496 lines
18 KiB
C#
496 lines
18 KiB
C#
using Qdp.Pricing.Base.Utilities;
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using YLErp.DBModels;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.ExoticOptionModule
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{
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/// <summary>
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/// 专业版雪球观察帮助类
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/// </summary>
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public class SpecialSnowballObservationHelper
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{
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private readonly OtcTradeBase _otcTrade;
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private readonly trade_snowball _snowball;
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public SpecialSnowballObservationHelper(OtcTradeBase otcTrade, trade_snowball snowball)
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{
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_otcTrade = otcTrade ?? throw new ArgumentNullException(nameof(otcTrade));
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_snowball = snowball ?? throw new ArgumentNullException(nameof(snowball));
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}
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/// <summary>
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/// 获取雪球观察结果(买方)
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/// </summary>
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public SnowballObservationResult GetObservationResultForBuySide(DateTime valueDate, double closePrice, double tradeNotional)
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{
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System.Diagnostics.Debug.Assert(_snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut);
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//敲出检查
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var koResult = GetKoPayoff(valueDate, closePrice, tradeNotional, out var isKoObservationDay, out var koBarrier);
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if (koResult != null)
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{
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return koResult;
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}
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var resultType = _snowball.IsInitialKnockedIn || _snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn
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? SnowballObservationResultType.KnockedIn
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: (isKoObservationDay ? SnowballObservationResultType.Monitoring : SnowballObservationResultType.NonObservationDay);
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//敲入检查
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if (resultType != SnowballObservationResultType.KnockedIn && IsNeedCheckKnockIn(valueDate))
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{
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var kiBarrier = _otcTrade.IsMoneynessOptionData ? _snowball.KIBarrier * (_otcTrade.SpotPrice ?? 0) : _snowball.KIBarrier;
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// 发生敲入事件(看涨 - 向下敲入,看跌 - 向上敲入)
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resultType = (ConsGlobal.CallPut.IsCall(_otcTrade.CallPut) ? closePrice <= kiBarrier : closePrice >= kiBarrier)
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? SnowballObservationResultType.KnockedIn
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: SnowballObservationResultType.Monitoring;
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}
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SnowballObservationResult result;
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//到期检查
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if (valueDate == _otcTrade.ExerciseDate.Value)
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{
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result = resultType == SnowballObservationResultType.KnockedIn
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? GetKiPayoffAtEndDate(closePrice, tradeNotional) : GetNKiPayoffAtEndDate(tradeNotional);
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}
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else
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{
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result = new SnowballObservationResult { ResultType = resultType };
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}
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result.KoBarrier = koBarrier ??
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(_otcTrade.IsMoneynessOptionData ? _snowball.KOBarrier * (_otcTrade.SpotPrice ?? 0) : _snowball.KOBarrier);
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return result;
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}
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/// <summary>
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/// 获取雪球观察结果(交易员角度)
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/// </summary>
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public SnowballObservationResult GetObservationResultForTraderSide(DateTime valueDate, double closePrice, double tradeNotional)
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{
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var result = GetObservationResultForBuySide(valueDate, closePrice, tradeNotional);
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if (_otcTrade.BuySell == "卖出")
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{
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result.PaymentAmount = -result.PaymentAmount;
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result.Payoff?.InvertSign();
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}
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return result;
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}
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/// <summary>
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/// 获取累积票息(tradeNotional为负值时是卖方角度)
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/// </summary>
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public PrepaymentSnowballKoPayoff GetEffectiveObservation(DateTime valueDate, double tradeNotional)
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{
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var koObservationParseResult = ParseKoObservation(valueDate);
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//非敲出观察日
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if (koObservationParseResult == null)
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{
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return null;
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}
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var payoff = new PrepaymentSnowballKoPayoff
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{
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CouponStartDate = _otcTrade.StartDate.Value,
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CouponEndDate = valueDate,
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CouponRate = koObservationParseResult.KoRebate,
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//票息支付金额
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CouponPaymentAmount = koObservationParseResult.KoRebate * tradeNotional * (_otcTrade.SpotPrice ?? 0)
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};
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//票息计息年化方式处理
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if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
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{
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//首日是否计息
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var startDate = _snowball.CouponIncludeStartDate == true
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? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;
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//是否支付日计息
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var endDate = valueDate;
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if (_snowball.CouponUsePaymentDate == true)
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{
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endDate = GetKoPaymentDate(_snowball.KOObservationSettleDates, koObservationParseResult.KoDateIndex, valueDate);
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}
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//终日是否计息
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if (_snowball.CouponIncludeEndDate == false)
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{
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endDate = endDate.AddDays(-1);
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}
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//票息年化计息
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var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
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var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
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payoff.CouponPaymentAmount *= dayFraction;
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}
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return payoff;
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}
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#region----到期日敲入收益----
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/// <summary>
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/// 获取到期日敲入收益
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/// </summary>
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private SnowballObservationResult GetKiPayoffAtEndDate(double closePrice, double tradeNotional)
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{
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var strike = _otcTrade.IsMoneynessOption == "是"
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? (_snowball.SpreadStrikeAtMaturity1 ?? 0) * (_otcTrade.SpotPrice ?? 0)
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: _snowball.SpreadStrikeAtMaturity1 ?? 0;
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//敲入转香草期权，买卖方向需要反一下，通过notional体现
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var notional = -tradeNotional * (_snowball.KIParticipationRate ?? 1);
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var isCall = ConsGlobal.CallPut.IsCall(_otcTrade.OptionType);
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var payoff = new PrepaymentSnowballKiPayoff();
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//期权支付
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if (_snowball.PrincipalProtectionRate.HasValue && _snowball.PrincipalProtectionRate.Value != 0)
