816 lines
22 KiB
C#
816 lines
22 KiB
C#
using YLErp.BLL;
|
||
using YLErp.Configuration;
|
||
using YLErp.DBModels.Enums;
|
||
using YLErp.DBModels.Helpers;
|
||
|
||
namespace YLErp.Models
|
||
{
|
||
public class TradingRiskParameter
|
||
{
|
||
private double _pv;
|
||
private double _npv;
|
||
private double _tv;
|
||
private double _delta;
|
||
private double _sA_Delta;
|
||
private double _gamma;
|
||
private double _theta;
|
||
private double _vega;
|
||
private double _rho;
|
||
private double _vol;
|
||
private double _ddeltaDt;
|
||
private double _ddeltaDvol;
|
||
private double _dvegaDt;
|
||
private double _dvegaDvol;
|
||
private double _deltaCash;
|
||
private double _gammaCash;
|
||
private double _deltaInLots;
|
||
private double _gammaInLots;
|
||
private double? _deltaPercent;
|
||
private double _tradePrice;
|
||
private double _originalPrincipalSum;
|
||
private double _dailyPnl;
|
||
private double _exercisePnl;
|
||
private double _totalPnl;
|
||
private double _pnlWithHedge;
|
||
private double _totalPnlWithHedge;
|
||
private double _cost;
|
||
private double _accruedTotalPnl;
|
||
|
||
public string EncryptId
|
||
{
|
||
get { return Helpers.DataProtectHelper.Encrypt(TradeId); }
|
||
}
|
||
|
||
/// <summary>
|
||
/// 对冲波动率
|
||
/// </summary>
|
||
public double? TradeSavedVol { get; set; }
|
||
|
||
/// <summary>
|
||
/// 报价单位
|
||
/// </summary>
|
||
public string QuoteUnit { get; set; }
|
||
|
||
/// <summary>
|
||
/// 交易日期
|
||
/// </summary>
|
||
public DateTime? TradeDate { get; set; }
|
||
|
||
/// <summary>
|
||
/// 成交手数
|
||
/// </summary>
|
||
public double? Lots { get; set; }
|
||
|
||
/// <summary>
|
||
/// 持仓手数
|
||
/// </summary>
|
||
public double? LotsNewInfo { get; set; }
|
||
|
||
/// <summary>
|
||
/// 客户ID
|
||
/// </summary>
|
||
public int ClientId { get; set; }
|
||
|
||
/// <summary>
|
||
/// 客户名称
|
||
/// </summary>
|
||
public string ClientName { get; set; }
|
||
|
||
/// <summary>
|
||
/// 品种代码
|
||
/// </summary>
|
||
public string VarietyCode { get; set; }
|
||
|
||
/// <summary>
|
||
/// 是否组合标的
|
||
/// </summary>
|
||
internal bool IsSynthetic { get; set; }
|
||
|
||
/// <summary>
|
||
/// 组合标的的公式信息
|
||
/// </summary>
|
||
public string SyntheticTipsInfo { get; set; }
|
||
|
||
/// <summary>
|
||
/// 标的现价
|
||
/// </summary>
|
||
public double? SpotPrice { get; set; }
|
||
|
||
/// <summary>
|
||
/// 期初标的价格
|
||
/// </summary>
|
||
public double? InitSpotPrice { get; set; }
|
||
|
||
/// <summary>
|
||
/// 离交易到期日还有几天
|
||
/// </summary>
|
||
public int MaturityDay => ExerciseDate == null ? 999999 : ExerciseDate.Value.Subtract(DateTime.Now.Date).Days;
|
||
|
||
/// <summary>
|
||
/// 离系统工作日期差几天
|
||
/// </summary>
|
||
public int MaturityWorkDay => ExerciseDate == null ? 999999 : CalendarBLL.GetNonHolidayDays(ExerciseDate.Value);
|
||
|
||
/// <summary>
|
||
/// 行权方式
|
||
/// </summary>
|
||
public string ExerciseModeCn => TradeHelper.GetExerciseModeCn(ExerciseMode);
|
||
|
||
public string ExerciseMode { get; set; }
|
||
|
||
public string TradeStatus { get; set; }
|
||
|
||
public int TradeId { get; set; }
|
||
|
||
/// <summary>
