790 lines
42 KiB
C#
790 lines
42 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.SalesModule;
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using YLErp.Modules.TradeModule.DealModule;
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using YLErp.Modules.TradeModule.ExoticOptionModule;
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namespace YLErp.Modules.TradeModule
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{
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public class TradeSnowballBLL : ExoticOptionModule.TradeCashServiceEx
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{
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public TradeSnowballBLL(YLBaseService baseService) : base(baseService)
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{
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}
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public TradeSnowballBLL(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public void CheckStatus(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null
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, Action<OtcTrade, trade_snowball> afterKnowInOut = null, IEnumerable<int> clienIds = null)
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{
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priceProvider ??= new EodPriceProvider(valueDate);
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if (startDate == null)
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{
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startDate = valueDate.AddYears(-5);
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}
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var query = from trade in DbContext.trade
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join snowball in DbContext.trade_snowball on trade.id equals snowball.TradeId
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join underlying in DbContext.underlying_manager on trade.UnderlyingId equals underlying.id
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where trade.TradeDate > startDate.Value && trade.TradeDate <= valueDate
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&& trade.ExerciseDate >= valueDate
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&& ConsTrade.确认成交 == trade.TradeStatus && (trade.TradeType == "雪球期权")
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&& trade.ValidState != ConsGlobal.InValid
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&& (snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut || (snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut && snowball.KnockInOutDate >= valueDate))
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&& trade.DividendDate < valueDate
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select new
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{
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underlying = underlying,
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trade = trade,
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trade_snowball = snowball
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};
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#region 增加客户筛选 tw
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if (clienIds != null)
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{
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query = query.Where(l => clienIds.Contains(l.trade.ClientId));
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}
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#endregion
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//未敲出的，以及已敲出但敲出日期大于等于当前收盘日的（为了历史收盘）
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var trades = query.ToList();
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var tradeIds = trades.Select(x => x.trade.id).ToList();
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var manuallyTradeObservationPrices = DbContext.manually_trade_observation_price
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.Where(x => tradeIds.Contains(x.TradeId) && x.ValueDate == valueDate).ToDictionary(n => n.TradeId);
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trades.ForEach(tr =>
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{
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if (tr.trade.ExerciseDate < valueDate)
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{
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return;//已到期交易不再观察;
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}
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var tradeStatus = tr.trade.TradeStatus;
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double closePrice;
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double? SettlementAmount = null;
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if (manuallyTradeObservationPrices.TryGetValue(tr.trade.id, out var manuallyTradeObservationPrice))
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{
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closePrice = manuallyTradeObservationPrice.Price ?? 0;
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SettlementAmount = manuallyTradeObservationPrice.SettlementAmount;
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}
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else if (!priceProvider.TryGetEodPrice(tr.trade.UnderlyingCode, out var eodPrice))
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{
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throw new Exception($"[{tr.trade.TradeType}:{tr.trade.TradeNumber},标的:{tr.trade.UnderlyingCode}]未找到结算价");
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}
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else
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{
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closePrice = eodPrice.ClosePrice;
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}
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var oldKnockInOutStatus = tr.trade_snowball.KnockInOutStatus;
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CheckSnowballKnockInOutStatus(tr.trade, tr.trade_snowball, valueDate, closePrice, SettlementAmount);
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if (oldKnockInOutStatus != tr.trade_snowball.KnockInOutStatus)
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{
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var KnockInOutStatus = tr.trade_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn ? "敲入" : "敲出";
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LogFactory.GetLogger("收盘检查雪球").Info($"{tr.trade.TradeNumber}--{KnockInOutStatus}--调试");
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AddTradeOperationHistoryAndSetParentTradeInfo(false, tr.trade, KnockInOutStatus, KnockInOutStatus);
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}
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if (tradeStatus != tr.trade.TradeStatus || oldKnockInOutStatus != tr.trade_snowball.KnockInOutStatus)
