537 lines
22 KiB
C#
537 lines
22 KiB
C#
using YLErp.BLL;
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using YLErp.Modules.TradeModule.AccumulatorOptionModule;
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using YLErp.Modules.TradeModule.ExoticOptionModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.ObservationModule
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{
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/// <summary>
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/// 期权交易观察操作
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/// </summary>
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public partial class OptionObservationService : TradeServiceBase
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{
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public OptionObservationService(YLBaseService baseService) : base(baseService)
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{
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}
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public OptionObservationService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 检查观察状态(from tradeController.GetIsObservationDay)
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/// </summary>
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public CheckObservationResult CheckObservation(CheckObservationRequest req)
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{
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var td = DbContext.trade.AsNoTracking().FirstOrDefault(n => n.id == req.tradeId);
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if (td == null)
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{
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throw new ServiceException("找不到交易信息");
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}
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return CheckObservation(td, req.valueDate, req.price);
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}
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/// <summary>
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/// 检查观察状态(from tradeController.GetIsObservationDay)
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/// </summary>
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public CheckObservationResult CheckObservation(trade td, DateTime valueDate, double price)
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{
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if (td is null)
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{
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throw new ArgumentNullException(nameof(td));
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}
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tradeBLL.SetFieldsByTradeType(td);
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CheckObservationResult result;
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switch (td.TradeType)
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{
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case "障碍期权":
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result = CheckBarrieKioStatus(td, valueDate, price);
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break;
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case "双鲨期权":
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result = CheckDbSharkKioStatus(td, valueDate, price);
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break;
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case "区间累积期权":
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result = CheckRangeAccKioStatus(td, valueDate, price);
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break;
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case "凤凰期权":
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result = CheckAutoCallKioStatus(td, valueDate, price);
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break;
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case "雪球期权":
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result = CheckSnowballKioStatus(td, valueDate, price);
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break;
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case "气囊结构":
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result = CheckAirbagKioStatus(td, valueDate, price);
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break;
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case "累计期权":
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result = CheckAccumulatorObservation(td, valueDate, price);
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break;
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default:
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throw new ServiceException("不支持此交易类型:" + td.TradeType);
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}
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return result;
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}
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private static (bool blKI, bool blKO) IsObservationDay(OtcTrade td, DateTime valueDate, string observationDateStr, string koObservationDateStr)
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{
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if (valueDate < td.TradeDate.Value || valueDate > td.ExerciseDate.Value)
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{
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return (false, false);
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}
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var observationDates = QdpHelper.GetObservationDatesFromString(observationDateStr);
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var observationDatesKO = QdpHelper.GetObservationDatesFromString(koObservationDateStr);
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var blKI = observationDates == null ? valueDate > td.StartDate.Value : observationDates.Contains(valueDate);
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if (ConsGlobal.TradeType.RangeAcc.Equals(td.TradeType))
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{
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blKI = observationDates == null ? valueDate >= td.StartDate.Value : observationDates.Contains(valueDate);
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}
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var blKO = observationDatesKO == null || observationDatesKO.Contains(valueDate);
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return (blKI, blKO);
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}
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/// <summary>
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/// 与IsObservationDay区别 增加票息日期处理
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/// </summary>
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private static (bool blKI, bool blKO, bool blKOCoupon) IsObservationDayV2(OtcTrade td, DateTime valueDate, string observationDateStr, string koObservationDateStr, string CouponBarrierStr)
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{
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if (valueDate < td.TradeDate.Value || valueDate > td.ExerciseDate.Value)
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{
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return (false, false, false);
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}
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var observationDates = QdpHelper.GetObservationDatesFromString(observationDateStr);
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var observationDatesKO = QdpHelper.GetObservationDatesFromString(koObservationDateStr);
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var CouponBarrierKO = QdpHelper.GetObservationDatesFromString(CouponBarrierStr);
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var blKI = observationDates == null ? valueDate > td.StartDate.Value : observationDates.Contains(valueDate);
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var blKO = observationDatesKO == null || observationDatesKO.Contains(valueDate);
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var blKOCoupon = CouponBarrierKO == null || CouponBarrierKO.Contains(valueDate);
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return (blKI, blKO, blKOCoupon);
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}
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//障碍期权
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private CheckObservationResult CheckBarrieKioStatus(trade td, DateTime valueDate, double price)
