642 lines
16 KiB
C#
642 lines
16 KiB
C#
using BaseOUDAL;
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using System.ComponentModel;
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using System.Data;
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namespace YLErp.Model
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{
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public class EodPnlGridSum
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{
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/// <summary>
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/// <summary>
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/// 名义本金总数
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/// </summary>
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public double? NotionalSum { get; set; }
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/// <summary>
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/// <summary>
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/// 昨日价值总数
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/// </summary>
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public double? LastPvSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PvSum { get; set; }
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public double? SellPvSum { get; set; }
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public double? RoundedPvSum { get; set; }
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/// <summary>
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/// <summary>
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/// 当日价值总数
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/// </summary>
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public double? DailyPnLSum { get; set; }
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/// <summary>
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/// <summary>
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/// 当日价值总数
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/// </summary>
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public double? RoundedDailyPnLSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLPriceSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLDeltaSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLGammaSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLVegaSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLThetaSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLRhoSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLPriceVolCrossSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLPriceResidualSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLVolSum { get; set; }
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/// <summary>
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/// <summary>
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/// 总数
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/// </summary>
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public double? PnLVolResidualSum { get; set; }
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/// <summary>
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/// <summary>
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/// 未归因盈亏总数
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/// </summary>
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public double? UnexplainedPnLSum { get; set; }
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/// <summary>
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/// <summary>
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/// 已归因盈亏总数
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/// </summary>
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public double? ExplainedPnLSum { get; set; }
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/// <summary>
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/// <summary>
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/// 名义本金合计
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/// </summary>
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public double? OriginalStockEqvNotionalSum { get; set; }
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public double? StockEqvNotionalSum { get; set; }
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/// <summary>
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/// 交易总额合计
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/// </summary>
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public double? TradePriceSum { get; set; }
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public double? MarginSum { get; set; }
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}
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public class EodPnlReq : BaseSearchReq
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{
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/// <summary>
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///
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/// </summary>
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public int id { get; set; }
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/// <summary>
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/// 簿记账户
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/// </summary>
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public string BookName { get; set; }
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/// <summary>
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/// 簿记账户信息
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/// </summary>
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public int? BookId { get; set; }
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/// <summary>
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/// 估值日
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/// </summary>
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public DateTime? ValueDate { get; set; }
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public DateTime ValueDateStart { get; set; }
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public DateTime ValueDateEnd { get; set; }
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/// <summary>
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/// 交易信息
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/// </summary>
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public int? TradeId { get; set; }
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/// <summary>
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/// 资产类型（香草期权等）
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/// </summary>
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public string AssetType { get; set; }
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/// <summary>
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/// 资产代码
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/// </summary>
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public string AssetCode { get; set; }
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/// <summary>
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/// 持仓类型
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/// </summary>
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public string PositionType { get; set; }
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/// <summary>
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/// 结构类型
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/// </summary>
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public string TradeType { get; set; }
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/// <summary>
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/// 操作人_optid
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/// </summary>
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public int? OptId { get; set; }
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/// <summary>
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/// 操作人_optname
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/// </summary>
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public string OptName { get; set; }
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/// <summary>
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/// 操作时间_createdate
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/// </summary>
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public DateTime? OptDate { get; set; }
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public DateTime OptDateStart { get; set; }
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public DateTime OptDateEnd { get; set; }
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public string GroupStr { get; set; }
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public List<string> TradeTypesList
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{
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get
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{
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return (TradeTypes + "").Split(',').ToList();
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}
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}
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public string TradeTypes { get; set; }
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public double? Strike { get; set; }
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public DateTime? ExerciseDate { get; set; }
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public string ExerciseMode { get; set; }
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public string UnderlyingAssetClass { get; set; }
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public string UnderlyingCode { get; set; }
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public List<int> BookIdList
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{
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get
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{
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if (BookIds == null)
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{
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BookIds = "";
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}
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return BookIds.Split(',').Select(c => Convert.ToInt32(c)).ToList();
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}
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}
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public string BookIds { get; set; }
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public string TraderIds { get; set; }
