463 lines
21 KiB
C#
463 lines
21 KiB
C#
using YLErp.Models;
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namespace YLErp.DBModels
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{
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public static class ConsTrade
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{
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public const string 确认成交 = "确认成交";
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public const string 新增待确认 = "新增待确认";
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public const string 修改待确认 = "修改待确认";
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public const string 期初价格已确认 = "期初价格已确认";
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public const string 未确认 = "未确认";
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public const string 审批中 = "审批中";
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public const string 已到期 = "已到期";
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public const string 已执行 = "已执行";
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public const string 已平仓 = "已平仓";
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public const string 平仓待复核 = "平仓待复核";
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public const string 提前终止拒绝 = "提前终止拒绝";
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public const string 行权待复核 = "行权待复核";
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public const string 互换待复核 = "互换待复核";
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public static readonly string 已拒绝 = "已拒绝";//审批用
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public static readonly string 已除权 = "已除权";
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public static readonly string 已回退 = "已回退";
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/// <summary>
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/// 数据表名称
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/// </summary>
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public const string TableName = "trade";
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/// <summary>
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/// 已完成的订单状态 已到期, 已执行, 已平仓，不允许再修改
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/// </summary>
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public static readonly List<string> TradeCompleteStatus = new List<string> { 已到期, 已执行, 已平仓 };
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public static readonly List<string> AllTradeStatus = new List<string> { 确认成交, 新增待确认, 修改待确认, 审批中, 已拒绝, 已执行, 已平仓, 已到期, 平仓待复核, 行权待复核, 互换待复核, 提前终止拒绝 };
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//所有确认成交之后的状态
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public static readonly List<string> TradeStatusAfterConfirmed = new List<string> { 确认成交, 已执行, 已平仓, 已到期, 平仓待复核, 行权待复核, 互换待复核, 提前终止拒绝 };
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//所有确认成交之后的状态(不包含确认成交)
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public static readonly List<string> TradeStatusAfterAndWithOutConfirmed = new List<string> { 已执行, 已平仓, 已到期, 平仓待复核, 行权待复核, 互换待复核, 提前终止拒绝 };
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/// <summary>
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/// Live trade state
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/// </summary>
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public static readonly List<string> TradeStatusBeforConfirmed = new List<string> { 新增待确认, 修改待确认, 审批中, 已拒绝 };
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public static readonly List<string> TradeStatusBeforConfirmedAndConfirmed = new List<string> { 新增待确认, 修改待确认, 审批中, 已拒绝, 确认成交 };
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public static readonly List<string> LiveTradeStatusList = new List<string> { 确认成交, 新增待确认, 修改待确认, 审批中, 平仓待复核, 提前终止拒绝, 行权待复核, 互换待复核 };
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public static readonly List<string> NeedMarginTradeStatusList = new List<string> { 确认成交, 平仓待复核, 提前终止拒绝, 行权待复核, 互换待复核 };
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public static readonly List<string> TradeStatusList = new List<string> { 新增待确认, 修改待确认, 确认成交, 已执行, 已到期, 已平仓 };
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public static readonly List<string> PositionTradeStatusList = new List<string>() { 确认成交, 平仓待复核, 行权待复核, 互换待复核, 提前终止拒绝 };
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public static readonly List<string> BondTypeList = new List<string> { "利率债", "信用债", "其它债券" };
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/// <summary>
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/// 待确认状态
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/// </summary>
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public static readonly List<string> UnConfirmTradeStatusList = new List<string> { 新增待确认, 修改待确认, 已拒绝 };
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/// <summary>
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/// 光子并表状态
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/// </summary>
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public static readonly List<string> TradeStatusCustomexport = new List<string> { 确认成交, 已执行, 已到期, 已平仓 };
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//"彩虹期权", "价差期权",
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public static readonly IReadOnlyList<string> AllTradeTypes = new List<string> {
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"香草期权", "障碍期权", "二元期权", "亚式期权", "合成价差期权", "双鲨期权","Risky期权",
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"凤凰期权", "雪球期权","累计期权","区间累积期权","气囊结构","收益增强结构","自定义交易",
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"牛市价差", "熊市价差", "亚式熊市价差", "跨式组合", "宽跨式组合", "蝶式组合","风险逆转",
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"远期", "掉期", "收益互换", "现金流交易","场内期权","商品期货", "商品现货", "股票"
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};
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//,"彩虹期权", "价差期权"
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public static readonly List<string> TradeTypesForOtcOptions = new List<string> {
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"香草期权", "障碍期权", "二元期权", "亚式期权","合成价差期权", "双鲨期权","Risky期权",
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"凤凰期权", "雪球期权","区间累积期权","气囊结构", "累计期权","收益增强结构","现金流交易","自定义交易"
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};
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//"彩虹期权", "价差期权",
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public static readonly List<string> OptionTradeTypeWithPricingModel = new List<string> {
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"香草期权", "障碍期权", "二元期权", "亚式期权","合成价差期权", "双鲨期权","Risky期权",
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"凤凰期权", "雪球期权", "区间累积期权", "气囊结构", "收益增强结构","现金流交易"
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};
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public static readonly List<string> HasBarrierPriceOptions = new List<string> {
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"障碍期权", "二元期权", "双鲨期权","凤凰期权", "雪球期权", "气囊结构", "累计期权"};
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public static readonly List<string> HasCouponOptions = new List<string> {
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"障碍期权", "二元期权", "双鲨期权","凤凰期权", "雪球期权","区间累积期权","气囊结构","累计期权"};
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public static readonly List<string> HasMinusValueOptions = new List<string> {
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"凤凰期权", "雪球期权", "自定义交易", "累计期权"
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};
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public static readonly IReadOnlyList<string> OptionTradeTypeUsed =
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OptionTradeTypeWithPricingModel.Where(n => n != "彩虹期权" && n != "价差期权").Concat(new[] { "自定义交易" }).ToList().AsReadOnly();