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{
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var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };
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var tdEx = td.trade_barrier_option;
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result.IsObservationDay = IsObservationDay(td, valueDate, tdEx.ObservationDates, null).blKI;
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if (result.IsObservationDay)
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{
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result.KnockInOutStatusObservation = "观察中";
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var barrier = td.IsMoneynessOptionData ? tdEx.BarrierPrice * td.SpotPrice : tdEx.BarrierPrice;
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var upperBarrier = new Lazy<double?>(() => td.IsMoneynessOptionData ? tdEx.UpperBarrierPrice * td.SpotPrice : tdEx.UpperBarrierPrice);
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if (tdEx.BarrierType == "上升敲出")
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{
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if (price >= barrier)
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{
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result.KnockInOutStatusObservation = "敲出";
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}
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}
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else if (tdEx.BarrierType == "上升敲入")
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{
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if (price >= barrier)
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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}
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else if (tdEx.BarrierType == "下降敲出")
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{
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if (price <= barrier)
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{
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result.KnockInOutStatusObservation = "敲出";
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}
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}
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else if (tdEx.BarrierType == "下降敲入")
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{
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if (price <= barrier)
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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}
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else if (tdEx.BarrierType == "双障碍敲出")
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{
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if (price <= barrier || price >= upperBarrier.Value)
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{
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result.KnockInOutStatusObservation = "敲出";
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}
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}
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else if (tdEx.BarrierType == "双障碍敲入")
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{
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if (price <= barrier || price >= upperBarrier.Value)
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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}
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}
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return result;
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}
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//双鲨期权
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private CheckObservationResult CheckDbSharkKioStatus(trade td, DateTime valueDate, double price)
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{
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var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };
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var tdEx = td.trade_double_sharkfin_option;
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result.IsObservationDay = IsObservationDay(td, valueDate, tdEx.ObservationDates, null).blKI;
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if (result.IsObservationDay)
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{
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result.KnockInOutStatusObservation = "观察中";
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var barrierLow = td.IsMoneynessOptionData ? tdEx.BarrierLow * td.SpotPrice : tdEx.BarrierLow;
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var barrierHigh = new Lazy<double?>(() => td.IsMoneynessOptionData ? tdEx.BarrierHigh * td.SpotPrice : tdEx.BarrierHigh);
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if (price <= barrierLow || price >= barrierHigh.Value)
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{
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result.KnockInOutStatusObservation = "敲出";
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}
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}
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return result;
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}
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//凤凰期权
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private CheckObservationResult CheckAutoCallKioStatus(trade td, DateTime valueDate, double price)
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{
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var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };
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var tdEx = td.trade_autocall;
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var ko = TradeObservationHelper.GetAutocallKOObservationAndCoupon(tdEx.KOObservationDates, tdEx.CouponBarrier);
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var (blKI, blKO, blKOCoupon) = IsObservationDayV2(td, valueDate, tdEx.ObservationDates, ko.Item2, ko.Item1);
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result.IsObservationDay = blKI || blKO || blKOCoupon;
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//若所有条件都未满足的默认值处理
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if (tdEx.KnockInOutStatusCn == "已敲入")
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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else if (result.IsObservationDay)
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{
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result.KnockInOutStatusObservation = "观察中";
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}
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//当前周期是否计息
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result.CheckData["autocall_NeedCoupon"] = "否";
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if (result.IsObservationDay)
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{
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var isCall = ConsGlobal.CallPut.IsCall(td.CallPut);
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result.KOBarrier = TradeObservationHelper.GetPriceByDateV2(ko.Item2, valueDate) ?? tdEx.KOBarrier;
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if (td.IsMoneynessOptionData)
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{
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result.KOBarrier *= td.SpotPrice ?? 0;
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}
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if (blKO && (isCall ? price >= result.KOBarrier.Value : price <= result.KOBarrier.Value))
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{
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result.KnockInOutStatusObservation = "敲出";
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}
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else if (blKI)
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{
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var kiBarrier = td.IsMoneynessOptionData ? tdEx.KIBarrier * td.SpotPrice : tdEx.KIBarrier;
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if (isCall ? price <= kiBarrier : price >= kiBarrier)
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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}
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if (blKOCoupon)
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{
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//满足敲入到期不支付票息的情况时，当前周期是否计息应该为否
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if (!tdEx.IncludeCouponAfterKI && result.KnockInOutStatusObservation == "敲入")
