377 lines
15 KiB
C#
377 lines
15 KiB
C#
using Microsoft.Extensions.DependencyInjection;
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using System;
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using System.Linq;
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using System.Text;
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using YieldChain.Commons;
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using YLErp.Cache;
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using YLErp.Commons;
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using YLErp.DBModels;
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namespace YLErp.Modules.UnderlyingModule
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{
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/// <summary>
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/// 标的数据帮助类
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/// </summary>
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public static class UnderlyingHelper
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{
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readonly static IYLCache ylCache;
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static UnderlyingHelper()
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{
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ylCache = YLServiceLocator.ServiceProvider.GetService<IYLCache>();
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}
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/// <summary>
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/// 获取组合标的品种对象
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/// </summary>
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public static Variety GetSyntheticVariety()
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{
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var variety = DataCacheProvider.GetVarietyDataSource().AsQueryable()
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.FirstOrDefault(v => v.VarietyCode == "组合标的");
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if (variety != null)
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{
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return variety;
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}
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lock (DataCacheProvider.GetVarietyDataSource())
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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variety = db.variety.FirstOrDefault(n => n.VarietyCode == "组合标的");
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if (variety != null)
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{
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return variety;
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}
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variety = new Variety()
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{
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VarietyCode = "组合标的",
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VarietyName = "组合标的",
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TradingMarketId = 0,
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TradeUnit = "1手/份",
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QuoteUnit = "元（人民币）/份",
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DeliveryType = "",
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HasNightMarket = false,
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ShortName = "组合标的",
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CommissionType = "固定",
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CloseTodayCommissionType = "固定",
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//UnderlyingInstrumentType = "CommodityFutures",
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VolatilityRate = "",
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VolatilityAdjust = 0,
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AssetType = "",
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OptId = 0,
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OptName = "系统",
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OptDate = DateTime.Now,
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};
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db.variety.Add(variety);
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db.SaveChanges();
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return variety;
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}
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}
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}
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/// <summary>
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/// 根据客户ID、标的代码和计算日期计算适用的保证金率
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/// </summary>
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/// <param name="clientId">客户ID</param>
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/// <param name="underlyingCode">标的代码</param>
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/// <param name="valueDate">计算日期</param>
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/// <returns>适用的保证金率配置，包含初始保证金率和维持保证金率</returns>
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public static client_margin_detail GetApplicableMarginRate(int clientId, string underlyingCode, DateTime valueDate)
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{
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if (string.IsNullOrEmpty(underlyingCode))
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return null;
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string cacheKey = $"Otc:ClientMarginRate:{clientId}:{underlyingCode}:{valueDate:yyyyMMdd}";
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try
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{
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if (ylCache!=null)
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{
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// 1. 先查Redis
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var cacheDetail = ylCache.StringGetWithNoPrefix<client_margin_detail>(cacheKey);
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if (cacheDetail != null)
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return cacheDetail;
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}
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// 2. 查数据库
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string applicableTerm = GetApplicableMarginTerm(underlyingCode, valueDate);
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var marginConfig = GetClientMarginConfig(clientId, valueDate);
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if (marginConfig == null)
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return null;
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// 2.1 尝试使用标的资产上手动设置的债券期限
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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if (underlying != null && !string.IsNullOrEmpty(underlying.ExJson))
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{
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var bondInfo = JsonHelper.Deserialize<UnderlyingBond>(underlying.ExJson);
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if (bondInfo != null && !string.IsNullOrEmpty(bondInfo.BondTerm))
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{
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// 优先使用标的资产上设置的债券期限
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applicableTerm = bondInfo.BondTerm;
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}
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}
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var marginDetail = GetMarginDetailByTerm(marginConfig.id, applicableTerm);
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// 3. 放入Redis
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if (marginDetail != null&& ylCache != null)
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{
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ylCache.StringSetWithNoPrefix<client_margin_detail>(cacheKey, marginDetail,TimeSpan.FromHours(3));
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}
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return marginDetail;
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger("UnderlyingHelper").Error($"计算保证金率时发生异常: {ex.Message}", ex);
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return null;
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}
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}
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/// <summary>
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/// 获取客户保证金配置
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/// </summary>
