591 lines
15 KiB
C#
591 lines
15 KiB
C#
using System.ComponentModel.DataAnnotations.Schema;
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namespace YLErp.DBModels
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{
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[Table("trade_span")]
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public class trade_span : TradeExtendBase
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{
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public static string LogClass = "trade_span";
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private double? spv1;
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private double? spv2;
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private double? spv3;
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private double? spv4;
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private double? spv5;
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private double? spv6;
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private double? spv7;
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private double? spv8;
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private double? spv9;
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private double? spv10;
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private double? spv11;
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private double? spv12;
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private double? spv13;
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private double? spv14;
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private double? spv;
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private double? worstCastClientPayable;
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private double? twoSideMargin;
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private double? delta;
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private double? underlyingPrice;
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private double? deltaMargin;
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private double? initialMargin;
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private double? riskExposure;
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private double? margin;
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private double? cashDeposit;
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private double? positionWin;
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private double? im;
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private double? vm;
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private double? commission;
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private double? pfe;
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private double? spv15;
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private double? spv16;
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private double? spv17;
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private double? swapInitMargin;
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private double? swapWinLoss;
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/// <summary>
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///
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/// </summary>
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[DisplayName("ValueDate")]
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public DateTime ValueDate { get; set; }
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/// <summary>
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/// 涨停波动率不变
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/// <para>海通：价格涨 + 波动率变大</para>
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/// <para>宏源: 价格不变</para>
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/// </summary>
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[DisplayName("Spv1")]
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public double? Spv1
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{
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get => spv1;
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set => spv1 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 涨停波动率变
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/// <para>海通：价格涨 + 波动率不变</para>
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/// <para>宏源: 价格涨</para>
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/// </summary>
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[DisplayName("Spv2")]
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public double? Spv2
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{
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get => spv2;
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set => spv2 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 跌停波动率不变
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/// <para>海通：价格涨 + 波动率变小</para>
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/// <para>宏源: 价格跌</para>
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/// </summary>
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[DisplayName("Spv3")]
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public double? Spv3
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{
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get => spv3;
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set => spv3 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 跌停波动率变
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/// 海通：价格不变 + 波动率变大
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/// </summary>
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[DisplayName("Spv4")]
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public double? Spv4
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{
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get => spv4;
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set => spv4 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 海通：价格不变 + 波动率变小
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/// </summary>
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public double? Spv5
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{
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get => spv5;
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set => spv5 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 海通：价格跌 + 波动率变大
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/// </summary>
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public double? Spv6
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{
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get => spv6;
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set => spv6 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 海通：价格跌 + 波动率不变
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/// </summary>
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public double? Spv7
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{
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get => spv7;
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set => spv7 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 海通：价格跌 + 波动率变小
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/// </summary>
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public double? Spv8
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{
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get => spv8;
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set => spv8 = NumberHelper.Normalize(value);
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}
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public double? Spv9
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{
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get => spv9;
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set => spv9 = NumberHelper.Normalize(value);
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}
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public double? Spv10
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{
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get => spv10;
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set => spv10 = NumberHelper.Normalize(value);
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}
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public double? Spv11
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{
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get => spv11;
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set => spv11 = NumberHelper.Normalize(value);
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}
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public double? Spv12
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{
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get => spv12;
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set => spv12 = NumberHelper.Normalize(value);
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}
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public double? Spv13
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{
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get => spv13;
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set => spv13 = NumberHelper.Normalize(value);
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}
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public double? Spv14
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{
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get => spv14;
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set => spv14 = NumberHelper.Normalize(value);
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}
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public double? Spv15
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{
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get => spv15;
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set => spv15 = NumberHelper.Normalize(value);
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}
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public double? Spv16
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{
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get => spv16;
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set => spv16 = NumberHelper.Normalize(value);
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}
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public double? Spv17
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{
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get => spv17;
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set => spv17 = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 当前持仓市值
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/// 瑞达span算法Spv1234..这些需要减去当前持仓市值，得到的Pnl1234..来做span算法处理
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/// </summary>
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public double? Spv
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{
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get => spv;
