zszq-trs/YLErpDAL/Modules/CalculationModule/HedgePnlCalcContext.cs

using YLErp.Abstract;
using YLErp.Abstract.DataProviders;
using YLErp.BLL;
using YLErp.Enums;
using YLErp.Modules.CalculationModule.Abstract;
using YLErp.Modules.DataProviderModule;

namespace YLErp.Modules.CalculationModule
{
    /// <summary>
    /// 持仓风险对冲计算上下文
    /// </summary>
    public class HedgePnlCalcContext : IHedgePnlCalcContext
    {
        #region----属性定义----

        /// <summary>
        /// 估值日
        /// </summary>
        public DateTime ValueDate { get; }

        /// <summary>
        /// 计算场景
        /// </summary>
        public CalcScenarioEnum CalcScenario { get; }

        /// <summary>
        /// 波动率类型
        /// </summary>
        public string VolType { get; }

        public bool IsEodCalc { get; }

        /// <summary>
        /// 
        /// </summary>
        public IPriceProvider UnderlyingPriceProvider { get; }

        /// <summary>
        /// 
        /// </summary>
        public IPriceProvider UnderlyingSettlePriceProvider { get; }

        /// <summary>
        /// 场内标的价格提供者
        /// </summary>
        public IPriceProvider ExchangeOptionPriceProvider { get; }

        /// <summary>
        /// 
        /// </summary>
        public IUnderlyingDataProvider UnderlyingDataProvider { get; protected set; }

        /// <summary>
        /// 对冲交易佣金计算接口
        /// </summary>
        public IExchangeTradeCommissionCalc CommissionCalc { get; protected set; }

        /// <summary>
        /// 错误处理接口
        /// </summary>
        public IErrorHandler ErrorHandler { get; set; }

        /// <summary>
        /// 
        /// </summary>
        public OptUserInfo OptUser { get; }

        /// <summary>
        /// 场内期权价格使用选项(默认SetExOptionPrice)
        /// 注意：在计算类中光子将忽略此项并固定为CalcPv
        /// </summary>
        public ExchangeOptionPriceUseFlag ExchangeOptionPriceUseFlag { get; set; } = ExchangeOptionPriceUseFlag.SetExOptionPrice;

        #endregion

        #region----构造函数----

        public HedgePnlCalcContext(CalcScenarioEnum calcScenario, DateTime valueDate, string volType, bool isEodCalc
            , IPriceProvider underlyingPriceProvider, IPriceProvider underlyingSettlePriceProvider,
            IPriceProvider exchangeOptionPriceProvider, OptUserInfo optUser
            , IExchangeTradeCommissionCalc commissionCalc = null
            , IUnderlyingDataProvider underlyingDataProvider = null)
        {
            if (string.IsNullOrEmpty(volType))
            {
                throw new ArgumentException("volType不能为空", nameof(volType));
            }

            VolType = volType;
            IsEodCalc = isEodCalc;
            ValueDate = valueDate;
            CalcScenario = calcScenario;
            OptUser = optUser ?? throw new ArgumentNullException(nameof(optUser));
            UnderlyingPriceProvider = underlyingPriceProvider ?? throw new ArgumentNullException(nameof(underlyingPriceProvider));
            UnderlyingSettlePriceProvider = underlyingSettlePriceProvider ?? throw new ArgumentNullException(nameof(underlyingPriceProvider));
            ExchangeOptionPriceProvider = exchangeOptionPriceProvider ?? throw new ArgumentNullException(nameof(exchangeOptionPriceProvider));

            CommissionCalc = commissionCalc ?? new ExchangeTradeCommissionCalc();
            UnderlyingDataProvider = underlyingDataProvider ?? new UnderlyingDataProvider();
        }

        public HedgePnlCalcContext(IOtcTradeValueCalcContext optionCalcContext,
           IExchangeTradeCommissionCalc tradeCommissionCalc, IPriceProvider exchangeOptionPriceProvider)
        {
            if (optionCalcContext is null)
            {
                throw new ArgumentNullException(nameof(optionCalcContext));
            }

            CommissionCalc = tradeCommissionCalc ?? throw new ArgumentNullException(nameof(tradeCommissionCalc));
            ExchangeOptionPriceProvider = exchangeOptionPriceProvider ?? throw new ArgumentNullException(nameof(exchangeOptionPriceProvider));

            var dataProvider = CalcCheckHelper.CheckOptionCalcDataProvider(optionCalcContext.DataProvider);
            UnderlyingDataProvider = dataProvider.UnderlyingDataProvider;
            UnderlyingPriceProvider = dataProvider.UnderlyingPriceProvider;
            UnderlyingSettlePriceProvider = dataProvider.UnderlyingPriceProvider;

            VolType = optionCalcContext.VolType;
            ValueDate = optionCalcContext.ValueDate;
            CalcScenario = optionCalcContext.CalcScenario;
            ErrorHandler = optionCalcContext.ErrorHandler;

            OptUser = OptUserInfo.SystemUser;
        }

        #endregion

        /// <summary>
        /// 创建期权计算上下文对象
        /// </summary>
        public virtual IOtcTradeValueCalcContext CreateOptionCalculateContext()
        {
            var sysRiskFreeRate = valuedateBLL.RiskFreeRate * 0.01;
            var dataProvider = new InnerOptionCalcDataProvider(this);
            return new OptionValueCalcContext(VolType, IsEodCalc, ValueDate, sysRiskFreeRate, dataProvider)
            {
                AddingVolRate = 0,
                ErrorHandler = ErrorHandler,
                CalcScenario = CalcScenario
            };
        }

        #region----InnerOptionCalcDataProvider----

        class InnerOptionCalcDataProvider : IOptionCalcDataProvider
        {
            public InnerOptionCalcDataProvider(HedgePnlCalcContext context)
            {
                UnderlyingDataProvider = context.UnderlyingDataProvider;
                UnderlyingPriceProvider = context.UnderlyingPriceProvider;
                UnderlyingSettlePriceProvider = context.UnderlyingSettlePriceProvider;
                VolatilityDataProvider = new VolatilityDataProvider(context.ValueDate);
                TradeExtendDataProvider = new TradeExtendDataProvider(context.OptUser);
            }

            public IPriceProvider UnderlyingPriceProvider { get; }
            public IPriceProvider UnderlyingSettlePriceProvider { get; }

            public IUnderlyingDataProvider UnderlyingDataProvider { get; }

            public ITradeExtendDataProvider TradeExtendDataProvider { get; }

            public IVolatilityDataProvider VolatilityDataProvider { get; }
        }

        #endregion

        public HedgePnlCalc GetHedgePnlCalc()
        {
            return new HedgePnlCalc(this);
        }
        public MaturityOptionHedgePnlCalc GetOptionHedgePnlCalc()
        {
            return new MaturityOptionHedgePnlCalc(this);
        }
    }
}