427 lines
16 KiB
C#
427 lines
16 KiB
C#
using BaseOUDAL;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Library.Equity.Engines.Analytical;
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using System.Data;
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using YLErp.Abstract;
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using YLErp.BLL;
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using YLErp.Modules.CalculationModule;
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using YLErp.QdpModule;
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using YLErp.QdpModule.Constants;
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namespace YLErp.Modules.VolatilityModule
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{
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/// <summary>
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/// 波动率操作帮助类
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/// </summary>
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public static class VolatilityHelper
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{
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public static volatility GetVol(DateTime date, string volType, string underlyingCode, string userGroup)
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{
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return new VolatilityQueryService(OptUserInfo.SystemUser).GetVolatility(userGroup, date, volType, underlyingCode, true);
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}
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/// <summary>
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/// 获取结算波动率
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/// </summary>
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public static volatility GetEodSettlementVols(OtcTradeBase trade, underlying_manager underlying, DateTime valueDate)
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{
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if (PS.Config.IsTradeVol)
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{
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return GetSurfaceFromTradeVol(trade, valueDate, isEodSettle: true);
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}
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//再非tradevol的情况下，默认就使用财务波动率
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var userGroup = UserBLL.GetUserGroup(trade.TraderId);
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return GetVol(valueDate, "财务", underlying.UnderlyingCode, userGroup);
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}
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/// <summary>
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/// 获取隐含波动率
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/// </summary>
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public static double GetImpliedVol(DateTime valueDate, OtcTradeBase trade, double? ttmdays, double underlyingPrice, bool isEod)
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{
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var riskFreeRate = trade.NoRiskRate ?? (valuedateBLL.GetRiskFreeRateFromCurve(valueDate, trade.ExerciseDate) / 100);
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var strike = trade.Strike ?? 0;
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var variety = DataCacheProvider.GetVariety(trade.UnderlyingCode);
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if (!ttmdays.HasValue || double.IsNaN(ttmdays.Value))
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{
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ttmdays = TradeCalcHelper.CalculateTTMDays(valueDate, trade.ExerciseDate.Value, variety.id, false);
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}
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var volSurfaceName = Guid.NewGuid().ToString();
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var paramReq = new OptionTradeParamRequest(riskFreeRate)
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{
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dividends = null,
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fixings = null,
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hasNightMarket = variety != null && variety.HasNightMarket,
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maturityShift = 0,
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ParamOverride = n =>
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{
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n.notional = 1;
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n.riskFreeRate = riskFreeRate;
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n.buysell = "买入"; //默认买入,如果填卖出会报错
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},
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preciseTimeMode = !isEod,
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timeToMaturityDays = ttmdays.Value,
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tradeId = null,
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volSurfaceNames = new[] { volSurfaceName }
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};
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var tp = QdpTradeBuilder.GetVanillaOptionTradeParam(trade, paramReq, false);
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if (trade.IsUsePremiumRate == true && trade.PremiumRate.HasValue && trade.SpotPrice.HasValue)
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{
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trade.TradeSinglePrice = trade.PremiumRate * trade.SpotPrice;
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}
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return ImpliedVolCalcService.ImpliedVolFromPremium(trade.TradeSinglePrice ?? 0, valueDate, tp, underlyingPrice);
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}
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/// <summary>
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/// 获取交易波动率
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/// </summary>
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public static double GetTradeVol(OtcTradeBase trade, DateTime valueDate, bool isEodSettle = false)
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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if (isEodSettle && trade.id > 0)
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{
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var overrideVol = db.eod_trade_vol_override
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.Where(x => x.valuedate == valueDate && x.tradeid == trade.id)
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.Select(n => (double?)n.vol).FirstOrDefault();
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if (overrideVol.HasValue)
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{
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return overrideVol.Value;
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}
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}
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try
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{
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TradeVolatility tradeVol = null;
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if (trade.id > 0)
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{
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tradeVol = db.TradeVolatility.AsNoTracking()
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.Where(x => x.TradeId == trade.id && x.ValueDate <= valueDate)
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.OrderByDescending(x => x.ValueDate).FirstOrDefault();
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}
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if (tradeVol == null || tradeVol.TradePositionVolatility == null || tradeVol.TradeCloseVolatility == null || tradeVol.NumOfSmoothingDays == null)
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{
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var openVol = trade.TradeOpenVolatility ?? 0;
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var closeVol = trade.TradeCloseVolatility ?? openVol;
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return GetTradeVol(valueDate, trade.StartDate.Value, trade.ExerciseDate.Value, openVol, closeVol, trade.NumOfSmoothingDays ?? 0);
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}
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//新增交易当天的持仓波动率需要划掉一天，修改后的持仓波动率不需要再划一天
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return GetTradeVol(valueDate: valueDate,
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valueStartDate: tradeVol.ValueDate,
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exerciseDate: trade.ExerciseDate.Value,
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openVol: tradeVol.TradePositionVolatility ?? 0,
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closeVol: tradeVol.TradeCloseVolatility ?? 0,
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mumOfSmoothingDays: tradeVol.NumOfSmoothingDays ?? 0,
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includeStartDate: tradeVol.IsFromTradeAdd);
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}
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catch (Exception ex)
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{
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throw new Exception($"交易'{trade.TradeNumber}'获取TradeVol出错：{ex.Messages()}", ex);
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}
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}
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}
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public static double GetTradeVol(DateTime valueDate, DateTime valueStartDate, DateTime exerciseDate
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, double openVol, double closeVol, int mumOfSmoothingDays, bool includeStartDate = true)
