686 lines
31 KiB
C#
686 lines
31 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Interfaces;
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using Qdp.Pricing.Base.Utilities;
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using Qdp.Pricing.Library.Common.Base;
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using Qdp.Pricing.Library.Options.Products.Accumulator;
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using Qdp.Pricing.Library.Options.Products.Airbag;
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using Qdp.Pricing.Library.Options.Products.Asian;
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using Qdp.Pricing.Library.Options.Products.AsianSyntheticSpread;
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using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix;
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using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
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using Qdp.Pricing.Library.Options.Products.Barrier;
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using Qdp.Pricing.Library.Options.Products.Binary;
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using Qdp.Pricing.Library.Options.Products.DoubleSharkFin;
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using Qdp.Pricing.Library.Options.Products.PayoffEnhance;
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using Qdp.Pricing.Library.Options.Products.Rainbow;
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using Qdp.Pricing.Library.Options.Products.RangeAccrual;
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using Qdp.Pricing.Library.Options.Products.Spread;
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using Qdp.Pricing.Library.Options.Products.SyntheticSpread;
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using Qdp.Pricing.Library.Options.Products.Vanilla;
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using YLErp.BLL;
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using YLErp.BLL.Calculation.V2;
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using YLErp.Modules.TradeModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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public class OptionTradeAnalysisService : YLBaseService
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{
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public OptionTradeAnalysisService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 为一组期权交易计算到期时在不同价格条件下的总体payoff情况
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/// </summary>
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/// <param name="optionTrades"></param>
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/// <returns></returns>
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public List<CurvePoint> GetTradesPayoffLine(IEnumerable<OtcOptionTradeFull> optionTrades)
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{
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if (optionTrades == null)
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{
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return null;
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}
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var curvePoints = new List<CurvePoint>();
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var keyPricePoints = new List<double>();
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if (optionTrades.Count(t => t.TradeType == "雪球期权" || t.TradeType == "凤凰期权") > 0)
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{
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throw new Exception($"暂时不支持Autocall的分析");
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}
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var underlyingIds = optionTrades.Select(n => n.UnderlyingId).ToHashSet();
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if (underlyingIds.Count > 1)
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{
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throw new Exception($"待分析的组合交易需要有相同的标的资产");
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}
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var underlying = DbContext.underlying_manager.AsNoTracking().FirstOrDefault(n => underlyingIds.Contains(n.id));
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if (underlying == null)
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{
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throw new Exception($"找不到标的资产{optionTrades.First().UnderlyingCode}的信息，id为{optionTrades.First().UnderlyingId}");
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}
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var options = new List<OptionBase>();
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foreach (var otcTrade in optionTrades)
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{
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var trade = TradeConverter.ConvertOptionTrade(otcTrade);
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if (otcTrade.TradeType == "Risky期权")
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{
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var _options = GetToQdpOptionRisk(trade, underlying);
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if (_options != null)
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{
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options.AddRange(_options);
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}
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}
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else
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{
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var option = ToQdpOption(trade, underlying);
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if (option != null)
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{
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options.Add(option);
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}
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}
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var points = GetKeyPoints(trade);
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if (points != null)
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{
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keyPricePoints.AddRange(points);
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}
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}
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keyPricePoints = keyPricePoints.Distinct().ToList();
