249 lines
9.5 KiB
C#
249 lines
9.5 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Utilities;
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namespace YLErp.QdpModule
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{
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/// <summary>
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/// QDP日历帮助类
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/// </summary>
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public static class QdpCalendarHelper
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{
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/// <summary>
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/// 给定任一日期，按特定交易日历和偏移量，给出交易日。
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/// 例如：
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/// 2018-06-16,2018-06-17,2018-06-18三天是chn假期
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///
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/// BizDayShift("2018-06-15", "chn", 0); //2018-06-15
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/// BizDayShift("2018-06-15", "chn", 1); //2018-06-19
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/// BizDayShift("2018-06-16", "chn", 0); //2018-06-19
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/// BizDayShift("2018-06-17", "chn", 0); //2018-06-19
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/// BizDayShift("2018-06-18", "chn", 0); //2018-06-19
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/// BizDayShift("2018-06-19", "chn", 0); //2018-06-19
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/// BizDayShift("2018-06-16", "chn", 1); //2018-06-20
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/// BizDayShift("2018-06-17", "chn", 1); //2018-06-20
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/// BizDayShift("2018-06-18", "chn", 1); //2018-06-20
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/// BizDayShift("2018-06-19", "chn", 1); //2018-06-20
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/// BizDayShift("2018-06-16", "chn", -1); //2018-06-15
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/// BizDayShift("2018-06-17", "chn", -1); //2018-06-15
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/// BizDayShift("2018-06-18", "chn", -1); //2018-06-15
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/// BizDayShift("2018-06-19", "chn", -1); //2018-06-15
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/// </summary>
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/// <param name="date">日期</param>
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/// <param name="calendarName">交易日历名称</param>
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/// <param name="offset">偏移天数</param>
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/// <returns></returns>
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public static DateTime BizDayShift(DateTime date, int offset = 0, string calendarName = "chn")
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{
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return BizDayShift2(date, offset, calendarName).DateTime;
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}
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public static Date BizDayShift2(DateTime date, int offset = 0, string calendarName = "chn")
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{
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if (string.IsNullOrEmpty(calendarName))
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{
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calendarName = "chn";
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}
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var calendar = CalendarImpl.Get(calendarName);
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if (calendar == null)
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{
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return new Date(date);
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}
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var qdpDate = new Date(date);
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var bizDay = calendar.IsBizDay(qdpDate) ? qdpDate : calendar.NextBizDay(qdpDate);
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return calendar.AddBizDays(bizDay, offset);
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}
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public static DateTime PrevBizDayShift(DateTime date, int offset = 0, string calendarName = "chn")
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{
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if (string.IsNullOrEmpty(calendarName))
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{
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calendarName = "chn";
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}
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var calendar = CalendarImpl.Get(calendarName);
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if (calendar == null)
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{
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return date;
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}
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var qdpDate = new Date(date);
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var bizDay = calendar.IsBizDay(qdpDate) ? qdpDate : calendar.PrevBizDay(qdpDate);
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return calendar.AddBizDays(bizDay, offset).DateTime;
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}
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/// <summary>
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/// 返回一个日期区间内的所有交易日
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/// AllBizDays(2022-04-26,2022-04-26) null
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/// AllBizDays(2022-04-26,2022-04-27) 2022-04-26
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/// </summary>
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/// <param name="startDate"></param>
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/// <param name="endDate"></param>
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/// <param name="calendarName"></param>
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/// <returns></returns>
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public static List<DateTime> AllBizDays(DateTime startDate, DateTime endDate, string calendarName = "chn")
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{
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if (string.IsNullOrEmpty(calendarName))
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{
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calendarName = "chn";
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}
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var calendar = CalendarImpl.Get(calendarName);
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if (calendar == null)
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{
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return null;
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}
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var qdpStartDate = new Date(startDate);
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var qdpEndDate = new Date(endDate);
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var holidays = calendar.BizDaysBetweenDates(qdpStartDate, qdpEndDate);
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return holidays.Select(x => x.DateTime).ToList();
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}
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/// <summary>
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/// 从到期日天数转换成以年为单位的时间
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/// </summary>
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/// <param name="timeToMaturityDays">天数，可以是小数</param>
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/// <param name="optionDayCount">DayCount规则名称</param>
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/// <param name="referenceDate">参考日期，对于某些DayCount有效</param>
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/// <returns></returns>
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public static double CalculateTFromDays(double timeToMaturityDays, string optionDayCount, DateTime referenceDate)
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{
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if (double.IsNaN(timeToMaturityDays))
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{
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return double.NaN;
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}
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var dayCount = optionDayCount.ToDayCountImpl();
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return timeToMaturityDays / dayCount.DaysInYear(new Date(referenceDate));
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}
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/// <summary>
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/// 获取date(包括)之前的第一个非假日
