362 lines
14 KiB
C#
362 lines
14 KiB
C#
using Newtonsoft.Json;
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using System.Data;
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using YLErp.BLL.Calculation;
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using YLErp.Commons;
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using YLErp.DBModels.Consts;
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using YLErp.Modules.TQuoteModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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using YLErp.QdpModule.Constants;
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namespace YLErp.Web.Controllers
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{
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public class volatilityController : BaseController
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{
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/// <summary>
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/// todo 保存多个类型的voltity
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/// </summary>
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public JsonResult SubmitSurface2(List<volatility> vols)
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{
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if (!CurUser.报价管理_波动率曲面修改)
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{
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return JsonError("没有保存权限");
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}
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var userVarietyIds = CurUser.GetUserVarietyIds().ToHashSet();
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var unIdSet = vols.Select(n => n.UnderlyingId ?? 0).ToHashSet();
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var unAuthCodes = DataCacheProvider.GetUnderlyingDataSource().AsQueryable()
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.Where(n => unIdSet.Contains(n.id) && !userVarietyIds.Contains(n.UnderlyingTypeId))
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.Select(n => n.UnderlyingCode).ToArray();
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if (unAuthCodes.Any())
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{
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return JsonError("更新曲面失败,没有品种交易权限:" + string.Join(",", unAuthCodes));
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}
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try
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{
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foreach (var vv in vols)
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{
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vv.QuotationDate = valuedateBLL.ValueDate;
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vv.UserGroup = CurUser.UserGroup;
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vv.OptId = UserId;
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vv.OptName = UserName;
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}
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var vollist = new VolatilitySaveService(CurUser).SaveVols(vols);
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return JsonSuccess("更新曲面成功", vollist);
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger(nameof(SubmitSurface2)).Error("更新曲面波动率", ex);
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return JsonError("更新曲面失败," + ex.Message);
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}
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}
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/// <summary>
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/// 计算价格
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/// </summary>
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public JsonResult TQuote(TQuoteRequest req)
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{
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if (req.strikeInterval == 0)
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{
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return JsonError("执行价间隔不能为0!");
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}
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return JsonSuccess("", new TQuoteService(CurUser).Execute(req));
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}
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public JsonResult TQuoteWithCustomizedVol(TQuoteWithCustomizedVolRequest request)
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{
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return JsonSuccess("", new TQuoteService(CurUser).TQuoteWithCustomizedVol(request));
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}
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[MyAuthorize("报价管理-T型报价查看")]
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public ActionResult t_table()
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{
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return View();
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}
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[MyAuthorize("报价管理-波动率曲面查看")]
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public ActionResult today_volsurface_edit(int? uid, string voltype)
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{
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if (PS.Config.ErpElement.SkewMapVolConstruction && uid == null && voltype == null)
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{
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return RedirectToAction("index", "skewMap");
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}
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if (ConsUserGroup.HasGroup && string.IsNullOrEmpty(CurUser.UserGroup))
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{
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return ShowError("当前用户必须设置用户组以后才能访问此页面");
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}
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return today_volsurface_editV2();
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}
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[MyAuthorize("报价管理-波动率曲面查看")]
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public ActionResult today_volsurface_editV2()
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{
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if (PS.Config.ErpElement.SkewMapVolConstruction)
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{
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return RedirectToAction("index", "skewMap");
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}
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if (ConsUserGroup.HasGroup && string.IsNullOrEmpty(CurUser.UserGroup))
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{
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return ShowError("当前用户必须设置用户组以后才能访问此页面");
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}
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var model = new VolsurfaceEditModel(CurUser);
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return View("today_volsurface_editV2", model);
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}
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[MyAuthorize("报价管理-波动率曲面查看")]
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public ActionResult riskFreeCurve()
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{
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return View();
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}
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public JsonResult get_underlyingvolsurface(string ucode, string voltype, DateTime systemdate)
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{
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var underlying = underlying_managerBLL.GetByCode(ucode);
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//加入t型表格行权日时间
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var tTableExecerizeDate = DateTime.Now.AddMonths(1).AddDays(-1);
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if (underlying.MaturityDate < tTableExecerizeDate)
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{
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tTableExecerizeDate = underlying.MaturityDate.Value;
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}
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underlying.ExerciseDate = QdpCalendarHelper.GetNonHoliday(tTableExecerizeDate);
