zszq-trs/YLErpDAL/Modules/CalculationModule/SkewMapVolHelper.cs

using Qdp.Pricing.Library.Common.MathMethods.VolTermStructure;
using YLErp.Abstract;
using YLErp.Models;
using YLErp.Modules.SkewMapVolModule;
using YLErp.QdpModule;
using YLErp.QdpModule.Constants;

namespace YLErp.Modules.CalculationModule
{
    public static class SkewMapVolHelper
    {
        public static double GetInterpolatedVol(
            IVolatility volSurface,
            DateTime valueDate,
            string underlyingCode,
            DateTime exerciseDate,
            double strikePrice,
            bool isBuy,
            bool isCall,
            double spotPrice,
            double timeToMaturityDays = double.NaN,
            int? skewMapVolVar = null)
        {
            var baseVolSurface = GetSkewMapBaseVolSurface(underlyingCode, volSurface);
            var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);
            var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);

            var t = double.IsNaN(timeToMaturityDays)
               ? TradeCalcHelper.CalculateTTMDays(
                   valueDate,
                   exerciseDate,
                   varietyid: underlying?.UnderlyingTypeId ?? 0,
                   precisionOfMinute: false)
               : timeToMaturityDays;

            var volVar = skewMapVolVar ?? (int)(isBuy ? baseVolSurface.BidVar : baseVolSurface.AskVar);

            return skewMapVolSurface.GetVol(
                t: Math.Ceiling(t), //不考虑日内精确时间
                k: strikePrice,
                spot: spotPrice,
                isCall: isCall,
                isBuy: isBuy,
                var: volVar);
        }

        /// <summary>
        /// skewmapvol转换为正常波动率构造
        /// </summary>
        public static IVolatility GetNormalVolatility(
           IVolatility volSurface,
           DateTime valueDate,
           string underlyingCode,
           DateTime exerciseDate,
           double strikePrice,
           bool isBuy,
           bool isCall,
           double spotPrice,
           double timeToMaturityDays = double.NaN,
           int? skewMapVolVar = null)
        {
            var vol = GetInterpolatedVol(volSurface, valueDate, underlyingCode, exerciseDate, strikePrice, isBuy, isCall, spotPrice, timeToMaturityDays, skewMapVolVar);
            var singleVols = QdpVolHelper.GenerateFlatSingleVols(vol);
            return new VolatilityImpl
            {
                InterpolationMethod = ConsVolInfos.defInterpolationMethod,
                VolSurfaceMode = ConsVolInfos.defVolMode,
                VolTable = singleVols
            };
        }

        public static SkewMapBaseVolSurface GetSkewMapBaseVolSurface(string underlyingCode, IVolatility volSurface)
        {
            Dictionary<string, double> baseVols = null;

            try
            {
                baseVols = volSurface.VolTable.ToDictionary(x => x.Expire, x => x.Vol);
            }
            catch (Exception ex)
            {
                throw new Exception($"{underlyingCode}的BaseVol格式不正确", ex);
            }

            if (baseVols == null)
            {
                throw new Exception($"{underlyingCode}的BaseVol为空");
            }

            if (!baseVols.ContainsKey("BidVar") || !baseVols.ContainsKey("AskVar"))
            {
                throw new Exception($"{underlyingCode}的BidVar或AskVar缺失");
            }

            var baseVolSurface = new SkewMapBaseVolSurface
            {
                BaseVol = baseVols,
                BidVar = baseVols["BidVar"],
                AskVar = baseVols["AskVar"]
            };

            return baseVolSurface;
        }

        /// <summary>
        /// 获取某交易的BaseVol
        /// </summary>
        public static double GetSkewMapBaseVolForTrade(
            DateTime valueDate,
            string UnderlyingCode,
            IVolatility volSurface,
            int UnderlyingTypeId,
            DateTime ExerciseDate,
            double timeToMaturityDays = double.NaN)
        {
            var baseVolSurface = GetSkewMapBaseVolSurface(UnderlyingCode, volSurface);
            var skewMapVolSurface = new SkewMapVolSurface(baseVolSurface.BaseVol);

            var t = double.IsNaN(timeToMaturityDays)
                ? TradeCalcHelper.CalculateTTMDays(
                    valueDate,
                    ExerciseDate,
                    UnderlyingTypeId,
                    precisionOfMinute: false)
                : timeToMaturityDays;

            //用于波动率插值的t，不考虑日内精确时间，所以向上取整
            return skewMapVolSurface.GetBaseVol(Math.Ceiling(t));
        }

        public static List<SingleVol> ContructSkewMapVolTable(double baseVol, int bidVar, int askVar)
        {
            return new List<SingleVol>()
            {
                new SingleVol()
                {
                    Strike = 1.0,
                    Expire = "1M",
                    Vol = baseVol
                },
                new SingleVol()
                {
                    Strike = 1.0,
                    Expire = "3M",
                    Vol = baseVol
                },
                new SingleVol()
                {
                    Strike = 1.0,
                    Expire = "6M",
                    Vol = baseVol
                },
                new SingleVol()
                {
                    Strike = 1.0,
                    Expire = "BidVar",
                    Vol = bidVar
                },
                new SingleVol()
                {
                    Strike = 1.0,
                    Expire = "AskVar",
                    Vol = askVar
                },
            };
        }
    }
}