出转期权时使用)
        /// </summary>
        public double koStrike { get; set; } = double.NaN;

        /// <summary>
        /// 敲出期权行权价2(敲出装价差期权时使用)
        /// </summary>
        public double spreadStrikeAtKO { get; set; }

        /// <summary>
        /// 已经被废弃(界面已经没有可输入的地方)
        /// </summary>
        public double koBarrierAdjustStep { get; set; }

        #endregion

        #region 敲入设置

        /// <summary>
        /// 敲入转期权类型(默认:Put)
        /// </summary>
        public OptionType kiOptionType { get; set; } = OptionType.Put;

        /// <summary>
        /// 敲入障碍价格
        /// </summary>
        public double kiBarrier { get; set; }

        /// <summary>
        /// 敲入观察频率
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 未敲出转期权
        /// </summary>
        public bool useOptionPayoffAtMaturity { get; set; }

        /// <summary>
        /// 敲入期权行权价2
        /// </summary>
        public double spreadStrikeAtMaturity { get; set; }

        #endregion

        /// <summary>
        /// 红利票息
        /// </summary>
        public double coupon { get; set; }

        /// <summary>
        /// 年化期权费率(用于年化权利金模式的保本雪球)
        /// </summary>
        public double? annualizedPremiumRate { get; set; }

        /// <summary>
        /// 敲入敲出状态
        /// </summary>
        public string barrierStatus { get; set; } = "Monitoring";

        /// <summary>
        /// 期权年化
        /// </summary>
        public override bool isAnnualized
        {
            get => annualizedOptionPayoff;
            set => annualizedOptionPayoff = value;
        }

        /// <summary>
        /// 期权年化
        /// </summary>
        public bool annualizedOptionPayoff { get; set; }
    }

    /// <summary>
    /// 专业版雪球
    /// </summary>
    public class SnowballSpecialistOptionTradeParam : SnowballOptionTradeParam
    {
        public override string tradeType => "专业雪球期权";

        /// <summary>
        /// 行权类型(European|American)
        /// </summary>
        public override string exerciseType
        {
            get => "European";
            set { }
        }


        /// <summary>
        /// 预付金是否参与定价
        /// </summary>
        public bool PrepaymentUsed { get; set; }
        /// <summary>
        /// 预付金比例
        /// </summary>
        public double PrepaymentRatio { get; set; }
        /// <summary>
        /// 预付金返息率
        /// </summary>
        public double PrepaymentInterestRate { get; set; }

        /// <summary>
        /// 预付金折现率
        /// </summary>
        public double? PrepaymentConvertCashRate { get; set; }

        /// <summary>
        /// 终日是否计息
        /// </summary>
        public bool CouponIncludeEndDate { get; set; }
        /// <summary>
        /// 增强参与率
        /// </summary>
        public double EnhancedParticipationRate { get; set; }
        /// <summary>
        /// 敲入参与率
        /// </summary>
        public double KIParticipationRate { get; set; }
        /// <summary>
        /// 保本比率
        /// </summary>
        public double PrincipalProtectionRate { get; set; }
        /// <summary>
        /// 敲入观察设置，0:手动，1:每日观察,2:仅到期日观察
        /// </summary>
        public KIObservationType KIObservationType { get; set; }
    }

    #endregion

    #region---气囊结构----

    /// <summary>
    /// 气囊结构
    /// </summary>
    public class AirBagOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "气囊结构";

        /// <summary>
        /// 障碍价格
        /// </summary>
        public double barrier { get; set; }

        /// <summary>
        /// 高行权价
        /// </summary>
        public double highStrike { get; set; }

        /// <summary>
        /// 敲入参与率
        /// </summary>
        public double kiParticipationRate { get; set; }

        /// <summary>
        /// 是否收益封顶
        /// </summary>
        public bool hasPayoffLimit { get; set; }

        /// <summary>
        /// 是否离散观察
        /// </summary>
        public bool isDiscrete { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public string observationDateStr { get; set; }

        /// <summary>
        /// 敲入敲出状态
        /// </summary>
        public string barrierStatus { get; set; } = "Monitoring";

        /// <summary>
        /// 看涨看跌
        /// </summary>
        public override OptionType optionType
        {
            get => OptionType.Call;
            set { }
        }
    }

    #endregion

    #region----收益增强结构----

    /// <summary>
    /// 收益增强结构
    /// </summary>
    public class UnderlyingEnhanceTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "收益增强结构";

        /// <summary>
        /// 看涨看跌
        /// </summary>
        public override OptionType optionType
        {
            get => OptionType.Call;
            set { }
        }

        public double annualizedEnhanceRate { get; set; }
    }

    #endregion

    #region----区间累积----

    /// <summary>
    /// 区间累积结构
    /// </summary>
    public class RangeAccrualTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "区间累积期权";

        /// <summary>
        /// 行权类型(European|American)
        /// </summary>
        public override string exerciseType
        {
            get => "European";
            set { }
        }

        /// <summary>
        /// 看涨看跌
        /// </summary>
        public override OptionType optionType
        {
            get => OptionType.Call;
            set { }
        }

        public double lowerRange { get; set; }

        public double upperRange { get; set; }

        public double bonusRate { get; set; }

        public string observationDateStr { get; set; }

        public string fixings { get; set; }

        public List<autocall_observation> happenedObservations { get; set; }
    }

    #endregion

    #region----累计期权----

    /// <summary>
    /// 标准累计期权
    /// </summary>
    public class AccumulatorOptionTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "累计期权";

        /// <summary>
        /// 看涨乘数
        /// </summary>
        public double CallMultiplier { get; set; }

        /// <summary>
        /// 看跌乘数
        /// </summary>
        public double PutMultiplier { get; set; }

