605 lines
26 KiB
C#
605 lines
26 KiB
C#
using Org.BouncyCastle.Ocsp;
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using Qdp.Pricing.Base.Implementations;
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using YLErp.Abstract;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.Configuration;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.Enums;
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using YLErp.Model;
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using YLErp.Modules.ApiModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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//这个类的主要目标是代替CalculatorHelper.CalculateRisksForTrades
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//并且不再支持日终结算的计算,不再支持场内期权
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/// <summary>
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/// 简单场外衍生品交易风险计算
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/// </summary>
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class SimpleOtcTradeRiskCalc
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{
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/// <summary>
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/// 波动率类型,默认:交易
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/// </summary>
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public string VolType { get; set; } = "交易";
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public SettlementTypeEnum SettlementType { get; set; } = SettlementTypeEnum.ClosePrice;
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/// <summary>
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/// 覆盖交易波动率
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/// </summary>
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public Dictionary<int, double> OverrideVolsForTrade { get; set; }
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/// <summary>
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/// 是否使用交易波动率,默认false
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/// </summary>
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public bool IsUseTradeVol { get; set; }
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/// <summary>
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/// 精确时间模式,默认true
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/// </summary>
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public bool PreciseTimeMode { get; set; } = true;
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/// <summary>
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/// 是否增加波动率为百分比格式
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/// </summary>
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public bool IsAddVolPercent { get; set; } = true;
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/// <summary>
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/// 增加波动率
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/// </summary>
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public Dictionary<int, double> AddVolRateDic { get; set; }
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/// <summary>
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/// 计算指标枚举,默认只计算PV
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/// </summary>
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public PricingRequest PricingRequest { get; set; } = PricingRequest.Pv;
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/// <summary>
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/// 是否在进行预付金计算
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/// </summary>
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public bool IsMarginCalc { get; set; } = false;
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/// <summary>
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/// 计算场景
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/// </summary>
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public CalcScenarioEnum CalcScenario { get; set; }
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/// <summary>
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/// 是否使用手动维护的风险值
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/// </summary>
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public bool CanUseManual { get; set; } = false;
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DateTime _valueDate;
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IPriceProvider _priceProvider;
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List<string> _errorList;
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readonly UnderlyingDataProvider _umProvider;
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public SimpleOtcTradeRiskCalc()
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{
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_umProvider = new UnderlyingDataProvider();
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}
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bool IsEodSettle => CalcScenario == CalcScenarioEnum.EodSettlement;
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bool IsInitialMargin => CalcScenario == CalcScenarioEnum.InitialMargin;
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private void AppendError(trade td, string errorMsg, Exception ex = null)
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{
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if (ex != null)
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{
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errorMsg = string.IsNullOrEmpty(errorMsg) ? ex.Messages() : errorMsg + "," + ex.Messages();
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}
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errorMsg = $"[{td.TradeType},交易编号:{td.TradeNumber}]计算出错:{errorMsg}";
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if (IsEodSettle)
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{
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throw new Exception(errorMsg, ex);
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}
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if (_errorList == null)