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keyPricePoints.Sort();
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keyPricePoints.Insert(0, keyPricePoints.First() * 0.8);
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keyPricePoints.Add(keyPricePoints.Last() * 1.2);
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var prices = new double[] { 0.0 };
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foreach (var price in keyPricePoints)
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{
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prices[0] = price;
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curvePoints.Add(new CurvePoint()
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{
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X = price,
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Y = options.Sum(x =>
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{
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if (x is BarrierOption barrier)
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{
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//障碍期权在GetPayoff方法中会更改BarrierStatus值，所以需要重置
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barrier.BarrierStatus = Qdp.Pricing.Base.Enums.BarrierStatus.Monitoring;
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}
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return x.GetPayoff(prices)[0].PaymentAmount;
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})
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});
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}
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return curvePoints;
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}
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/// <summary>
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/// 为一组期权交易计算不同价格条件下的Pv
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/// </summary>
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public List<CurvePoint> GetTradesPvLine(IEnumerable<OtcOptionTradeFull> optionTrades)
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{
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if (optionTrades == null)
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{
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return null;
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}
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if (!optionTrades.Any())
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{
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return new List<CurvePoint>(0);
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}
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var curvePoints = new List<CurvePoint>();
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var keyPricePoints = new List<double>();
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if (optionTrades.Count(t => t.TradeType == "雪球期权" || t.TradeType == "凤凰期权") > 0)
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{
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throw new Exception($"暂时不支持Autocall的分析");
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}
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var underlyingCount = optionTrades.Select(n => n.UnderlyingCode?.ToLowerInvariant()).Distinct().Count();
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if (underlyingCount > 1)
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{
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throw new Exception($"待分析的组合交易需要有相同的标的资产");
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}
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var trades = new List<trade>();
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foreach (var otcTrade in optionTrades)
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{
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var trade = TradeConverter.ConvertOptionTrade(otcTrade);
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if (trade != null)
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{
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trades.Add(trade);
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}
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var points = GetKeyPoints(trade);
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if (points != null)
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{
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keyPricePoints.AddRange(points);
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}
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}
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return GetTradesPvLineForKeyPoints(optionTrades.First().TradeDate.Value, trades, keyPricePoints);
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}
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private List<CurvePoint> GetTradesPvLineForKeyPoints(DateTime valueDate, IEnumerable<trade> trades, List<double> keyPoints)
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{
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var curvePoints = new List<CurvePoint>();
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if (trades == null || trades.Count() == 0)
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{
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return curvePoints;
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}
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var startPrice = keyPoints.Min() > 0 ? keyPoints.Min() * 0.8 : keyPoints.Min() * 1.2;
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var endPrice = keyPoints.Min() > 0 ? keyPoints.Max() * 1.2 : keyPoints.Max() * 0.8;
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var step = (endPrice - startPrice) / 20.0;
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var price = startPrice;
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var calcReq = new OptionValueCalcRequest(valuedateBLL.SysRiskFreeRate())
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{
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correlations = null,
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engineName = null,
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maturityShift = 0,
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ParamOverride = null,
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preciseTimeMode = false,
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pricingRequest = PricingRequest.Pv
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};