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// OTC-4032 只保留XX期权和结构化交易
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public static readonly List<string> OptionTradeTypes = new List<string> { "香草期权", "障碍期权", "二元期权", "亚式期权", "彩虹期权", "价差期权", "合成价差期权","Risky期权",
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"牛市价差", "熊市价差", "亚式熊市价差", "跨式组合", "宽跨式组合", "复制标的资产", "蝶式组合", "飞鹰式组合", "比例价差", "日历价差", "箱式价差", "风险逆转", "三领口组合",
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"双鲨期权", "区间累积期权", "凤凰期权", "雪球期权", "气囊结构","累计期权", "收益增强结构", "现金流交易", "自定义交易","结构化交易" };
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//OTC-4042 组合交易类型
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public static readonly List<string> CombineOptionStructures = new List<string> {"自由组合",
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"牛市价差", "熊市价差", "跨式组合", "宽跨式组合", "复制标的资产", "蝶式组合", "飞鹰式组合", "比例价差", "日历价差", "箱式价差", "风险逆转", "三领口组合" };
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/// <summary>
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/// 对冲结构类型
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/// </summary>
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public static readonly List<string> TradeTypesForHedge = new List<string> { "商品期货", "商品现货", "股票", "场内期权","信用债" };
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/// <summary>
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/// 非期权结构类型(包括结构化交易)
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/// </summary>
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public static readonly List<string> NonOptionTradeTypes = new List<string> { "收益互换", "远期", "掉期", "结构化交易", "SWAP" };
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//可以删除TradeCash的交易状态
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public static readonly List<string> CantDeleteTradeCash = new List<string> { 确认成交, 已拒绝, 已执行, 已平仓, 已到期, 平仓待复核, 行权待复核, 互换待复核, 提前终止拒绝 };
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/// <summary>
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/// 价差期权类型
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/// </summary>
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public static readonly List<string> SpreadPayoffTypes = new List<string> { "S1-S2", "S1-S2-S3", "S1-S2-S3", "S1+S2-S3", "S1-S2-S3-S4", "S1+S2-S3-S4", "S1+S2+S3-S4" };
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public static readonly List<string> TradeTypesForStockRiskHedging = new List<string> { "香草期权", "亚式期权", "商品期货", "股票", "信用债" };
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public static readonly List<string> BarrierTypes = new List<string> { "上升敲入", "上升敲出", "下降敲入", "下降敲出", "双障碍敲入", "双障碍敲出" };
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/// <summary>
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/// 互换利率端计息方式
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/// </summary>
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public static readonly List<int> InterestModels = new List<int>() { (int)InterestModeEnum.固定值, (int)InterestModeEnum.合约名义本金规模, (int)InterestModeEnum.空头存续名义本金,(int)InterestModeEnum.多头存续名义本金, (int)InterestModeEnum.标的期初全价 };
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/// <summary>
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/// 互换利率端计息方式-名义本金相关
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/// </summary>
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public static readonly List<int> InterestNotionalModels = new List<int>() {(int)InterestModeEnum.合约名义本金规模, (int)InterestModeEnum.空头存续名义本金, (int)InterestModeEnum.多头存续名义本金, (int)InterestModeEnum.标的期初全价 };
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/// <summary>
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/// 互换利率计息方式 预付金
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/// </summary>
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public static readonly List<int> InterestMarginModels = new List<int>() { (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金};
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#region----买入卖出BuySellType----
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/// <summary>
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/// 买入卖出
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/// </summary>
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public static class BuySellType
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{
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public const string Buy = "买入";
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public const string Sell = "卖出";
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//用于场内对冲交易买卖类型
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public const string LongOpen = "多头开仓";
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public const string LongClose = "多头平仓";
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public const string ShortOpen = "空头开仓";
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public const string ShortClose = "空头平仓";
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public static IEnumerable<SelectItem> GetSelectItems(bool forExchangeTrade = false)
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{
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if (forExchangeTrade)
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{
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return new[] {
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new SelectItem{ Value= LongOpen, Text= LongOpen },
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new SelectItem{ Value= LongClose, Text= LongClose },
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new SelectItem{ Value= ShortOpen, Text= ShortOpen },
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new SelectItem{ Value= ShortClose, Text= ShortClose }
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};
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}
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return new[] {
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new SelectItem{ Value= Sell, Text= Sell },
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new SelectItem{ Value= Buy, Text= Buy }
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};
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}
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}
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#endregion
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#region----开仓平仓OpenClose----
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/// <summary>
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/// 开仓平仓
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/// </summary>
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public static class OpenClose
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{
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public const string Open = "开仓";
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public const string Close = "平仓";
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= Open, Text= Open },
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new SelectItem{ Value= Close, Text= Close }
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};
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}
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}
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#endregion
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#region----多头空头LongShort----
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/// <summary>
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/// 多头空头
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/// </summary>
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public static class LongShort
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{
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public const string Long = "多头";
