zszq-trs/YLErpDAL/Modules/CalculationModule/OptionValueCalcRequest.cs

using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Implementations;
using YLErp.Enums;

namespace YLErp.Modules.CalculationModule
{
    /// <summary>
    /// 
    /// </summary>
    public class OptionValueRequestBase
    {
        public OptionValueRequestBase(double sysRiskFreeRate)
        {
            this.sysRiskFreeRate = sysRiskFreeRate;
        }

        /// <summary>
        /// 系统无风险利率
        /// </summary>
        public double sysRiskFreeRate { get; }

        /// <summary>
        /// 是否商品期货使用精确时间模式
        /// </summary>
        public bool preciseTimeMode { get; set; }

        public bool isEodCalc { get; set; } = false;

        /// <summary>
        /// 到期日偏移量
        /// </summary>
        public int maturityShift { get; set; }

        /// <summary>
        /// 覆写OptionTradeParamBase的字段值
        /// </summary>
        public Action<OptionTradeParamBase> ParamOverride { get; set; }
    }

    /// <summary>
    /// 期权交易构建参数
    /// </summary>
    public class OptionTradeParamRequest : OptionValueRequestBase
    {
        public OptionTradeParamRequest(double sysRiskFreeRate) : base(sysRiskFreeRate)
        {

        }

        /// <summary>
        /// [可选]交易ID
        /// </summary>
        public string tradeId { get; set; }

        /// <summary>
        /// 是否有夜盘交易
        /// </summary>
        public bool hasNightMarket { get; set; }

        /// <summary>
        /// [可选]TTMDays
        /// </summary>
        public double timeToMaturityDays { get; set; } = double.NaN;

        /// <summary>
        /// 波动率曲面名称(在market中添加的波动率曲面名称)
        /// </summary>
        public string[] volSurfaceNames { get; set; }

        /// <summary>
        /// 用于亚式期权|区间累积
        /// </summary>
        public string fixings { get; set; }

        /// <summary>
        /// dividends
        /// </summary>
        public Dictionary<Date, double> dividends { get; set; }

        /// <summary>
        /// 已发生的观察日结算数据
        /// 累计期权--计算payoff时使用
        /// </summary>
        public List<autocall_observation> happenedObservations { get; set; }
    }

    /// <summary>
    /// 期权计算请求参数
    /// </summary>
    public class OptionValueCalcRequest : OptionValueRequestBase
    {
        public OptionValueCalcRequest(double sysRiskFreeRate) : base(sysRiskFreeRate)
        {

        }

        /// <summary>
        /// [必需]波动率
        /// </summary>
        public double[] vols { get; set; }

        /// <summary>
        /// [必需]标的现价
        /// </summary>
        public double[] spotPrices { get; set; }

        /// <summary>
        /// 关联性
        /// </summary>
        public double[] correlations { get; set; }

        /// <summary>
        /// 计算枚举
        /// </summary>
        public PricingRequest pricingRequest { get; set; } = QdpModule.QdpPricingRequest.BASIC_GREEKS;

        /// <summary>
        /// 引擎名称
        /// </summary>
        public string engineName { get; set; }

        /// <summary>
        /// 快速模式,默认false
        /// </summary>
        public bool quadratureFastMode { get; set; }

        /// <summary>
        /// [非必需]期权计算场景
        /// </summary>
        public CalcScenarioEnum calcScenario { get; set; }

        /// <summary>
        /// 是否计算T+1日的Delta
        /// </summary>
        public bool calcDeltaT1 { get; set; }

        /// <summary>
        /// 用于亚式期权|区间累积
        /// 如果为null时需要计算时现取
        /// </summary>
        public string fixings { get; set; }

        /// <summary>
        /// TTMDays
        /// </summary>
        public double? timeToMaturityDays { get; set; }

        public OptionValueCalcRequest Clone()
        {
            return (OptionValueCalcRequest)MemberwiseClone();
        }
    }
}