394 lines
18 KiB
C#
394 lines
18 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix;
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using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
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using YLErp.BLL;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.TradeModule;
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namespace YLErp.Modules.EodModule
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{
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/// <summary>
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/// 检查交易观察日状态和票息是否产生
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/// </summary>
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public class CheckTradeObservateStatusService : YLBaseService
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{
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public CheckTradeObservateStatusService(YLBaseService baseService) : base(baseService)
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{
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}
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public CheckTradeObservateStatusService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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public KeyValuePair<string, bool> CheckTradeObservateStatus(trade td, DateTime valuedate, double[] price, double? SettlementAmount)
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{
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new TradeExtendService(OptUser, DbContext).SetTradeExtend(new[] { td }, tracking: true);
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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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return new KeyValuePair<string, bool>();
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}
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if (td.TradeStatus != ConsTrade.确认成交)
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{
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return new KeyValuePair<string, bool>();
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}
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return checkBarrierObservateStatus(td, valuedate, price);
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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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return new KeyValuePair<string, bool>();
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}
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if (td.TradeStatus != ConsTrade.确认成交)
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{
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return new KeyValuePair<string, bool>();
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}
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return checkDoubleSharkObservateStatus(td, valuedate, price);
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case "区间累积期权":
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return checkRangeAccrualObservateStatus(td, valuedate, price);
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case "凤凰期权":
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return checkAutocallObservateStatus(td, valuedate, price, SettlementAmount);
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case "雪球期权":
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return checkSnowballObservateStatus(td, valuedate, price, SettlementAmount);
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case "气囊结构":
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return checkAirbagObservateStatus(td, valuedate, price);
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default:
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return new KeyValuePair<string, bool>();
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}
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}
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public KeyValuePair<string, bool> checkBarrierObservateStatus(trade td, DateTime valuedate, double[] price)
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{
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var tradeBarrier = td.trade_barrier_option;
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var BarrierPrice = td.IsMoneynessOptionData ? tradeBarrier.BarrierPrice * td.SpotPrice : tradeBarrier.BarrierPrice;
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var UpperBarrierPrice = td.IsMoneynessOptionData ? tradeBarrier.UpperBarrierPrice * td.SpotPrice : tradeBarrier.UpperBarrierPrice;
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var highPrice = tradeBarrier.Discrete == "离散" ? price[0] : price[1];
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var lowPrice = tradeBarrier.Discrete == "离散" ? price[0] : price[2];
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switch (tradeBarrier.BarrierType)
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{
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case "上升敲入":
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if (highPrice >= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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break;
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case "上升敲出":
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if (highPrice >= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, true);
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}
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break;
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case "下降敲入":
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if (lowPrice <= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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break;
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case "下降敲出":
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if (lowPrice <= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, true);
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}
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break;
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case "双障碍敲出":
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if (highPrice >= UpperBarrierPrice || lowPrice <= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, true);
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}
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break;
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case "双障碍敲入":
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if (highPrice >= UpperBarrierPrice || lowPrice <= BarrierPrice)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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break;
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}
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return new KeyValuePair<string, bool>();
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}
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public KeyValuePair<string, bool> checkDoubleSharkObservateStatus(trade td, DateTime valuedate, double[] price)
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{
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var tradeDbShark = td.trade_double_sharkfin_option;
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var barrierHigh = td.IsMoneynessOptionData ? tradeDbShark.BarrierHigh * td.SpotPrice : tradeDbShark.BarrierHigh;
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var barrierLow = td.IsMoneynessOptionData ? tradeDbShark.BarrierLow * td.SpotPrice : tradeDbShark.BarrierLow;
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var highPrice = price[1];
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var lowPrice = price[2];
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if (highPrice >= barrierHigh || lowPrice <= barrierLow)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, true);
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}
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return new KeyValuePair<string, bool>();
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}
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public KeyValuePair<string, bool> checkRangeAccrualObservateStatus(trade td, DateTime valuedate, double[] price)
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{
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var tradeRange = td.trade_rangeaccrual;
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var upperRange = td.IsMoneynessOptionData ? tradeRange.UpperRange * td.SpotPrice.Value : tradeRange.UpperRange;
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var lowerRange = td.IsMoneynessOptionData ? tradeRange.LowerRange * td.SpotPrice.Value : tradeRange.LowerRange;
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//有区间收益
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if (price[0] < upperRange && price[0] > lowerRange)
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{
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return new KeyValuePair<string, bool>("", true);