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{
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_errorList = new List<string>();
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}
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_errorList.Add(errorMsg);
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}
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public TradeRiskResult CalculateRisksForTrades(DateTime valueDate, IEnumerable<trade> tradeList, IPriceProvider priceProvider, CalcScenarioEnum calcScenario)
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{
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var results = new List<TradeRiskResultRecord>();
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var trResult = new TradeRiskResult { Results = results };
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if (tradeList == null || !tradeList.Any())
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{
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return trResult;
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}
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if (IsEodSettle)
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{
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PreciseTimeMode = false;
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}
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_valueDate = valueDate;
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_priceProvider = priceProvider ?? throw new ArgumentNullException(nameof(priceProvider));
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var sysRiskFreeRate = (VolType == "光证" ? valuedateBLL.RiskFreeRateExtend : valuedateBLL.RiskFreeRate) / 100;
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var recordlist = DbContextFactory.GetYLDbContext().dividendrate_record.Where(x => valueDate >= x.ValueDate).ToList();
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using (var marketProxy = new MarketProxy(_valueDate, sysRiskFreeRate))
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{
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using var db = DbContextFactory.GetYLDbContext();
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var tradeIds = tradeList.Select(x => x.id).ToArray();
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var manualDicByTypes = db.eod_trade_risk_manual.Where(x => x.ValueDate == _valueDate && tradeIds.Contains(x.TradeId) && x.VolType == VolType && x.SettlementType == SettlementType).ToDictionary(x => x.TradeId);
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var manualDic = db.eod_trade_risk_manual.Where(x => x.ValueDate == _valueDate && tradeIds.Contains(x.TradeId) && string.IsNullOrEmpty(x.VolType)).ToDictionary(x => x.TradeId);
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foreach (var td in tradeList)
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{
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if (VolType == "光证")
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{
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td.NoRiskRate = sysRiskFreeRate;
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}
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//国元固收默认从全局配置里取分红率，如果TradeHisData里有分红率，则根据生效时间取最优
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if (recordlist != null && recordlist.Any())
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{
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var _record = recordlist.Where(x => x.UnderlyingCode.Split(',').Any(code => code == td.UnderlyingCode) && x.TradeType.Contains(td.TradeType) && (x.OptionType == td.OptionType || x.OptionType == "全部")).OrderByDescending(x => x.OptDate).OrderByDescending(x => x.ValueDate);
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if (_record.Any())
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{
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td.DividendRate = _record.FirstOrDefault()?.DividendRate;
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}
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}
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td.DividendRate = td.DividendRate ?? td.NoRiskRate ?? sysRiskFreeRate;
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TradeRiskResultRecord record;
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if (IsMarginCalc && td.TradeType == "自定义交易")
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{
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record = new TradeRiskResultRecord
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{
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Trade = td,
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Underlyings = new[] { DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode) },
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ValueResult = new TradeValueResult() //自定义交易的预付金不需要在这里处理
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};
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if (PS.Config.ErpElement.ExternalAPIForCustomCalcEnable)
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{
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td.StartDate = _valueDate;
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var tradeVol = IsUseTradeVol;
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IsUseTradeVol = false;
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var price = _priceProvider.GetPrice(td.UnderlyingCode);
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode);
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var consVol = GetConstVol(td, price, IsEodSettle, um?.UnderlyingTypeId ?? 0);
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//从风险对冲那边抄来的逻辑,波动率精度会导致计算结果和风险对冲有差异;
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var volValue = Commons.OtcFormatHelper.FormatValue(consVol, PS.Config.ErpElement.VolMoreAccurate ? 6 : 4);
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var apiValue = TradeCalcApiHelper.CalculateCustomizedTrade(_valueDate, td, price, volValue, CalcScenario == CalcScenarioEnum.EodSettlement, calcScenario, TradeCalcApiHelper.PV, TradeCalcApiHelper.DELTA, TradeCalcApiHelper.GAMMA, TradeCalcApiHelper.VEGA, TradeCalcApiHelper.THETA, TradeCalcApiHelper.RHO);
