zszq-trs/YLErpDAL/Modules/TradeModule/KnockOutModule/BarrierOptionTradeKnockOutService.cs

using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Utilities;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using YLErp.Abstract;
using YLErp.BLL.Eod;
using YLErp.BLL;
using YLErp.DBModels;
using YLErp.Modules.TradeModule.KnockOutModule.Dto;
using YLErp.QdpModule;

namespace YLErp.Modules.TradeModule.KnockOutModule
{
    /// <summary>
    /// 障碍期权敲出服务
    /// </summary>
    public class BarrierOptionTradeKnockOutService : ITradeKnockOutService
    {
        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
        {
            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };

            var barrierOption = _tradeExtendDataProvider.GetTrade_Barrier_Option(td.id);
            if (barrierOption == null)
            {
                return new GetKnockOutPayoffResult { IsKnockOut = false };
            }
            td.trade_barrier_option = barrierOption;
            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
        }

        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
        {
            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
            var barrierOption = td.trade_barrier_option;
            if (barrierOption == null)
            {
                return result;
            }
            //连续每天观察  离散根据观察日判断  如果非观察日 不检测敲入敲出
            if ("离散".Equals(barrierOption.Discrete))
            {
                var observationDates = QdpHelper.GetObservationDatesFromString(barrierOption.ObservationDates);
                //每日观察或者当前结算日是观察日的时候，才检查是否会敲入敲出
                if (observationDates != null && observationDates.Length > 0 && !observationDates.Contains(_valueDate))
                {
                    return result;
                }
            }
            var BarrierPrice = td.IsMoneynessOptionData ? barrierOption.BarrierPrice * td.SpotPrice : barrierOption.BarrierPrice;
            var UpperBarrierPrice = td.IsMoneynessOptionData ? barrierOption.UpperBarrierPrice * td.SpotPrice : barrierOption.UpperBarrierPrice;
            switch (barrierOption.BarrierType)
            {
                case "上升敲出":
                    if (underlyingPrice >= BarrierPrice)
                    {
                        result.IsKnockOut = true;
                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate);
                    }
                    break;
                case "下降敲出":
                    if (underlyingPrice <= BarrierPrice)
                    {
                        result.IsKnockOut = true;
                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate);
                    }
                    break;
                case "双障碍敲出":
                    if (underlyingPrice >= UpperBarrierPrice || underlyingPrice <= BarrierPrice)
                    {
                        result.IsKnockOut = true;
                        var upDown = underlyingPrice >= UpperBarrierPrice ? true : false;
                        result.Payoff = CalcBarrierOptionTradeKnockOutPayoff(td, barrierOption, underlyingPrice, _valueDate, upDown);
                    }
                    break;
            }

            return result;
        }

        /// <summary>
        /// 计算具体收益
        /// </summary>
        /// <param name="td"></param>
        /// <param name="barrierOption"></param>
        /// <param name="underlyingPrice"></param>
        /// <param name="upDown">双障碍敲出 才有用</param>
        /// <returns></returns>
        private double CalcBarrierOptionTradeKnockOutPayoff(trade td, trade_barrier_option barrierOption, double underlyingPrice,DateTime _valueDate, bool upDown = false)
        {
            var spotPrice = td.SpotPrice ?? 0;

            double rebate, rebateRate; //计算补偿金额
            if (upDown)
            {
                if (td.IsUsePremiumRate == true)
                {
                    rebateRate = barrierOption.RebateHighRate ?? 0;
                    rebate = rebateRate * spotPrice;
                }
                else
                {
                    rebate = barrierOption.RebateHigh ?? 0;
                    rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
                }
            }
            else
            {
                if (td.IsUsePremiumRate == true)
                {
                    rebateRate = barrierOption.RebateRate ?? 0;
                    rebate = rebateRate * spotPrice;
                }
                else
                {
                    rebate = barrierOption.Rebate ?? 0; //补偿金额
                    rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
                }
            }

            if (barrierOption.RebateAnnualizedAtKO) //补偿按敲出日年化
            {
                var rebateDayCountImpl = string.IsNullOrWhiteSpace(barrierOption.RebateDayCount) ? new Act365() : barrierOption.RebateDayCount.ToDayCountImpl();
                var fraction = rebateDayCountImpl.CalcDayCountFraction(new Date(td.StartDate.Value), new Date(_valueDate));
                rebate *= fraction;
                rebate += Math.Abs((td.TradeSinglePrice - td.TradeSinglePrice * fraction) ?? 0);
            }

            var payoff = td.Notional * rebate + ((td.Notional / td.OriginalNotional * td.OriginalPrincipalSum) ?? 0);  // 补偿金额 * 持仓份额 + 保底收益总额*尺长比例

            //交易员视角
            if (valuedateBLL.SystemDate.UnwindAmountAngle == 1)
            {
                payoff = payoff * (td.BuySell == "卖出" ? -1 : 1);
            }
            else
            {
                payoff = payoff * EodOperationBase.GetSign(td.BuySell);
            }
            return payoff;
        }
    }
}