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}
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return new KeyValuePair<string, bool>("", false);
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}
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public KeyValuePair<string, bool> checkAutocallObservateStatus(trade td, DateTime valuedate, double[] price, double? SettlementAmount)
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{
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var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == td.id && x.Action == "系统操作-平仓费" && (x.ValueDate > valuedate && (x.ConfirmDate > valuedate || x.ConfirmDate == DateTime.MinValue)) && x.UnwindNotional < x.Notional).ToList();
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var notional = (ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus) && td.UnWindDate <= valuedate ? 0 : td.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value;
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var optionTrade = QdpTradeBuilder.GetAutocallOptionTrade(td, td.trade_autocall,
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new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate()) { ParamOverride = x => { x.notional = notional; } });
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var autocall = (AutoCall)optionTrade.Instrument;
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var kiBarrier = td.IsMoneynessOptionData ? td.trade_autocall.KIBarrier * td.SpotPrice : td.trade_autocall.KIBarrier;
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if (autocall.KOObsDates.Select(x => x.DateTime).Contains(valuedate)
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&& td.trade_autocall.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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double koBarrier;
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if (autocall.CustomizedKOBarriers != null && autocall.CustomizedKOBarriers.Length > 0)
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{
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var index = autocall.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valuedate);
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koBarrier = autocall.CustomizedKOBarriers[index];
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}
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else
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{
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koBarrier = td.trade_autocall.KOBarrier;
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}
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if (td.IsMoneynessOptionData)
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{
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koBarrier *= td.SpotPrice ?? 1.0;
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}
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#region 票息检查
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var couponBarrier =
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td.IsMoneynessOptionData ?
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td.trade_autocall.CouponBarrier * td.SpotPrice :
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td.trade_autocall.CouponBarrier;
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var isKnockedOut = price[0] >= koBarrier;
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//有票息
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if (price[0] >= couponBarrier)
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{
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//利息计算时，当autocall的Notional包含了符号，则GetEffectiveObservation考虑了买卖方向了
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var observation = autocall.GetEffectiveObservation(new Date(valuedate));
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if (observation != null)
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{
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//观察日页面设置的结算金额
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if (SettlementAmount != null)
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{
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//到期敲入且未敲出情况
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if (valuedate == autocall.ExerciseDates.Last().DateTime && !isKnockedOut)
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{
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//当前满足敲入或者已经敲入了
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if (autocall.KIObsDates.Select(x => x.DateTime).Contains(valuedate) && price[0] <= kiBarrier || td.trade_autocall.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, true);
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}
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}
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}
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//SaveCouponObservation(trade.trade, observation, valuedate, closePrice, isKnockedOut);
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}
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.Monitoring, true);
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}
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#endregion
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#region 敲出检查
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// 发生敲出事件
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if (isKnockedOut)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, false);
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}
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#endregion
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}
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#region 敲入检查
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//在当前结算日之前未敲出且未敲入:
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if (!((td.trade_autocall.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
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|| td.trade_autocall.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
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&& td.trade_autocall.KnockInOutDate < valuedate)
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&& autocall.KIObsDates.Select(x => x.DateTime).Contains(valuedate))
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{
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// 发生敲入事件
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if (price[0] <= kiBarrier)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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}
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#endregion
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#region 到期检查
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if (valuedate == autocall.ExerciseDates.Last().DateTime)
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{
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td.UnWindDate = valuedate;
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if (td.trade_autocall.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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else if (td.trade_autocall.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.Monitoring, false);
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}
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else if (td.trade_autocall.KnockInOutStatus == ConsTrade.KnockState.KnockedOut)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, false);
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}
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}
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#endregion
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return new KeyValuePair<string, bool>();
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}
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public KeyValuePair<string, bool> checkSnowballObservateStatus(trade td, DateTime valueDate, double[] price, double? SettlementAmount)
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{
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var tradeCashs = DbContext.trade_cash.Where(x => x.ValidState != ConsGlobal.InValid && !x.IsDeleted && x.TradeId == td.id && x.Action == "系统操作-平仓费" && (x.ValueDate > valueDate && (x.ConfirmDate > valueDate || x.ConfirmDate == DateTime.MinValue)) && x.UnwindNotional < x.Notional).ToList();
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var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
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{
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ParamOverride = p => p.notional = (ConsTrade.TradeCompleteStatus.Contains(td.TradeStatus) && td.UnWindDate <= valueDate ? 0 : td.Notional) + tradeCashs.Sum(x => x.UnwindNotional).Value
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};
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var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(td, td.trade_snowball, request);
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var datesStr = td.trade_snowball.KOObservationSettleDates;