|
||
/// (EnumTradeType)交易类型标识
|
||
/// </summary>
|
||
public int TradeFlag { get; set; }
|
||
|
||
public bool IsOption { get; set; }
|
||
|
||
public int? UnderlyingId { get; set; }
|
||
|
||
/// <summary>
|
||
/// 结构类型
|
||
/// </summary>
|
||
public string TradeType { get; set; }
|
||
|
||
public string StructureType { get; set; }
|
||
|
||
/// <summary>
|
||
/// 是否分组交易
|
||
/// </summary>
|
||
public int IsGroup { get; set; }
|
||
|
||
/// <summary>
|
||
/// 看涨看跌
|
||
/// </summary>
|
||
public string CallPut { get; set; }
|
||
|
||
/// <summary>
|
||
/// 行权日
|
||
/// </summary>
|
||
public DateTime? ExerciseDate { get; set; }
|
||
|
||
/// <summary>
|
||
/// 持仓份额
|
||
/// </summary>
|
||
public double Notional { get; set; }
|
||
|
||
/// <summary>
|
||
/// 有效开仓份额
|
||
/// </summary>
|
||
public double OriginalNotional { get; set; }
|
||
|
||
/// <summary>
|
||
/// 开仓份额(虚拟)
|
||
/// </summary>
|
||
public double OriginalNotionalV { get; set; }
|
||
|
||
/// <summary>
|
||
/// 期权份额
|
||
/// </summary>
|
||
public double? OptionVolume { get; set; }
|
||
|
||
/// <summary>
|
||
/// 行权价
|
||
/// </summary>
|
||
public double? Strike { get; set; }
|
||
|
||
/// <summary>
|
||
/// 名义本金
|
||
/// </summary>
|
||
public double? StockEqvNotional { get; set; }
|
||
|
||
/// <summary>
|
||
/// 是否相对行权价
|
||
/// </summary>
|
||
public string IsMoneynessOption { get; set; }
|
||
|
||
/// <summary>
|
||
/// 交易方向
|
||
/// </summary>
|
||
public string BuySell { get; set; }
|
||
|
||
/// <summary>
|
||
/// 簿记账户
|
||
/// </summary>
|
||
public int BookId { get; set; }
|
||
|
||
/// <summary>
|
||
/// 标的代码
|
||
/// </summary>
|
||
public string UnderlyingCode { get; set; }
|
||
|
||
/// <summary>
|
||
/// 标的名称
|
||
/// </summary>
|
||
public string UnderlyingName { get; set; }
|
||
|
||
/// <summary>
|
||
/// 涨跌幅
|
||
/// </summary>
|
||
public double? SpotPriceChangePercent { get; set; }
|
||
|
||
public double Pv
|
||
{
|
||
get => _pv;
|
||
set => _pv = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double NPv
|
||
{
|
||
get => _npv;
|
||
set => _npv = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 时间价值
|
||
/// </summary>
|
||
public double Tv
|
||
{
|
||
get => _tv;
|
||
set => _tv = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Delta
|
||
{
|
||
get => _delta;
|
||
set => _delta = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// T+1日Delta
|
||
/// </summary>
|
||
internal double? DeltaT1 { get; set; }
|
||
|
||
/// <summary>
|
||
/// T+1日Delta(手数)
|
||
/// </summary>
|
||
public double? DeltaT1Lots { get; set; }
|
||
|
||
public double SA_Delta
|
||
{
|
||
get => _sA_Delta;
|
||
set => _sA_Delta = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Gamma
|
||
{
|
||
get => _gamma;
|
||
set => _gamma = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Theta
|
||
{
|
||
get => _theta;
|
||
set => _theta = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Vega
|
||
{
|
||
get => _vega;
|
||
set => _vega = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Rho
|
||
{
|
||
get => _rho;
|
||
set => _rho = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double Vol
|