        /// <summary>
        /// 敲出是否终止
        /// </summary>
        public bool EarlyTerminate { get; set; }

        /// <summary>
        /// 是否支付票息
        /// </summary>
        public bool PayCoupon { get; set; }

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

        /// <summary>
        /// 票息日历规则
        /// </summary>
        public string couponDayCount { get; set; }

        /// <summary>
        /// 是否固定票息
        /// </summary>
        public bool isFixedCoupon { get; set; }

        /// <summary>
        /// 是否首日计息
        /// </summary>
        public bool includeStartDateCoupon { get; set; }

        /// <summary>
        /// 累计类型
        /// </summary>
        public string AccumuType { get; set; }

        /// <summary>
        /// 结算方式(现金当日/现金期末/实物交割)
        /// </summary>
        public string SettlementMode { get; set; }

        /// <summary>
        /// 障碍价格
        /// </summary>
        public double Barrier { get; set; }

        /// <summary>
        /// 票息金额
        /// </summary>
        public double Coupon { get; set; }

        /// <summary>
        /// 观察日列表
        /// </summary>
        public string KOObservationDates { get; set; }

        /// <summary>
        /// 上下限价格模式:等于上下限价格时敲出或买方赔付
        /// </summary>
        public bool updownPriceMode { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public List<autocall_observation> happenedObservations { get; set; }
    }

    /// <summary>
    /// 三段式累计期权
    /// </summary>
    public class SegmentedAccumulatorOptionTradeParam : AccumulatorOptionTradeParam
    {
        public override string tradeType => "三段式累计期权";

        private new double CallMultiplier { get; set; }

        private new double PutMultiplier { get; set; }

        /// <summary>
        /// (20221008)票息金额2
        /// <para>三段式有效</para>
        /// </summary>
        public double Coupon2 { get; set; }

        /// <summary>
        /// 乘数1
        /// <pare>标准累购:put</pare>
        /// <pare>标准累沽:put</pare>
        /// <pare>三段式累购:put</pare>
        /// <pare>三段式累沽:put 1</pare>
        /// </summary>
        public double Multiplier1 { get; set; }

        /// <summary>
        /// 乘数2
        /// <para>标准累购:call</para>
        /// <para>标准累沽:call</para>
        /// <para>三段式累购:call 1</para>
        /// <para>三段式累沽:put 2</para>
        /// </summary>
        public double Multiplier2 { get; set; }
        /// <summary>
        /// (20221008)乘数3
        /// <para>三段式有效</para>
        /// <para>三段累购:call 2</para>
        /// <para>三段累沽:call</para>
        /// </summary>
        public double Multiplier3 { get; set; }

        /// <summary>
        /// (20221008)结算方式2(现金当日/现金期末/实物交割)
        /// <para>三段式不支持现金期末</para>
        /// </summary>
        public string SettleMode2 { get; set; }

        /// <summary>
        /// (20221008)结算方式3(现金当日/现金期末/实物交割)
        /// <para>三段式不支持现金期末</para>
        /// </summary>
        public string SettleMode3 { get; set; }

        /// <summary>
        /// (20221008)行权价2
        /// </summary>
        public double Strike2 { get; set; }

        /// <summary>
        /// (20221008)行权价3
        /// <para>三段式有效</para>
        /// </summary>
        public double Strike3 { get; set; }
    }
    #endregion

    #region----现金流交易----

    public class CashFlowTradeParam : OptionTradeParamBase
    {
        public override string tradeType => "现金流交易";

        /// <summary>
        /// 利率
        /// </summary>
        public double ProfitRate { get; set; }

        /// <summary>
        /// 利率类型
        /// </summary>
        public CashFlowRateTypeEnum RateType { get; set; }
        /// <summary>
        /// 资金类型
        /// </summary>
        public CashflowDepositTypeEnum DepositType { get; set; }

        /// <summary>
        /// 预付比例
        /// </summary>
        public double PrepayRatio { get; set; }

        /// <summary>
        /// 计息日历规则
        /// </summary>
        public string ProfitDayCount { get; set; }
    }

    #endregion


    #region ----结构化产品
    public class StructProductTradeParam
    {
        public StructureRequest Request { get; set; }

        public VolSurface VolSurface { get; set; }
    }

    public class ExpireDto
    {
        public double Days { get; set; }

        public string DayStr { get; set; }
    }
    #endregion

    /// <summary>
    /// 期权计算参数
    /// </summary>
    public class OptionCalcParam<T> where T : OptionTradeParamBase
    {
        public OptionCalcParam(T tradeParam)
        {
            TradeParam = tradeParam ?? throw new ArgumentNullException(nameof(tradeParam));
        }

        public T TradeParam { get; }

        /// <summary>
        /// [非必需]期权计算场景
        /// </summary>
        public CalcScenarioEnum calcScenario { get; set; }

        /// <summary>
        /// [必需]标的价格
        /// </summary>
        public double[] spotPrices { get; set; }

        /// <summary>
        /// [非必需]引擎名称
        /// </summary>
        public string engineName { get; set; }

        /// <summary>
        /// 计算枚举,默认:BASIC_GREEKS
        /// </summary>
        public PricingRequest pricingRequest { get; set; } = QdpPricingRequest.BASIC_GREEKS;

        /// <summary>
        /// 急速模式??
        /// </summary>
        public bool quadratureFastMode { get; set; }

        /// <summary>
        /// 是否计算T+1日的Delta
        /// </summary>
        public bool CalcDeltaT1 { get; set; }

        /// <summary>
        /// [只读]标的集合
        /// </summary>
        public string[] underlyingTickers => TradeParam.underlyingTickers;

        /// <summary>
        /// [只读]波动率曲面名称
        /// </summary>
        public string[] volSurfaceNames => TradeParam.volSurfaceNames;
    }
}