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{
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//删除E/Bod_Trade记录
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RemoveEodTradeAndFutureInfo(false, tr.trade.id, valueDate);
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}
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if (afterKnowInOut != null && DbContext.Entry(tr.trade_snowball).State == EntityState.Modified)
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{
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afterKnowInOut(tr.trade, tr.trade_snowball);
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}
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});
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DbContext.SaveChanges();
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}
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//获取雪球期权敲出时要准备的信息
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public (DateTime koSettleDate, double koBarrier) GetKoSettleInfo(DateTime valueDate, OtcTradeBase otcTrade, trade_snowball tradeSnowball, SimpleSnowball snowball)
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{
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double koBarrier;
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var koSettleDate = valueDate;
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var datesStr = tradeSnowball.KOObservationSettleDates;
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var KOObsSettleDates = string.IsNullOrWhiteSpace(datesStr) ? null : datesStr.Split(new char[] { ',', ';', '，', '；' }, StringSplitOptions.RemoveEmptyEntries).Select(x => DateTime.Parse(x)).ToArray();
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if (snowball.CustomizedKOBarriers != null && snowball.CustomizedKOBarriers.Length > 0)
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{
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var index = snowball.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
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koBarrier = snowball.CustomizedKOBarriers[index];
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if (KOObsSettleDates != null && KOObsSettleDates.Length > index)
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{
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koSettleDate = KOObsSettleDates[index];
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}
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}
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else
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{
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koBarrier = tradeSnowball.KOBarrier;
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if (KOObsSettleDates != null && KOObsSettleDates.Any())
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{
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koSettleDate = KOObsSettleDates[0];
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}
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}
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if (tradeSnowball.KORebateType == RebateTypeEnum.AtEnd)
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{
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koSettleDate = otcTrade.ExerciseDate.Value;
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}
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else if (koSettleDate < valueDate)
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{
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koSettleDate = valueDate;
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}
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if (otcTrade.IsMoneynessOptionData)
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{
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koBarrier *= otcTrade.SpotPrice ?? 1.0;
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}
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return (koSettleDate, koBarrier);
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}
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public SnowballObservationResult GetDefaultAmountForSpecialSnowball(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice)
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{
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var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
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var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;
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return tradeSnowball.PrepaymentUsed
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? new SpecialSnowballObservationHelper(otcTrade, tradeSnowball).GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional)
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: throw new ServiceFaultException("不支持非预付金形式的雪球");
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}
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public double GetDefaultAmount(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice)
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{
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var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
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var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;
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if (tradeSnowball.PrepaymentUsed)
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{
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var result = new SpecialSnowballObservationHelper(otcTrade, tradeSnowball).GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional);
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return result.PaymentAmount;
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}
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var defaultAmount = 0d;
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var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
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{
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ParamOverride = p => p.notional = tradeNotional
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};
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var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(otcTrade, tradeSnowball, request);
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var snowball = (SimpleSnowball)optionTrade.Instrument;
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var isCall = ConsGlobal.CallPut.IsCall(otcTrade.CallPut);
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//只在敲出观察日检查敲出和票息情况
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//如果交易已经是敲出状态了，不用再做票息和敲出检查
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if (snowball.KOObsDates.Select(x => x.DateTime).Contains(valueDate)
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&& tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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#region 敲出检查
