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

using CsvHelper;
using Qdp.Foundation.Implementations;
using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using YLErp.Abstract;
using YLErp.BLL;
using YLErp.DBModels;
using YLErp.DBModels.Helpers;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.TradeModule.ExoticOptionModule;
using YLErp.Modules.TradeModule.KnockOutModule.Dto;

namespace YLErp.Modules.TradeModule.KnockOutModule
{
    /// <summary>
    /// 雪球期权敲出计算服务
    /// </summary>
    public class SnowBallTradeKnockOutService : ITradeKnockOutService
    {
        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
        {
            var snowBallOption = _tradeExtendDataProvider.GetTrade_Snowball_Option(td.id);
            if (snowBallOption == null)
            {
                return new GetKnockOutPayoffResult { IsKnockOut = false };
            }
            td.trade_snowball = snowBallOption;
            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
        }

        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
        {
            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
            var snowBallOption = td.trade_snowball;
            if (snowBallOption == null)
            {
                return result;
            }
            if (snowBallOption.PrepaymentUsed)
            {
                var specialSnowBallResult = new SpecialSnowballObservationHelper(td, snowBallOption).GetObservationResultForTraderSide(_valueDate, underlyingPrice, td.Notional);
                if (specialSnowBallResult != null && specialSnowBallResult.ResultType == SnowballObservationResultType.KoPayoff)
                {
                    result.IsKnockOut = true;
                    result.Payoff = specialSnowBallResult.PaymentAmount;
                }
                return result;
            }

            var request = new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate())
            {
                ParamOverride = p => p.notional = td.Notional
            };

            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(td, snowBallOption, request);
            var snowball = (SimpleSnowball)optionTrade.Instrument;
            var isCall = ConsGlobal.CallPut.IsCall(td.CallPut);

            if (snowball.KOObsDates.Select(x => x.DateTime).Contains(_valueDate))
            {
                (var koSettleDate, var koBarrier) = GetSnowBallKoSettleInfo(_valueDate, td, snowBallOption, snowball);
                // 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)
                if (isCall ? underlyingPrice >= koBarrier : underlyingPrice <= koBarrier)
                {
                    result.IsKnockOut = true;
                    if (snowball.UseOptionPayoffAtKO)
                    {
                        double paymentAmount = 0;
                        var koOptionCashflows = snowball.GetKOPayoff(new Date(_valueDate), underlyingPrice);
                        paymentAmount = TradeHelper.GetAmountByPaymentAmount(koOptionCashflows[0].PaymentAmount, td.PrincipalSum(), td.BuySell);
                        result.Payoff = paymentAmount;

                    }
                    else
                    {
                        var CouponPayment = snowball.CouponPayment(_valueDate, includeStartDate: snowBallOption.CouponIncludeStartDate == true && snowBallOption.CouponDayCount != "Monthly");
                        var couponPayment = TradeHelper.GetAmountByPaymentAmount(CouponPayment, td.PrincipalSum(), td.BuySell);
                        if (snowBallOption.AnnualizedPremiumRate.HasValue && snowBallOption.AnnualizedPremiumRate != 0)
                        {
                            var tradePrice = (td.StockEqvNotional * td.ParticipationRate * snowBallOption.AnnualizedPremiumRate * snowball.CouponDayCount.CalcDayCountFraction(snowball.StartDate, new Date(_valueDate))) ?? 0;
                            if (tradePrice != 0)
                            {
                                couponPayment += (td.BuySell == "买入" ? -1 : 1) * tradePrice;
                            }
                        }
                        result.Payoff = couponPayment;
                    }
                }
            }

            return result;
        }

        //获取雪球期权敲出时要准备的信息
        public (DateTime koSettleDate, double koBarrier) GetSnowBallKoSettleInfo(DateTime valueDate, OtcTradeBase otcTrade, trade_snowball tradeSnowball, SimpleSnowball snowball)
        {
            double koBarrier;
            var koSettleDate = valueDate;
            var datesStr = tradeSnowball.KOObservationSettleDates;
            var KOObsSettleDates = string.IsNullOrWhiteSpace(datesStr) ? null : datesStr.Split(new char[] { ',', ';', '，', '；' }, StringSplitOptions.RemoveEmptyEntries).Select(x => DateTime.Parse(x)).ToArray();
            if (snowball.CustomizedKOBarriers != null && snowball.CustomizedKOBarriers.Length > 0)
            {
                var index = snowball.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);
                koBarrier = snowball.CustomizedKOBarriers[index];
                if (KOObsSettleDates != null && KOObsSettleDates.Length > index)
                {
                    koSettleDate = KOObsSettleDates[index];
                }
            }
            else
            {
                koBarrier = tradeSnowball.KOBarrier;
                if (KOObsSettleDates != null && KOObsSettleDates.Any())
                {
                    koSettleDate = KOObsSettleDates[0];
                }
            }

            if (tradeSnowball.KORebateType == RebateTypeEnum.AtEnd)
            {
                koSettleDate = otcTrade.ExerciseDate.Value;
            }
            else if (koSettleDate < valueDate)
            {
                koSettleDate = valueDate;
            }

            if (otcTrade.IsMoneynessOptionData)
            {
                koBarrier *= otcTrade.SpotPrice ?? 1.0;
            }

            return (koSettleDate, koBarrier);
        }

    }
}