zszq-trs/Framework/YLErp.Core/DBModels/volatility.cs

using Newtonsoft.Json;
using System.ComponentModel.DataAnnotations;
using System.ComponentModel.DataAnnotations.Schema;
using YLErp.Abstract;
using YLErp.Models;

namespace YLErp.DBModels
{
    [Table("volatility")]
    public class volatility : DBModelWithOperator, IVolatility, IDataTraceV2, IClonable<volatility>
    {
        public static string LogClass = "波动率信息";

        /// <summary>
        /// Bid偏移量
        /// </summary>
        [NotMapped]
        public double? Bid_Deviation { get; set; }

        /// <summary>
        /// Ask偏移量
        /// </summary>
        [NotMapped]
        public double? Ask_Deviation { get; set; }

        /// <summary>
        /// 波动率表格
        /// </summary>
        [NotMapped]
        public List<SingleVol> VolTable
        {
            get
            {
                if ((_volTable == null || _volTable.Count == 0) && !string.IsNullOrWhiteSpace(_data))
                {
                    _volTable = JsonConvert.DeserializeObject<List<SingleVol>>(_data);
                }
                return _volTable;
            }
            set
            {
                //api/v1/saveVolatility 需要用到此字段的反序列化
                _volTable = value;
                _data = JsonHelper.Serialize(_volTable);
            }
        }

        [DisplayName("插值方法")]
        public string InterpolationMethod { get; set; }

        [DisplayName("波动率模式")]
        public string VolSurfaceMode { get; set; }

        private string _data;

        private string userGroup = string.Empty;
        private List<SingleVol> _volTable;

        [DisplayName("波动率表格数据")]
        public string Data
        {
            get { return _data; }
            set
            {
                _data = value;
                _volTable = null;
            }
        }

        [DisplayName("波动率类型")]
        public string VolType { get; set; }

        /// <summary>
        /// 
        /// </summary>
        [DisplayName("UnderlyingId")]
        public int? UnderlyingId { set; get; }

        /// <summary>
        /// 报价日期
        /// </summary>
        [DisplayName("报价日期")]
        public DateTime QuotationDate { set; get; }

        /// <summary>
        /// 合约代码
        /// </summary>
        [DisplayName("合约代码"), Required]
        public string ContractCode { set; get; }

        /// <summary>
        /// 所属用户组
        /// </summary>
        [Required(AllowEmptyStrings = true)]
        public string UserGroup
        {
            get
            {
                return userGroup;
            }
            set
            {
                userGroup = value ?? string.Empty;
            }
        }

        /// <summary>
        /// 审核波动率下限
        /// </summary>
        public double ReviewDownLimit { get; set; }

        /// <summary>
        /// 审核波动率上限
        /// </summary>
        public double ReviewUpLimit { get; set; }

        public volatility Clone()
        {
            return (volatility)MemberwiseClone();
        }

        public volatility Clone(DateTime QuotationDate)
        {
            var clone = (volatility)MemberwiseClone();
            clone.QuotationDate = QuotationDate;
            return clone;
        }

        public volatility Clone(string volType)
        {
            var clone = (volatility)MemberwiseClone();
            clone.VolType = volType ?? throw new ArgumentNullException(nameof(volType));
            return clone;
        }

        public override string ToString()
        {
            return $"{ContractCode}--{QuotationDate}--{VolType}--{VolSurfaceMode}";
        }

        public string GetDataTraceKeyId()
        {
            return $"{id},{ContractCode},{VolType}";
        }

        /// <summary>
        /// 通过此方式设置波动率Data字段值,用于避免波动率为0.3但是存入数据库时是0.29999..
        /// </summary>
        public void SetData(IEnumerable<SingleVol> VolTable)
        {
            if (VolTable is null)
            {
                throw new ArgumentNullException(nameof(VolTable));
            }

            Data = JsonConvert.SerializeObject(VolTable, new SingleVolJsonConverter());
        }

        /// <summary>
        /// skewmap模式下的ask var
        /// </summary>
        public double? GetAskVar()
        {
            return VolTable?.LastOrDefault(n => n.Expire == "AskVar")?.Vol;
        }

        /// <summary>
        /// skewmap模式下的bid var
        /// </summary>
        public double? GetBidVar()
        {
            return VolTable?.LastOrDefault(n => n.Expire == "BidVar")?.Vol;
        }

        public string GetDataTraceKeyInfo()
        {
            return VolType + "波动率:" + ContractCode;
        }

        class SingleVolJsonConverter : JsonConverter
        {
            public override void WriteJson(JsonWriter writer, object value, JsonSerializer serializer)
            {
                var obj = (SingleVol)value;

                writer.WriteStartObject();

                writer.WritePropertyName(nameof(SingleVol.Expire));
                writer.WriteValue(obj.Expire);

                writer.WritePropertyName(nameof(SingleVol.Strike));
                writer.WriteValue(Convert.ToDecimal(obj.Strike.ToString("0.0#####")));

                //if (double.IsNaN(obj.Vol))

                writer.WritePropertyName(nameof(SingleVol.Vol));
                writer.WriteValue(Convert.ToDecimal(obj.Vol.ToString("0.0#####")));

                writer.WriteEndObject();
            }

            public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
            {
                throw new NotImplementedException();
            }

            public override bool CanRead
            {
                get { return false; }
            }

            public override bool CanConvert(Type objectType)
            {
                return objectType == typeof(SingleVol);
            }
        }
    }

    [NotMapped]
    public class VolatilityDto : volatility
    {

    }

    /// <summary>
    /// 专用于默认波动率(0.3)
    /// </summary>
    [NotMapped]
    public class VolatilityDefault : volatility
    {

    }
}