310 lines
14 KiB
C#
310 lines
14 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Implementations;
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using YLErp.BLL;
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using YLErp.BLL.Calculation;
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using YLErp.BLL.Calculation.V2;
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using YLErp.BLL.Calculation.V2.Parameter;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.ClientModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TQuoteModule
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{
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/// <summary>
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/// 自定义手机报价
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/// </summary>
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public class CustomizedQuoteService
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{
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public static HandleResult<List<DateTime>> GetHolidaysBetween(DateTime startDate, DateTime endDate)
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{
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var result = new List<DateTime>();
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var days = (endDate - startDate).Days;
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var calendar = CalendarImpl.Get("chn");
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for (var i = 0; i < days; i++)
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{
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var date = startDate.AddDays(i);
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if (date >= endDate) { break; }
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if (calendar.IsHoliday(new Date(date)))
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{
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result.Add(date);
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}
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}
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return new HandleResult<List<DateTime>>(result);
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}
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/// <summary>
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///
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/// </summary>
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public static CustomizedQuoteResult CustomizedQuoteV2(CustomizedQuoteRequest request, string userGroup = "")
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{
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if (request.MaturityDate < request.ValueDate)
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{
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return new CustomizedQuoteResult() { Info = "到期日小于估值日", StatusCode = -1 };
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}
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var qdpMarketId = Guid.NewGuid().ToString();
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var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(qdpMarketId);
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var valueDate = request.ValueDate;
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var maturityDate = request.MaturityDate;
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volatility bidVol = null, askVol = null;
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underlying_manager underlying = null;
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Variety variety = null;
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using (var db = new YLContext())
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{
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underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode);
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if (underlying != null)
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{
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variety = db.variety.FirstOrDefault(x => x.VarietyCode != null && x.id == underlying.UnderlyingTypeId);
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if (request.BidVol <= 0 && request.AskVol <= 0)
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{
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underlying.QuotationDate = request.ValueDate;
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if (PS.Config.ErpElement.SkewMapVolConstruction)
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{
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bidVol = askVol = VolatilityHelper.GetVol(DateTime.Today, "交易", underlying.UnderlyingCode, userGroup ?? "");
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}
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else
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{
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bidVol = VolatilityHelper.GetVol(DateTime.Today, "报价Bid", underlying.UnderlyingCode, userGroup ?? "");
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askVol = VolatilityHelper.GetVol(DateTime.Today, "报价Ask", underlying.UnderlyingCode, userGroup ?? "");
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}
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}
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}
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}
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//如果用户未指定标的，构造一个虚拟标的
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if (string.IsNullOrWhiteSpace(request.UnderlyingCode))
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{
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underlying = new underlying_manager()
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{
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UnderlyingCode = "dummy_code",
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UnderlyingInstrumentType = "CommodityFutures",
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QuotationDate = request.ValueDate,
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Price = request.SpotPrice,
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PrevClosePrice = request.SpotPrice,
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MaturityDate = request.MaturityDate
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};
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}
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//根据用户设置的bid/ask天数调整规则来分别调整到期日
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//TODO: bidMaturityShift和askMaturityShift应该从某数据库表读取
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var bidMaturityShift = 0;
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var askMaturityShift = 0;
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var otherInfo = "";
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var client_param = ClientPricingParamService.GetPricingParam(request.ValueDate.Date, request.MaturityDate.Date);
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if (client_param != null)
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{
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askMaturityShift = client_param.ask_tuning_day ?? 0;
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bidMaturityShift = client_param.bid_tuning_day ?? 0;
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otherInfo = client_param.ToJson();//$"ask到期日偏离{askMaturityShift}天,bid到期日偏离{bidMaturityShift}天";
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}
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var dayCount = CalculatorHelper.GetTradeDayCount();
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var bidMaturityDate = QdpCalendarHelper.ShiftDate(maturityDate, dayCount, bidMaturityShift).DateTime;
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var askMaturityDate = QdpCalendarHelper.ShiftDate(maturityDate, dayCount, askMaturityShift).DateTime;
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if (underlying == null)
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{
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return null;
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}
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// 如果未传入最新价格，则使用系统里的最新价格; 如果未传入无风险利率，则使用系统里的无风险利率
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var spotPrice = (request.SpotPrice <= 0) ? (underlying.Price ?? 0) : request.SpotPrice;
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var riskFreeRate = (request.RiskFreeRate <= 0) ? (valuedateBLL.RiskFreeRate / 100.0) : request.RiskFreeRate;
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var strike = (request.Strike <= 0) ? spotPrice : request.Strike;
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//使用全局的DiscountCurve以提高计算效率
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var discountCurveName = Guid.NewGuid().ToString();
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var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, riskFreeRate);
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marketProxy.AddYieldCurve(discountCurveName, valueDate, discountCurve);
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var trade = new trade()
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{
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TradeType = "香草期权",
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TradeDate = request.ValueDate,
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ExerciseMode = request.Exercise,
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Strike = strike,
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Notional = request.Notional
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};
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var parameter = new VanillaOptionParameter()
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{
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ValueDate = request.ValueDate,
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DiscountCurveName = discountCurveName,
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SpotPrices = new Dictionary<string, double>() { { underlying.UnderlyingCode, spotPrice } },
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HasNightMarket = variety.HasNightMarket,
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PreciseTimeMode = request.commodityFuturesPreciseTimeMode
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};
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trade.OptionType = "看涨";
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trade.MaturityDate = bidMaturityDate;
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trade.ExerciseDate = bidMaturityDate;
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parameter.Volatility =
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bidVol == null ?