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public const string Short = "空头";
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= Long, Text= Long },
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new SelectItem{ Value= Short, Text= Short }
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};
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}
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}
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#endregion
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#region----看涨看跌OptionType----
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/// <summary>
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/// 看涨看跌
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/// </summary>
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public static class OptionType
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{
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public const string Call = "看涨";
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public const string Put = "看跌";
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= Call, Text= Call },
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new SelectItem{ Value= Put, Text= Put }
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};
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}
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}
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#endregion
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#region----行权方式ExerciseType----
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/// <summary>
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/// 行权方式
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/// </summary>
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public static class ExerciseType
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{
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public const string European = "European";
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public const string American = "American";
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public static string GetDesc(string type)
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{
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switch (type)
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{
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case American: return "美式";
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case European: return "欧式";
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default: return type ?? string.Empty;
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}
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}
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= European, Text= "欧式" },
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new SelectItem{ Value= American, Text= "美式" }
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};
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}
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}
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#endregion
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#region----敲入敲出状态KnockState----
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/// <summary>
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/// 敲入敲出状态
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/// </summary>
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public static class KnockState
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{
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public const string 观察中 = "观察中";
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public const string Monitoring = "Monitoring";
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public const string KnockedIn = "KnockedIn";
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public const string KnockedOut = "KnockedOut";
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public static string GetDesc(string type)
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{
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switch (type)
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{
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case KnockedIn: return "敲入";
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case KnockedOut: return "敲出";
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case Monitoring: return "观察中";
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default: return type ?? "";
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}
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}
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public static bool IsMonitoring(string type)
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{
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return type == Monitoring || type == 观察中;
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}
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= 观察中, Text= "观察中"},
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new SelectItem{ Value= KnockedIn, Text= "敲入"},
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new SelectItem{ Value= KnockedOut, Text= "敲出"}
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};
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}
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}
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#endregion
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#region----亚式期权均价计算类型AsianAverageType----
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/// <summary>
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/// 亚式期权均价计算类型
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/// </summary>
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public static class AsianAverageType
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{
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public const string ArithmeticAverage = "ArithmeticAverage";
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public const string GeometricAverage = "GeometricAverage";
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public const string DiscreteArithmeticAverage = "DiscreteArithmeticAverage";
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public const string EnhancedArithmeticAverage = "EnhancedArithmeticAverage";
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public const string DiscreteGeometricAverage = "DiscreteGeometricAverage";
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public static string GetDesc(string type)
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{
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switch (type)
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{
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case ArithmeticAverage: return "算术平均";
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case GeometricAverage: return "几何平均";
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case DiscreteArithmeticAverage: return "算术平均(离散)";
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case EnhancedArithmeticAverage: return "增强算术平均";
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case DiscreteGeometricAverage: return "几何平均(离散)";
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default: return type ?? "";
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}
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}
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= ArithmeticAverage, Text= "算术平均"},
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new SelectItem{ Value= GeometricAverage, Text= "几何平均"},
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new SelectItem{ Value= DiscreteArithmeticAverage, Text= "算术平均(离散)"},
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new SelectItem{ Value= EnhancedArithmeticAverage, Text= "增强算术平均"},
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};
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}
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}