||
{
|
||
get => _vol;
|
||
set => _vol = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double DdeltaDt
|
||
{
|
||
get => _ddeltaDt;
|
||
set => _ddeltaDt = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double DdeltaDvol
|
||
{
|
||
get => _ddeltaDvol;
|
||
set => _ddeltaDvol = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double DvegaDt
|
||
{
|
||
get => _dvegaDt;
|
||
set => _dvegaDt = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double DvegaDvol
|
||
{
|
||
get => _dvegaDvol;
|
||
set => _dvegaDvol = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double DeltaCash
|
||
{
|
||
get => _deltaCash;
|
||
set => _deltaCash = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 东证独有字段 DeltaCash 限额
|
||
/// </summary>
|
||
public double DeltaCash2 { get; set; }
|
||
|
||
public double GammaCash
|
||
{
|
||
get => _gammaCash;
|
||
set => _gammaCash = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// Delta手数
|
||
/// </summary>
|
||
public double DeltaInLots
|
||
{
|
||
get => _deltaInLots;
|
||
set => _deltaInLots = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 可对冲Gamma手数
|
||
/// </summary>
|
||
public double GammaInLots
|
||
{
|
||
get => _gammaInLots;
|
||
set => _gammaInLots = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 显示某标的期权持仓的已对冲比例，只在按标的浏览汇总时有意义
|
||
/// 计算方式是：该标的总Delta/期权份额
|
||
/// </summary>
|
||
public double? DeltaPercent
|
||
{
|
||
get => _deltaPercent;
|
||
set => _deltaPercent = value == null || double.IsNaN(value.Value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 权利金
|
||
/// </summary>
|
||
public double TradePrice
|
||
{
|
||
get => _tradePrice;
|
||
set => _tradePrice = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 保底收益总额
|
||
/// </summary>
|
||
public double OriginalPrincipalSum
|
||
{
|
||
get => _originalPrincipalSum;
|
||
set => _originalPrincipalSum = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 权利金
|
||
/// </summary>
|
||
public double Premium { get; set; }
|
||
|
||
public bool IsPremiumRate { get; set; }
|
||
|
||
public double DailyPnl
|
||
{
|
||
get => _dailyPnl;
|
||
set => _dailyPnl = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 行权收益(只有期权有)
|
||
/// </summary>
|
||
public double ExercisePnl
|
||
{
|
||
get => _exercisePnl;
|
||
set => _exercisePnl = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double TotalPnl
|
||
{
|
||
get => _totalPnl;
|
||
set => _totalPnl = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double TotalPnlWithHedge
|
||
{
|
||
get => _totalPnlWithHedge;
|
||
set => _totalPnlWithHedge = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
public double PnlWithHedge
|
||
{
|
||
get => _pnlWithHedge;
|
||
set => _pnlWithHedge = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 成本
|
||
/// </summary>
|
||
public double Cost
|
||
{
|
||
get => _cost;
|
||
set => _cost = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 累积总盈亏
|
||
/// </summary>
|
||
public double AccruedTotalPnl
|
||
{
|
||
get => _accruedTotalPnl;
|
||
set => _accruedTotalPnl = double.IsNaN(value) ? 0 : value;
|
||
}
|
||
|
||
/// <summary>
|
||
///
|
||
/// </summary>
|
||