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/// <param name="clientId">客户ID</param>
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/// <param name="valueDate">估值日期</param>
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/// <returns>客户保证金配置</returns>
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private static client_margin_config GetClientMarginConfig(int clientId, DateTime valueDate)
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{
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try
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{
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using (var context = DbContextFactory.GetYLDbContext())
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{
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// 查找指定日期有效的客户保证金配置
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var config = context.clientMarginConfig
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.Where(c => c.client_id == clientId && c.value_date <= valueDate)
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.OrderByDescending(c => c.value_date)
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.FirstOrDefault();
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// 找不到，查找通用的那条
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if (config==null)
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{
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config = context.clientMarginConfig
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.Where(c => c.client_id == 0 && c.value_date <= valueDate)
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.OrderByDescending(c => c.value_date)
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.FirstOrDefault();
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}
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return config;
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}
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}
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catch (Exception ex)
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{
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Console.WriteLine($"获取客户保证金配置时发生异常: {ex.Message}");
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return null;
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}
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}
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/// <summary>
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/// 根据配置ID和期限获取保证金率详情
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/// </summary>
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/// <param name="configId">配置ID</param>
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/// <param name="bondTerm">债券期限</param>
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/// <returns>保证金率详情</returns>
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private static client_margin_detail GetMarginDetailByTerm(int configId, string bondTerm)
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{
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try
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{
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using (var context = DbContextFactory.GetYLDbContext())
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{
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var details = context.clientMarginDetail
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.Where(d => d.config_id == configId).ToList();
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var detail = details.FirstOrDefault(d => d.bond_term == bondTerm);
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if (detail == null)
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{
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detail = details.FirstOrDefault(d => d.bond_term == ConsMarginTerm.UnderFiveYear);
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}
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return detail;
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}
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}
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catch (Exception ex)
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{
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Console.WriteLine($"获取保证金率详情时发生异常: {ex.Message}");
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return null;
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}
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}
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/// <summary>
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/// 清除指定标的的保证金率缓存
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/// </summary>
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/// <param name="underlyingCode">标的代码，为空时清除全部</param>
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public static void ClearMarginRateCache(string underlyingCode = null)
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{
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try
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{
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if (ylCache == null) return;
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var cachePattern = string.IsNullOrEmpty(underlyingCode)
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? "ClientMarginRate:*"
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: $"ClientMarginRate:*:{underlyingCode}:*";
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ylCache.BatchDelete(cachePattern);
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger("UnderlyingHelper").Error($"清除保证金率缓存时发生异常: {ex.Message}", ex);
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}
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}
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/// <summary>
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/// 获取篮子标的品种对象
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/// </summary>
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public static Variety GetBasketVariety()
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{
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return DataCacheProvider.GetVarietyDataSource().AsQueryable()
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.FirstOrDefault(v => v.VarietyCode == "篮子标的") ??
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new Variety
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{
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VarietyCode = "篮子标的",
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VarietyName = "篮子标的",
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QuoteUnit = "元（人民币）/股",
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TradeUnit = "100股/手"
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};
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}
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/// <summary>
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/// 获取标的品种代码 例：BU，BU-CU
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/// </summary>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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public static string GetUnderlyingVarietyCode(string underlyingCode)
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{
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var ret = "";
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var un = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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if (un != null)
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{
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if (un.UnderlyingType == "组合标的")
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{
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var synthetic = DataCacheProvider.GetUnderlyingDataSource().GetSyntheticUnderlying(underlyingCode);
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if (synthetic != null)
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{
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var sb = new StringBuilder();
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var va1 = DataCacheProvider.GetVariety(synthetic.UnderlyingCode1);
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var va2 = DataCacheProvider.GetVariety(synthetic.UnderlyingCode2);
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var va3 = DataCacheProvider.GetVariety(synthetic.UnderlyingCode3);
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var va4 = DataCacheProvider.GetVariety(synthetic.UnderlyingCode4);
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if (va1 != null)
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{
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sb.Append(va1.VarietyCode).Append('-');
