145 lines
4.5 KiB
C#
145 lines
4.5 KiB
C#
namespace YLErp.Modules.RiskModule
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{
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public class HedgeRiskMonitoringReportModel
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{
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public QuotaTargetReport QuotaTargetReport { get; set; }
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public RiskCollectReport RiskCollectReport { get; set; }
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public BondMonitorReport BondMonitorReport { get; set; }
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public Commons.ExpandoDictionary<string, string>[] PositionRiskReport { get; set; }
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public Commons.ExpandoDictionary<string, string>[] OptionSettleReport { get; set; }
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}
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/// <summary>
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/// 限额指标对象
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/// </summary>
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public class QuotaTargetReport
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{
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#region 限额
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/// <summary>
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/// 止损
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/// </summary>
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public double? QuotaStopLoss { get; set; }
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/// <summary>
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/// 风险价值
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/// </summary>
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public double? QuotaCostRisk { get; set; }
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/// <summary>
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/// 压力测试
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/// </summary>
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public double? QuotaPressureTest { get; set; }
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/// <summary>
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/// CashDelta
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/// </summary>
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public double? QuotaCashDelta { get; set; }
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/// <summary>
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/// 合约期限（原则上不超1年）
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/// </summary>
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public string QuotaContractTerm { get; set; }
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/// <summary>
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/// 标的集中度（<=10%）
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/// </summary>
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public string QuotaUnderlyingConcentration { get; set; }
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/// <summary>
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/// 存续名义本金
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/// </summary>
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public double? QuotaStockEqvNotional { get; set; }
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/// <summary>
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/// 预付金占用
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/// </summary>
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public double? QuotaMarginHold { get; set; }
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#endregion
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/// <summary>
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/// 止损（从2022年初的累计盈亏，数据来源是市场那张表的“汇总”）
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/// </summary>
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public double StopLoss { get; set; }
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/// <summary>
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/// 风险价值（风险价值是 VAR（日，95%））
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/// </summary>
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public double? CostRisk { get; set; }
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/// <summary>
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/// 压力测试（压力测试从这个压力测试表里面取最大亏损，表的参数设置如上 压力测试是 20%的不利变动带来的最大损失）
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/// </summary>
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public double? PressureTest { get; set; }
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/// <summary>
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/// CashDelta
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/// </summary>
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public double CashDelta { get; set; }
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/// <summary>
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/// 存续名义本金
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/// </summary>
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public double StockEqvNotional { get; set; }
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/// <summary>
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/// 预付金占用
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/// </summary>
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public double MarginHold { get; set; }
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}
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/// <summary>
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/// 汇总对象
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/// </summary>
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public class RiskCollectReport
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{
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public List<RiskExposure.EodRiskModel> PortfolioList { get; set; }
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public RiskExposure.EodRiskModel PortfolioSum { get; set; }
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/// <summary>
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/// 报告开始日期
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/// </summary>
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public string ReportStart { get; set; }
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/// <summary>
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/// 报告截止日期
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/// </summary>
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public string ReportEnd { get; set; }
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}
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/// <summary>
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/// 预付金监控对象
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/// </summary>
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public class BondMonitorReport
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{
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public double SumBondMonitor { get; set; }
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public List<BondMonitorDetail> BondMonitorDetails { get; set; }
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}
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public class BondMonitorDetail
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{
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/// <summary>
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/// 客户名称
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/// </summary>
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public string ClientName { get; set; }
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/// <summary>
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/// 应收预付金
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/// </summary>
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public double? DepositReceivable { get; set; }
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/// <summary>
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/// 授信+期末结存
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/// </summary>
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public double? CreditAndClosingBalance { get; set; }
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/// <summary>
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/// 应付预付金
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/// </summary>
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public double? DepositPayable { get; set; }
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private string _isAppened = null;
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/// <summary>
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/// 是否追加
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/// </summary>
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public string IsAppened
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{
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get
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{
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if (_isAppened == null)
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{
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return (DepositReceivable ?? 0) <= ((CreditAndClosingBalance ?? 0) + (DepositPayable ?? 0)) ? "否" : "是";
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}
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return _isAppened;
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}
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set { _isAppened = value; }
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}
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/// <summary>
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/// 是否当日客户是否发生风险事件
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/// </summary>
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public string IsRiskEventToDay { get; set; } = "否";
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}
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}
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