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while (price < endPrice + step)
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{
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var pv = 0.0;
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foreach (var trade in trades)
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{
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//场内期权交易不会有开仓波动率，因此根据其交易价格计算出隐含波动率
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if (trade.TradeType == "场内期权" && !trade.TradeOpenVolatility.HasValue)
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{
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trade.VolType = "交易";
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trade.TradeOpenVolatility = VolatilityHelper.GetImpliedVol(trade.TradeDate ?? valuedateBLL.ValueDate, trade, trade.TTMDays, trade.SpotPrice ?? 0, true);
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}
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if (!PS.Config.IsTradeVol && !trade.TradeOpenVolatility.HasValue)
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{
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trade.TradeOpenVolatility = trade.Vol;
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}
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if (!trade.TradeOpenVolatility.HasValue || double.IsNaN(trade.TradeOpenVolatility.Value))
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{
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throw new Exception("无法获取开仓波动率");
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}
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calcReq.spotPrices = new[] { price };
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calcReq.vols = new[] { trade.TradeOpenVolatility.Value };
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var result = OptionCalculatorV2.GetOptionValueResult(valueDate, trade, calcReq, out _);
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if (double.IsNaN(result.Pv))
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{
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throw new Exception($"计算此交易失败:{trade.UnderlyingCode},{trade.TradeType}");
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}
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pv += result.Pv;
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}
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curvePoints.Add(new CurvePoint()
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{
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X = price,
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Y = pv
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});
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price += step;
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}
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return curvePoints;
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}
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public List<CurvePoint> GetTradesPvLine2(int tradeId)
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{
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var trade = DbContext.trade.FirstOrDefault(t => t.id == tradeId);
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if (trade == null)
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{
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return null;
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}
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List<trade> trades;
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if (trade.TradeType == "结构化交易")
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{
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trades = DbContext.trade.Where(t => t.ParentTradeId == trade.id).ToList();
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}
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else
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{
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trades = new List<trade> { trade };
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}
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var tradebll = new tradeBLL();
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trades.ForEach(t => tradeBLL.SetFieldsByTradeType(t));
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return GetTradesPvLine2(valuedateBLL.ValueDate, trades);
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}
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private List<CurvePoint> GetTradesPvLine2(DateTime valueDate, List<trade> optionTrades)
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{
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if (optionTrades == null)
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{
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return null;
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}
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if (optionTrades.Count(t => t.TradeType == "雪球期权" || t.TradeType == "凤凰期权") > 0)
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{
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throw new Exception($"暂时不支持Autocall的分析");
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}
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var underlyingCount = optionTrades.Select(n => n.UnderlyingCode.ToLowerInvariant()).Distinct().Count();
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if (underlyingCount > 1)
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{
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throw new Exception($"待分析的组合交易需要有相同的标的资产");
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}
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var keyPricePoints = new List<double>();
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optionTrades.ForEach(t =>
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{
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keyPricePoints.AddRange(GetKeyPoints(t));
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});
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return GetTradesPvLineForKeyPoints(valueDate, optionTrades, keyPricePoints);
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}
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/// <summary>
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/// 计算交易在一半ttm时候的Pv曲线
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/// </summary>