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(var koSettleDate, var koBarrier) = GetKoSettleInfo(valueDate, otcTrade, tradeSnowball, snowball);
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// 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
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if (isCall ? closePrice >= koBarrier : closePrice <= koBarrier)
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{
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tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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if (snowball.UseOptionPayoffAtKO)
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{
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var koOptionCashflows = snowball.GetKOPayoff(new Date(valueDate), closePrice);
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//koOptionCashflows[0]..PaymentAmount包含了买卖方向的处理了
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defaultAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
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}
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else
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{
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var CouponPayment = snowball.CouponPayment(valueDate, includeStartDate: tradeSnowball.CouponIncludeStartDate == true && tradeSnowball.CouponDayCount != "Monthly");
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defaultAmount = TradeHelper.GetAmountByPaymentAmount(CouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);
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if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
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{
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var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;
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if (tradePrice != 0)
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{
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defaultAmount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
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}
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}
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}
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return defaultAmount; //已经敲出了,不需要再继续走下去了
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}
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#endregion
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}
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#region 敲入检查
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//在当前结算日之前未敲出且未敲入:
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// !((KO || KI) && KOKIDate < valueDate)
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if (!((tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
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|| tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn) && tradeSnowball.KnockInOutDate < valueDate)
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&& snowball.KIObsDates.Select(x => x.DateTime).Contains(valueDate) && tradeSnowball.KIPayoffType != KIPayoffTypeEnum.None)
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{
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var kiBarrier = otcTrade.IsMoneynessOptionData ? tradeSnowball.KIBarrier * otcTrade.SpotPrice : tradeSnowball.KIBarrier;
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// 发生敲入事件(看涨 - 向下敲入,看跌 - 向上敲入)
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if (isCall ? closePrice <= kiBarrier : closePrice >= kiBarrier)
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{
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// 更新观察状态
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tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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}
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}
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#endregion
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#region 到期检查
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if (valueDate == snowball.ExerciseDates.Last().DateTime)
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{
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if (snowball.UseOptionPayoffAtMaturity &&
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(tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn || tradeSnowball.KIBarrier <= 0))
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{
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//已敲入，到期时计算期权收益
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var optionPayoffPayment = snowball.GetPayoff(new double[] { closePrice });
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//optionPayoffPayment[0].PaymentAmount包含了买卖方向的处理了
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defaultAmount = TradeHelper.GetAmountByPaymentAmount(optionPayoffPayment[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
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}
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else if (tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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var startDate = tradeSnowball.CouponIncludeStartDate == true ? snowball.StartDate.AddDays(-1) : snowball.StartDate;
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var maturityCouponRate = snowball.Coupon * snowball.InitialSpotPrice;
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var maturityCouponPayment =
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snowball.FixedCoupon ?
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maturityCouponRate * snowball.Notional :
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maturityCouponRate * snowball.Notional * snowball.CouponDayCount.CalcDayCountFraction(startDate, snowball.ExerciseDates.Last());
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maturityCouponPayment = TradeHelper.GetAmountByPaymentAmount(maturityCouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);
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defaultAmount = maturityCouponPayment;
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if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
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{
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var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;
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if (tradePrice != 0)
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{
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defaultAmount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
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}
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}
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}
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}
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#endregion
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return defaultAmount;
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}