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if (apiValue.Success)
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{
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record.ValueResult = apiValue.Content;
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}
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//异常
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else
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{
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throw new Exception(apiValue.Msg);
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}
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}
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}
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else if (td.TradeType != "场内期权" && ConsTrade.TradeTypesForHedge.Contains(td.TradeType))
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{
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record = new TradeRiskResultRecord
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{
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Trade = td,
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Underlyings = new[] { DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode) },
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ValueResult = new TradeValueResult()
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{
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Pv = td.Notional * _priceProvider.GetPrice(td.UnderlyingCode),
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Delta = td.Notional
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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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//分类维护的风险数据优先级高于普通的风险数据
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manualDicByTypes.TryGetValue(td.id, out var manual);
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if (manual == null)
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{
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manualDic.TryGetValue(td.id, out manual);
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}
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else
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{
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//如果分类维护的数据不全，通过单一数据补充
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manualDic.TryGetValue(td.id, out var singleManual);
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if (singleManual != null)
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{
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manual.Pv = manual.Pv ?? singleManual.Pv;
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manual.Delta = manual.Delta ?? singleManual.Delta;
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manual.DeltaCash = manual.DeltaCash ?? singleManual.DeltaCash;
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manual.Gamma = manual.Gamma ?? singleManual.Gamma;
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manual.GammaCash = manual.GammaCash ?? singleManual.GammaCash;
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manual.Theta = manual.Theta ?? singleManual.Theta;
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manual.Vega = manual.Vega ?? singleManual.Vega;
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manual.VegaCash = manual.VegaCash ?? singleManual.VegaCash;
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manual.Rho = manual.Rho ?? singleManual.Rho;
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}
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}
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record = CalcOtcTrade(marketProxy, td, CanUseManual ? manual : null);
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}
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if (record != null)
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{
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if (PS.Config.ErpElement.IsPVIncludePrincipal)
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{
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record.ValueResult.Pv = record.ValueResult.Pv + td.PrincipalSum() * (td.BuySell == "卖出" ? -1 : 1);
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record.ValueResult.RoundedPv = record.ValueResult.RoundedPv + td.PrincipalSum() * (td.BuySell == "卖出" ? -1 : 1);
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}
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results.Add(record);
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}
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}
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}
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return trResult;
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}
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//计算衍生品交易价值
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private TradeRiskResultRecord CalcOtcTrade(MarketProxy mp, trade td, eod_trade_risk_manual manual)
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{
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var record = new TradeRiskResultRecord { Trade = td, ValueResult = null, Underlyings = null };
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try
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{
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var um = _umProvider.GetUnderlying(td.UnderlyingCode);
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record.Underlyings = new[] { um };
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if (um == null && td.HasUnderlying())
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{
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AppendError(td, "未找到标的信息:" + td.UnderlyingCode);
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record.ValueResult = GetTradeValueResult(td, "未找到标的信息");
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return record;
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}