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var KOObsSettleDates = string.IsNullOrWhiteSpace(datesStr) ? null : datesStr.Split(new char[] { ',', ';', '，', '；' }, StringSplitOptions.RemoveEmptyEntries).Select(x => DateTime.Parse(x)).ToArray();
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var snowball = (SimpleSnowball)optionTrade.Instrument;
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//只在敲出观察日检查敲出和票息情况
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//如果交易已经是敲出状态了，不用再做票息和敲出检查
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if (snowball.KOObsDates.Select(x => x.DateTime).Contains(valueDate)
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&& td.trade_snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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#region 敲出检查
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double koBarrier;
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var koSettleDate = valueDate;
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if (snowball.CustomizedKOBarriers != null && snowball.CustomizedKOBarriers.Length > 0)
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{
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var index = snowball.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
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koBarrier = snowball.CustomizedKOBarriers[index];
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if (KOObsSettleDates != null && KOObsSettleDates.Length > index)
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{
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koSettleDate = KOObsSettleDates[index];
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}
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}
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else
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{
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koBarrier = td.trade_snowball.KOBarrier;
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if (KOObsSettleDates != null && KOObsSettleDates.Any())
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{
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koSettleDate = KOObsSettleDates[0];
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}
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}
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if (td.trade_snowball.KORebateType == RebateTypeEnum.AtEnd)
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{
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koSettleDate = td.ExerciseDate.Value;
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}
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else if (koSettleDate < valueDate)
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{
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koSettleDate = valueDate;
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}
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if (td.IsMoneynessOptionData)
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{
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koBarrier *= td.SpotPrice ?? 1.0;
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}
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// 发生敲出事件
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if (price[0] >= koBarrier)
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{
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if (snowball.UseOptionPayoffAtKO)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, false);
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}
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else
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{
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if (SettlementAmount != null)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, false);
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}
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else
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedOut, true);
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}
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}
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}
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return new KeyValuePair<string, bool>(td.trade_snowball.KnockInOutStatus, true);
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#endregion
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}
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#region 敲入检查
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//在当前结算日之前未敲出且未敲入:
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// !((KO || KI) && KOKIDate < valueDate)
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if (!((td.trade_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedOut
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|| td.trade_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
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&& td.trade_snowball.KnockInOutDate < valueDate)
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&& snowball.KIObsDates.Select(x => x.DateTime).Contains(valueDate)
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&& td.trade_snowball.KIPayoffType != KIPayoffTypeEnum.None)
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{
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var kiBarrier =
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td.IsMoneynessOptionData ?
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td.trade_snowball.KIBarrier * td.SpotPrice :
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td.trade_snowball.KIBarrier;
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// 发生敲入事件
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if (price[0] <= kiBarrier)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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}
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#endregion
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#region 到期检查
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if (valueDate == snowball.ExerciseDates.Last().DateTime)
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{
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if (snowball.UseOptionPayoffAtMaturity &&
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(td.trade_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn || td.trade_snowball.KIBarrier <= 0))
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.KnockedIn, false);
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}
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else if (td.trade_snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut)
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{
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return new KeyValuePair<string, bool>(ConsTrade.KnockState.Monitoring, false);
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}
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}
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#endregion
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return new KeyValuePair<string, bool>();
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}
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public KeyValuePair<string, bool> checkAirbagObservateStatus(trade td, DateTime valuedate, double[] price)
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{
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//气囊结构暂时都是每日连续观察，不用考虑观察周期问题
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//气囊结构暂时都是向下敲入
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var tradeAirbag = td.trade_airbag;
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if (valuedate == td.ExerciseDate)
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{
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if (price[0] >= td.SpotPrice)
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{
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return new KeyValuePair<string, bool>(tradeAirbag.KnockInOutStatus, true);
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}
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else if (tradeAirbag.KnockInOutStatus == ConsTrade.KnockState.KnockedIn)
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{
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return new KeyValuePair<string, bool>(tradeAirbag.KnockInOutStatus, true);
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}
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else
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{
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return new KeyValuePair<string, bool>(tradeAirbag.KnockInOutStatus, false);
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}
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}
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return new KeyValuePair<string, bool>(tradeAirbag.KnockInOutStatus, false);
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}
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}
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} |