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public void CheckSnowballKnockInOutStatus(OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice, double? settlementAmount)
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{
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if (otcTrade is null)
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{
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throw new ArgumentNullException(nameof(otcTrade));
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}
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if (tradeSnowball is null)
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{
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throw new ArgumentNullException(nameof(tradeSnowball));
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}
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try
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{
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var tradeStatusOld = otcTrade.TradeStatus;
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InnerCheckSnowballKnockInOutStatus(otcTrade, tradeSnowball, valueDate, closePrice, settlementAmount);
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//生成确认书
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if (PS.Config.IsAutoGenerateContracts && tradeStatusOld == ConsTrade.确认成交 && ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus))
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{
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//修改销售提成的状态
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new SalesCommissionDataService(this).SetCommissionVaild(otcTrade.id);
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new TradeContractGenerateService(this).GenerateContractsAsync(new List<int> { otcTrade.id });
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}
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}
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catch (Exception ex)
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{
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throw new ServiceException($"[检查敲入敲出]交易编号:{otcTrade.TradeNumber},{ex.Message}", ex);
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}
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}
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private void InnerCheckSnowballKnockInOutStatus(
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OtcTradeBase otcTrade, trade_snowball tradeSnowball, DateTime valueDate, double closePrice, double? SettlementAmount)
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{
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var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == otcTrade.id && x.Action == "系统操作-平仓费" && x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue) && x.UnwindNotional < x.Notional).ToList();
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var tradeNotional = (ConsTrade.TradeCompleteStatus.Contains(otcTrade.TradeStatus) && otcTrade.UnWindDate <= valueDate ? 0 : otcTrade.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;
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if (tradeSnowball.PrepaymentUsed)
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{
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ProcessSpecialSnowball(otcTrade, tradeSnowball, valueDate, closePrice, tradeNotional, SettlementAmount);
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return;
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}
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var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
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{
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ParamOverride = p => p.notional = tradeNotional
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};
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var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(otcTrade, tradeSnowball, request);
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var snowball = (SimpleSnowball)optionTrade.Instrument;
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var isCall = ConsGlobal.CallPut.IsCall(otcTrade.CallPut);
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//只在敲出观察日检查敲出和票息情况
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//如果交易已经是敲出状态了，不用再做票息和敲出检查
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if (snowball.KOObsDates.Select(x => x.DateTime).Contains(valueDate)
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&& tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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#region 敲出检查
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(var koSettleDate, var koBarrier) = GetKoSettleInfo(valueDate, otcTrade, tradeSnowball, snowball);
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// 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
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if (isCall ? closePrice >= koBarrier : closePrice <= koBarrier)
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{
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// 更新观察状态
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tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeSnowball.KnockInOutDate = valueDate;
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// 更新交易状态
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otcTrade.TradeStatus = ConsTrade.已平仓;
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otcTrade.UnWindDate = valueDate;
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if (snowball.UseOptionPayoffAtKO)
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{
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double paymentAmount = 0;
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var koOptionCashflows = snowball.GetKOPayoff(new Date(valueDate), closePrice);
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if (SettlementAmount != null)
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{
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paymentAmount = SettlementAmount.Value;
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}
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else
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{
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paymentAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
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}
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var parentTradeId = 0;
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var parentTradeCashId = 0;
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if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
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{
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var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
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if (groupAction != null)
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{