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{
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result.CheckData["autocall_NeedCoupon"] = "否";
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}
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else if (isCall ? price >= (td.IsMoneynessOptionData ? tdEx.CouponBarrier * td.SpotPrice : tdEx.CouponBarrier) : price <= (td.IsMoneynessOptionData ? tdEx.CouponBarrier * td.SpotPrice : tdEx.CouponBarrier))
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{
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result.CheckData["autocall_NeedCoupon"] = "是";
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}
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}
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}
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else
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{
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result.KOBarrier = tdEx.KOBarrier;
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if (td.IsMoneynessOptionData)
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{
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result.KOBarrier *= td.SpotPrice ?? 0;
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}
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}
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//结算金额
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var defaultAmount = new TradeAutocallBLL(this).GetDefaultAmount(td, tdEx, valueDate, price);
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result.CheckData["结算金额"] = defaultAmount.OtcFormatMoney();
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return result;
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}
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//气囊结构
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private CheckObservationResult CheckAirbagKioStatus(trade td, DateTime valueDate, double price)
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{
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var result = new CheckObservationResult
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{
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UnderlyingCode = td.UnderlyingCode,
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IsObservationDay = true
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};
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result.KnockInOutStatusObservation = "观察中";
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//若所有条件都未满足的默认值处理
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if (td.trade_airbag.KnockInOutStatusCn == "已敲入")
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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else if (price <= (td.IsMoneynessOptionData ? td.trade_airbag.Barrier * td.SpotPrice : td.trade_airbag.Barrier))
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{
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result.KnockInOutStatusObservation = "敲入";
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}
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return result;
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}
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//区间累计
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private CheckObservationResult CheckRangeAccKioStatus(trade td, DateTime valueDate, double price)
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{
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var result = new CheckObservationResult { UnderlyingCode = td.UnderlyingCode };
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var tdEx = td.trade_rangeaccrual;
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result.IsObservationDay = IsObservationDay(td, valueDate, tdEx.ObservationDates, null).blKI;
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if (result.IsObservationDay)
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{
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var rangeCoupon = new TradeRangeAccrualService(this).GetRangeCoupon(td, td.trade_rangeaccrual, valueDate, price);
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//观察后区间收益
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result.CheckData["rangeacc_BonusObservation"] = rangeCoupon.OtcFormatMoney();
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}
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return result;
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}
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//累计期权
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private CheckObservationResult CheckAccumulatorObservation(trade td, DateTime valueDate, double price)
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{
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new OptionTradeActionRestoreService(this).RestoreTradeDataToSpecialDay(td, valueDate);
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var tdEx = td.trade_accumulator_option;
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var checkResult = TradeAccumulatorService.CheckAccumulatorPayoff(td, tdEx, valueDate, price, tdEx.AccumuTradeAmount * (td.CountRatio ?? 1));
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var result = new CheckObservationResult
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{
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UnderlyingCode = td.UnderlyingCode,
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IsObservationDay = checkResult != null
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};
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if (result.IsObservationDay)
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{
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result.KnockInOutStatusObservation = "观察中";
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result.KOBarrier = checkResult.Barrier;
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if (valueDate == td.ExerciseDate.Value.Date && tdEx.SettlementMode == "现金期末"
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&& (checkResult.SettlementMode != "敲出" || !tdEx.EarlyTerminate))
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{
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checkResult.PaymentNotional = checkResult.PaymentAmount += DbContext.autocall_observation.Where(n => n.TradeId == td.id && n.SettlementMode == "现金期末")
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.Select(n => n.PaymentAmount).AsEnumerable().DefaultIfEmpty(0).Sum();
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checkResult.PaymentAmount *= ConsGlobal.CallPut.IsCall(td.OptionType) ? price - checkResult.Strike : checkResult.Strike - price;
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checkResult.SettlementMode = "现金当日";
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if (td.BuySell != "买入")
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{
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checkResult.PaymentAmount = -checkResult.PaymentAmount;
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}
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}
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result.CheckData["累计结算数量"] = "0.00";
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result.CheckData["累计结算金额"] = "0.00";
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if (checkResult.SettlementMode == "票息" || checkResult.SettlementMode == "现金当日" || checkResult.SettlementMode == "现金当日&转远期")
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{
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result.CheckData["累计结算金额"] = checkResult.PaymentAmount.OtcFormatMoney();
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result.CheckData["累计结算数量"] = (checkResult.PaymentNotional / checkResult.CountRatio).OtcFormatFlex(2);
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}
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else
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{
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result.CheckData["累计结算数量"] = (checkResult.PaymentNotional / checkResult.CountRatio).OtcFormatFlex(2);
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if (checkResult.SettlementMode == "敲出")
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{
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result.CheckData["累计结算金额"] = checkResult.PaymentAmount.OtcFormatMoney();
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}
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}
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result.KnockInOutStatusObservation = checkResult.SettlementMode;