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{
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if (valueDate < valueStartDate)
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{
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return openVol;
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}
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if (valueDate > exerciseDate)
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{
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return closeVol;
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}
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var daycountMode = PS.Config.ErpElement.SmoothingDaycountMode == Configuration.Enums.SmoothingDaycountMode.CalendarDay
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? Qdp.Pricing.Base.Enums.DayCountMode.CalendarDay
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: Qdp.Pricing.Base.Enums.DayCountMode.TradingDay;
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return AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
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new Qdp.Foundation.Implementations.Date(valueDate),
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openVol, closeVol,
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new Qdp.Foundation.Implementations.Date(valueStartDate),
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new Qdp.Foundation.Implementations.Date(exerciseDate),
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mumOfSmoothingDays,
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daycountMode,
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CalendarImpl.Get("chn"),
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includeStartDate);
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}
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/// <summary>
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/// 获取交易波动率曲面
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/// </summary>
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public static volatility GetSurfaceFromTradeVol(OtcTradeBase trade, DateTime valueDate, bool isEodSettle = false)
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{
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var constVol = GetTradeVol(trade, valueDate, isEodSettle);
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var userGroup = UserBLL.GetUserGroup(trade.TraderId);
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//生成3*3水平的波动率曲面
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return GetDefaultVol(new SingleVolatilityRequest
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{
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UserGroup = userGroup,
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QuotationDate = valueDate,
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VolType = ConsVolInfos.defVolType,
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UnderlyingCode = trade.UnderlyingCode,
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UnderlyingId = trade.UnderlyingId,
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TradeVolWithBidAsk = false
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}, constVol);
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}
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#region----获取默认波动率----
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/// <summary>
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/// 获取默认波动率(不考虑标的是否过期)
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/// </summary>
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public static IEnumerable<VolatilityDefault> GetDefaultVols(SingleVolatilityRequest request, double volValue = ConsVolInfos.defVol)
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{
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if (request is null)
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{
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throw new ArgumentNullException(nameof(request));
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}
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if (PS.Config.Is光大光子 || !ConsVolInfos.TradeVolTypes.Contains(request.VolType))
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{
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return Enumerable.Empty<VolatilityDefault>();
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}
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if (!string.IsNullOrEmpty(request.UnderlyingCode))
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{
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if (!request.UnderlyingId.HasValue || request.UnderlyingId.Value < 1)
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{
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request.UnderlyingId = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode)?.id;
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}
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}
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else if (request.UnderlyingId > 0)
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{
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request.UnderlyingCode = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingId.Value)?.UnderlyingCode;
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}
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var volaty = new VolatilityDefault
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{
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VolType = request.VolType,
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QuotationDate = request.QuotationDate,
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UserGroup = request.UserGroup,
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UnderlyingId = request.UnderlyingId,
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ContractCode = request.UnderlyingCode,
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VolSurfaceMode = ConsVolInfos.defVolMode,
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InterpolationMethod = ConsVolMethod.Default,
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ReviewDownLimit = ConsVolInfos.defReviewDownLimit,
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ReviewUpLimit = ConsVolInfos.defReviewUpLimit,
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OptId = 0,
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OptName = "系统",
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OptDate = DateTime.Now
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};
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volaty.Data = QdpVolHelper.GenerateFlatSingleVols(volValue).ToJson();
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return request.GetVolTypes().Select(n => (VolatilityDefault)volaty.Clone(n)).ToArray();
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}
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/// <summary>
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/// 获取默认波动率
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/// </summary>
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public static VolatilityDefault GetDefaultVol(SingleVolatilityRequest request, double volValue = ConsVolInfos.defVol)
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{
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var vols = GetDefaultVols(request, volValue);
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if (vols != null & vols.Any())
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{
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return vols.First();
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}
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//一定要返回值否则某些计算会报错
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return new VolatilityDefault
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{
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VolSurfaceMode = ConsVolInfos.defVolMode,
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InterpolationMethod = ConsVolInfos.defInterpolationMethod,
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VolType = request.VolType,
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UserGroup = request.UserGroup,
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QuotationDate = request.QuotationDate,
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UnderlyingId = request.UnderlyingId,
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ContractCode = request.UnderlyingCode,
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Data = QdpVolHelper.GenerateFlatSingleVols(volValue).ToJson(),
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OptId = 0,
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OptName = "系统",
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OptDate = DateTime.Now
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};
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}
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/// <summary>
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/// 获取默认波动率
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/// </summary>
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public static VolatilityDefault GetDefaultVol(string userGroup, DateTime quotationDate, string volType, string underlyingCode, int? underlyingId = null)
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{
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return GetDefaultVol(new SingleVolatilityRequest
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{
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QuotationDate = quotationDate,
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TradeVolWithBidAsk = false,
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UnderlyingCode = underlyingCode,