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public List<int> TraderIdList
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{
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get
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{
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if (TraderIds == null)
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{
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TraderIds = "";
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}
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return TraderIds.Split(',').Select(c => Convert.ToInt32(c)).ToList();
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}
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}
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/// <summary>
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/// 交易编码列表
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/// </summary>
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public List<string> TradeNumberList { get; set; }
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/// <summary>
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/// 簿记账户列表
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/// </summary>
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public List<string> BookNameList { get; set; }
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/// <summary>
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/// 昨日Pv范围开始
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/// </summary>
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public double? LastPvStart { get; set; }
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/// <summary>
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/// 昨日Pv范围结束
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/// </summary>
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public double? LastPvEnd { get; set; }
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/// <summary>
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/// Pv范围开始
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/// </summary>
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public double? PvStart { get; set; }
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/// <summary>
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/// Pv范围结束
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/// </summary>
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public double? PvEnd { get; set; }
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/// <summary>
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/// 当日PnL范围开始
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/// </summary>
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public double? DailyPnLStart { get; set; }
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/// <summary>
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/// 当日PnL范围结束
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/// </summary>
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public double? DailyPnLEnd { get; set; }
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/// <summary>
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/// 已实现PnL范围开始
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/// </summary>
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public double? RealizedPnLStart { get; set; }
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/// <summary>
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/// 已实现PnL范围结束
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/// </summary>
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public double? RealizedPnLEnd { get; set; }
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/// <summary>
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/// 未实现PnL范围开始
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/// </summary>
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public double? UnRealizedPnLStart { get; set; }
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/// <summary>
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/// 未实现PnL范围结束
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/// </summary>
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public double? UnRealizedPnLEnd { get; set; }
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/// <summary>
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/// 实际PnL范围开始
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/// </summary>
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public double? ActualPnLStart { get; set; }
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/// <summary>
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/// 实际PnL范围结束
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/// </summary>
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public double? ActualPnLEnd { get; set; }
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/// <summary>
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/// 估值PnL范围开始
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/// </summary>
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public double? EstimatePnLStart { get; set; }
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/// <summary>
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/// 估值PnL范围结束
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/// </summary>
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public double? EstimatePnLEnd { get; set; }
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/// <summary>
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/// 未归因PnL范围开始
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/// </summary>
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public double? UnexplainedPnLStart { get; set; }
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/// <summary>
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/// 未归因PnL范围结束
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/// </summary>
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public double? UnexplainedPnLEnd { get; set; }
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/// <summary>
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/// 已归因PnL范围开始
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/// </summary>
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public double? ExplainedPnLStart { get; set; }
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/// <summary>
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/// 已归因PnL范围结束
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/// </summary>
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public double? ExplainedPnLEnd { get; set; }
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/// <summary>
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/// 持仓PnL范围开始
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/// </summary>
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public double? PositionPnLStart { get; set; }
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/// <summary>
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/// 持仓PnL范围结束
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/// </summary>
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public double? PositionPnLEnd { get; set; }
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/// <summary>
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/// 总PnL范围开始
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/// </summary>
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public double? TotalPnlStart { get; set; }
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/// <summary>
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/// 总PnL范围结束
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/// </summary>
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public double? TotalPnlEnd { get; set; }
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/// <summary>
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/// 累积总PnL范围开始
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/// </summary>
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public double? AccruedTotalPnlStart { get; set; }
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/// <summary>
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/// 累积总PnL范围结束
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/// </summary>
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public double? AccruedTotalPnlEnd { get; set; }
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/// <summary>
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/// 交易类型
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/// </summary>
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public List<string> TradeTypeList { get; set; }
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/// <summary>
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/// 标的代码列表
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/// </summary>
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public List<string> UnderlyingCodeList { get; set; }
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}
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public class EodPnlGroup
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{
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public int? BookId { get; set; }
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/// <summary>
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/// 簿记账户
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/// </summary>
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[DisplayName("簿记账户")]
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public string BookName { get; set; }
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/// <summary>
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/// 簿记账户信息
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/// </summary>
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[DisplayName("结构类型")]
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public string TradeType { get; set; }
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/// <summary>
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/// 资产类型（香草期权等）
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/// </summary>
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[DisplayName("标的类型")]
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public string UnderlyingAssetClass { get; set; }
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/// <summary>
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/// 簿记账户信息
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/// </summary>
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[DisplayName("标的代码")]