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groupAction.Status = "已完成";
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parentTradeCashId = groupAction.ParentTradeCashId;
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parentTradeId = groupAction.ParentTradeId;
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}
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else
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{
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parentTradeId = otcTrade.ParentTradeId;
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parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
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}
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}
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SaveOptionPayoffCash(otcTrade, paymentAmount, koSettleDate, closePrice, ClientCashInCashOut.系统操作_平仓费, TradeCashExerciseWayEnum.提前终止行权, valueDate, true, parentTradeId, parentTradeCashId);
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//koOptionCashflows[0].PaymentAmount包含了买卖方向的处理了
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}
|
||
else
|
||
{
|
||
if (SettlementAmount != null)
|
||
{
|
||
double tradePrice = 0;
|
||
var _settlementAmount = SettlementAmount.Value;
|
||
|
||
var parentTradeId = 0;
|
||
var parentTradeCashId = 0;
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
|
||
{
|
||
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
|
||
if (groupAction != null)
|
||
{
|
||
groupAction.Status = "已完成";
|
||
parentTradeCashId = groupAction.ParentTradeCashId;
|
||
parentTradeId = groupAction.ParentTradeId;
|
||
}
|
||
else
|
||
{
|
||
parentTradeId = otcTrade.ParentTradeId;
|
||
parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, _settlementAmount, closePrice, out var continueTradeCashHandle).id;
|
||
}
|
||
}
|
||
|
||
//观察日价格页面的结算金额包含了年化期权费，该处逻辑需要先按照扣除年化期权费来算，后面逻辑会补上年化期权费，否则会重复运算
|
||
if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
|
||
{
|
||
tradePrice = otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate)) ?? 0;
|
||
if (tradePrice != 0)
|
||
{
|
||
_settlementAmount -= (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
|
||
}
|
||
}
|
||
var tradeCash = SaveCouponAmountCash(otcTrade, _settlementAmount, koSettleDate, closePrice, valueDate, parentTradeId, parentTradeCashId);
|
||
if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
|
||
{
|
||
SaveTradePrice(otcTrade, tradeCash, tradePrice, koSettleDate);
|
||
}
|
||
}
|
||
else
|
||
{
|
||
var CouponPayment = snowball.CouponPayment(valueDate, includeStartDate: tradeSnowball.CouponIncludeStartDate == true && tradeSnowball.CouponDayCount != "Monthly");
|
||
var couponPayment = TradeHelper.GetAmountByPaymentAmount(CouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);
|
||
|
||
var parentTradeId = 0;
|
||
var parentTradeCashId = 0;
|
||
var hasUnfinishedGroupAction = false;
|
||
var continueTradeCashHandle = false;
|
||
var groupTradeCash = new trade_cash();
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
|
||
{
|
||
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
|
||
if (groupAction != null)
|
||
{
|
||
hasUnfinishedGroupAction = true;
|
||
groupAction.Status = "已完成";
|
||
parentTradeCashId = groupAction.ParentTradeCashId;
|
||
parentTradeId = groupAction.ParentTradeId;
|
||
}
|
||
else
|
||
{
|
||
parentTradeId = otcTrade.ParentTradeId;
|
||
groupTradeCash = SaveGroupUnwindCash(otcTrade, valueDate, couponPayment, closePrice, out continueTradeCashHandle);
|
||
parentTradeCashId = groupTradeCash.id;
|
||
}
|
||
}
|
||
|
||
var tradeCash = SaveCouponAmountCash(otcTrade, couponPayment, koSettleDate, closePrice, valueDate, parentTradeId, parentTradeCashId);
|
||
|
||
if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
|
||
{
|
||
var tradePrice = (otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate))) ?? 0;
|
||
if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
|
||
{
|
||
SaveTradePrice(otcTrade, tradeCash, tradePrice, koSettleDate);
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0 && !hasUnfinishedGroupAction && continueTradeCashHandle)
|
||
{
|
||
groupTradeCash.Amount += (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
|
||
DbContext.SaveChanges();
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
|
||
LogFactory.GetLogger("收盘检查雪球").Info($"{otcTrade.TradeNumber}--敲出");
|
||
|
||
return; //已经敲出了,不需要再继续走下去了
|
||
}
|
||
#endregion
|
||
}
|
||
|
||
#region 敲入检查
|
||
//在当前结算日之前未敲出且未敲入:
|
||
// !((KO || KI) && KOKIDate < valueDate)
|
||
if (!((tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
|
||
|| tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
|
||
&& tradeSnowball.KnockInOutDate < valueDate)
|
||
&& snowball.KIObsDates.Select(x => x.DateTime).Contains(valueDate) && tradeSnowball.KIPayoffType != KIPayoffTypeEnum.None)
|
||
{
|
||
var kiBarrier =
|
||
otcTrade.IsMoneynessOptionData ?
|
||
tradeSnowball.KIBarrier * otcTrade.SpotPrice :
|
||
tradeSnowball.KIBarrier;
|
||
|
||
// 发生敲入事件(看涨时向下敲入,看跌时向上敲入)
|
||
if (isCall ? closePrice <= kiBarrier : closePrice >= kiBarrier)
|
||
{
|
||
// 更新观察状态
|
||
tradeSnowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
|
||
tradeSnowball.KnockInOutDate = valueDate;
|
||
}
|
||
}
|
||
#endregion
|
||
|
||
#region 到期检查
|
||
if (valueDate == snowball.ExerciseDates.Last().DateTime)
|
||
{
|
||
if (snowball.UseOptionPayoffAtMaturity &&
|
||
(tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn || tradeSnowball.KIBarrier <= 0))
|
||
{
|
||
otcTrade.TradeStatus = ConsTrade.已执行;
|
||
otcTrade.UnWindDate = valueDate;
|
||
double paymentAmount = 0;
|
||
//已敲入，到期时计算期权收益
|
||
var optionPayoffPayment = snowball.GetPayoff(new double[] { closePrice });
|
||
if (SettlementAmount != null)
|
||
{
|
||
paymentAmount = SettlementAmount.Value;
|
||
}
|
||
else
|
||
{
|
||
paymentAmount = TradeHelper.GetAmountByPaymentAmount(optionPayoffPayment[0].PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
|
||
}
|
||
|
||
var parentTradeId = 0;
|
||
var parentTradeCashId = 0;
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
|
||
{
|
||
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
|
||
if (groupAction != null)
|
||
{
|
||
groupAction.Status = "已完成";
|
||
parentTradeCashId = groupAction.ParentTradeCashId;
|
||
parentTradeId = groupAction.ParentTradeId;
|
||
}
|
||
else
|
||
{
|
||
parentTradeId = otcTrade.ParentTradeId;
|
||
parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
|
||
}
|
||
}
|
||
|
||
//optionPayoffPayment[0].PaymentAmount包含了买卖方向的处理了
|
||
SaveOptionPayoffCash(otcTrade, paymentAmount, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
|
||
}
|
||
else if (tradeSnowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
|
||
{
|
||
var startDate = tradeSnowball.CouponIncludeStartDate == true ? snowball.StartDate.AddDays(-1) : snowball.StartDate;
|
||
otcTrade.TradeStatus = ConsTrade.已到期;
|
||
otcTrade.UnWindDate = valueDate;
|
||
var maturityCouponRate = snowball.Coupon * snowball.InitialSpotPrice;
|
||
var maturityCouponPayment =
|
||
snowball.FixedCoupon ?
