zszq-trs/YLErpDAL/Modules/TradeModule/ExoticOptionModule/TradeSnowballService.cs

using NPOI.SS.Formula.Functions;
using Qdp.Foundation.Implementations;
using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.TradeModule.ExoticOptionModule;

namespace YLErp.Modules.TradeModule
{
    public class TradeSnowballService : YLBaseService
    {
        public TradeSnowballService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        public TradeSnowballService(YLBaseService baseService) : base(baseService)
        {
        }

        public List<autocall_observation> GetObservations(int tradeId, DateTime valueDate)
        {
            var trade = DbContext.trade.FirstOrDefault(t => t.id == tradeId);
            var tradeSnowball = DbContext.trade_snowball.FirstOrDefault(t => t.TradeId == tradeId);
            if (trade == null || tradeSnowball == null)
            {
                return null;
            }

            // 如果是敲出转期权，则不支付票息
            if (tradeSnowball.KOPayoffType != KOPayoffTypeEnum.Rebate)
            {
                return null;
            }

            if (trade.TradeStatus == ConsTrade.已到期 || trade.TradeStatus == ConsTrade.已执行 || trade.TradeStatus.Contains("待确认"))
            {
                return null;
            }

            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(trade, tradeSnowball);

            if (optionTrade == null)
            {
                return null;
            }
            var snowball = (SimpleSnowball)optionTrade.Instrument;

            var observationEndDate =
                tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut ?
                tradeSnowball.KnockInOutDate.Value :
                valueDate;
            var qdpEndDate = new Date(observationEndDate);
            qdpEndDate = snowball.KOObsDates.Where(d => d <= qdpEndDate).Max();

            var observation = snowball.GetEffectiveObservation(qdpEndDate, tradeSnowball.CouponIncludeStartDate ?? false);

            if (tradeSnowball.PrepaymentUsed)
            {
                var payoff = new SpecialSnowballObservationHelper(trade, tradeSnowball).GetEffectiveObservation(qdpEndDate, optionTrade.Notional);

                observation = payoff == null ? null : new Qdp.Pricing.Library.Options.Products.Autocall.Phoenix.ObservationPayment
                {
                    CouponRate = payoff.CouponRate,
                    EndDate = payoff.CouponEndDate,
                    PaymentAmount = payoff.CouponPaymentAmount,
                    PaymentDate = qdpEndDate,
                    StartDate = payoff.CouponStartDate,
                    Notional = Math.Abs(optionTrade.Notional * (trade.SpotPrice ?? 0))
                };
            }
            if (observation == null)
            {
                return null;
            }
            else
            {
                var tradeCashCoupon = DbContext.trade_cash.FirstOrDefault(t => t.TradeId == tradeId && t.Action == "系统操作-票息" && t.ValidState != "InValid" && !t.IsDeleted);
                var tradeCashDetial = tradeCashCoupon != null ? DbContext.trade_cash_detail.FirstOrDefault(x => x.TradeCashId == tradeCashCoupon.id && x.Action == "系统操作-期权费") : null;
                return new List<autocall_observation>()
                {
                    new autocall_observation {
                        StartDate = observation.StartDate.DateTime,
                        EndDate = observation.EndDate.DateTime,
                        CouponRate = observation.CouponRate,
                        StockEqvNotional = Math.Abs(observation.Notional),
                        PaymentAmount = observation.PaymentAmount,
                        AnnualizedPremiumRate = tradeSnowball.AnnualizedPremiumRate,
                        AnnualizedTradePrice = tradeCashDetial?.Amount ?? 0,
                        PaymentDate =
                            tradeSnowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut ?
                            tradeCashCoupon?.ValueDate ?? observationEndDate:
                            observation.PaymentDate.DateTime
                    }
                };
            }
        }

        public double GetKOOptionPayoff(int tradeId, DateTime valueDate, double price)
        {
            var trade = DbContext.trade.AsNoTracking().FirstOrDefault(t => t.id == tradeId);
            var tradeSnowball = DbContext.trade_snowball.AsNoTracking().FirstOrDefault(t => t.TradeId == tradeId);
            return GetKOOptionPayoff(trade, tradeSnowball, valueDate, price);
        }

        public double GetKOOptionPayoff(OtcTradeBase trade, trade_snowball tradeSnowball, DateTime valueDate, double price)
        {
            if (trade == null || tradeSnowball == null)
            {
                return 0.0;
            }

            if (tradeSnowball.KOPayoffType == KOPayoffTypeEnum.Rebate)
            {
                return 0.0;
            }

            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(trade, tradeSnowball);
            var snowball = (SimpleSnowball)optionTrade.Instrument;
            var payoffs = snowball.GetKOPayoff(new Date(valueDate), price);
            if (payoffs != null && payoffs.Length > 0)
            {
                return payoffs[0].PaymentAmount;
            }
            else
            {
                return 0.0;
            }
        }
    }
}