zszq-trs/YLErpDAL/Modules/TradeModule/ObservationModule/OptionObservationService_Snowball.cs

using System.Diagnostics;
using YLErp.Modules.TradeModule.ExoticOptionModule;

namespace YLErp.Modules.TradeModule.ObservationModule
{
    /// <summary>
    /// 雪球期权观察
    /// </summary>
    partial class OptionObservationService
    {
        /// <summary>
        /// 雪球期权
        /// </summary>
        private CheckObservationResult CheckSnowballKioStatus(trade td, DateTime valueDate, double price)
        {
            var tdEx = td.trade_snowball;

            if (tdEx.PrepaymentUsed)
            {
                return CheckSnowballKioStatusForSpecial(td, tdEx, valueDate, price);
            }

            var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };

            var (blKI, blKO) = IsObservationDay(td, valueDate, tdEx.ObservationDates, tdEx.KOObservationDates);

            result.IsObservationDay = (tdEx.KIPayoffType != KIPayoffTypeEnum.None && blKI) || blKO;
            if (tdEx.IsInitialKnockedIn)
            {
                result.IsObservationDay = blKO;
            }
            if (result.IsObservationDay)
            {
                //若所有条件都未满足的默认值处理
                if (tdEx.KnockInOutStatusCn == "已敲入")
                {
                    result.KnockInOutStatusObservation = "敲入";
                }
                else
                {
                    result.KnockInOutStatusObservation = "观察中";
                }

                result.KOBarrier = TradeObservationHelper.GetPriceByDate(tdEx.KOObservationDates, valueDate) ?? tdEx.KOBarrier;

                if (td.IsMoneynessOptionData)
                {
                    result.KOBarrier *= td.SpotPrice ?? 0;
                }

                var kiBarrier = new Lazy<double?>(() => td.IsMoneynessOptionData ? tdEx.KIBarrier * td.SpotPrice : tdEx.KIBarrier);

                if (ConsGlobal.CallPut.IsCall(td.OptionType))
                {
                    //向上敲出向下敲入
                    if (blKO && price >= result.KOBarrier.Value)
                    {
                        result.KnockInOutStatusObservation = "敲出";
                    }
                    else if (blKI && price <= kiBarrier.Value && tdEx.KIPayoffType != KIPayoffTypeEnum.None)
                    {
                        result.KnockInOutStatusObservation = "敲入";
                    }
                }
                else
                {
                    //向下敲出向上敲入
                    if (blKO && price <= result.KOBarrier.Value)
                    {
                        result.KnockInOutStatusObservation = "敲出";
                    }
                    else if (blKI && price >= kiBarrier.Value && tdEx.KIPayoffType != KIPayoffTypeEnum.None)
                    {
                        result.KnockInOutStatusObservation = "敲入";
                    }
                }

                if (result.KnockInOutStatusObservation == "敲出" && tdEx.KOPayoffType != KOPayoffTypeEnum.Rebate)
                {
                    var kOOptionPayoff = new TradeSnowballService(this).GetKOOptionPayoff(td, tdEx, valueDate, price);
                    result.CheckData["snowball_ExerciseMoneyAtKO"] = kOOptionPayoff.OtcFormatMoney(); //交割金额
                }
            }
            else
            {
                result.KOBarrier = tdEx.KOBarrier;

                if (td.IsMoneynessOptionData)
                {
                    result.KOBarrier *= td.SpotPrice ?? 0;
                }
            }

            //结算金额
            var defaultAmount = new TradeSnowballBLL(this).GetDefaultAmount(td, tdEx, valueDate, price);
            result.CheckData["结算金额"] = defaultAmount.OtcFormatMoney();

            return result;
        }

        /// <summary>
        /// 雪球期权
        /// </summary>
        private CheckObservationResult CheckSnowballKioStatusForSpecial(OtcTrade td, trade_snowball tdEx, DateTime valueDate, double price)
        {
            Debug.Assert(tdEx.PrepaymentUsed);

            var result = new CheckObservationResult
            {
                UnderlyingCode = td.UnderlyingCode,
                IsObservationDay = true,
                KnockInOutStatusObservation = tdEx.KnockInOutStatusCn == "已敲入" ? "敲入" : "观察中",
                KOBarrier = td.IsMoneynessOptionData ? tdEx.KOBarrier * (td.SpotPrice ?? 0) : tdEx.KOBarrier
            };

            var res = new TradeSnowballBLL(this).GetDefaultAmountForSpecialSnowball(td, tdEx, valueDate, price);

            switch (res.ResultType)
            {
                case SnowballObservationResultType.NonObservationDay:
                    result.IsObservationDay = false;
                    break;
                case SnowballObservationResultType.KnockedIn:
                    result.KnockInOutStatusObservation = "敲入";
                    break;
                case SnowballObservationResultType.KoPayoff:
                    result.KnockInOutStatusObservation = "敲出";
                    break;
                case SnowballObservationResultType.KiPayoffAtEndDate:
                    result.KnockInOutStatusObservation = "敲入";
                    break;
                case SnowballObservationResultType.Monitoring:
                case SnowballObservationResultType.NkiPayoffAtEndDate:
                    break;
            }

            result.KOBarrier = res.KoBarrier;
            result.CheckData["结算金额"] = res.PaymentAmount.OtcFormatMoney();

            return result;
        }

    }
}