146 lines
7.9 KiB
C#
146 lines
7.9 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
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using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.TradeModule;
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using YLErp.Modules.TradeModule.DealModule;
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namespace YLErp.Modules.EodModule.SettlementModule
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{
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/// <summary>
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/// 权利金应付日检查处理生成
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/// </summary>
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class EodCheckPremiumPayDate : EodSettleServiceBase
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{
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public EodCheckPremiumPayDate(EodSettlementContextBase context) : base(context)
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{
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ResetDbContext();
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}
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public void Execute()
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{
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var tradeStatus = new string[] { ConsTrade.已到期, ConsTrade.已执行 };
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var clienIds = _context.Request.ClientIds;
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////检查权利金应付日到期后支付
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//var tradeCashList = DbContext.trade_cash.Where(t => t.Status == TradeCashStatusEnum.冻结 && t.Action == ClientCashInCashOut.系统操作_期权费).ToList();
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//var frozenPremiumIds = tradeCashList.Select(t => t.TradeId).ToHashSet();
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////查询已存在有效期权费交易的期权
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//var hasClientCashInOut = DbContext.ClientCashInCashOut
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// .Where(t => frozenPremiumIds.Contains(t.TradeId ?? 0) && t.ValidState != "InValid" && t.Action == ClientCashInCashOut.系统操作_期权费)
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// .Select(t => t.TradeId).ToHashSet();
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////系统中缺少期权费的交易id列表
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//var lostPremiumIds = frozenPremiumIds.Where(t => !hasClientCashInOut.Contains(t)).ToHashSet();
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//var tradeList = otcTradeList.Where(t => lostPremiumIds.Contains(t.id) && (t.PremiumPayDate <= _context.SettleDate || (t.UnWindDate <= _context.SettleDate && tradeStatus.Contains(t.TradeStatus))));
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var query = from t in DbContext.trade
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join tc in DbContext.trade_cash on t.id equals tc.TradeId
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where t.TradeDate > _context.StartDate
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&& ((t.PremiumPayDate != null && t.PremiumPayDate.Value <= _context.SettleDate) || (t.UnWindDate <= _context.SettleDate && ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)))
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//既然是根据期权费发生日期插入资金记录,就不应该考虑是否冻结,已执行状态的期权费如果不存在于ClientCashInCashOut中也应该插入 --时嬴政;
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&& tc.Status == TradeCashStatusEnum.冻结 && tc.Action == ClientCashInCashOut.系统操作_期权费 && !tc.IsDeleted && tc.ValidState != "InValid" && t.ValidState != "InValid"
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&& !DbContext.ClientCashInCashOut.Any(cc => cc.ClientId == t.ClientId && cc.TradeId == t.id && cc.ValidState != "InValid" && cc.Action == ClientCashInCashOut.系统操作_期权费)
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select new
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{
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tc,
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td = new
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{
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t.ClientId,
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t.ClientName,
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t.TradeNumber,
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t.TradeStatus,
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t.UnWindDate,
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t.IsGroup
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}
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};
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#region 新增客户筛选 tw
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if (clienIds != null)
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{
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query = query.Where(l => clienIds.Contains(l.td.ClientId));
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}
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#endregion
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var items = query.ToArray();
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foreach (var item in items)
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{
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var tc = item.tc;
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var td = item.td;
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//更改状态
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tc.Status = TradeCashStatusEnum.已执行;
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tc.OptId = UserId;
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tc.OptDate = DateTime.Now;
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tc.OptName = UserName;
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tc.Comments = "PremiumPayDate自动处理,补充期权费";
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new TradeCashService(this).SaveTradeCashDetail(tc);
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var client = DataCacheProvider.GetClientDataSource().GetData(td.ClientId);
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//添加出入金应收信息
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var cic = new ClientCashInCashOut()
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{
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HappenDate = td.TradeStatus == ConsTrade.已平仓 ? td.UnWindDate : _context.SettleDate,
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Action = ClientCashInCashOut.系统操作_期权费,
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Direction = ClientCashInCashOut.应收,
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OptDate = DateTime.Now,
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OptId = UserId,
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OptName = UserName,
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CreatorId = UserId,
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CreatorName = UserName,
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CreateDate = DateTime.Now
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};
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DbContext.ClientCashInCashOut.Add(cic);
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cic.ClientId = td.ClientId;
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cic.ClientName = td.ClientName;
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cic.ClientNumber = client.Number;
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cic.TradeId = tc.TradeId;
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cic.TradeCashId = tc.id;
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cic.TradeNumber = td.TradeNumber;
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//权利金默认为应收 已确认
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cic.State = ClientCashInCashOut.已确认;
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cic.Number = UniqueTimeId.GetStr();
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cic.OptDate = DateTime.Now;
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cic.Comments = "PremiumPayDate自动处理,补充期权费";
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cic.Money = tc.Amount * -1;
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cic.IsGroup = td.IsGroup;
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}
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DbContext.SaveChanges(_context.CancellationToken);
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#region 当雪球期权即有年化期权费率，权利金应付日又晚于敲出日时，需要补充年化期权费
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var tradeSnowballBll = new TradeSnowballBLL(OptUser);
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var trades = DbContext.trade.Where(x => x.ValidState != "InValid" && ConsTrade.TradeCompleteStatus.Contains(x.TradeStatus) && x.TradeDate != x.PremiumPayDate && x.UnWindDate == _context.SettleDate && x.TradeType == "雪球期权").ToList();
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var tradeIds = trades.Select(x => x.id);
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var tradeSnowBalls = DbContext.trade_snowball.Where(x => tradeIds.Contains(x.TradeId));
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var tradeCashes = DbContext.trade_cash.Where(x => tradeIds.Contains(x.TradeId) && x.Action == ClientCashInCashOut.系统操作_票息 && x.ValidState != "InValid" && !x.IsDeleted);
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var tradeOpenCashes = DbContext.ClientCashInCashOut.Where(x => tradeIds.Contains(x.TradeId ?? 0) && x.Action == ClientCashInCashOut.系统操作_期权费 && x.ValidState != "InValid");
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trades.ForEach(x =>
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{
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var tradeSnowball = tradeSnowBalls.First(y => y.TradeId == x.id);
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if (tradeSnowball.AnnualizedPremiumRate.HasValue && tradeSnowball.AnnualizedPremiumRate != 0)
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{
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var tradeCash = tradeCashes.Where(m => m.TradeId == x.id).OrderByDescending(x => x.ValueDate).FirstOrDefault();
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if (tradeCash != null)
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{
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var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate());
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var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(x, tradeSnowball, request);
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var snowball = (SimpleSnowball)optionTrade.Instrument;
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if (!tradeOpenCashes.Any(y => y.TradeCashId == tradeCash.id))
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{
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var tradePrice = x.OriginalStockEqvNotional * tradeCash.UnwindPercentRate * x.ParticipationRate * tradeSnowball.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(x.UnWindDate)) ?? 0;
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if (tradePrice != 0)
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{
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tradeSnowballBll.SaveTradePrice(x, tradeCash, tradePrice, tradeCash.ValueDate);
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}
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}
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}
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}
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});
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#endregion
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}
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}
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}
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