394 lines
16 KiB
C#
394 lines
16 KiB
C#
using Dapper;
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using Org.BouncyCastle.Asn1.Mozilla;
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using Org.BouncyCastle.Ocsp;
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using Qdp.Foundation.Implementations;
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using System;
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using System.Collections.Generic;
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using System.Data.Common;
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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.Abstract.DataProviders;
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using YLErp.DBModels;
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using YLErp.Model;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarketRiskMoudule.Dto;
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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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private readonly List<string> calcInstrumentTypes = new List<string>() { ConsGlobal.InstrumentType.TBonds, ConsGlobal.InstrumentType.CreditBonds, ConsGlobal.InstrumentType.OtherBonds,
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ConsGlobal.InstrumentType.RateYield,ConsGlobal.InstrumentType.BondIndex,ConsGlobal.InstrumentType.TBFutures };
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private readonly List<string> instrumentBondsTypes = new List<string>() { ConsGlobal.InstrumentType.TBonds, ConsGlobal.InstrumentType.CreditBonds, ConsGlobal.InstrumentType.OtherBonds };
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Dictionary<string, double?> _pDic = new Dictionary<string, double?>();
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Dictionary<string, double?> _dDic = new Dictionary<string, double?>();
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Dictionary<string, double?> _cDic = new Dictionary<string, double?>();
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Dictionary<string, double?> _ytmDic = new Dictionary<string, double?>();
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Dictionary<string, double?> _cfDic = new Dictionary<string, double?>();
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//期货对应的债券代码
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Dictionary<string, string> _TFeaturesBondCodeDic = new Dictionary<string, string>();
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public void InitData(DateTime valueDate,List<string> underlyingCodes)
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{
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var umDatas = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().Where(p => underlyingCodes.Contains(p.UnderlyingCode) && calcInstrumentTypes.Contains(p.UnderlyingInstrumentType)).ToList();
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if (umDatas == null || umDatas.Count == 0)
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{
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return;
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}
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using var db = DbContextFactory.GetYLDbContext();
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var conn = db.Database.GetDbConnection();
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var bondsUmCodes = umDatas.Where(p => instrumentBondsTypes.Contains(p.UnderlyingInstrumentType)).Select(p => p.UnderlyingCode).Distinct().ToList();
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if (bondsUmCodes == null)
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{
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bondsUmCodes = new List<string>();
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}
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var bondIndexUmInnerCodes = umDatas.Where(p => ConsGlobal.InstrumentType.BondIndex.Equals(p.UnderlyingInstrumentType)).Select(p => p.InnerCode??0).Distinct().ToList();
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if (bondIndexUmInnerCodes != null && bondIndexUmInnerCodes.Count > 0)
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{
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var querySql = "SELECT InnerCode,Duration1,Convexity1,YTM FROM bond_chinabondindexquote WHERE TradingDay = @ValueDate AND InnerCode IN @InnerCodes";
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var bondIndexQuoteDatas = conn.Query<ChinaBondIndexQuoteQueryDto>(querySql, new
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{
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ValueDate = valueDate,
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InnerCodes = bondIndexUmInnerCodes
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}, commandTimeout: 1800).ToList();
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if (bondIndexQuoteDatas != null && bondIndexQuoteDatas.Count > 0)
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{
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foreach (var item in bondIndexQuoteDatas)
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{
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var umCode = umDatas.First(d => d.InnerCode == item.InnerCode).UnderlyingCode;
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_dDic.Add(umCode, item.Duration1 != null ? (double)item.Duration1 : null);
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_cDic.Add(umCode, item.Convexity1 != null ? (double)item.Convexity1 : null);
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_ytmDic.Add(umCode, item.YTM != null ? (double)item.YTM : null);
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}
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}
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}
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var bondFeatureUmCodes = umDatas.Where(p => ConsGlobal.InstrumentType.TBFutures.Equals(p.UnderlyingInstrumentType)).Select(p => p.UnderlyingCode).Distinct().ToList();
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if (bondFeatureUmCodes != null && bondFeatureUmCodes.Count > 0)
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{
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var tFeatureBondInnerCodeDic = GetTFeatureBondInnerCode(bondFeatureUmCodes, valueDate, conn);
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if (tFeatureBondInnerCodeDic != null && tFeatureBondInnerCodeDic.Count > 0)
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{
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var contractInnerCodeBondInnerCodeDic = new Dictionary<long, long>();
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foreach (var item in tFeatureBondInnerCodeDic)
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{
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var bondUm = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().FirstOrDefault(p => p.InnerCode == item.Value);
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if (bondUm != null)
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{