|
||
maturityCouponRate * snowball.Notional :
|
||
maturityCouponRate * snowball.Notional * snowball.CouponDayCount.CalcDayCountFraction(startDate, snowball.ExerciseDates.Last());
|
||
maturityCouponPayment = TradeHelper.GetAmountByPaymentAmount(maturityCouponPayment, otcTrade.PrincipalSum(), otcTrade.BuySell);
|
||
|
||
double tradePrice = 0;
|
||
if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
|
||
{
|
||
tradePrice = otcTrade.StockEqvNotional * otcTrade.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(valueDate)) ?? 0;
|
||
}
|
||
|
||
var parentTradeId = 0;
|
||
var parentTradeCashId = 0;
|
||
var groupTradeCash = new trade_cash();
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
|
||
{
|
||
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
|
||
if (groupAction != null)
|
||
{
|
||
groupAction.Status = "已完成";
|
||
parentTradeCashId = groupAction.ParentTradeCashId;
|
||
parentTradeId = groupAction.ParentTradeId;
|
||
}
|
||
else
|
||
{
|
||
var paymentAmount = SettlementAmount != null ? SettlementAmount.Value : (maturityCouponPayment + ((otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice));
|
||
parentTradeId = otcTrade.ParentTradeId;
|
||
parentTradeCashId = SaveGroupUnwindCash(otcTrade, valueDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
|
||
}
|
||
}
|
||
|
||
var tradeCash = new trade_cash();
|
||
if (SettlementAmount != null)
|
||
{
|
||
//观察日价格页面的结算金额包含了年化期权费，该处逻辑需要先按照扣除年化期权费来算，后面逻辑会补上年化期权费，否则会重复运算
|
||
var _settlementAmount = SettlementAmount.Value;
|
||
if (tradePrice != 0)
|
||
{
|
||
_settlementAmount -= (otcTrade.BuySell == "买入" ? -1 : 1) * tradePrice;
|
||
}
|
||
tradeCash = SaveOptionPayoffCash(otcTrade, _settlementAmount, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
|
||
}
|
||
else
|
||
{
|
||
tradeCash = SaveOptionPayoffCash(otcTrade, maturityCouponPayment, valueDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
|
||
}
|
||
|
||
if (tradePrice != 0 && otcTrade.PremiumPayDate <= valueDate)
|
||
{
|
||
SaveTradePrice(otcTrade, tradeCash, tradePrice, valueDate);
|
||
}
|
||
}
|
||
}
|
||
#endregion
|
||
}
|
||
|
||
private trade_cash SaveOptionPayoffCash(OtcTradeBase trade, double paymentAmount, DateTime valueDate, double underlyingPrice, string cashAction, string exerciseWay, DateTime happenDate, bool isKnockOut, int parentTradeId, int parentTradeCashId)
|
||
{
|
||
return SaveCash(trade, cashAction, exerciseWay, paymentAmount, valueDate, underlyingPrice, happenDate, isKnockOut, isLastAction: true, parentTradeId: parentTradeId, parentTradeCashId: parentTradeCashId);
|
||
}
|
||
|
||
private trade_cash SaveCouponAmountCash(OtcTradeBase trade, double couponAmount, DateTime valueDate, double underlyingPrice, DateTime happenDate, int parentTradeId, int parentTradeCashId)
|
||
{
|
||
return SaveCash(trade, ClientCashInCashOut.系统操作_票息, null, couponAmount, valueDate, underlyingPrice, happenDate, true, isLastAction: true, parentTradeId: parentTradeId, parentTradeCashId: parentTradeCashId);
|
||
}
|
||
|
||
public void SaveTradePrice(OtcTradeBase trade, trade_cash tradeCash, double tradePrice, DateTime valueDate)
