341 lines
15 KiB
C#
341 lines
15 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using YLErp.BLL;
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namespace YLErp.Modules.RiskEngine
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{
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/// <summary>
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/// 风控行情偏离类变量辅助方法，统一封装债券中债估值偏离和非债券行情价格偏离的取数、计算和命中明细生成逻辑。
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/// </summary>
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public static class RiskMarketDeviationHelper
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{
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/// <summary>
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/// 计算当前交易所有浮动支付端的债券类净价偏离值，返回最大偏离值用于规则比较。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <returns>包含最大净价偏离值和逐笔偏离明细的变量返回值。</returns>
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public static RiskVariableValueDetail GetBondNetPriceDeviation(YLContext dbContext, int tradeId)
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{
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return GetBondValuationDeviation(
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dbContext,
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tradeId,
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"债券类净价偏离",
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"期初交割净价",
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"中债估值净价",
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p => p.PosiNetNoFeePrice,
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v => v.net_price);
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}
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/// <summary>
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/// 计算当前交易所有浮动支付端的债券类收益率偏离值，返回最大偏离值用于规则比较。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <returns>包含最大收益率偏离值和逐笔偏离明细的变量返回值。</returns>
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public static RiskVariableValueDetail GetBondYieldDeviation(YLContext dbContext, int tradeId)
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{
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return GetBondValuationDeviation(
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dbContext,
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tradeId,
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"债券类收益率偏离",
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"期初成交收益率",
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"中债估值收益率",
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p => p.InitYtm,
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v => v.yield);
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}
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/// <summary>
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/// 计算当前交易所有浮动支付端的非债券类价格偏离值，返回最大偏离值用于规则比较。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <returns>包含最大价格偏离值和逐笔偏离明细的变量返回值。</returns>
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public static RiskVariableValueDetail GetNonBondPriceDeviation(YLContext dbContext, int tradeId)
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{
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if (dbContext == null)
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throw new ArgumentNullException(nameof(dbContext));
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var tradeDate = GetTradeDate(dbContext, tradeId);
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var floatingPositions = GetFloatingPaymentPositions(dbContext, tradeId)
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.Select(p => new
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{
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p.id,
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p.UnderlyingCode,
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p.PosiGrossPrice
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})
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.ToList();
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if (!floatingPositions.Any())
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throw new Exception("浮动支付端记录不存在");
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var underlyingCodes = floatingPositions
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.Select(p => p.UnderlyingCode)
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.Distinct()
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.ToList();
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// 非债券类取交易日前最近一条行情，不使用银行间日历，也不要求行情日等于上一银行间交易日。
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var eodRows = dbContext.eod_commodity_future_price
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.Where(e => underlyingCodes.Contains(e.UnderlyingCode)
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&& e.ValueDate < tradeDate)
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.Select(e => new
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{
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e.id,
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e.UnderlyingCode,
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e.ValueDate,
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e.ClosePrice
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})
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.ToList();
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// 先按标的批量查出行情，再在内存中分组取最近日，避免每条浮动支付端单独访问数据库。
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var eodByUnderlyingCode = eodRows
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.GroupBy(e => e.UnderlyingCode)
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.ToDictionary(
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g => g.Key,
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g => g.OrderByDescending(e => e.ValueDate).ThenBy(e => e.id).First());
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var valuationItems = floatingPositions
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.Select(p => new
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{
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Position = p,
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Eod = eodByUnderlyingCode.ContainsKey(p.UnderlyingCode) ? eodByUnderlyingCode[p.UnderlyingCode] : null
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})
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.ToList();
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var missingEodItems = valuationItems
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.Where(x => x.Eod == null)
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.Select(x => $"记录ID {x.Position.id}，标的{x.Position.UnderlyingCode}")
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.ToList();
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if (missingEodItems.Any())
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throw new Exception($"未找到交易日前行情收盘价：" + string.Join("；", missingEodItems));
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var diffItems = valuationItems
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.Select(x => new
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{
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PositionId = x.Position.id,
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UnderlyingCode = x.Position.UnderlyingCode,
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PositionPrice = x.Position.PosiGrossPrice * 100m,
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MarketDate = x.Eod.ValueDate,
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MarketPrice = Convert.ToDecimal(x.Eod.ClosePrice),
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DiffAbs = Math.Abs(x.Position.PosiGrossPrice * 100m - Convert.ToDecimal(x.Eod.ClosePrice))
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})