public string TradeNumber { get; set; }
|
||
|
||
/// <summary>
|
||
/// 场内期权代码
|
||
/// </summary>
|
||
public string ExchangeOptionCode { get; set; }
|
||
|
||
//持仓类型 long short
|
||
internal string PositionType { get; set; }
|
||
|
||
/// <summary>
|
||
/// 标的资产类型
|
||
/// </summary>
|
||
public string InstrumentType { get; set; }
|
||
|
||
/// <summary>
|
||
/// 场内期权价格
|
||
/// </summary>
|
||
public double? ExOptionPrice { get; set; }
|
||
|
||
/// <summary>
|
||
/// 分红率
|
||
/// </summary>
|
||
public double? DividendRate { get; set; }
|
||
|
||
/// <summary>
|
||
/// 无风险利率
|
||
/// </summary>
|
||
public double? NoRiskRate { get; set; }
|
||
|
||
/// <summary>
|
||
/// 用于存储场外交易份额[绝对,轧差]
|
||
/// </summary>
|
||
public double[] Notionals { get; set; }
|
||
|
||
/// <summary>
|
||
/// 开仓波动率
|
||
/// </summary>
|
||
public double OpenVol { get; set; }
|
||
|
||
/// <summary>
|
||
/// 对冲PV
|
||
/// </summary>
|
||
public double? HedgePv { get; set; }
|
||
|
||
/// <summary>
|
||
/// 对冲Delta
|
||
/// </summary>
|
||
public double? HedgeDelta { get; set; }
|
||
|
||
/// <summary>
|
||
/// 对冲Delta手数
|
||
/// </summary>
|
||
public double? HedgeDeltaLots { get; set; }
|
||
|
||
public List<TradingRiskParameter> viewList { get; set; }
|
||
|
||
/// <summary>
|
||
/// 判断是否有持仓
|
||
/// </summary>
|
||
internal bool HasPosition { get; set; }
|
||
|
||
/// <summary>
|
||
/// 公司定制
|
||
/// </summary>
|
||
public TradingRiskParameter_Company CompanyObj { get; set; }
|
||
|
||
/// <summary>
|
||
/// LastPv
|
||
/// </summary>
|
||
public double? LastPv { get; set; }
|
||
|
||
/// <summary>
|
||
/// TTM
|
||
/// </summary>
|
||
public double? PricingT { get; set; }
|
||
|
||
/// <summary>
|
||
/// Debug
|
||
/// </summary>
|
||
public List<object> Debug { get; set; }
|
||
|
||
/// <summary>
|
||
///
|
||
/// </summary>
|
||
public TradingRiskParameter AddItem(TradingRiskParameter trp)
|
||
{
|
||
return InnerAddItem(trp);
|
||
}
|
||
|
||
private TradingRiskParameter InnerAddItem(TradingRiskParameter trp, int depth = 0)
|
||
{
|
||
if (trp is null)
|
||
{
|
||
return this;
|
||
}
|
||
|
||
if (Math.Abs(trp.Notional) > 0)
|
||
{
|
||
trp.HasPosition = HasPosition = true;
|
||
}
|
||
|
||
//OptionVolume只记录期权交易的份额
|
||
if (trp.TradeFlag < 1)
|
||
{
|
||
trp.TradeFlag = (int)EnumTradeTypeUtil.GetTradeFlag(trp.TradeType);
|
||
}
|
||
|
||
//如果是期权交易，将其份额加入期权总份额
|
||
if (trp.TradeFlag > (int)EnumTradeType.ExchangeOption)
|
||
{
|
||
OptionVolume = OptionVolume.GetValueOrDefault() + trp.Notional;
|
||
}
|
||
|
||
//所有标的第一次进来都会满足该条件;
|
||
if (UnderlyingCode == null)
|
||
{
|
||
YieldChain.Helpers.ObjectHelper.MapValues(this, trp, "IsOption", "OptionVolume");
|
||
|
||
if (trp.IsSynthetic)
|
||
{
|
||
SyntheticTipsInfo = synthetic_underlyingBLL.GetUnderlyingTipsInfo(trp.UnderlyingCode);
|
||
}
|
||
}
|
||
else
|
||
{
|
||
TradeType = trp.TradeType;
|
||
StructureType = trp.StructureType;
|
||
IsGroup = trp.IsGroup;
|
||
VarietyCode = trp.VarietyCode?.ToUpperInvariant();
|
||
if (!SpotPriceChangePercent.HasValue)
|
||
{
|
||
SpotPriceChangePercent = trp.SpotPriceChangePercent;
|
||
}
|
||
if (UnderlyingName == null)