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{
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var spread = (1 - _snowball.PrincipalProtectionRate.Value) * (_otcTrade.SpotPrice ?? 0);
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if (isCall)
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{
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//熊市价差
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payoff.OptionPaymentAmount = Math.Min(Math.Max(strike - closePrice, 0), spread) * notional;
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}
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else
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{
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//牛市价差
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payoff.OptionPaymentAmount = Math.Min(Math.Max(closePrice - strike, 0), spread) * notional;
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}
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}
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else if (isCall)
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{
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//看跌期权
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payoff.OptionPaymentAmount = Math.Max(strike - closePrice, 0) * notional;
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}
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else
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{
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//看涨期权
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payoff.OptionPaymentAmount = Math.Max(closePrice - strike, 0) * notional;
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}
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//预付金返还
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if (_snowball.PrepaymentRatio.HasValue)
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{
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payoff.PrepaymentAmount = tradeNotional * (_otcTrade.SpotPrice ?? 0) * _snowball.PrepaymentRatio.Value;
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//利息金额
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if (_snowball.PrepaymentInterestRate.HasValue)
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{
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payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;
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//年化计息
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if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
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{
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//首日是否计息
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var startDate = _snowball.CouponIncludeStartDate == true
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? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;
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//终日是否计息
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var endDate = _snowball.CouponIncludeEndDate == true
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? _otcTrade.ExerciseDate.Value : _otcTrade.ExerciseDate.Value.AddDays(-1);
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var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
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var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
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payoff.InterestAmount *= dayFraction;
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}
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}
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}
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return new SnowballObservationResult
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{
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Payoff = payoff,
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PaymentAmount = payoff.TotalAmount(),
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PaymentDate = _otcTrade.ExerciseDate.Value,
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ResultType = SnowballObservationResultType.KiPayoffAtEndDate
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};
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}
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#endregion
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#region----获取到期日未敲入收益----
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/// <summary>
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/// 获取到期日未敲入收益
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/// </summary>
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private SnowballObservationResult GetNKiPayoffAtEndDate(double tradeNotional)
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{
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var notionalValue = tradeNotional * (_otcTrade.SpotPrice ?? 0);
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var payoff = new PrepaymentSnowballNkiPayoff();
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//红利票息支付金额
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payoff.CouponPaymentAmount = _snowball.Coupon * notionalValue;
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//预付金返还
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if (_snowball.PrepaymentRatio.HasValue)
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{
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payoff.PrepaymentAmount = notionalValue * _snowball.PrepaymentRatio.Value;
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//利息金额
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if (_snowball.PrepaymentInterestRate.HasValue)
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{
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payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;
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}
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}
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//年化计息
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if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
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{
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//首日是否计息
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var startDate = _snowball.CouponIncludeStartDate == true
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? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;
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//终日是否计息
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var endDate = _snowball.CouponIncludeEndDate == true
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? _otcTrade.ExerciseDate.Value : _otcTrade.ExerciseDate.Value.AddDays(-1);
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var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
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var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
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payoff.InterestAmount *= dayFraction;
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payoff.CouponPaymentAmount *= dayFraction;
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}
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return new SnowballObservationResult
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{
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Payoff = payoff,
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PaymentAmount = payoff.TotalAmount(),
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PaymentDate = _otcTrade.ExerciseDate.Value,
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ResultType = SnowballObservationResultType.NkiPayoffAtEndDate
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};
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}
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#endregion
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#region----获取敲出收益----
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/// <summary>
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/// 获取敲出收益
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/// </summary>
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private SnowballObservationResult GetKoPayoff(DateTime valueDate, double closePrice, double tradeNotional
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, out bool isObservationDay, out double? koBarrier)
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{
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var koObservationParseResult = ParseKoObservation(valueDate);
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koBarrier = koObservationParseResult?.KoBarrier;
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isObservationDay = koObservationParseResult != null;
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//非敲出观察日
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if (!isObservationDay)
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{
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return null;
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}
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var isCall = ConsGlobal.CallPut.IsCall(_otcTrade.CallPut);
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// 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
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if (isCall ? closePrice < koObservationParseResult.KoBarrier : closePrice > koObservationParseResult.KoBarrier)
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{
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return null;
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}
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var payoff = new PrepaymentSnowballKoPayoff
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{
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CouponStartDate = _otcTrade.StartDate.Value,
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CouponEndDate = valueDate,
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CouponRate = koObservationParseResult.KoRebate
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};
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var notionalValue = tradeNotional * (_otcTrade.SpotPrice ?? 0);
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//增强收益支付金额
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if (_snowball.EnhancedParticipationRate.HasValue)
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{
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payoff.EnhancedPaymentAmount = (closePrice - koObservationParseResult.KoBarrier) * tradeNotional * _snowball.EnhancedParticipationRate.Value;
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if (!isCall)
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{