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.ToList();
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return BuildDeviationDetail(
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diffItems.Select(x => new DeviationItem
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{
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PositionId = x.PositionId,
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UnderlyingCode = x.UnderlyingCode,
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PositionValue = x.PositionPrice,
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MarketDate = x.MarketDate,
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MarketValue = x.MarketPrice,
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DiffAbs = x.DiffAbs
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}).ToList(),
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"非债券类价格偏离",
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"期初标的价格",
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"上一行情收盘价");
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}
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/// <summary>
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/// 债券类中债估值偏离的公共计算入口，净价偏离和收益率偏离仅通过字段选择器区分取值字段。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <param name="deviationName">偏离规则名称，用于生成命中明细。</param>
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/// <param name="positionValueName">交易侧取值名称，用于生成命中明细。</param>
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/// <param name="marketValueName">市场估值取值名称，用于生成命中明细。</param>
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/// <param name="positionValueSelector">交易侧字段选择器。</param>
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/// <param name="valuationValueSelector">中债估值字段选择器。</param>
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/// <returns>包含最大偏离值和逐笔偏离明细的变量返回值。</returns>
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private static RiskVariableValueDetail GetBondValuationDeviation(
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YLContext dbContext,
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int tradeId,
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string deviationName,
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string positionValueName,
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string marketValueName,
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Func<YLErp.DBModels.swap_position, decimal?> positionValueSelector,
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Func<YLErp.DBModels.ChinaBondValuation, decimal?> valuationValueSelector)
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{
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if (dbContext == null)
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throw new ArgumentNullException(nameof(dbContext));
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var tradeDate = GetTradeDate(dbContext, tradeId);
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var previousTradingDay = RiskCalendarHelper.GetPreviousInterbankTradingDay(dbContext, tradeDate);
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var nextTradingDate = previousTradingDay.AddDays(1);
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var floatingPositions = GetFloatingPaymentPositions(dbContext, tradeId).ToList();
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if (!floatingPositions.Any())
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throw new Exception("浮动支付端记录不存在");
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var positionItems = floatingPositions
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.Select(p => new
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{
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p.id,
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p.UnderlyingCode,
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PositionValue = positionValueSelector(p)
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})
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.ToList();
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var missingPositionValueIds = positionItems
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.Where(p => !p.PositionValue.HasValue)
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.Select(p => p.id.ToString())
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.ToList();
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if (missingPositionValueIds.Any())
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throw new Exception($"浮动支付端{positionValueName}为空，记录ID：" + string.Join("、", missingPositionValueIds));
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var underlyingCodes = positionItems
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.Select(p => p.UnderlyingCode)
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.Distinct()
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.ToList();
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// 债券类必须严格匹配上一银行间交易日当天的中债估值，不能简单取交易日前最近估值日。
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var valuationRows = dbContext.china_bond_valuation
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.Where(v => underlyingCodes.Contains(v.bond_id)
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&& v.valuation_date >= previousTradingDay
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&& v.valuation_date < nextTradingDate)
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.ToList()
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.Select(v => new
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{
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v.id,
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v.bond_id,
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v.valuation_date,
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v.credibility,
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ValuationValue = valuationValueSelector(v)
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})
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.Where(v => v.ValuationValue.HasValue)
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.ToList();
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// 同一标的同一估值日可能有多条来源，按可信度优先，ID兜底稳定排序。
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var valuationByBondId = valuationRows
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.GroupBy(v => v.bond_id)
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.ToDictionary(
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g => g.Key,
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g => g.OrderBy(v => v.credibility).ThenBy(v => v.id).First());
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var valuationItems = positionItems
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.Select(p => new
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{
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Position = p,
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Valuation = valuationByBondId.ContainsKey(p.UnderlyingCode) ? valuationByBondId[p.UnderlyingCode] : null
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})
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.ToList();
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var missingValuationItems = valuationItems
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.Where(x => x.Valuation == null)
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.Select(x => $"记录ID {x.Position.id}，标的{x.Position.UnderlyingCode}")
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.ToList();
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if (missingValuationItems.Any())
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throw new Exception($"未找到上一银行间交易日{previousTradingDay:yyyy-MM-dd}的{marketValueName}：" + string.Join("；", missingValuationItems));