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if (ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus))
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{
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record.ValueResult = GetTradeValueResult(td);
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return record;
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}
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TradeValueResult result = null;
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if (manual != null)
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{
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var spotPrice = GetSpotPrice(td);
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manual.DeltaCash = manual.Delta * spotPrice;
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manual.GammaCash = manual.Gamma * Math.Pow(spotPrice, 2) / 100;
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manual.VegaCash = manual.Vega * spotPrice;
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result = new TradeValueResult
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{
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Pv = manual.Pv ?? 0,
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RoundedPv = manual.Pv ?? 0,
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Delta = manual.Delta ?? 0,
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Gamma = manual.Gamma ?? 0,
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Vega = manual.Vega ?? 0,
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TradingDayTheta = manual.Theta ?? 0,
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CalendarDayTheta = manual.Theta ?? 0,
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Rho = manual.Rho ?? 0,
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DeltaCash = manual.DeltaCash ?? 0,
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GammaCash = manual.GammaCash ?? 0
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};
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}
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//没有自定义风险维护值 或者 自定风险维护没有涵盖PV和所有希腊值（部分维护场景）
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//部分维护场景下，需要系统计算出未赋值的属性，进行合并返还
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if (manual == null || manual != null && !manual.IsPVAndAllGreek)
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{
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switch (td.TradeType)
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{
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case "彩虹期权":
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case "价差期权":
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case "结构化交易":
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AppendError(td, "不支持此交易类型的计算");
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result = GetTradeValueResult(td, "不支持此交易类型的计算");
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break;
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case ConsGlobal.TradeType.Custom:
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result = CalcCustom(td, IsEodSettle, um?.UnderlyingTypeId ?? 0);
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break;
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case ConsGlobal.TradeType.PayoffSwap:
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result = PayoffSwapCalcService.CalcValue(td, _valueDate, IsMarginCalc ? null : _priceProvider, IsEodSettle);
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break;
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case ConsGlobal.TradeType.Forward:
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{
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var spotPrice = GetSpotPrice(td);
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result = ForwardradeCalcService.CalcValue(td, spotPrice);
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}
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break;
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case "信用债":
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case "商品期货":
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_priceProvider.TryGetPrice(td.UnderlyingCode, out var spotPriceGet);
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result = new TradeValueResult()
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{
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Pv = td.Notional * spotPriceGet,
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};
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break;
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case "场内期权":
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default:
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result = CalcOption(mp, td, IsEodSettle, IsInitialMargin, um?.UnderlyingTypeId ?? 0); //计算场外期权
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break;
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}
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//系统计算结果和手动维护值合并
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TradeRiskCalcUtil.GetOptionValueWithManual(manual, result);
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}
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else
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{
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if (td.TradeType != ConsGlobal.TradeType.CashFlow && result.Vol == 0)
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{
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result.Vol = GetConstVol(td, GetSpotPrice(td), IsEodSettle, um?.UnderlyingTypeId ?? 0);
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}
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}
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record.ValueResult = result;
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}
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catch (Exception ex)
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{
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AppendError(td, null, ex);