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payoff.EnhancedPaymentAmount = -payoff.EnhancedPaymentAmount;
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}
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}
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//票息支付金额
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payoff.CouponPaymentAmount = koObservationParseResult.KoRebate * notionalValue;
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//预付金返还
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if (_snowball.PrepaymentRatio.HasValue)
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{
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payoff.PrepaymentAmount = notionalValue * _snowball.PrepaymentRatio.Value;
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//利息金额
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if (_snowball.PrepaymentInterestRate.HasValue)
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{
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payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;
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}
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}
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//票息支付日
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var paymentDate = GetKoPaymentDate(_snowball.KOObservationSettleDates, koObservationParseResult.KoDateIndex, valueDate);
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//票息计息年化方式处理
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if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
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{
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//首日是否计息
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var startDate = _snowball.CouponIncludeStartDate == true
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? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;
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//是否支付日计息
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var endDate = valueDate;
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if (_snowball.CouponUsePaymentDate == true)
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{
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endDate = paymentDate;
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}
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//终日是否计息
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if (_snowball.CouponIncludeEndDate == false)
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{
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endDate = endDate.AddDays(-1);
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}
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payoff.CouponEndDate = endDate;
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//票息年化计息
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var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
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var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
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payoff.CouponPaymentAmount *= dayFraction;
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//年化利息金额
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payoff.InterestAmount *= dayFraction;
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}
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//返回敲出观察结果
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var result = new SnowballObservationResult
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{
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Payoff = payoff,
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PaymentDate = paymentDate,
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ResultType = SnowballObservationResultType.KoPayoff,
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PaymentAmount = payoff.TotalAmount(),
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KoBarrier = koObservationParseResult.KoBarrier
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};
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if (_snowball.KORebateType == RebateTypeEnum.AtEnd)
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{
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result.PaymentDate = _otcTrade.ExerciseDate.Value;
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}
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return result;
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}
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/// <summary>
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/// 解析敲出观察频率
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/// </summary>
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private KoObservationParseResult ParseKoObservation(DateTime valueDate)
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{
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(var koDates, var koBarries, var koCoupons)
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= QdpHelper.ParseAutocallCustomizedInfo(_snowball.KOObservationDates);
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koDates ??= QdpObservationHelper.GetDefaultKoObservationDatesForSnowbalV2(_otcTrade.StartDate.Value, _otcTrade.ExerciseDate.Value);
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var koDateIndex = koDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
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if (koDateIndex < 0)
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{
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return null;
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}
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var result = new KoObservationParseResult
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{
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KoDateIndex = koDateIndex,
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KoRebate = koCoupons != null && koCoupons.Length > koDateIndex ? koCoupons[koDateIndex] : _snowball.KORebate,
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KoBarrier = koBarries != null && koBarries.Length > koDateIndex ? koBarries[koDateIndex] : _snowball.KOBarrier
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};
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if (_otcTrade.IsMoneynessOptionData)
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{
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result.KoBarrier *= _otcTrade.SpotPrice ?? 1.0;
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}
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return result;
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}
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/// <summary>
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/// 获取票息支付日
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/// </summary>
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private static DateTime GetKoPaymentDate(string paymentDatesStr, int koDateIndex, DateTime koObservationDate)
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{
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var paymentDates = string.IsNullOrWhiteSpace(paymentDatesStr) ? null
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: paymentDatesStr.Split(new char[] { ',', ';', '，', '；' }).Select(x => DateTime.Parse(x)).ToArray();
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if (paymentDates != null && paymentDates.Length > koDateIndex)
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{
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var paymentDate = paymentDates[koDateIndex];
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//预防错误的支付日数据
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if (paymentDate < koObservationDate)
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{
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paymentDate = koObservationDate;
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}
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return paymentDate;
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}
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return koObservationDate;
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}
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/// <summary>
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/// 是否需要观察敲入
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/// </summary>
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private bool IsNeedCheckKnockIn(DateTime observationDate)
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{
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//已在观察日之前敲入则不需要观察是否敲入
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if (_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn && _snowball.KnockInOutDate < observationDate)
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{
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return false;
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}
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//仅在到期日观察
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if (_snowball.KIObservationType == KIObservationType.OnlyEndDate)
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{
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return observationDate == _otcTrade.ExerciseDate;
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}
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//每日观察
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return true;
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}
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class KoObservationParseResult
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{
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/// <summary>
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/// 观察日在敲出观察频率中的索引
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/// </summary>
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public int KoDateIndex { get; set; }
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/// <summary>
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/// 敲出障碍价格
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/// </summary>
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public double KoBarrier { get; set; }
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/// <summary>
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/// 敲出支付票息率
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/// </summary>
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public double KoRebate { get; set; }
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}
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#endregion
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}
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}
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