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public string UnderlyingCode { get; set; }
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public string PositionType { get; set; }
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/// <summary>
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/// 估值日
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/// </summary>
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[DisplayName("ValueDate")]
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public DateTime ValueDate { get; set; }
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/// <summary>
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/// 昨日价值
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/// </summary>
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[DisplayName("LastPv")]
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public double? LastPv { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("Pv")]
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public double? Pv { get; set; }
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/// <summary>
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/// 当日价值
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/// </summary>
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[DisplayName("DailyPnL")]
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public double? DailyPnL { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLPrice")]
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public double? PnLPrice { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLDelta")]
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public double? PnLDelta { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLGamma")]
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public double? PnLGamma { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLVol")]
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public double? PnLVol { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLVega")]
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public double? PnLVega { get; set; }
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public double? PnLVolResidual { get; set; }
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/// <summary>
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///
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/// </summary>
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//private decimal? _PnLTheta;
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLTheta")]
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public double? PnLTheta { get; set; }
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public double? PnLRho { get; set; }
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/// <summary>
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/// 未归因盈亏
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/// </summary>
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[DisplayName("UnexplainedPnL")]
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public double? UnexplainedPnL { get; set; }
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/// <summary>
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/// 估值盈亏
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/// </summary>
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[DisplayName("估值盈亏")]
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public double? EstimatePnL { get; set; }
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/// <summary>
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///
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/// </summary>
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[DisplayName("PnLPriceResidual")]
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public double? PnLPriceResidual { get; set; }
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/// <summary>
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/// 已归因盈亏
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/// </summary>
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[DisplayName("已归因盈亏")]
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public double? ExplainedPnL { get; set; }
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/// <summary>
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/// 操作人_optid
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/// </summary>
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[DisplayName("操作人")]
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public int? OptId { get; set; }
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/// <summary>
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/// 操作人_optname
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/// </summary>
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[DisplayName("操作人")]
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public string OptName { get; set; }
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/// <summary>
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/// 操作时间_createdate
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/// </summary>
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[DisplayName("操作时间")]
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public DateTime? OptDate { get; set; }
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/// <summary>
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/// 交易编号
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/// </summary>
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[DisplayName("交易编号")]
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public string TradeNumber { get; set; }
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[DisplayName("看涨看跌")]
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public string OptionType { get; set; }
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[DisplayName("买卖方向")]
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public string BuySell { get; set; }
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[DisplayName("行权价")]
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public double? Strike { get; set; }
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/// <summary>
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/// 到期日
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/// </summary>
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public DateTime? MaturityDate { get; set; }
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[DisplayName("份额")]
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public double Notional { get; set; }
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[DisplayName("交易员")]
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public int? TraderId { get; set; }
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[DisplayName("场内合约号")]
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public string HedgeUniqueCode { get; set; }
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/// <summary>
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/// 已实现PnL
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/// </summary>
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public double? RealizedPnL { get; set; }
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/// <summary>
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/// 未实现PnL
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/// </summary>
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public double? UnRealizedPnL { get; set; }
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/// <summary>
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/// 实际PnL
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/// </summary>
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public double? ActualPnL { get; set; }
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/// <summary>
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/// 持仓PnL
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/// </summary>
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public double? PositionPnL { get; set; }
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/// <summary>
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/// 总PnL
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/// </summary>
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public double? TotalPnl { get; set; }
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/// <summary>
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/// 累积总PnL
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/// </summary>
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public double? AccruedTotalPnl { get; set; }
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public EodPnlGroup Clone()
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{
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var cloneObj = new EodPnlGroup
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{
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BookId = BookId,
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BookName = BookName,
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TradeType = TradeType,
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UnderlyingAssetClass = UnderlyingAssetClass,
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UnderlyingCode = UnderlyingCode,
|
|
LastPv = LastPv,
|
|
Pv = Pv,
|
|
DailyPnL = DailyPnL,
|
|
EstimatePnL = EstimatePnL,
|
|
PnLPrice = PnLPrice,
|
|
PnLDelta = PnLDelta,
|
|
PnLGamma = PnLGamma,
|
|
PnLPriceResidual = PnLPriceResidual,
|
|
PnLVega = PnLVega,
|
|
PnLVol = PnLVol,
|
|
PnLVolResidual = PnLVolResidual,
|
|
PnLTheta = PnLTheta,
|
|
PnLRho = PnLRho,
|
|
UnexplainedPnL = UnexplainedPnL,
|
|
ExplainedPnL = ExplainedPnL,
|
|
TradeNumber = TradeNumber,
|
|
OptionType = OptionType,
|
|
BuySell = BuySell,
|
|
Strike = Strike,
|
|
MaturityDate = MaturityDate,
|
|
Notional = Notional,
|
|
TraderId = TraderId
|
|
};
|
|
return cloneObj;
|
|
}
|
|
|
|
public void Aggregation(EodPnlGroup eodPnlGroup)
|
|
{
|
|
LastPv += eodPnlGroup.LastPv ?? 0;
|
|
Pv += eodPnlGroup.Pv ?? 0;
|
|
DailyPnL += eodPnlGroup.DailyPnL ?? 0;
|
|
PnLPriceResidual += eodPnlGroup.PnLPriceResidual ?? 0;
|
|
EstimatePnL += eodPnlGroup.EstimatePnL ?? 0;
|
|
PnLPrice += eodPnlGroup.PnLPrice ?? 0;
|
|
PnLDelta += eodPnlGroup.PnLDelta ?? 0;
|
|
PnLGamma += eodPnlGroup.PnLGamma ?? 0;
|
|
PnLVega += eodPnlGroup.PnLVega ?? 0;
|
|
PnLTheta += eodPnlGroup.PnLTheta ?? 0;
|
|
PnLRho += eodPnlGroup.PnLRho ?? 0;
|
|
PnLVol += eodPnlGroup.PnLVol ?? 0;
|
|
PnLVolResidual += eodPnlGroup.PnLVolResidual ?? 0;
|
|
UnexplainedPnL += eodPnlGroup.UnexplainedPnL ?? 0;
|
|
ExplainedPnL += eodPnlGroup.ExplainedPnL ?? 0;
|
|
Notional += eodPnlGroup.Notional;
|
|
}
|
|
}
|
|
}
|