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}
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else
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{
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result.KOBarrier = tdEx.KOBarrier;
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if (td.IsMoneynessOptionData)
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{
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result.KOBarrier *= td.SpotPrice ?? 0;
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}
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}
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return result;
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}
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/// <summary>
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/// 结算金额
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/// </summary>
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/// <param name="req"></param>
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/// <returns></returns>
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/// <exception cref="ServiceException"></exception>
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public double GetTradeObservationCoupon(CheckObservationRequest req)
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{
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if (req.price < 0)
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{
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throw new ServiceException("观察标的价格不合法!");
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}
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var defaultAmount = 0d;
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var td = DbContext.trade.Find(req.tradeId);
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switch (td.TradeType)
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{
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case "凤凰期权":
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var trade_autocall = DbContext.trade_autocall.FirstOrDefault(x => x.TradeId == req.tradeId);
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defaultAmount = new TradeAutocallBLL(this).GetDefaultAmount(td, trade_autocall, req.valueDate, req.price);
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break;
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case "雪球期权":
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var trade_snowball = DbContext.trade_snowball.FirstOrDefault(x => x.TradeId == req.tradeId);
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defaultAmount = new TradeSnowballBLL(this).GetDefaultAmount(td, trade_snowball, req.valueDate, req.price);
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break;
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default:
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throw new ServiceException("不支持的交易类型:" + td.TradeType);
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}
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return defaultAmount;
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}
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/// <summary>
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/// 保存自定义观察日
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/// </summary>
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public void SaveManuallyTradeObservationPrice(SaveManuallyTradeObservationRequest req)
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{
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//if (req.price < 0)
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//{
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// throw new ServiceException("观察标的价格不合法!");
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//}
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trade td = null;
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if (req.tradeId > 0)
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{
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td = DbContext.trade.Find(req.tradeId);
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}
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else
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{
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td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == req.tradeNumber);
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req.tradeId = td.id;
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}
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if (td == null)
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{
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throw new ServiceException("交易信息不存在:" + (req.tradeId > 0 ? req.tradeId.ToString() : req.tradeNumber));
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}
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new TradeExtendService(this).SetTradeExtend(new[] { td }, tracking: true);
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var tradeStatus = td.TradeStatus;
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switch (td.TradeType)
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{
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case "障碍期权":
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if (!string.IsNullOrEmpty(td.trade_barrier_option.KnockInOutStatus))
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{
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throw new ServiceException("请确认该交易的敲入敲出状态");
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}
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if (td.TradeStatus != ConsTrade.确认成交)
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{
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throw new ServiceException("该交易非确认成交状态，无法设置");
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}
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new BarrierOptionKnockioService(this).CheckBarrierKnockInOutStatus(td, td.trade_barrier_option, req.valueDate, req.price, req.price, req.price);
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break;
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case "双鲨期权":
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if (!string.IsNullOrEmpty(td.trade_double_sharkfin_option.KnockInOutStatus))
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{
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throw new ServiceException("请确认该交易的敲入敲出状态");
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}
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if (td.TradeStatus != ConsTrade.确认成交)
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{
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throw new ServiceException("该交易非确认成交状态，无法设置");
|
|
}
|
|
new DoubleSharkOptionKnockoutService(this).CheckDoubleSharkFinKnockOutStatus(td, td.trade_double_sharkfin_option, req.valueDate, req.price, req.price);
|
|
break;
|
|
case "区间累积期权":
|
|
new TradeRangeAccrualService(this).CheckRangeAccrualBonus(td, td.trade_rangeaccrual, req.valueDate, req.price);
|
|
break;
|
|
case "凤凰期权":
|
|
new TradeAutocallBLL(this).CheckAutocallKnockInOutStatus(td, td.trade_autocall, req.valueDate, req.price, req.SettlementAmount);
|
|
break;
|
|
case "雪球期权":
|
|
new TradeSnowballBLL(this).CheckSnowballKnockInOutStatus(td, td.trade_snowball, req.valueDate, req.price, req.SettlementAmount);
|
|
break;
|
|
case "气囊结构":
|
|
new TradeAirbagService(this).CheckAirbagKnockInStatus(td, td.trade_airbag, req.valueDate, req.price);
|
|
break;
|
|
case "累计期权":
|
|
new TradeAccumulatorService(this).CheckAccumulatorKnockInStatus(td, td.trade_accumulator_option, req.valueDate, req.price);
|
|
break;
|
|
default:
|
|
throw new ServiceException("期权类型不支持:" + td.TradeType);
|
|
}
|
|
|
|
var records = DbContext.manually_trade_observation_price.Where(x => x.TradeId == req.tradeId && x.ValueDate == req.valueDate);
|
|
|
|
DbContext.manually_trade_observation_price.RemoveRange(records);
|
|
|
|
var r = new manually_trade_observation_price
|
|
{
|
|
SettlementAmount = req.SettlementAmount,
|
|
Price = req.price,
|
|
TradeId = req.tradeId,
|
|
ValueDate = req.valueDate,
|
|
OptDate = DateTime.Now,
|
|
OptId = UserId,
|
|
OptName = UserName
|
|
};
|
|
|
|
DbContext.manually_trade_observation_price.Add(r);
|
|
|
|
AddTradeOperationHistoryAndSetParentTradeInfo(false, td, "设置观察价格");
|
|
|
|
if (tradeStatus != td.TradeStatus)
|
|
{
|
|
//删除E/Bod_Trade记录
|
|
RemoveEodTradeAndFutureInfo(false, td.id, req.valueDate);
|
|
}
|
|
|
|
DbContext.SaveChanges();
|
|
}
|
|
}
|
|
}
|