zszq-trs/YLErpWeb/WebAPI/Controllers/VolatilityController.cs

using System.Text.RegularExpressions;
using YLErp.DBModels.Consts;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.VolatilityModule;

namespace YLErp.Web.WebAPI.Controllers
{
    /// <summary>
    /// 波动率
    /// </summary>
    public class VolatilityController : BaseController
    {
        /// 定价页面获取单个波动率值
        /// </summary>
        [HttpPost("m/api/volatility/single")]
        public JsonResult GetSingleVolValue(SingleVolReq req)
        {
            var userGroup = UserBLL.GetUserGroup(CurUser.UserId);

            if (PS.Config.ErpElement.SkewMapVolConstruction)
            {
                try
                {
                    if (req.IsMoneynessOption == "是")
                    {
                        req.Strike = req.SpotPrice * req.Strike;
                    }

                    var volType = req.VolType;

                    req.Vols = VolatilityHelper.GetVol(req.TradeDate, "交易", req.UnderlyingCode, userGroup);
                    if (req.Vols == null || string.IsNullOrEmpty(req.Vols.VolSurfaceMode))
                    {
                        throw new InvalidOperationException($"找不到波动率曲面{req.UnderlyingCode}");
                    }

                    if (req.BaseVol == null || req.BaseVol <= 0)
                    {
                        req.BaseVol = SkewMapVolHelper.GetSkewMapBaseVolForTrade(req.TradeDate, req.UnderlyingCode, req.Vols, req.UnderlyingTypeId, req.ExerciseDate);
                    }

                    int? varValue = null;

                    switch (volType)
                    {
                        case "报价Ask":
                            varValue = req.AskVar;
                            break;
                        case "报价Bid":
                            varValue = req.BidVar;
                            break;
                    }

                    if (!varValue.HasValue)
                    {
                        var vol = VolatilityHelper.GetVol(req.TradeDate, "交易", req.UnderlyingCode, CurUser.UserGroup);
                        if (vol == null)
                        {
                            return JsonError("找不到波动率:" + req.UnderlyingCode);
                        }
                        switch (volType)
                        {
                            case "报价Ask":
                                req.AskVar = varValue = (int)(vol.GetAskVar() ?? 0);
                                break;
                            case "报价Bid":
                                req.BidVar = varValue = (int)(vol.GetBidVar() ?? 0);
                                break;
                        }
                    }

                    req.VolType = volType;

                    var TargetVol = SingleVolService.GetSingleVol(req, CurUser.UserId);

                    return JsonSuccess(new SingleVolResult
                    {
                        VarValue = varValue,
                        VolValue = TargetVol,
                        BaseVolValue = req.BaseVol
                    });
                }
                catch (ArgumentException ex)
                {
                    if (Regex.IsMatch(ex.Message, @"列.\d+.不属于表"))
                    {
                        return JsonError("Var值超出SkewMap可选范围");
                    }
                    return JsonError(ex.Message);
                }
                catch (Exception ex)
                {
                    return JsonError(ex.Message);
                }
            }
            else
            {
                if (ConsUserGroup.HasGroup && string.IsNullOrWhiteSpace(userGroup))
                {
                    return JsonSuccess(new SingleVolResult());
                }

                var vol = SingleVolService.GetSingleVol(req, CurUser.UserId);

                if (PS.Config.Is润和)
                {
                    req.VolType = "交易";
                    var Midvol = SingleVolService.GetSingleVol(req, CurUser.UserId);
                    return JsonSuccess(new SingleVolResult { VolValue = vol, MidVolValue = Midvol });
                }

                return JsonSuccess(new SingleVolResult { VolValue = vol });
            }
        }

        class SingleVolResult
        {
            /// <summary>
            /// 波动率值
            /// </summary>
            public double? VolValue { get; set; }

            /// <summary>
            /// 光大光子var值
            /// </summary>
            public double? VarValue { get; set; }

            /// <summary>
            /// 光大光子basevol
            /// </summary>
            public double? BaseVolValue { get; set; }

            /// <summary>
            /// 东证专用midvol
            /// </summary>
            public double? MidVolValue { get; set; }
        }
    }
}