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var request = new SingleVolatilityRequest
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{
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QuotationDate = systemdate,
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UnderlyingCode = ucode,
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TradeVolWithBidAsk = true,
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UserGroup = CurUser.UserGroup,
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VolType = voltype
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};
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var all_volatilities = new VolatilityQueryService(CurUser).GetVolatility(request, true);
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var VolTypes = request.GetVolTypes().Select(O => new VolTypeState() { VolModelName = O }).ToList();
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return JsonSuccess("获取波动率曲面成功", new { underlying, all_volatilities, VolTypes });
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}
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public ActionResult volsurfaceUpload()
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{
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var voldate = valuedateBLL.ValueDate;
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ViewBag.Voldate = voldate.ToString("yyyy-MM-dd");
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var r = new volatility();
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return View(r);
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}
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public ActionResult UploadVolSurface(IFormFile file)
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{
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try
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{
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double.TryParse(Request.Form["Ask_Deviation"], out var ask_deviation);
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double.TryParse(Request.Form["Bid_Deviation"], out var bid_deviation);
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var quotationDate = Convert.ToDateTime(HttpContext.Request.Form["QuotationDate"]);
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var overridByMainCode = "true".Equals(Request.Form["overridByMainCode"], StringComparison.OrdinalIgnoreCase);
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using var stream = file.OpenReadStream();
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var volList = new VolatilityImportReadService(CurUser).ImportFile(stream, new VolatilityImportReadModel
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{
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quotationDate = quotationDate,
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Ask_Deviation = ask_deviation,
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Bid_Deviation = bid_deviation,
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volType = Request.Form["VolType"],
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volSurfaceMode = Request.Form["VolSurfaceMode"],
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ReviewDownLimit = ConsVolInfos.defReviewDownLimit,
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ReviewUpLimit = ConsVolInfos.defReviewUpLimit,
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UserGroup = CurUser.UserGroup
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});
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//保存更新波动率信息
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if (volList.Count > 0)
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{
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var saveVols = new VolatilitySaveService(CurUser).SaveVols(volList, overridByMainCode);
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if (saveVols.Count == 0)
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{
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return JsonError("导入失败，请检查交易和BidAsk的行权价及到期日是否一致，且波动率是否为正数");
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}
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}
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else
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{
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return JsonError("没有导入波动率");
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}
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return JsonSuccessData(new { version = "v2", vol = volList.First(), underlyingCode = volList.First().ContractCode });
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}
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catch (Exception ex)
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{
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LogFactory.GetLogger<volatilityController>().Error("UploadFiles", ex);
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return JsonError(ex.Message);
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}
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}
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public ActionResult volsurfaceDown()
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{
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ViewBag.valueDate = valuedateBLL.ValueDate.ToString("yyyy-MM-dd");
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volatility r = null;
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return View(r);
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}
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[HttpPost]
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public ActionResult downLoadVolSurfaceList(BatchVolatilityRequest req)
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{
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//获取角色有权限的
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var varietyIds = CurUser.GetUserVarietyIds();
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if (!varietyIds.Any(n => n > 0))
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{
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return ShowError("当前账户没有标的查看权限！");
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}
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req.VarietyIds = varietyIds;
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req.UserGroup = CurUser.UserGroup;
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//根据条件获取波动率数据
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var volList = new VolatilityQueryService(CurUser).GetVolatilities(req, false);
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if (volList == null || !volList.Any())
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{
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return ShowError("当前条件下未查找到波动率曲面数据!导出失败！");
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}
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var dt = VolatilityHelper.GetMatrix(volList);
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var helper = new ExcelHelper();
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var volType = "";
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switch (req.VolType)
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{
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case "交易":
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volType = "Mid";
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break;
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case "报价Bid":
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volType = "Bid";
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break;
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case "报价Ask":
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volType = "Ask";
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break;
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default:
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volType = req.VolType;
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break;
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}
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if (helper.DataTableToExcel(dt, volType, false, out var buffer) < 0)
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{
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return ShowError("导出失败！");
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}