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/// </summary>
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public static DateTime GetNonHolidayDefore(DateTime date, string country = "chn")
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{
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var calendar = CalendarImpl.Get(country);
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var qdpDate = new Date(date);
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return calendar.IsBizDay(qdpDate) ? date : calendar.PrevBizDay(qdpDate).DateTime;
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}
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/// <summary>
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/// 获取tuningdays后的工作日信息
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/// </summary>
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public static DateTime GetWorkingDay(DateTime fromdate, int tuningdays)
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{
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var calendar = CalendarImpl.Get("chn");
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return calendar.AddBizDays(new Date(fromdate), tuningdays).DateTime;
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}
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/// <summary>
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/// 获取工作日天数(不包括from,包括to)
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/// </summary>
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public static int GetWorkDayCount(DateTime from, DateTime to)
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{
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var calendar = CalendarImpl.Get("chn");
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return (int)Math.Round(calendar.NumberBizDaysBetweenDate(new Date(from), new Date(to), excludeEndDate: true));
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}
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public static List<DateTime> GetWorkingDatesBeforeDate(DateTime toDate, int days)
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{
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var calendar = CalendarImpl.Get("chn");
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var toQdpDate = new Date(toDate);
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var fromQdpDate = calendar.AddBizDays(toQdpDate, -days + 1);
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return calendar.BizDaysBetweenDatesInclEndDay(fromQdpDate, toQdpDate).Select(x => x.DateTime).Reverse().ToList();
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}
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public static DateTime AddDate(DateTime fromDate,int days)
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{
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var calendar = CalendarImpl.Get("chn");
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var toQdpDate = new Date(fromDate);
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return calendar.AddBizDays(toQdpDate,days);
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}
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/// <summary>
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/// 获取fromDate到toDate天数
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/// </summary>
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public static int GetNonHolidayDaysBetween(DateTime fromDate, DateTime toDate, string country = "chn")
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{
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var calendar = CalendarImpl.Get(country);
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return (int)Math.Round(calendar.NumberBizDaysBetweenDate(new Date(fromDate), new Date(toDate), excludeEndDate: true));
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}
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/// <summary>
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/// 获取date(包括)之后的第一个非假日
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/// </summary>
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public static DateTime GetNonHoliday(DateTime date, string country = "chn")
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{
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var calendar = CalendarImpl.Get(country);
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var qdpDate = new Date(date);
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return calendar.IsBizDay(qdpDate) ? date : calendar.NextBizDay(qdpDate).DateTime;
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}
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public static bool IsHoliday(DateTime date, string country = "chn")
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{
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var calendar = CalendarImpl.Get(country);
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return calendar.IsHoliday(new Date(date));
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}
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/// <summary>
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/// 获取不超过到期日的实行日
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/// 1个月，2周，1周，到日期这样的规则向前计算
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/// </summary>
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public static DateTime GetUnderlyingExerciseDate(DateTime underlyingMaturityDate, DateTime SystemDate)
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{
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//OTC - 6717 组合报价-默认的到期日为交易日后一个月，且算头不算尾
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DateTime exerciseDate = GetNonHoliday(SystemDate.AddMonths(1).AddDays(-1));
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if (underlyingMaturityDate < exerciseDate)
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{
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exerciseDate = GetNonHoliday(SystemDate.AddDays(14));
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if (underlyingMaturityDate < exerciseDate)
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{
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exerciseDate = GetNonHoliday(SystemDate.AddDays(7));
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if (underlyingMaturityDate < exerciseDate)
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{
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exerciseDate = GetNonHolidayDefore(underlyingMaturityDate);
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}
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}
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}
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return exerciseDate;
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}
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/// <summary>
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/// 根据DayCount规则和调整天数来调整日期
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/// </summary>
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public static string ShiftDate(string date, string dayCount, int maturityShift)
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{
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return ShiftDate(DateTime.Parse(date), dayCount, maturityShift).ToString();
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}
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/// <summary>
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/// 根据DayCount规则和调整天数来调整日期
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/// </summary>
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public static Date ShiftDate(DateTime date, string dayCount, int maturityShift)
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{
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return ShiftDate(new Date(date), dayCount, maturityShift);
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}
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/// <summary>
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/// 根据DayCount规则和调整天数来调整日期
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/// </summary>
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public static Date ShiftDate(Date qdpDate, string dayCount, int maturityShift)
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{
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if (dayCount == "Act365")
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{
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return CalendarImpl.Get("chn").AddDays(qdpDate, maturityShift);
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}
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else
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{
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return CalendarImpl.Get("chn").AddBizDays(qdpDate, maturityShift, BusinessDayConvention.Following);
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}
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}
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}
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}
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