|
||
{
|
||
UnderlyingName = trp.UnderlyingName;
|
||
}
|
||
Pv += trp.Pv;
|
||
PvContainsKnockOut += trp.PvContainsKnockOut;
|
||
Delta += trp.Delta;
|
||
if (!DeltaT1.HasValue)
|
||
{
|
||
DeltaT1 = trp.DeltaT1;
|
||
}
|
||
else if (trp.DeltaT1.HasValue)
|
||
{
|
||
DeltaT1 += trp.DeltaT1.Value;
|
||
}
|
||
SA_Delta += trp.SA_Delta;
|
||
Gamma += trp.Gamma;
|
||
Theta += trp.Theta;
|
||
if (PS.Config.Company == CompanyEnum.红塔众鑫)
|
||
{
|
||
ThetaNet += trp.ThetaNet;
|
||
}
|
||
|
||
Rho += trp.Rho;
|
||
Vega += trp.Vega;
|
||
DdeltaDt += trp.DdeltaDt;
|
||
DdeltaDvol += trp.DdeltaDvol;
|
||
DvegaDt += trp.DvegaDt;
|
||
DvegaDvol += trp.DvegaDvol;
|
||
DeltaCash += trp.DeltaCash;
|
||
GammaCash += trp.GammaCash;
|
||
DeltaInLots += trp.DeltaInLots;
|
||
DeltaInLotsContainsKnockOut += trp.DeltaInLotsContainsKnockOut;
|
||
GammaInLots += trp.GammaInLots;
|
||
GammaInLotsContainsKnockOut += trp.GammaInLotsContainsKnockOut;
|
||
Notional += trp.Notional;
|
||
OriginalNotional += trp.OriginalNotional;
|
||
OriginalNotionalV += trp.OriginalNotionalV;
|
||
Lots += trp.Lots;
|
||
LotsNewInfo += trp.LotsNewInfo;
|
||
|
||
TradePrice += trp.TradePrice;
|
||
OriginalPrincipalSum += trp.OriginalPrincipalSum;
|
||
DailyPnl += trp.DailyPnl;
|
||
ExercisePnl += trp.ExercisePnl;
|
||
TotalPnl += trp.TotalPnl;
|
||
AccruedTotalPnl += trp.AccruedTotalPnl;
|
||
ClientName = trp.ClientName;
|
||
ClientId = trp.ClientId;
|
||
StockEqvNotional += trp.StockEqvNotional ?? 0;
|
||
BookId = BookId != trp.BookId ? 0 : BookId;
|
||
}
|
||
|
||
if (OptionVolume.HasValue && OptionVolume.Value > 0)
|
||
{
|
||
DeltaPercent = Delta / OptionVolume.Value;
|
||
}
|
||
|
||
if (depth > 0)
|
||
{
|
||
return this;
|
||
}
|
||
|
||
if (viewList == null)
|
||
{
|
||
viewList = new List<TradingRiskParameter>();
|
||
}
|
||
|
||
//对冲交易特殊处理合计
|
||
|
||
if (ConsTrade.TradeTypesForHedge.Contains(trp.TradeType))
|
||
{
|
||
TradingRiskParameter tempTrp = null;
|
||
if (trp.TradeType == "场内期权")
|
||
{
|
||
tempTrp = viewList.FirstOrDefault(t => t.TradeType == "场内期权" && t.ExchangeOptionCode == trp.ExchangeOptionCode);
|
||
}
|
||
else
|
||
{
|
||
tempTrp = viewList.FirstOrDefault(t => ConsTrade.TradeTypesForHedge.Contains(t.TradeType) && t.UnderlyingCode == trp.UnderlyingCode && t.TradeType != "场内期权");
|
||
}
|
||
if ((trp.TradeType == "股票" || trp.TradeType == "商品期货" || trp.TradeType == "信用债") && string.IsNullOrWhiteSpace(trp.CallPut))
|
||
{
|
||
trp.CallPut = trp.Notional >= 0 ? ConsGlobal.CallPut.Call : ConsGlobal.CallPut.Put;
|
||
}
|
||
if (tempTrp == null)
|
||
{
|
||
tempTrp = new TradingRiskParameter()
|
||
{
|
||
IsOption = false,
|
||
TradeId = trp.TradeId,
|
||
Vol = trp.Vol,
|
||
TradeSavedVol = trp.TradeSavedVol
|
||
}.InnerAddItem(trp, depth + 1);
|
||
|
||
viewList.Add(tempTrp);
|
||
}
|
||
else
|
||
{
|
||
tempTrp.InnerAddItem(trp, depth + 1);
|
||
}
|
||
|
||
HedgePv = (HedgePv ?? 0) + trp.Pv;
|
||
HedgeDelta = (HedgeDelta ?? 0) + trp.Delta;
|
||
}
|
||
else
|
||
{
|
||
viewList.Add(trp);
|
||
}
|
||
|
||
return this;
|
||
}
|
||
|
||
public TradingRiskParameter Clone()
|
||
{
|
||
return (TradingRiskParameter)MemberwiseClone();