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public List<CurvePoint> GetTradesHalflifePvLine(IEnumerable<OtcOptionTradeFull> optionTrades)
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{
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var dayCount = valuedateBLL.TradeDayCount.ToDayCountImpl();
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foreach (var trade in optionTrades)
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{
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trade.ExerciseDate = AdjustToHalfLifeMaturity(dayCount, trade.TradeDate, trade.ExerciseDate);
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trade.TTMDays = double.NaN;
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}
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return GetTradesPvLine(optionTrades);
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}
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/// <summary>
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/// 返回当前、一半ttm、以及在到期时的Pv曲线
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/// </summary>
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/// <returns></returns>
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public List<List<CurvePoint>> GetTradePvLifeLine(IEnumerable<OtcOptionTradeFull> optionTrades)
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{
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var results = new List<List<CurvePoint>>();
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var pvLine = GetTradesPvLine(optionTrades);
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results.Add(pvLine);
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var payoffPoints = GetTradesPayoffLine(optionTrades);
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//按Pv曲线的X点对齐
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//int start = -1, end = 0;
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//var payoffLine = new List<CurvePoint>();
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//for (var i = 0; i < pvLine.Count; ++i)
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//{
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// if (pvLine[i].X == payoffPoints[end].X)
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// {
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// payoffLine.Add(payoffPoints[end]);
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// ++start;
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// ++end;
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// }
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// else
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// {
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// payoffLine.Add(new CurvePoint() { X = pvLine[i].X, Y = simpleInterpolate(payoffPoints[start].X, payoffPoints[end].X, payoffPoints[start].Y, payoffPoints[end].Y, pvLine[i].X) });
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// }
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//}
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results.Add(payoffPoints);
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results.Add(GetTradesHalflifePvLine(optionTrades));
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return results;
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}
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private DateTime? AdjustToHalfLifeMaturity(IDayCount dayCount, DateTime? tradeDate, DateTime? maturityDate)
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{
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var qdpStart = new Date(tradeDate.Value);
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var qdpEnd = new Date(maturityDate.Value);
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var half = dayCount.CalcDayCountFraction(qdpStart, qdpEnd) / 2.0;
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qdpEnd = dayCount.CalcEndDateFromDayCountFraction(qdpStart, half, null, null);
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return qdpEnd.DateTime;
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}
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/// <summary>
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/// 为一组期权交易计算随时间变化的希腊字母变化
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/// </summary>
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/// <param name="optionTrades"></param>
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/// <returns></returns>
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public Dictionary<string, List<CurvePoint>> GetTradesGreeksForLifetime(IEnumerable<OtcOptionTradeFull> optionTrades)
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{
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if (optionTrades == null)
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{
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return null;
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}
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var curvePoints = new List<CurvePoint>();
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if (optionTrades.Count(t => t.TradeType == "雪球期权" || t.TradeType == "凤凰期权") > 0)
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{
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throw new Exception($"暂时不支持Autocall的分析");
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}
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var underlyingIds = optionTrades.Select(n => n.UnderlyingId).ToHashSet();
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if (underlyingIds.Count > 1)
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{
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throw new Exception($"待分析的组合交易需要有相同的标的资产");
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}
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var underlying = DbContext.underlying_manager.AsNoTracking().FirstOrDefault(n => underlyingIds.Contains(n.id));
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if (underlying == null)
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{
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throw new Exception($"找不到标的资产{optionTrades.First().UnderlyingCode}的信息，id为{optionTrades.First().UnderlyingId}");
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}
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var options = new List<OptionBase>();
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var trades = new List<trade>();
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foreach (var otcTrade in optionTrades)
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{