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UnderlyingId = underlyingId,
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UserGroup = userGroup,
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VolType = volType
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});
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}
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#endregion
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#region----从波动率曲面取一个点----
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public static double GetInterpolatedVol(
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VolConstructionType volConstructionType,
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IVolatility volSurface,
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DateTime valueDate,
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string underlyingCode,
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DateTime exerciseDate,
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double strike,
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bool isBuy,
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bool isCall,
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double spotPrice,
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bool isMoneynessOption = true,
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double timeToMaturityDays = double.NaN,
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int? skewMapVolVar = null,
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bool isEodCalc = false)
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{
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if (volConstructionType == VolConstructionType.SkewMap)
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{
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return SkewMapVolHelper.GetInterpolatedVol(
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volSurface: volSurface,
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valueDate: valueDate,
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underlyingCode: underlyingCode,
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exerciseDate: exerciseDate,
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strikePrice: strike,
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isBuy: isBuy,
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isCall: isCall,
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spotPrice: spotPrice,
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timeToMaturityDays: timeToMaturityDays,
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skewMapVolVar: skewMapVolVar);
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}
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else
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{
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return QdpVolHelper.GetInterpolatedVolFromNormalSurface(
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volSurface.VolTable,
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new InterpolatedVolReq()
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{
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valueDate = valueDate,
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exerciseDate = exerciseDate,
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strike = strike,
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isMoneynessOption = isMoneynessOption,
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isEodCalc = isEodCalc,
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volSurfaceType = volSurface.VolSurfaceMode,
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spot = spotPrice
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},
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volSurface.InterpolationMethod);
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}
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}
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#endregion
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/// <summary>
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/// 导出用的矩阵
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/// </summary>
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public static DataTable GetMatrix(IEnumerable<volatility> vols)
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{
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var dataTable = new DataTable();
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var dataColumns = new DataColumn[10];
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for (var i = 0; i < dataColumns.Length; i++)
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{
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dataColumns[i] = new DataColumn();
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}
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dataTable.Columns.AddRange(dataColumns);
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var strikeSet = new HashSet<double>(10);
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var volFormat = PS.Config.ErpElement.VolMoreAccurate ? "0.0###%" : "0.0%";
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try
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{
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foreach (var vol in vols)
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{
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strikeSet.Clear();
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//转换并按到期分组
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var lookup = vol.VolTable.Select(n =>
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{
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strikeSet.Add(n.Strike);
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return new { n.Expire, Strike = n.Strike.OtcFormatUmPrice(true), Vol = n.Vol.ToString(volFormat) };
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}).OrderBy(n => new Term(n.Expire)).ToLookup(n => n.Expire);
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//写入标的和执行价
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var strikes = strikeSet.OrderBy(n => n).Select(n => n.OtcFormatUmPrice(true)).ToArray();
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var values = strikes.Prepend(vol.ContractCode).ToArray();
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while (values.Length > dataTable.Columns.Count)
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{
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dataTable.Columns.Add();
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}
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dataTable.Rows.Add(values);
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//写入到期和波动率
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foreach (var g in lookup)
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{
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var garr = g.ToArray();
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var query = from s in strikes
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join item in garr on s equals item.Strike into items
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from item in items
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select item?.Vol;
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values = query.ToArray().Prepend(g.Key).ToArray();
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dataTable.Rows.Add(values);
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}
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dataTable.Rows.Add();
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}
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}
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catch (Exception ex)
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{
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System.Diagnostics.Debug.WriteLine(ex);
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}
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return dataTable;
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}
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/// <summary>
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/// 获取曲面波动率类型
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/// </summary>
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/// <param name="calcVolType">用于计算的波动率类型</param>
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/// <returns></returns>
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public static string GetUnderlyingVolType(string calcVolType)
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{
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calcVolType = calcVolType.TrimToNull();
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if (PS.Config.IsTradeVol)
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{
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return calcVolType switch
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{
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null or "持仓" or "对冲" or "交易曲面" => "交易",
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_ => calcVolType
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};
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}
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return calcVolType switch
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{
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null or "持仓" => valuedateBLL.SystemDate.EodSettleVolMode.TrimToNull() ?? "财务",
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"对冲" or "交易曲面" => "交易",
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_ => calcVolType,
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};
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}
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}
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}
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