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_TFeaturesBondCodeDic.Add(item.Key, bondUm.UnderlyingCode);
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bondsUmCodes.Add(bondUm.UnderlyingCode);
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}
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(item.Key);
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if (um.InnerCode != null)
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{
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contractInnerCodeBondInnerCodeDic.Add(um.InnerCode ?? 0, item.Value);
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}
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}
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if (contractInnerCodeBondInnerCodeDic.Count > 0)
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{
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var cfDatas = GetCFDatas(contractInnerCodeBondInnerCodeDic, conn);
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if (cfDatas != null && cfDatas.Count > 0)
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{
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foreach (var item in cfDatas)
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{
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var um = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().FirstOrDefault(p => p.InnerCode == item.Key);
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if (um != null)
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{
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_cfDic.Add(um.UnderlyingCode, item.Value);
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}
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}
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}
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}
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}
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}
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if (bondsUmCodes != null && bondsUmCodes.Count > 0)
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{
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bondsUmCodes = bondsUmCodes.Distinct().ToList();
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var datas = db.china_bond_valuation.AsNoTracking().Where(p => p.valuation_date == valueDate && bondsUmCodes.Contains(p.bond_id)).Select(p => new
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{
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p.bond_id,
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p.modi_dura,
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p.cnvxty,
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p.yield
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}).ToList();
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if (datas != null && datas.Count > 0)
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{
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foreach (var item in datas)
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{
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_dDic.Add(item.bond_id, item.modi_dura != null ? (double)item.modi_dura : null);
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_cDic.Add(item.bond_id, item.cnvxty != null ? (double)item.cnvxty : null);
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_ytmDic.Add(item.bond_id, item.yield != null ? (double)item.yield : null);
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}
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}
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}
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underlyingCodes.AddRange(bondsUmCodes);
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underlyingCodes = underlyingCodes.Distinct().ToList();
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var eodPriceProvier = new EodPriceProvider(valueDate);
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eodPriceProvier.Initialize(underlyingCodes);
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underlyingCodes.ForEach(e => {
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_pDic.Add(e, eodPriceProvier.GetPrice(e, SettlementTypeEnum.ClosePrice));
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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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var calcDto = new GreeksCalcDto
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{
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Delta = dto.Delta,
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Gamma = dto.Gamma,
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Vega = dto.Vega,
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};
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handle(calcDto, um);
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dto.Delta_r = calcDto.Delta_r;
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dto.Gamma_r = calcDto.Gamma_r;
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dto.Vega_r = calcDto.Vega_r;
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dto.Delta_r_1bp = calcDto.Delta_r_1bp;
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dto.Dv01 = calcDto.Dv01;
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dto.Gamma_r_1bp = calcDto.Gamma_r_1bp;
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dto.Vega_r_1bp = calcDto.Vega_r_1bp;
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dto.Vega_1bp = calcDto.Vega_1bp;
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}
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public void Handle(trade td,TradeValueResult calRes, underlying_manager um)
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{
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var calcDto = new GreeksCalcDto
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{
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Delta = calRes.Delta,
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Gamma = calRes.Gamma,
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Vega = calRes.Vega,
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};
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handle(calcDto, um);
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calRes.Delta_r = calcDto.Delta_r;
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calRes.Gamma_r = calcDto.Gamma_r;
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calRes.Vega_r = calcDto.Vega_r;
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calRes.Delta_r_1bp = calcDto.Delta_r_1bp;
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calRes.Dv01 = calcDto.Dv01;
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calRes.Gamma_r_1bp = calcDto.Gamma_r_1bp;
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calRes.Vega_r_1bp = calcDto.Vega_r_1bp;
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calRes.Vega_1bp = calcDto.Vega_1bp;
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}
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private Dictionary<string,long> GetTFeatureBondInnerCode(List<string> underlyingCodes,DateTime valueDate,DbConnection conn)