|
||
{
|
||
const string cashAction = ClientCashInCashOut.系统操作_期权费;
|
||
|
||
// 保存trade_cash
|
||
var tcd = new trade_cash_detail();
|
||
DbContext.trade_cash_detail.Add(tcd);
|
||
|
||
tcd.TradeId = tradeCash.TradeId;
|
||
tcd.TradeCashId = tradeCash.id;
|
||
tcd.Amount = (trade.BuySell == "买入" ? -1 : 1) * tradePrice;
|
||
tcd.Action = cashAction;
|
||
tcd.ValueDate = tradeCash.ValueDate;
|
||
tcd.OptDate = DateTime.Now;
|
||
tcd.OptId = tradeCash.OptId;
|
||
tcd.OptName = tradeCash.OptName;
|
||
|
||
var tradeCashUpDate = DbContext.trade_cash.Find(tradeCash.id);
|
||
tradeCashUpDate.Amount += tcd.Amount ?? 0;
|
||
|
||
// 保存ClientCashInCashOut
|
||
var client = DbContextFactory.GetClientDbContext(UserInfo).client.Where(n => n.id == trade.ClientId)
|
||
.Select(n => new { n.id, n.Number, n.Name }).FirstOrDefault();
|
||
|
||
if (client == null)
|
||
{
|
||
throw new Exception($"{trade.TradeType}'{trade.TradeNumber}'找不到客户信息,客户id:{trade.ClientId}");
|
||
}
|
||
|
||
var cashInOutRecord = DbContext.ClientCashInCashOut.FirstOrDefault(c => c.TradeId == trade.id && c.Action == cashAction && c.HappenDate == valueDate);
|
||
if (cashInOutRecord == null)
|
||
{
|
||
cashInOutRecord = new ClientCashInCashOut();
|
||
cashInOutRecord.CreateDate = tradeCash.OptDate;
|
||
cashInOutRecord.CreatorId = tradeCash.OptId;
|
||
cashInOutRecord.CreatorName = tradeCash.OptName;
|
||
DbContext.ClientCashInCashOut.Add(cashInOutRecord);
|
||
}
|
||
cashInOutRecord.Direction = "应收";
|
||
cashInOutRecord.Number = UniqueTimeId.GetStr();
|
||
cashInOutRecord.ClientId = client.id;
|
||
cashInOutRecord.ClientNumber = client.Number;
|
||
cashInOutRecord.ClientName = client.Name;
|
||
cashInOutRecord.Money = -tcd.Amount;
|
||
cashInOutRecord.HappenDate = valueDate;
|
||
cashInOutRecord.ValidState = "Valid";
|
||
cashInOutRecord.State = ClientCashInCashOut.已确认;
|
||
cashInOutRecord.OptDate = DateTime.Now;
|
||
cashInOutRecord.OptId = tradeCash.OptId;
|
||
cashInOutRecord.OptName = tradeCash.OptName;
|
||
cashInOutRecord.TradeId = trade.id;
|
||
cashInOutRecord.TradeCashId = tradeCash.id;
|
||
cashInOutRecord.Action = cashAction;
|
||
cashInOutRecord.TradeNumber = trade.TradeNumber;
|
||
cashInOutRecord.IsGroup = trade.IsGroup;
|
||
|
||
DbContext.SaveChanges();
|
||
}
|
||
|
||
/// <summary>
|
||
/// 处理专业版雪球
|
||
/// </summary>
|
||
private void ProcessSpecialSnowball(OtcTradeBase otcTrade, trade_snowball snowball
|
||
, DateTime valueDate, double closePrice, double tradeNotional, double? settlementAmount)
|
||
{
|
||
var obResult = new SpecialSnowballObservationHelper(otcTrade, snowball)
|
||
.GetObservationResultForTraderSide(valueDate, closePrice, tradeNotional);
|
||
|
||
if (obResult.ResultType == SnowballObservationResultType.NonObservationDay
|
||
|| obResult.ResultType == SnowballObservationResultType.Monitoring)
|
||
{
|
||
return;
|
||
}
|
||
|
||
//期权敲入
|
||
if (obResult.ResultType == SnowballObservationResultType.KnockedIn)
|
||
{
|
||
// 更新期权敲入状态
|
||
if (snowball.KnockInOutDate == null)
|
||
{
|
||