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request.BidVol :
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VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: bidVol,
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valueDate: valueDate,
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underlyingCode: underlying.UnderlyingCode,
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exerciseDate: bidMaturityDate,
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strike: strike,
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isBuy: true,
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isCall: true,
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spotPrice: spotPrice,
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isMoneynessOption: false);
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var callBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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trade.OptionType = "看跌";
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parameter.Volatility =
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bidVol == null ?
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request.BidVol :
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VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: bidVol,
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valueDate: valueDate,
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underlyingCode: underlying.UnderlyingCode,
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exerciseDate: bidMaturityDate,
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strike: strike,
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isBuy: true,
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isCall: false,
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spotPrice: spotPrice,
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isMoneynessOption: false);
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var putBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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trade.OptionType = "看涨";
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trade.MaturityDate = askMaturityDate;
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trade.ExerciseDate = askMaturityDate;
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parameter.Volatility =
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askVol == null ?
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request.AskVol :
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VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: askVol,
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valueDate: valueDate,
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underlyingCode: underlying.UnderlyingCode,
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exerciseDate: askMaturityDate,
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strike: strike,
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isBuy: false,
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isCall: true,
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spotPrice: spotPrice,
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isMoneynessOption: false);
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var callAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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trade.OptionType = "看跌";
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parameter.Volatility =
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askVol == null ?
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request.AskVol :
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VolatilityHelper.GetInterpolatedVol(
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volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
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volSurface: askVol,
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valueDate: valueDate,
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underlyingCode: underlying.UnderlyingCode,
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exerciseDate: askMaturityDate,
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strike: strike,
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isBuy: false,
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isCall: false,
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spotPrice: spotPrice,
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isMoneynessOption: false);
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var putAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);
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var valueResult = new CustomizedQuoteResult()
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{
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CallAskPrice = callAskResult.Pv / request.Notional,
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CallBidPrice = callBidResult.Pv / request.Notional,
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Strike = strike,
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PutAskPrice = putAskResult.Pv / request.Notional,
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PutBidPrice = putBidResult.Pv / request.Notional,
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BidVol = callBidResult.Vol,
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AskVol = callAskResult.Vol,
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RiskFreeRate = riskFreeRate
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};
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valueResult.LatestPrice = underlying.Price.Value;
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if (underlying.PrevClosePrice.HasValue && underlying.PrevClosePrice.Value > 0.0)
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{
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valueResult.Change = underlying.Price.Value - underlying.PrevClosePrice.Value;
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valueResult.ChangePercent = valueResult.Change / underlying.PrevClosePrice.Value;
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}
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else
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{
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valueResult.Change = 0.0;
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valueResult.ChangePercent = 0.0;
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}
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QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
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return valueResult;
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}
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/// <summary>
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///
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/// </summary>
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public static double Pricing(OptionStrategyCodeParts part, string userGroup)
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{
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var valueDate = DateTime.Today;
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var maturityDate = QdpHelper.getMaturityDate(valueDate, part.Maturity);
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var exercisType = "European";
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(part.UnderlyingCode);
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if (underlying == null)
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{
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throw new Exception("未找到标的" + part.UnderlyingCode);
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}
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var variety = DataCacheProvider.GetVarietyDataSource().GetData(underlying.UnderlyingTypeId);
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if (variety == null)
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{
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throw new Exception("未找到标的品种" + underlying.UnderlyingType);
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}
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var vol = VolatilityHelper.GetVol(DateTime.Today, part.IsSell ? "报价Bid" : "报价Ask", underlying.UnderlyingCode, userGroup);
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if (vol == null)
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{
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throw new Exception("未找到波动率曲面");
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}
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var riskFreeRate = valuedateBLL.RiskFreeRate / 100.0;
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using (var mp = new MarketProxy(valueDate, riskFreeRate))
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{
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var volsurfaceName = mp.SaveVolSurface(vol);
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var tdParam = new VanillaOptionTradeParam
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{
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underlyingTickers = new[] { part.UnderlyingCode },
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underlyingInstrumentType = underlying.UnderlyingInstrumentType,
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strike = part.Strike,
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startDate = valueDate,
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endDate = maturityDate,
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optionType = QdpConverter.ConvertOptionType(part.OptionType),
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exerciseType = exercisType,
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initialSpotPrice = underlying.Price ?? 0,
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notional = part.Notional,
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volSurfaceNames = new[] { volsurfaceName },
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riskFreeRate = riskFreeRate,
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buysell = part.IsSell ? "Sell" : "Buy",
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exerciseDate = maturityDate,
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hasNightMarket = variety.HasNightMarket,
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preciseTimeMode = true,
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participationRate = 1.0,
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principalRate = 0.0,
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isAnnualized = false,
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annualizedFactor = 1.0
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};
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var result = TradeRiskCalcUtil.GetVanillaOptionValue(mp, new OptionCalcParam<VanillaOptionTradeParam>(tdParam)
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{
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spotPrices = new[] { underlying.Price ?? 0 },
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pricingRequest = PricingRequest.Pv
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});
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return result.Pv;
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}
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}
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}
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}
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