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set => spv = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 客户买入时为负数
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/// 客户卖出时为正数
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/// </summary>
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public double? WorstCastClientPayable
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{
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get => worstCastClientPayable;
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set => worstCastClientPayable = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 客户预付金最大亏损
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/// </summary>
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public double? MaxlossMargin { get; set; }
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/// <summary>
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/// 双向预付金
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/// </summary>
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public double? TwoSideMargin
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{
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get => twoSideMargin;
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set => twoSideMargin = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 交易员角度看的Delta
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/// </summary>
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public double? Delta
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{
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get => delta;
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set => delta = NumberHelper.Normalize(value);
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}
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public double? UnderlyingPrice
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{
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get => underlyingPrice;
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set => underlyingPrice = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 客户买入时为负数
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/// 客户卖出时针对瑞达可正可负
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/// </summary>
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public double? DeltaMargin
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{
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get => deltaMargin;
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set => deltaMargin = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 初始预付金 * 额外系数
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/// </summary>
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public double? InitialMargin
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{
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get => initialMargin;
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set => initialMargin = NumberHelper.Normalize(value);
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}
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/// <summary>
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///
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/// </summary>
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public void SetWorstCastClientPayable()
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{
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var worst = Spv1 ?? 0;
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if (Spv2.HasValue && worst < Spv2.Value)
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{
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worst = Spv2.Value;
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}
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if (Spv3.HasValue && worst < Spv3.Value)
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{
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worst = Spv3.Value;
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}
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if (Spv4.HasValue && worst < Spv4.Value)
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{
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worst = Spv4.Value;
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}
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if (Spv5.HasValue && worst < Spv5.Value)
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{
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worst = Spv5.Value;
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}
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if (Spv6.HasValue && worst < Spv6.Value)
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{
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worst = Spv6.Value;
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}
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if (Spv7.HasValue && worst < Spv7.Value)
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{
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worst = Spv7.Value;
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}
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if (Spv8.HasValue && worst < Spv8.Value)
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{
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worst = Spv8.Value;
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}
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if (Spv9.HasValue && worst < Spv9.Value)
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{
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worst = Spv9.Value;
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}
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if (Spv10.HasValue && worst < Spv10.Value)
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{
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worst = Spv10.Value;
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}
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if (Spv11.HasValue && worst < Spv11.Value)
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{
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worst = Spv11.Value;
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}
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if (Spv12.HasValue && worst < Spv12.Value)
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{
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worst = Spv12.Value;
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}
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if (Spv13.HasValue && worst < Spv13.Value)
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{
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worst = Spv13.Value;
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}
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if (Spv14.HasValue && worst < Spv14.Value)
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{
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worst = Spv14.Value;
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}
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if (Spv15.HasValue && worst < Spv15.Value)
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{
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worst = Spv15.Value;
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}
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if (Spv16.HasValue && worst < Spv16.Value)
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{
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worst = Spv16.Value;
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}
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if (Spv17.HasValue && worst < Spv17.Value)
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{
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worst = Spv17.Value;
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}
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WorstCastClientPayable = worst;
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}
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public int? VarietyId { get; set; }
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public int? UnderlyingId { get; set; }
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public string UnderlyingCode { get; set; }
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public string Comment { get; set; }
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public int? ClientId { get; set; }
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/// <summary>
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/// 风险敞口（假设公司当天行权，客户需要支付的payoff）
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/// </summary>
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public double? RiskExposure
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{
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get => riskExposure;
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set => riskExposure = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 追保金额
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/// </summary>
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public double? Margin
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{
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get => margin;
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set => margin = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 当前预付金
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/// </summary>
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public double? CashDeposit
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{
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get => cashDeposit;
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set => cashDeposit = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 交易员角度浮盈额，客户角度浮亏额，该值为正数
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/// </summary>
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public double? PositionWin
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{
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get => positionWin;
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set => positionWin = NumberHelper.Normalize(value);
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}
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public double? PositionWinLoss { get; set; }
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/// <summary>
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/// 是否单独算预付金
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/// 目前只有交易员方向卖出的雪球凤凰期权用到了该字段
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/// 保本雪球和指数类的凤凰雪球，不参与组合预付金算法
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/// </summary>
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public bool? IsSingleMargin { get; set; }
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/// <summary>
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/// 该交易预付金是否是通过span算出来的
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/// 目前国君通过该字段做预付金算法区别对待
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/// </summary>