|
||
}
|
||
|
||
public override string ToString()
|
||
{
|
||
//tradeObj.AssetId, tradeObj.TradeType, longShort, tradeObj.UnderlyingCode, tradeObj.ExchangeOptionCode
|
||
var tradeId = TradeId > 0 ? TradeId.ToString() : $"{BookId}_{TradeType}_{PositionType}";
|
||
return $"{tradeId}--{TradeType}--{UnderlyingCode}";
|
||
}
|
||
|
||
/// <summary>
|
||
/// gamma定制
|
||
/// </summary>
|
||
public double? GammaCustom { get; set; }
|
||
|
||
|
||
/// <summary>
|
||
/// Delta手数(包含敲出，敲出为0)
|
||
/// </summary>
|
||
public double DeltaInLotsContainsKnockOut { get; set; }
|
||
|
||
|
||
/// <summary>
|
||
/// 可对冲Gamma手数(包含敲出，敲出为0)
|
||
/// </summary>
|
||
public double GammaInLotsContainsKnockOut { get; set; }
|
||
|
||
/// <summary>
|
||
/// 是否敲出
|
||
/// </summary>
|
||
public bool IsKnockOut { get; set; }
|
||
|
||
/// <summary>
|
||
/// Pv (包含敲出，敲出为payoff)
|
||
/// </summary>
|
||
public double PvContainsKnockOut { get; set; }
|
||
|
||
|
||
/// <summary>
|
||
/// 敲出收益
|
||
/// </summary>
|
||
public double KnockOutPayoff { get; set; }
|
||
|
||
/// <summary>
|
||
/// 红塔定制:Theta(轧差)
|
||
/// </summary>
|
||
public double ThetaNet { get; set; }
|
||
}
|
||
|
||
public class TradingRiskParameter_Company
|
||
{
|
||
|
||
}
|
||
|
||
/// <summary>
|
||
/// 广汽资本定制
|
||
/// </summary>
|
||
public class TradingRiskParameter_GuangQiZiBen : TradingRiskParameter_Company
|
||
{
|
||
//Delta暴露指所有品种Delta敞口名义金额绝对值相加；
|
||
|
||
/// <summary>
|
||
/// 调整Delta暴露=Delta*标的价格*波动率/sqrt(243)；
|
||
/// </summary>
|
||
public double DeltaAdjust { get; set; }
|
||
|
||
/// <summary>
|
||
/// 调整Gamma暴露=0.5*Gamma*（标的价格*波动率/sqrt(243) ）
|
||
/// </summary>
|
||
public double GammaAdjust { get; set; }
|
||
}
|
||
|
||
/// <summary>
|
||
/// 天示定制
|
||
/// </summary>
|
||
public class TradingRiskParameter_TianShi : TradingRiskParameter_Company
|
||
{
|
||
/// <summary>
|
||
/// 调仓手数=期货持仓-场外期权delta手数
|
||
/// </summary>
|
||
public double PositionAdjustLots { get; set; }
|
||
|
||
/// <summary>
|
||
/// 风险度=调仓手数/场外期权delta手数
|
||
/// </summary>
|
||
public double RiskDegree { get; set; }
|
||
}
|
||
|
||
public class TradingRiskParameterSortComparer : IComparer<TradingRiskParameter>
|
||
{
|
||
private int GetTypeSortValue(TradingRiskParameter x)
|
||
{
|
||
if (x.InstrumentType == "Stock" && !x.IsSynthetic)
|
||
{
|
||
return 1;
|
||
}
|
||
|
||
if (x.InstrumentType == "Stock" && x.IsSynthetic)
|
||
{
|
||
return 2;
|
||
}
|
||
|
||
if (x.InstrumentType == "CommodityFutures" && x.IsSynthetic)
|
||
{
|
||
return 3;
|
||
}
|
||
|
||
return 4;
|
||
}
|
||
|
||
public int Compare(TradingRiskParameter x, TradingRiskParameter y)
|
||
{
|
||
var xSortValue = GetTypeSortValue(x);
|
||
var ySortValue = GetTypeSortValue(y);
|
||
if (xSortValue != ySortValue)
|
||
{
|
||
return xSortValue - ySortValue;
|
||
}
|
||
|
||
return string.Compare(x.UnderlyingCode, y.UnderlyingCode, StringComparison.Ordinal);
|
||
}
|
||
|
||
public static readonly TradingRiskParameterSortComparer Default;
|
||
|
||
static TradingRiskParameterSortComparer()
|
||
{
|
||
Default = new TradingRiskParameterSortComparer();
|
||
}
|
||
}
|
||
}
|