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var diffItems = valuationItems
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.Select(x => new DeviationItem
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{
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PositionId = x.Position.id,
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UnderlyingCode = x.Position.UnderlyingCode,
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PositionValue = x.Position.PositionValue.Value * 100m,
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MarketDate = x.Valuation.valuation_date,
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MarketValue = x.Valuation.ValuationValue.Value,
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DiffAbs = Math.Abs(x.Position.PositionValue.Value * 100m - x.Valuation.ValuationValue.Value)
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})
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.ToList();
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return BuildDeviationDetail(diffItems, deviationName, positionValueName, marketValueName);
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}
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/// <summary>
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/// 获取当前交易的交易日，所有行情偏离规则都以交易日作为市场数据取数基准。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <returns>交易日日期部分。</returns>
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private static DateTime GetTradeDate(YLContext dbContext, int tradeId)
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{
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var tradeDate = dbContext.trade
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.Where(t => t.id == tradeId)
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.Select(t => t.TradeDate)
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.FirstOrDefault();
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if (!tradeDate.HasValue)
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throw new Exception("交易日为空");
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return tradeDate.Value.Date;
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}
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/// <summary>
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/// 获取当前交易下全部浮动支付端记录，行情偏离类规则需要遍历同一TradeId下所有浮动支付端。
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/// </summary>
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/// <param name="dbContext">数据库上下文。</param>
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/// <param name="tradeId">当前交易ID。</param>
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/// <returns>浮动支付端记录查询对象。</returns>
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private static IQueryable<YLErp.DBModels.swap_position> GetFloatingPaymentPositions(YLContext dbContext, int tradeId)
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{
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return dbContext.swap_position
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.Where(p => p.SwapTradeId == tradeId
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&& p.IsInitial
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&& !p.Invalid
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&& p.PosiDirection == 2
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&& !string.IsNullOrEmpty(p.UnderlyingCode));
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}
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/// <summary>
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/// 统一生成行情偏离类变量返回值，变量值取最大偏离值，命中说明保留逐笔偏离明细。
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/// </summary>
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/// <param name="diffItems">逐笔偏离结果。</param>
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/// <param name="deviationName">偏离规则名称。</param>
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/// <param name="positionValueName">交易侧取值名称。</param>
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/// <param name="marketValueName">市场侧取值名称。</param>
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/// <returns>包含最大偏离值和逐笔偏离明细的变量返回值。</returns>
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private static RiskVariableValueDetail BuildDeviationDetail(
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List<DeviationItem> diffItems,
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string deviationName,
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string positionValueName,
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string marketValueName)
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{
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var maxDiffItem = diffItems
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.OrderByDescending(x => x.DiffAbs)
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.ThenBy(x => x.PositionId)
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.First();
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var deviatedItems = diffItems
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.Where(x => x.DiffAbs > 0m)
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.OrderByDescending(x => x.DiffAbs)
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.ThenBy(x => x.PositionId)
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.Select(x => $"记录ID {x.PositionId}，标的{x.UnderlyingCode}：{positionValueName}{FormatDecimal(x.PositionValue)}，{x.MarketDate:yyyy-MM-dd}{marketValueName}{FormatDecimal(x.MarketValue)}，偏离{FormatDecimal(x.DiffAbs)}")
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.ToList();
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string diffMessage = deviatedItems.Any()
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? $"存在{deviationName}的浮动支付端记录：" + string.Join("；", deviatedItems)
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: $"未发现{deviationName}记录";
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return new RiskVariableValueDetail(maxDiffItem.DiffAbs, diffMessage);
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}
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/// <summary>
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/// 格式化风控命中说明中的数值，避免展示过长小数。
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/// </summary>
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/// <param name="value">待格式化数值。</param>
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/// <returns>最多9位小数的展示文本。</returns>
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private static string FormatDecimal(decimal value)
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{
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return value.ToString("0.#########");
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}
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/// <summary>
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/// 行情偏离计算的中间结果模型，用于把债券和非债券两类计算结果统一交给明细构建逻辑。
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/// </summary>
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private class DeviationItem
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{
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public long PositionId { get; set; }
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public string UnderlyingCode { get; set; }
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public decimal PositionValue { get; set; }
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public DateTime MarketDate { get; set; }
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public decimal MarketValue { get; set; }
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public decimal DiffAbs { get; set; }
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}
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}
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}
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