snowball.KnockInOutDate = snowball.IsInitialKnockedIn ? otcTrade.StartDate.Value : valueDate;
|
||
}
|
||
snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
|
||
return;
|
||
}
|
||
|
||
var paymentAmount = settlementAmount != null
|
||
? settlementAmount.Value
|
||
: TradeHelper.GetAmountByPaymentAmount(obResult.PaymentAmount, otcTrade.PrincipalSum(), otcTrade.BuySell);
|
||
|
||
if (obResult.ResultType == SnowballObservationResultType.KoPayoff)
|
||
{
|
||
// 更新期权敲出状态
|
||
snowball.KnockInOutDate = valueDate;
|
||
snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
|
||
|
||
// 更新交易了结状态
|
||
otcTrade.UnWindDate = valueDate;
|
||
otcTrade.TradeStatus = ConsTrade.已平仓;
|
||
|
||
//写入资金记录
|
||
|
||
(var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);
|
||
|
||
SaveCouponAmountCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, valueDate, parentTradeId, parentTradeCashId);
|
||
|
||
LogFactory.GetLogger("收盘检查雪球").Info($"{otcTrade.TradeNumber}--敲出");
|
||
}
|
||
else if (obResult.ResultType == SnowballObservationResultType.KiPayoffAtEndDate)
|
||
{
|
||
// 更新期权敲入状态
|
||
if (snowball.KnockInOutDate == null)
|
||
{
|
||
snowball.KnockInOutDate = snowball.IsInitialKnockedIn ? otcTrade.StartDate.Value : valueDate;
|
||
}
|
||
snowball.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
|
||
|
||
// 更新交易了结状态
|
||
otcTrade.UnWindDate = valueDate;
|
||
otcTrade.TradeStatus = ConsTrade.已执行;
|
||
|
||
(var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);
|
||
|
||
SaveOptionPayoffCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
|
||
}
|
||
else if (obResult.ResultType == SnowballObservationResultType.NkiPayoffAtEndDate)
|
||
{
|
||
otcTrade.UnWindDate = valueDate;
|
||
otcTrade.TradeStatus = ConsTrade.已到期;
|
||
|
||
(var parentTradeId, var parentTradeCashId) = SaveGroupCash(otcTrade, obResult.PaymentDate, paymentAmount, closePrice);
|
||
|
||
SaveOptionPayoffCash(otcTrade, paymentAmount, obResult.PaymentDate, closePrice, ClientCashInCashOut.系统操作_行权费, TradeCashExerciseWayEnum.到期行权, valueDate, false, parentTradeId, parentTradeCashId);
|
||
}
|
||
else
|
||
{
|
||
throw new ServiceException("系统错误,未处理的观察结果类型:" + obResult.ResultType) { IsFaultError = true };
|
||
}
|
||
}
|
||
|
||
//保存组合交易资金
|
||
private (int parentTradeId, int parentTradeCashId) SaveGroupCash(OtcTradeBase otcTrade
|
||
, DateTime paymentDate, double paymentAmount, double closePrice)
|
||
{
|
||
var parentTradeId = 0;
|
||
var parentTradeCashId = 0;
|
||
|
||
if (otcTrade.IsGroup == 2 && otcTrade.ParentTradeId > 0)
|
||
{
|
||
var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == otcTrade.id && x.Status != "已完成");
|
||
|
||
if (groupAction != null)
|
||
{
|
||
groupAction.Status = "已完成";
|
||
parentTradeCashId = groupAction.ParentTradeCashId;
|
||
parentTradeId = groupAction.ParentTradeId;
|
||
}
|
||
else
|
||
{
|
||
parentTradeId = otcTrade.ParentTradeId;
|
||
parentTradeCashId = SaveGroupUnwindCash(otcTrade, paymentDate, paymentAmount, closePrice, out var continueTradeCashHandle).id;
|
||
}
|
||
}
|
||
|
||
return (parentTradeId, parentTradeCashId);
|
||
}
|
||
}
|
||
}
|