zszq-trs/YLErpDAL/Modules/UnderlyingModule/UnderlyingMainContractHistoryBLL.cs

using BaseOUDAL;
using YLErp.Model;
using YLErp.Modules.VolatilityModule;
using YLErp.Modules.VolatilityModule.SkewMapVolModule;
using YLErp.QdpModule;
using YLErp.QdpModule.Constants;

namespace YLErp.BLL
{
    public class underlying_main_contract_historyBLL
    {
        public static readonly List<string> ShowExpires;
        public static readonly List<string> 有色金属ShowExpires;

        static underlying_main_contract_historyBLL()
        {
            if (!PS.Config.ErpElement.SkewMapVolConstruction)
            {
                ShowExpires = new List<string> { "2W", "1M", "3M" };
                有色金属ShowExpires = new List<string> { "2W", "1M", "2M" };
            }
            else
            {
                ShowExpires = new List<string> { "1M", "3M", "6M" };
                有色金属ShowExpires = new List<string> { "1M", "3M", "6M" };
            }
        }

        public static List<VolatilityQuotation> GetVolatilityQuotation(int userId, IEnumerable<flat_price_quotation> quotationList, string userGroup = null)
        {
            var VQ = new List<VolatilityQuotation>();
            if (string.IsNullOrEmpty(userGroup))
            {
                userGroup = UserBLL.GetUserGroup(userId);
            }
            var vollist = new VolatilityQueryService(OptUserInfo.SystemUser)
                .GetVolatilities(new BatchVolatilityRequest
                {
                    QuotationDate = valuedateBLL.ValueDate,
                    VolTypes = ConsVolInfos.subTradeVolType,
                    UnderlyingCodes = quotationList.Select(O => O.UnderlyingCode).ToArray(),
                    UserGroup = userGroup,
                    TradeVolWithBidAsk = false
                }, true);
            var exDate = QdpCalendarHelper.GetNonHoliday(valuedateBLL.ValueDate.AddMonths(1).AddDays(-1));
            var exerciseDate = exDate;
            var quotationUnderlyinglist = underlying_main_contractBLL.GetDefaultAtMoneyQuoteList(exDate);

            quotationList = quotationList.Where(q =>
                quotationUnderlyinglist.Any(u => string.Equals(u.UnderlyingCode, q.UnderlyingCode, StringComparison.OrdinalIgnoreCase))).OrderBy(o => o.order).ToList();

            var activeAsset = underlying_main_contractBLL.GetAllunderlying_main_contractModel().Where(x => x.NeedQuote == 1);

            foreach (var qu in quotationList)
            {
                var singleVQ = new VolatilityQuotation() { MarketName = qu.MarketName, UnderlyingMainCode = qu.UnderlyingCode, UnderlyingType = qu.UnderlyingType };
                var underlying = quotationUnderlyinglist.FirstOrDefault(u => string.Equals(u.UnderlyingCode, qu.UnderlyingCode, StringComparison.OrdinalIgnoreCase));
                singleVQ.CommodityCode = underlying.CommodityCode;
                var checkExpires = ShowExpires;
                if (underlying_managerBLL.IsYouSeJinShu(qu.UnderlyingCode))
                {
                    checkExpires = 有色金属ShowExpires;
                }
                var contractUnder = activeAsset.FirstOrDefault(q => q.UnderlyingType == qu.UnderlyingType);
                //var tt = activeAsset.Where(v => v.UnderlyingCode == qu.UnderlyingCode).ToList();
                //var ttt = quotationUnderlyinglist.Where(q => q.UnderlyingType == "棕榈油").ToList();
                var contractVol = new List<volatility>();
                if (contractUnder != null && vollist != null)
                {
                    contractVol = vollist.Where(v => contractUnder.UnderlyingCodeList.Contains(v.ContractCode)).ToList();
                }

                volatility askVolTable = null;
                volatility bidVolTable = null;
                if (PS.Config.ErpElement.SkewMapVolConstruction)
                {
                    var req = new SkewVolRequest
                    {
                        VolType = null,
                        valueDate = valuedateBLL.ValueDate,
                        Strike = qu.SpotPrice ?? 0,
                        UnderlyingCode = underlying.UnderlyingCode
                    };
                    req.VolType = "报价Ask";
                    askVolTable = SkewVolQueryService.GetVol(userId, req);
                    req.VolType = "报价Bid";
                    bidVolTable = SkewVolQueryService.GetVol(userId, req);
                }
                else
                {
                    askVolTable = SetVolQuotationTable(contractVol, qu, "报价Ask", checkExpires);
                    bidVolTable = SetVolQuotationTable(contractVol, qu, "报价Bid", checkExpires);
                }