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#endregion
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#region----亚式期权行权价类型AsiaStrikeType----
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/// <summary>
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/// 亚式期权行权价类型
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/// </summary>
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public static class AsiaStrikeType
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{
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public const string Fixed = "Fixed";
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public const string Floating = "Floating";
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public const string Segmented = "Segmented";
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public static string GetDesc(string type)
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{
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switch (type)
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{
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case Fixed: return "固定行权价";
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case Floating: return "浮动行权价";
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case Segmented: return "分段式";
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default: return type ?? "";
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}
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}
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= Fixed, Text= "固定行权价"},
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new SelectItem{ Value= Floating, Text= "浮动行权价"},
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new SelectItem{ Value= Segmented, Text= "分段式"}
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};
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}
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}
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#endregion
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#region----补偿支付方式RebateType----
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/// <summary>
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/// 补偿支付方式
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/// </summary>
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public static class RebateType
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{
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public const string AtEnd = "AtEnd";
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public const string AtHit = "AtHit";
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public static string GetDesc(string type)
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{
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switch (type)
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{
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case AtEnd: return "递延";
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case AtHit: return "立即";
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default: return type ?? string.Empty;
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}
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}
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public static IEnumerable<SelectItem> GetSelectItems()
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{
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return new[] {
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new SelectItem{ Value= AtEnd, Text= "递延" },
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new SelectItem{ Value= AtHit, Text= "立即" }
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};
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}
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}
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#endregion
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public static readonly List<string> RainbowTypes = new List<string> { "Max", "Min", "BestOfAssetsOrCash", "BestCashOrNothing", "WorstCashOrNothing", "TwoAssetsCashOrNothing", "TwoAssetsCashOrNothingUpDown", "TwoAssetsCashOrNothingDownUp" };
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public static readonly List<string> BinaryEuropeanPayoffTypes = new List<string> { "CashOrNothing", "AssetOrNothing" };
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public static readonly List<string> BinaryAmericanPayoffTypes = new List<string> { "UpOneTouch", "DownOneTouch", "UpNoTouch", "DownNoTouch", "DoubleOneTouch", "DoubleNoTouch" };
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public static readonly List<string> DiscreteTypes = new List<string> { "离散", "连续" };
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/// <summary>
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/// 默认情景分析参数
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/// </summary>
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public static readonly List<double> PriceRate = new List<double> { -0.3, -0.2, -0.1, -0.05, 0, 0.05, 0.1, 0.2, 0.3 };
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/// <summary>
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/// 默认情景分析参数
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/// </summary>
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public static readonly List<double> VolRate = new List<double> { 0.20, 0.15, 0.10, 0.05, 0, -0.05, -0.10, -0.15, -0.20 };
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/// <summary>
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/// 用户自定义结构的定价方式
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/// </summary>
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public static readonly Dictionary<string, string> UserDefinedPricingMethods = new Dictionary<string, string> { { "无", UserDefinedPricingMethod.None.ToString() }, { "通用蒙特卡洛", UserDefinedPricingMethod.GenericMonteCarlo.ToString() }, { "外部计算服务", UserDefinedPricingMethod.ExternalService.ToString() } };
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public static readonly List<string> PriceDistributions = new List<string> { "LogNormal" };
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public static readonly List<string> UserDefinedFieldTypes = GenerateSelectListFromEnum(typeof(OptionFieldType));
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/// <summary>
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/// 非默认的定价模型名称映射关系
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/// </summary>
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public static string GetEngineName(string engineName)
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{
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switch (engineName)
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{
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case "二叉树":
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case "BinomialTreeAmericanEngine":
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return "BinomialTreeAmericanEngine";
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case "蒙特卡洛":
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case "GbmMonteCarloEngine":
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return "GbmMonteCarloEngine";
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default: return null;
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}
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}
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private static List<string> GenerateSelectListFromEnum(Type enumType)
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{
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return Enum.GetNames(enumType).ToList();
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}
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}
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}
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