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var trade = TradeConverter.ConvertOptionTrade(otcTrade);
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if (trade != null)
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{
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trades.Add(trade);
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}
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}
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var minStart = trades.Min(t => t.TradeDate.Value);
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//避开最后一天的计算，在到期日当天会出现一些跟时间相关的结果，会混淆曲线的整体趋势
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var maxMaturity = CalendarImpl.Get("chn").PrevBizDay(new Date(trades.Max(t => t.ExerciseDate.Value)));
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var valueDates = CalendarImpl.Get("chn").BizDaysBetweenDatesInclEndDay(new Date(minStart), new Date(maxMaturity));
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var userId = Guid.NewGuid().ToString();
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var results = new Dictionary<string, List<CurvePoint>>();
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results["Pv"] = new List<CurvePoint>();
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results["Delta"] = new List<CurvePoint>();
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results["Gamma"] = new List<CurvePoint>();
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results["Vega"] = new List<CurvePoint>();
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results["Theta"] = new List<CurvePoint>();
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for (var i = 0; i < valueDates.Count; ++i)
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{
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double pv = 0.0, delta = 0.0, gamma = 0.0, vega = 0.0, theta = 0.0;
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foreach (var trade in trades)
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{
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trade.TradeDate = valueDates[i].DateTime;
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trade.TTMDays = double.NaN;
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underlying.QuotationDate = trade.TradeDate;
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if (!PS.Config.IsTradeVol && !trade.TradeOpenVolatility.HasValue)
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{
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trade.TradeOpenVolatility = trade.Vol;
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}
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if (!trade.TradeOpenVolatility.HasValue || double.IsNaN(trade.TradeOpenVolatility.Value))
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{
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throw new Exception("无法获取开仓波动率");
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}
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var result = ValueCalculator.GetOptionValueResultV2(
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userId,
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underlying,
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trade,
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new double[] { trade.TradeOpenVolatility.Value },
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new double[] { trade.SpotPrice.Value },
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request: QdpPricingRequest.BASIC_GREEKS);
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if (double.IsNaN(result.Pv))
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{
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throw new Exception($"计算此交易失败:{trade.UnderlyingCode},{trade.TradeType}");
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}
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pv += result.Pv;
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delta += result.Delta;
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gamma += result.Gamma;
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vega += result.Vega;
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theta += result.Theta;
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}
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results["Pv"].Add(new CurvePoint() { X = i, Y = pv });
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results["Delta"].Add(new CurvePoint() { X = i, Y = delta });
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results["Gamma"].Add(new CurvePoint() { X = i, Y = gamma });
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results["Vega"].Add(new CurvePoint() { X = i, Y = vega });
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results["Theta"].Add(new CurvePoint() { X = i, Y = theta });
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}
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return results;
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}
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/// <summary>
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/// 获得一笔期权影响payoff的价格点，如行权价、障碍价格等
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/// </summary>
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/// <param name="trade"></param>
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/// <returns></returns>
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private IEnumerable<double> GetKeyPoints(trade trade)
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{
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switch (trade.TradeType)
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{
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case "香草期权":
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case "场内期权":
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case "亚式期权":
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case "彩虹期权":
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case "合成价差期权":
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case "亚式合成价差期权":
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case "收益增强结构":
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case "区间累积期权":
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case "价差期权":
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case "凤凰期权":
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case "雪球期权":
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case "气囊结构":
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return new double[] {