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record.ValueResult = GetTradeValueResult(td, ex.Message);
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}
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return record;
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}
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private TradeValueResult GetTradeValueResult(trade td, string errmsg = null)
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{
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return new TradeValueResult
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{
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TradeId = td.id,
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UnderlyingCode = td.UnderlyingCode,
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Strike = td.Strike,
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UnderlyingId = td.UnderlyingId,
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ErrorMessage = errmsg,
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Succeeded = string.IsNullOrEmpty(errmsg)
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};
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}
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//获取标的现价
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private double GetSpotPrice(trade td)
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{
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if (string.IsNullOrWhiteSpace(td.UnderlyingCode))
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{
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return 0;
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}
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//20210706:支持参考价处理 -- 远期没有参考价
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if (td.SettlementType == SettlementTypeEnum.ReferencePrice
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&& _priceProvider.TryGetPrice(ConsGlobal.RefPricePrefix + td.UnderlyingCode, out var price))
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{
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return price;
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}
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double BasiseodPrice = 0;
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if (PS.Config.ErpElement.ForwardTradePriceModel == Configuration.Enums.ForwardTradePriceModel.STANDARD && !string.IsNullOrWhiteSpace(td.BasisUnderlyingCode) && td.TradeType == ConsGlobal.TradeType.Forward)
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{
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_priceProvider.TryGetPrice(td.BasisUnderlyingCode, out BasiseodPrice);
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}
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if (_priceProvider.TryGetPrice(td.UnderlyingCode, out price))
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{
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return price -= BasiseodPrice;
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}
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else
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{
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throw new Exception("未找到标的价格:" + td.UnderlyingCode);
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}
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}
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//计算自定义交易
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private TradeValueResult CalcCustom(trade td, bool isEodCalc, int underlyingTypeId)
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{
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var spotPrice = GetSpotPrice(td);
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var volValue = GetConstVol(td, spotPrice, isEodCalc, underlyingTypeId);
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//从风险对冲那边抄来的逻辑,波动率精度会导致计算结果和风险对冲有差异;
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volValue = Commons.OtcFormatHelper.FormatValue(volValue, PS.Config.ErpElement.VolMoreAccurate ? 6 : 4);
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var (manual, optionValue) = TradeRiskCalcUtil.GetManualOptionValue(_valueDate, td, spotPrice, volValue, td.TradeType == "自定义交易", CalcScenario, VolType, SettlementType, isSettle: CalcScenario == CalcScenarioEnum.EodSettlement);
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//收盘时如果自定义交易还活着且没有维护当日风险，并且收的时系统日期当日的盘，抛出exception
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if (IsEodSettle && !ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus) && _valueDate == valuedateBLL.ValueDate && !PS.Config.IsMustRiskManual)
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{
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if ((manual == null || manual.ValueDate != _valueDate) && !PS.Config.Is润和)
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{
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var error = $"[{td.TradeType}] 交易'{td.TradeNumber}'在{_valueDate:yyyy-MM-dd}需先进行交易风险维护";
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throw new Exception(error);
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}
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}
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return optionValue;
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}
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//计算场外期权
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private TradeValueResult CalcOption(MarketProxy mp, trade td, bool isEodCalc, bool isInitialMargin, int underlyingTypeId)
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{
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var spotPrice = GetSpotPrice(td);
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var req = new OptionValueCalcRequest(mp.RiskFreeRate)
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{
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correlations = null, //因为没有处理多标的，所以这里为null
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engineName = null,
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maturityShift = 0,