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{
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var sql = "SELECT contractcode,deliverableinnercode,spread FROM fut_cgbderiv WHERE tradingday = @ValueDate AND pricetype = 3 AND (contractcode,irr) IN (SELECT contractcode,MAX(irr) FROM fut_cgbderiv WHERE tradingday = @ValueDate AND contractcode IN (@UmCodes) AND pricetype = 3 GROUP BY contractcode);";
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var datas = conn.Query<TFeatureBondInnerCodeQueryDto>(sql, new
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{
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ValueDate = valueDate,
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UmCodes = underlyingCodes
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}, commandTimeout: 1800).ToList();
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var res = new Dictionary<string,long>();
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if (datas != null && datas.Count > 0)
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{
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res = datas.GroupBy(p => p.contractcode).ToDictionary(p => p.Key, p => p.OrderBy(d => d.spread).First().deliverableinnercode);
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}
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return res;
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}
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private GLMSGreeksCalcArgs GetCalcArgs(string underlyingCode, string underlyingInstrumentType)
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{
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var res = new GLMSGreeksCalcArgs();
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if (ConsGlobal.InstrumentType.RateYield.Equals(underlyingInstrumentType))
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{
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return res;
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}
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if (ConsGlobal.InstrumentType.TBFutures.Equals(underlyingInstrumentType))
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{
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var bondUnderlyingCode = _TFeaturesBondCodeDic.GetValueOrDefault(underlyingCode, null);
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if (!string.IsNullOrEmpty(bondUnderlyingCode))
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{
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res.P = _pDic.GetValueOrDefault(bondUnderlyingCode, null);
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res.D = _dDic.GetValueOrDefault(bondUnderlyingCode, null);
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res.C = _cDic.GetValueOrDefault(bondUnderlyingCode, null);
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res.Ytm = _ytmDic.GetValueOrDefault(bondUnderlyingCode, null);
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}
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res.CF = _cfDic.GetValueOrDefault(underlyingCode, null);
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}
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else
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{
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res.P = _pDic.GetValueOrDefault(underlyingCode, null);
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res.D = _dDic.GetValueOrDefault(underlyingCode, null);
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res.C = _cDic.GetValueOrDefault(underlyingCode, null);
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res.Ytm = _ytmDic.GetValueOrDefault(underlyingCode, null);
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}
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var logger = LogFactory.GetLogger<GLMSGreeksHandleService>();
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logger.Info($"希腊字母计算参数 - UnderlyingCode:{underlyingCode}, InstrumentType:{underlyingInstrumentType}, P:{res.P}, D:{res.D}, C:{res.C}, Ytm:{res.Ytm}, CF:{res.CF}");
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return res;
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}
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private Dictionary<long, double?> GetCFDatas(Dictionary<long, long> contractInnerCodeBondInnerCodeDic, DbConnection conn)
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{
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if (contractInnerCodeBondInnerCodeDic == null || contractInnerCodeBondInnerCodeDic.Count == 0)
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return new Dictionary<long, double?>();
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var parameters = new DynamicParameters();
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var tupleList = new List<string>();
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int idx = 0;
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foreach (var kvp in contractInnerCodeBondInnerCodeDic)
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{
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var cp = $"@C{idx}";
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var bp = $"@B{idx}";
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tupleList.Add($"({cp},{bp})");
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parameters.Add(cp, kvp.Key);
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parameters.Add(bp, kvp.Value);
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idx++;
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}
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var sql = $@"SELECT infopubldate, contractinnercode, ibmarketinnercode, conversionfactors
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FROM fut_conversionfactors
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WHERE (contractinnercode, ibmarketinnercode) IN ({string.Join(",", tupleList)})";
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var datas = conn.Query<CFQueryDto>(sql, parameters, commandTimeout: 1800).ToList();
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return datas.GroupBy(p => p.contractinnercode).ToDictionary(d => d.Key, d =>
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{
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var res = d.OrderByDescending(p => p.infopubldate).First().conversionfactors;
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return res != null ? (double)res : (double?)null;
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});
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}
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private void handle(GreeksCalcDto dto, underlying_manager um)
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{
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// 标准 Vega 的 1bp 变体：全资产计算，不受利率类过滤限制
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dto.Vega_1bp = dto.Vega * 0.0001;
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if (!calcInstrumentTypes.Contains(um.UnderlyingInstrumentType))
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{