                var volReq = new InterpolatedVolReq()
                {
                    strike = qu.SpotPrice ?? 0,
                    isMoneynessOption = false,
                    exerciseDate = exerciseDate,
                    valueDate = valuedateBLL.ValueDate,
                    spot = qu.SpotPrice ?? 0,
                    volSurfaceType = askVolTable.VolSurfaceMode
                };

                var askeGroup = new List<ExpireGroup>();
                if (askVolTable.VolTable != null)
                {
                    askeGroup = askVolTable.VolTable.GroupBy(v => v.Expire).Select(v => new ExpireGroup { Expire = v.Key, Sv = v.ToList() }).ToList();
                }

                var bideGroup = new List<ExpireGroup>();
                if (bidVolTable.VolTable != null)
                {
                    bideGroup = bidVolTable.VolTable.GroupBy(v => v.Expire).Select(v => new ExpireGroup { Expire = v.Key, Sv = v.ToList() }).ToList();
                }

                var BidAskMatureData = new List<BidAskMatureData>();

                foreach (var expire in checkExpires)
                {
                    var askvol = double.NaN;
                    var bidvol = double.NaN;
                    var askGroup = askeGroup.FirstOrDefault(a => a.Expire == expire);
                    var bidgroup = bideGroup.FirstOrDefault(b => b.Expire == expire);
                    if (askGroup != null)
                    {
                        askvol = QdpVolHelper.GetInterpolatedVolFromNormalSurface(askGroup.Sv, volReq, askVolTable.InterpolationMethod);
                    }
                    else if (!PS.Config.ErpElement.SkewMapVolConstruction)
                    {
                        askvol = QdpVolHelper.GetInterpolatedVolFromNormalSurface(askVolTable.VolTable, volReq, askVolTable.InterpolationMethod);
                    }
                    if (bidgroup != null)
                    {
                        bidvol = QdpVolHelper.GetInterpolatedVolFromNormalSurface(bidgroup.Sv, volReq, bidVolTable.InterpolationMethod);
                    }
                    else if (!PS.Config.ErpElement.SkewMapVolConstruction)
                    {
                        bidvol = QdpVolHelper.GetInterpolatedVolFromNormalSurface(bidVolTable.VolTable, volReq, bidVolTable.InterpolationMethod);
                    }

                    var md = new BidAskMatureData() { Expire = expire, AskVol = askvol, BidVol = bidvol };
                    BidAskMatureData.Add(md);
                }
                singleVQ.BidAskMatureData = BidAskMatureData;
                VQ.Add(singleVQ);

            }
            return VQ;
        }

        public static volatility SetVolQuotationTable(List<volatility> vollist, flat_price_quotation qu, string voltype, List<string> ShowExpires)
        {
            var askVolTable = vollist.FirstOrDefault(v => v.ContractCode == qu.UnderlyingCode && v.VolType == voltype);
            if (askVolTable == null)
            {
                askVolTable = vollist.FirstOrDefault(v => v.ContractCode.Contains(underlying_managerBLL.GetCommodityCodeByUnCode(qu.UnderlyingCode)) && v.VolType == voltype);
                if (askVolTable == null)
                {
                    askVolTable = new volatility { VolType = voltype, VolSurfaceMode = "MoneynessVol" };
                    return askVolTable;
                }
            }
            if (string.IsNullOrEmpty(askVolTable.VolSurfaceMode))
            {
                askVolTable.VolSurfaceMode = "MoneynessVol";
            }
            //需要检查 ShowExpires 里不存在的
            foreach (var expire in ShowExpires)
            {
                if (!askVolTable.VolTable.Any(v => v.Expire == expire))
                {
                    //不存在则要查找 todo 这边应该找主力合约的波动率
                    var volTable = vollist.FirstOrDefault(v => v.VolTable.Any(vt => vt.Expire == expire) && v.VolType == voltype);
                    if (volTable != null && volTable.VolTable != null)
                    {
                        var vtInner = volTable.VolTable.Where(vt => vt.Expire == expire).ToList();
                        if (vtInner != null)
                        {
                            var vt = askVolTable.VolTable;
                            vt.AddRange(vtInner);
                            askVolTable.Data = vt.ToJson();
                        }
                    }
                }
            }
            return askVolTable;
        }
    }
}