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preciseTimeMode = PreciseTimeMode,
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ParamOverride = null,
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pricingRequest = PricingRequest,
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spotPrices = new[] { spotPrice },
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vols = new[] { 0d },
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calcScenario = CalcScenario
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};
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req.timeToMaturityDays = double.NaN;
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//象屿最后一个交易日实时计算时TTM需要和平仓时算法一致
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if (PS.Config.Is厦门象屿
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&& (CalcScenario == CalcScenarioEnum.RealtimePosition || CalcScenario == CalcScenarioEnum.RealtimeRisk)
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&& td.SettlementType == SettlementTypeEnum.ReferencePrice)
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{
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req.timeToMaturityDays = TradeCalcHelper.CalculateTTMDaysForXiangYu(valuedateBLL.ValueDate, td.ExerciseDate.Value, underlyingTypeId, false);
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//20210706:支持厦门象屿参考价相关交易(这类交易不需要支持精确模式)
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req.preciseTimeMode = false;
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}
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if (PS.Config.Is润和 && IsInitialMargin)
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{
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|
req.timeToMaturityDays = td.TTMDays;
|
|
}
|
|
|
|
if (td.TradeType != ConsGlobal.TradeType.CashFlow)
|
|
{
|
|
var consVol = GetConstVol(td, spotPrice, isEodCalc, underlyingTypeId);
|
|
//从风险对冲那边抄来的逻辑,波动率精度会导致计算结果和风险对冲有差异;
|
|
consVol = Commons.OtcFormatHelper.FormatValue(consVol, PS.Config.ErpElement.VolMoreAccurate ? 6 : 4);
|
|
req.vols = new[] { consVol };
|
|
if (IsMarginCalc && CalcScenario == CalcScenarioEnum.EodSettlement)
|
|
{
|
|
LogFactory.GetLogger("日终预付金计算").Info($"{td.TradeType}'{td.TradeNumber}',波动率:{consVol},spotPrice:{spotPrice}");
|
|
}
|
|
}
|
|
|
|
req.isEodCalc = IsEodSettle;
|
|
return OptionCalculatorV2.GetOptionValueResult(mp, td, req, out _);
|
|
}
|
|
|
|
#region----获取波动率----
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
/// <param name="td"></param>
|
|
/// <param name="spotPrice"></param>
|
|
/// <param name="isEodCalc"></param>
|
|
/// <param name="underlyingTypeId">只适用于光证波动率</param>
|
|
/// <returns></returns>
|
|
private double GetConstVol(trade td, double spotPrice, bool isEodCalc, int underlyingTypeId)
|
|
{
|
|
var vol = GetConstVolRaw(td, spotPrice, isEodCalc, underlyingTypeId);
|
|
|
|
if (AddVolRateDic != null && AddVolRateDic.TryGetValue(td.id, out var addVolRate))
|
|
{
|
|
vol += IsAddVolPercent ? addVolRate * vol : addVolRate;
|
|
}
|
|
|
|
return vol;
|
|
}
|
|
|
|
private double GetConstVolRaw(trade td, double spotPrice, bool isEodCalc, int underlyingTypeId)
|
|
{
|
|
if (td.TradeType == "场内期权")
|
|
{
|
|
var vol = new ExOptionSavedVolProvider(_valueDate).GetSavedVol(td.ExchangeOptionCode, _valueDate);
|
|
|
|
if (vol != null)
|
|
{
|
|
return vol.Value;
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (OverrideVolsForTrade != null && OverrideVolsForTrade.TryGetValue(td.id, out var overrideVol))
|
|
{
|
|
return overrideVol;
|
|
}
|
|
|
|
if (IsUseTradeVol)
|
|
{
|
|
if (VolType == "交易" || VolType == "持仓")
|
|
{
|
|
return VolatilityHelper.GetTradeVol(td, _valueDate, IsEodSettle);
|
|
}
|
|
|
|
if (VolType == "对冲")
|
|
{
|
|
return TradeHedgeVolService.GetTradeHedgeVol(td, _valueDate);
|
|
}
|
|
}
|
|
}
|
|
|
|
if (VolType == "光证")
|
|
{
|
|
var va = DataCacheProvider.GetVarietyDataSource().GetData(underlyingTypeId)
|
|
?? throw new Exception("未找到光证波动率:" + td.UnderlyingCode);
|
|
|
|
return VarietyVolService.GetVarietyVol(_valueDate, va.id)
|
|
?? throw new Exception("未找到光证波动率:" + td.UnderlyingCode);
|
|
}
|
|
|
|
if (VolType == "开仓")
|
|
{
|
|
return td.TradeOpenVolatility ?? 0;
|
|
}
|
|
|
|
var userGroup = string.Empty;
|
|
|
|
if (ConsUserGroup.HasGroup)
|
|
{
|
|
userGroup = DataCacheProvider.GetAssetUnitDataSource().GetData(td.AssetId)?.UserGroup;
|
|
if (string.IsNullOrEmpty(userGroup))
|
|
{
|
|
throw new Exception($"取波动率时未能获取UserGroup");
|
|
}
|
|
}
|
|
|
|
if (VolType == "BidAskVol")
|
|
{
|
|
//结算时应以平仓的交易方向来选择曲面
|
|
//如果交易是买入，平仓时是卖出，则应该用Ask曲面
|
|
|
|
var tempVolType = td.BuySell == "买入" ? "报价Ask" : "报价Bid";
|
|
|
|
var bidAskVol = VolatilityHelper.GetVol(_valueDate, tempVolType, td.UnderlyingCode, userGroup)
|
|
?? throw new Exception($"未找到'{tempVolType}'波动率:{td.UnderlyingCode}");
|
|
|
|
return GetInterpolatedVol(td, bidAskVol, spotPrice, isEodCalc);
|
|
}
|
|
|
|
//当需要去波动率曲面中查询时，所有公司的VolType都应该是交易;
|
|
//上面这句描述应该是错误，当曲面波动率模式时，应该用配置的结算波动率，todo
|
|
|
|
string tempVolType2 = VolType;
|
|
if (VolType == "对冲")
|
|
{
|
|
tempVolType2 = "交易";
|
|
}
|
|
else if (VolType == "持仓" || string.IsNullOrEmpty(tempVolType2))
|
|
{
|
|
tempVolType2 = IsUseTradeVol ? "交易" : valuedateBLL.SystemDate.EodSettleVolMode.TrimToNull() ?? "交易";
|
|
}
|
|
|
|
var underlyingVols = VolatilityHelper.GetVol(_valueDate, tempVolType2, td.UnderlyingCode, userGroup)
|
|
?? throw new Exception($"未找到'{tempVolType2}'波动率:{td.UnderlyingCode}");
|
|
|
|
return GetInterpolatedVol(td, underlyingVols, spotPrice, isEodCalc);
|
|
}
|
|
|
|
private double GetInterpolatedVol(trade td, IVolatility vols, double spotPrice, bool isEodCalc)
|
|
{
|
|
return VolatilityHelper.GetInterpolatedVol(
|
|
volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
|
|
volSurface: vols,
|
|
valueDate: _valueDate,
|
|
underlyingCode: td.UnderlyingCode,
|
|
exerciseDate: td.ExerciseDate.Value,
|
|
strike: td.Strike ?? 0,
|
|
isBuy: td.BuySell == "买入",
|
|
isCall: td.CallPut == "Call",
|
|
spotPrice: spotPrice,
|
|
isMoneynessOption: td.IsMoneynessOption == "是",
|
|
isEodCalc: isEodCalc);
|
|
}
|
|
|
|
#endregion
|
|
}
|
|
}
|