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}
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if (va2 != null)
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{
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sb.Append(va2.VarietyCode).Append('-');
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}
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if (va3 != null)
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{
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sb.Append(va3.VarietyCode).Append('-');
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}
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if (va4 != null)
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{
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sb.Append(va4.VarietyCode).Append('-');
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}
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ret = sb.ToString().Substring(0, sb.Length - 1);
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}
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}
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else
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{
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var va = DataCacheProvider.GetVariety(un.UnderlyingCode);
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ret = va.VarietyCode;
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}
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}
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return ret;
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}
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/// <summary>
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/// 获取债券的期限，计算日期一定要小于原日期
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/// </summary>
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/// <param name="calcDate">计算日期</param>
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/// <param name="sourceDate">原日期</param>
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/// <returns>返回3.12格式</returns>
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public static double? getYearTerm(DateTime? calcDate, DateTime? sourceDate)
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{
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if (!calcDate.HasValue || !sourceDate.HasValue)
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return null;
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if (calcDate.Value > sourceDate.Value)
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throw new ArgumentException("计算日期必须小于原日期", nameof(calcDate));
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int totalMonths = (sourceDate.Value.Year - calcDate.Value.Year) * 12
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+ (sourceDate.Value.Month - calcDate.Value.Month);
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double fractionalMonth = 0;
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if (sourceDate.Value.Day != calcDate.Value.Day)
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{
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int daysInMonth = DateTime.DaysInMonth(sourceDate.Value.Year, sourceDate.Value.Month);
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fractionalMonth = (sourceDate.Value.Day - calcDate.Value.Day) / (double)daysInMonth;
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}
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double yearTerm = (totalMonths + fractionalMonth) / 12.0;
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return yearTerm;
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}
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/// <summary>
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/// 根据标的发行年限和剩余期限计算适用保证金率
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/// 规则表格：
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/// | 剩余期限（年） | 发行期限（年） | 则适用于 |
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/// |------------------|---------------|----------|
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/// | (0.00,2.00] | 不限 | 2年 |
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/// | (2.00,2.25] | <5 | 2年 |
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/// | (2.00,2.25] | >=5 | 5年 |
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/// | (2.25,5.00] | 不限 | 5年 |
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/// | (5.00,5.25] | <7 | 5年 |
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/// | (5.00,5.25] | >=7 | 10年 |
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/// | (5.25,25.00] | 不限 | 10年 |
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/// | (25.00,30.00] | 不限 | 30年 |
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/// </summary>
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/// <param name="underlyingCode">标的代码</param>
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/// <param name="valueDate">估值日期</param>
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/// <returns>适用的保证金率期限，如果不适用则返回空字符串</returns>
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public static string GetApplicableMarginTerm(string underlyingCode, DateTime valueDate)
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{
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if (string.IsNullOrEmpty(underlyingCode))
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return ConsMarginTerm.UnderFiveYear;
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try
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{
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// 获取标的信息
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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if (underlying == null || !underlying.MaturityDate.HasValue)
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return ConsMarginTerm.UnderFiveYear;
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// 计算剩余期限（从估值日期到到期日期）
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var remainingTermYears = getYearTerm(valueDate, underlying.MaturityDate);
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// 根据业务规则确定适用的保证金率期限
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return DetermineMarginTerm(remainingTermYears);
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}
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catch (Exception ex)
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{
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// 记录异常日志
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Console.WriteLine($"计算保证金率期限时发生异常: {ex.Message}");
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return ConsMarginTerm.UnderFiveYear;
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}
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}
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/// <summary>
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/// 根据剩余年限确定适用的保证金率期限（利率债TRS）
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/// | 剩余期限（年） | 则适用于 |
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/// |------------------|-------------|
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/// | <=5 | <5y |
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/// | (5,10] | 5y-10y |
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/// | (10,30] | 10y-30y |
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/// | >30 | >30y |
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/// 未设置或无法计算剩余期限，使用”默认”
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/// </summary>
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private static string DetermineMarginTerm(double? remainingYears)
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{
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// 利率债TRS规则：只看剩余期限
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if (!remainingYears.HasValue)
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return ConsMarginTerm.UnderFiveYear;
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if (remainingYears <= 5.0)
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return ConsMarginTerm.UnderFiveYear;
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if (remainingYears > 5.0 && remainingYears <= 10.0)
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return ConsMarginTerm.FiveToTenYear;
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if (remainingYears > 10.0 && remainingYears <= 30.0)
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return ConsMarginTerm.TenToThirtyYear;
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return ConsMarginTerm.OverThirtyYear;
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}
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}
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}
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