42 lines
881 B
C#
42 lines
881 B
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using YLErp.Model;
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using YLErp.Modules.CalculationModule;
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namespace YLErp.Modules.EodModule
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{
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/// <summary>
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/// 国联民生 希腊字母计算
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/// </summary>
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public class GLMSGreeksHandleService
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{
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public void InitData(DateTime valueDate,List<string> underlyingCodes)
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{
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}
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public void Handle(EodPositionRisksDTO dto,underlying_manager um)
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{
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//对Delta_r Delta_r_1bp Dv01 Gamma_r Gamma_r_1bp Vega_r Vega_r_1bp
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if ("GB10".Equals(um.UnderlyingCode))
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{
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dto.Delta_r = dto.Delta * -1;
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}
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}
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public void Handle(trade td,TradeValueResult calRes)
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{
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calRes.Delta_r = calRes.Delta * -1;
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}
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}
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}
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