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public bool? IsSpanMargin { get; set; }
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/// <summary>
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/// 中金: IM
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/// </summary>
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public double? IM
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{
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get => im;
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set => im = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 中金: VM
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/// 交易员方向
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/// </summary>
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public double? VM
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{
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get => vm;
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set => vm = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 中金: 未收取的开仓费
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/// </summary>
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public double? Commission
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{
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get => commission;
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set => commission = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 中金: PFE
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/// </summary>
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public double? PFE
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{
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get => pfe;
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set => pfe = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 互换初始预付金
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/// </summary>
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public double? SwapInitMargin
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{
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get => swapInitMargin;
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set => swapInitMargin = NumberHelper.Normalize(value);
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}
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/// <summary>
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/// 互换收益
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/// </summary>
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public double? SwapWinLoss
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{
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get => swapWinLoss;
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set => swapWinLoss = NumberHelper.Normalize(value);
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}
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[NotMapped]
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public double Notional { get; set; }
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[NotMapped]
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public double StockEqvNotional { get; set; }
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public string PVJsons { get; set; }
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[NotMapped]
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public List<PVJson> PVJsonList { get; set; } = new List<PVJson>();
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// 扩展字段，添加多个节点的内容
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public string Extensions { get; set; }
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public T GetFromExtensions<T>(string nodeName) where T : class
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{
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var ext = JsonHelper.Deserialize<Dictionary<string, object>>(Extensions);
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if (ext != null && ext.ContainsKey(nodeName))
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{
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return JsonHelper.Deserialize<T>(ext[nodeName]?.ToString());
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}
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else
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{
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return null;
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}
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}
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public void SetExtensions<T>(string nodeName, T obj)
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{
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var ext = JsonHelper.Deserialize<Dictionary<string, object>>(Extensions) ?? new Dictionary<string, object>();
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if (string.IsNullOrEmpty(nodeName))
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{
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nodeName = $"extensions_{nameof(T)}";
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}
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ext[nodeName] = JsonHelper.ToJson(obj);
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Extensions = JsonHelper.ToJson(ext);
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}
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public trade_span Clone()
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{
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return (trade_span)MemberwiseClone();
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}
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/// <summary>
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/// 反向取值spv
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/// </summary>
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public trade_span ReverseSpv()
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{
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if (Spv1.HasValue)
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{
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Spv1 = -Spv1.Value;
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}
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if (Spv2.HasValue)
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{
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Spv2 = -Spv2.Value;
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}
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if (Spv3.HasValue)
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{
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Spv3 = -Spv3.Value;
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}
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if (Spv4.HasValue)
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{
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Spv4 = -Spv4.Value;
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}
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if (Spv5.HasValue)
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{
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Spv5 = -Spv5.Value;
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}
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if (Spv6.HasValue)
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{
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Spv6 = -Spv6.Value;
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}
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if (Spv7.HasValue)
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{
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Spv7 = -Spv7.Value;
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}
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if (Spv8.HasValue)
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{
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Spv8 = -Spv8.Value;
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}
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if (Spv9.HasValue)
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{
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Spv9 = -Spv9.Value;
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}
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if (Spv10.HasValue)
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{
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Spv10 = -Spv10.Value;
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}
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if (Spv11.HasValue)
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{
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Spv11 = -Spv11.Value;
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}
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if (Spv12.HasValue)
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{
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Spv12 = -Spv12.Value;
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}
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if (Spv13.HasValue)
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{
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Spv13 = -Spv13.Value;
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}
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if (Spv14.HasValue)
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{
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Spv14 = -Spv14.Value;
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}
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if (Spv15.HasValue)
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{
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Spv15 = -Spv15.Value;
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}
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if (Spv16.HasValue)
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{
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Spv16 = -Spv16.Value;
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}
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if (Spv17.HasValue)
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{
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Spv17 = -Spv17.Value;
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}
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return this;
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}
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/// <summary>
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/// 设置所有spv为相同值
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/// </summary>
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public trade_span SetAllSpvAndWorst(double sameValue)
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{
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Spv1 = Spv2 = Spv3 = Spv4 = Spv5 = Spv6 = Spv7 = Spv8 = Spv9 = Spv10 = Spv11 = Spv12 = Spv13 = Spv14 = Spv15 = Spv16 = Spv17 = worstCastClientPayable = deltaMargin = sameValue;
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|
return this;
|
|
}
|
|
}
|
|
}
|