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return File(buffer, "application/ms-excel", $"波动率曲面-{req.QuotationDate:yyyy-MM-dd}.xlsx");
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}
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/// <summary>
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/// 获取某一标的的历史波动率曲线
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/// </summary>
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/// <param name="underlyingCode">合约代码</param>
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/// <param name="valueDate">日期</param>
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/// <param name="lookBackDays">计算波动率回溯的天数，可为30、60、90</param>
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/// <returns></returns>
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public JsonResult GetHistoricalVolCurve(string underlyingCode, DateTime valueDate, int lookBackDays)
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{
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var volPoints = VolCaculator.Instance.GetHistoricalVolCurvePoints(underlyingCode, valueDate, lookBackDays);
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return Json(volPoints);
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}
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/// <summary>
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/// 在用户设置的原始波动率曲面的点之间通过插值计算出更密集的点，以方便画出更准确的曲面图
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/// </summary>
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/// <param name="volSurface">原始波动率曲面</param>
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/// <param name="interpolation">插值方法</param>
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/// <returns></returns>
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public JsonResult FillVolSurfaceInterpolatePoints(VolSurfacePoints[] volSurfaces, string interpolation)
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{
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var result = new Dictionary<string, object[][]>();
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foreach (var vol in volSurfaces)
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{
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result[vol.SurfaceName] = VolCaculator.Instance.FillInterpolatePoints(vol.Points, interpolation);
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}
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return Json(result);
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}
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/// <summary>
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/// 根据用户选择的期限，获得相应的波动率曲线的点，这些点除了包括原始的点之外，还包括通过插值计算出更密集的点
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/// </summary>
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/// <param name="volSurfaces">原始波动率曲面</param>
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/// <param name="interpolation">插值方法</param>
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/// <param name="expire">期限</param>
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/// <returns></returns>
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public JsonResult Fill2DVolSmileCurvePoints(VolSurfacePoints[] volSurfaces, string interpolation, string expire)
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{
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var result = new Dictionary<string, VolSmileCurve>();
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foreach (var vol in volSurfaces)
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{
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result[vol.SurfaceName] = VolCaculator.Instance.FillVolSmileCurvePoints(vol.Points, interpolation, expire);
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}
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return Json(result);
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}
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/// <summary>
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/// 获取某一标的的隐含波动率曲面。只对有场内期权的标的有效
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/// </summary>
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/// <param name="underlyingCode"></param>
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/// <param name="valueDate"></param>
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/// <returns></returns>
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public JsonResult GetImpliedVolSurface(string underlyingCode, DateTime valueDate)
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{
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var underlying = underlying_managerBLL.GetByCode(underlyingCode);
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//加入t型表格行权日时间
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var tTableExecerizeDate = DateTime.Now.AddMonths(1).AddDays(-1);
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if (underlying.MaturityDate < tTableExecerizeDate)
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{
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tTableExecerizeDate = underlying.MaturityDate.Value;
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}
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underlying.ExerciseDate = QdpCalendarHelper.GetNonHoliday(tTableExecerizeDate);
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var VolTypes = ConsVolInfos.GetVolTypes("隐含")
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.Select(O => new VolTypeState() { VolModelName = O }).ToList();
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var volTypeList = VolTypes.Select(v => v.VolModelName).ToList();
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var volatility = VolCaculator.Instance.GetImpliedVolSurface(underlyingCode, valueDate);
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if (volatility == null)
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{
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return JsonError("获取隐含波动率失败。请确认该标的有场内期权且系统中有场内期权价格数据");
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}
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var all_volatilities = new List<volatility> { volatility };
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return JsonSuccess("获取波动率曲面成功", new { underlying, VolTypes, all_volatilities });
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}
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public JsonResult GetRiskFreeCurve()
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{
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var curvePointData = valuedateBLL.RiskFreeCurveData;
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if (string.IsNullOrWhiteSpace(curvePointData))
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{
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return JsonError("未查询到系统里有已设置的利率曲线，请重新设置");
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}
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var curvePoints = JsonConvert.DeserializeObject<List<SimpleIRCurvePoint>>(curvePointData);
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return JsonSuccess("", curvePoints);
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}
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[HttpPost]
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public ActionResult SaveRiskFreeCurve(List<SimpleIRCurvePoint> curvePoints)
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{
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var config = yldb.valuedate.FirstOrDefault(v => v.State == valuedate.当前使用);
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config.RiskFreeCurveData = (curvePoints != null && curvePoints.Count > 0) ?
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JsonConvert.SerializeObject(curvePoints.Where(p => !double.IsNaN(p.Rate)).ToList()) :
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"";
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config.UpdateTime = DateTime.Now;
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yldb.SaveChanges();
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valuedateBLL.ResetValueDate();
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return JsonSuccess("曲线保存成功");
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}
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}
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}
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