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return;
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}
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var calcArgs = GetCalcArgs(um.UnderlyingCode, um.UnderlyingInstrumentType);
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if (ConsGlobal.InstrumentType.RateYield.Equals(um.UnderlyingInstrumentType))
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{
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//利率收益率
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dto.Delta_r = dto.Delta * -1;
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dto.Gamma_r = dto.Gamma;
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dto.Vega_r = dto.Vega;
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}
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else if (instrumentBondsTypes.Contains(um.UnderlyingInstrumentType))
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{
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//利率债、信用债、其它债券
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dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D;
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dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C + (calcArgs.P * calcArgs.D) * (calcArgs.P * calcArgs.D) * dto.Gamma;
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dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
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}
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else if (ConsGlobal.InstrumentType.BondIndex.Equals(um.UnderlyingInstrumentType))
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{
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//债券指数
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dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D;
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dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C + (calcArgs.P * calcArgs.D) * (calcArgs.P * calcArgs.D) * dto.Gamma;
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dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
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}
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else if (ConsGlobal.InstrumentType.TBFutures.Equals(um.UnderlyingInstrumentType))
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{
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//国债期货
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dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D / calcArgs.CF;
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dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C / calcArgs.CF + (calcArgs.P * calcArgs.D / calcArgs.CF) * (calcArgs.P * calcArgs.D / calcArgs.CF) * dto.Gamma;
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dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
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}
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dto.Delta_r_1bp = dto.Delta_r * 0.0001;
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dto.Dv01 = dto.Delta_r_1bp;
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dto.Gamma_r_1bp = dto.Gamma_r * 0.0001 * 0.0001;
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dto.Vega_r_1bp = dto.Vega_r * 0.0001;
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}
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}
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public class GLMSGreeksCalcArgs
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{
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//计算日的全价
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public double? P { get; set; }
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public double? D { get; set; }
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public double? CF { get; set; }
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public double? C { get; set; }
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public double? Ytm { get; set; }
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}
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public class GreeksCalcDto
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{
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public double? Delta { get; set; }
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public double? Gamma { get; set; }
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public double? Vega { get; set; }
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/// <summary>
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/// Delta_R
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/// </summary>
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public double? Delta_r { get; set; }
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public double? Delta_r_1bp { get; set; }
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public double? Dv01 { get; set; }
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public double? Gamma_r { get; set; }
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public double? Gamma_r_1bp { get; set; }
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public double? Vega_r { get; set; }
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public double? Vega_r_1bp { get; set; }
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public double? Vega_1bp { get; set; }
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}
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public class ChinaBondIndexQuoteQueryDto
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{
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public long InnerCode { get; set; }
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public decimal? Duration1 { get; set; }
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public decimal? Convexity1 { get; set; }
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public decimal? YTM { get; set; }
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}
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public class TFeatureBondInnerCodeQueryDto
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{
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public string contractcode { get; set; }
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public long deliverableinnercode { get; set; }
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public decimal? spread { get; set; }
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}
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public class CFQueryDto
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{
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public DateTime infopubldate { get; set; }
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public long contractinnercode { get; set; }
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public long ibmarketinnercode { get; set; }
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public decimal? conversionfactors { get; set; }
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}
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}
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