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trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value
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};
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case "累计期权":
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if (trade.trade_accumulator_option.AccumulatorStructureType == AccumulatorStructureTypeEnum.Segmented)
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{
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return new double[] {
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trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_accumulator_option.Strike2.Value * trade.SpotPrice.Value : trade.trade_accumulator_option.Strike2.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_accumulator_option.Strike3.Value * trade.SpotPrice.Value : trade.trade_accumulator_option.Strike3.Value,
|
|
};
|
|
}
|
|
else
|
|
{
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value
|
|
};
|
|
}
|
|
case "障碍期权":
|
|
if (trade.trade_barrier_option.BarrierTypeEn.StartsWith("Double"))
|
|
{
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value* trade.SpotPrice.Value : trade.trade_barrier_option.BarrierPrice.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value* trade.SpotPrice.Value + 0.01 : trade.trade_barrier_option.BarrierPrice.Value + 0.01,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.UpperBarrierPrice.Value * trade.SpotPrice.Value : trade.trade_barrier_option.UpperBarrierPrice.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.UpperBarrierPrice.Value * trade.SpotPrice.Value - 0.01 : trade.trade_barrier_option.UpperBarrierPrice.Value - 0.01
|
|
};
|
|
}
|
|
else
|
|
{
|
|
if (trade.trade_barrier_option.BarrierTypeEn.StartsWith("Up"))
|
|
{
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value * trade.SpotPrice.Value : trade.trade_barrier_option.BarrierPrice.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value * trade.SpotPrice.Value - 0.01 : trade.trade_barrier_option.BarrierPrice.Value - 0.01
|
|
};
|
|
}
|
|
else
|
|
{
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value * trade.SpotPrice.Value : trade.trade_barrier_option.BarrierPrice.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_barrier_option.BarrierPrice.Value * trade.SpotPrice.Value + 0.01 : trade.trade_barrier_option.BarrierPrice.Value + 0.01
|
|
};
|
|
}
|
|
}
|
|
case "二元期权":
|
|
if (trade.ExerciseMode == "American" && trade.trade_binary_option.PayoffType.StartsWith("Double"))
|
|
{
|
|
var low = trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value;
|
|
var high = trade.IsMoneynessOptionData ? trade.trade_binary_option.UpperBarrier.Value * trade.SpotPrice.Value : trade.trade_binary_option.UpperBarrier.Value;
|
|
return new double[] {
|
|
low - 0.01,
|
|
low,
|
|
low + 0.01,
|
|
high - 0.01,
|
|
high,
|
|
high + 0.01
|
|
};
|
|
}
|
|
else
|
|
{
|
|
var low = trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value;
|
|
return new double[] {
|
|
low - 0.01,
|
|
low,
|
|
low + 0.01
|
|
};
|
|
}
|
|
case "双鲨期权":
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.Strike.Value * trade.SpotPrice.Value : trade.Strike.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_double_sharkfin_option.StrikeHigh.Value * trade.SpotPrice.Value : trade.trade_double_sharkfin_option.StrikeHigh.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_double_sharkfin_option.BarrierHigh * trade.SpotPrice.Value : trade.trade_double_sharkfin_option.BarrierHigh,
|
|
trade.IsMoneynessOptionData ? trade.trade_double_sharkfin_option.BarrierHigh * trade.SpotPrice.Value - 0.01 : trade.trade_double_sharkfin_option.BarrierHigh - 0.01,
|
|
trade.IsMoneynessOptionData ? trade.trade_double_sharkfin_option.BarrierLow * trade.SpotPrice.Value : trade.trade_double_sharkfin_option.BarrierLow,
|
|
trade.IsMoneynessOptionData ? trade.trade_double_sharkfin_option.BarrierLow * trade.SpotPrice.Value + 0.01 : trade.trade_double_sharkfin_option.BarrierLow + 0.01,
|
|
};
|
|
case "Risky期权":
|
|
return new double[] {
|
|
trade.IsMoneynessOptionData ? trade.trade_risky_option.Strike1.Value * trade.SpotPrice.Value : trade.trade_risky_option.Strike1.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_risky_option.Strike2.Value * trade.SpotPrice.Value : trade.trade_risky_option.Strike2.Value,
|
|
trade.IsMoneynessOptionData ? trade.trade_risky_option.Strike3.Value * trade.SpotPrice.Value : trade.trade_risky_option.Strike3.Value,
|
|
};
|
|
default:
|
|
return null;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// 将trade对象转换为Qdp对应的期权类型
|
|
/// </summary>
|
|
private OptionBase ToQdpOption(trade trade, underlying_manager underlying)
|
|
{
|
|
underlying = underlying.Clone();
|
|
|
|
underlying.UnderlyingInstrumentType = ConsGlobal.InstrumentType.ConvertCalcType(underlying.UnderlyingInstrumentType);
|
|
|
|
switch (trade.TradeType)
|
|
{
|
|
case "香草期权":
|
|
return QdpTradeBuilder.GetVanillaOptionTrade(trade, null, false)?.Instrument as VanillaOption;
|
|
case "场内期权":
|
|
return QdpTradeBuilder.GetVanillaOptionTrade(trade, null, true)?.Instrument as VanillaOption;
|
|
case "障碍期权":
|
|
return QdpTradeBuilder.GetBarrierOptionTrade(trade, trade.trade_barrier_option, null)?.Instrument as BarrierOption;
|
|
case "亚式期权":
|
|
return QdpTradeBuilder.GetAsianOptionTrade(trade, trade.trade_asian_option, null)?.Instrument as AsianOption;
|
|
case "二元期权":
|
|
return QdpTradeBuilder.GetBinaryOptionTrade(trade, trade.trade_binary_option, null)?.Instrument as BinaryOption;
|
|
case "彩虹期权":
|
|
return QdpTradeBuilder.GetRainbowOptionTrade(trade, trade.trade_rainbow_option, null)?.Instrument as RainbowOption;
|
|
case "价差期权":
|
|
return QdpTradeBuilder.GetSpreadOptionTrade(trade, trade.trade_spread_option, null, null)?.Instrument as SpreadOption;
|
|
case "合成价差期权":
|
|
return QdpTradeBuilder.GetSSpreadOptionTrade(trade)?.Instrument as SyntheticNormalSpreadOption;
|
|
case "亚式合成价差期权":
|
|
return QdpTradeBuilder.GetAsianSSpreadOptionTrade(trade, trade.trade_asian_option, null)?.Instrument as AsianSyntheticNormalSpreadOption;
|
|
case "双鲨期权":
|
|
return QdpTradeBuilder.GetDoubleSharkFinOptionTrade(trade, trade.trade_double_sharkfin_option, null)?.Instrument as DoubleSharkFinOption;
|
|
case "凤凰期权":
|
|
return QdpTradeBuilder.GetAutocallOptionTrade(trade, trade.trade_autocall)?.Instrument as AutoCall;
|
|
case "雪球期权":
|
|
return QdpTradeBuilder.GetSnowballOptionTrade(trade, trade.trade_snowball)?.Instrument as SimpleSnowball;
|
|
case "区间累积期权":
|
|
return QdpTradeBuilder.GetRangeAccrualTrade(trade, trade.trade_rangeaccrual, null)?.Instrument as RangeAccrual;
|
|
case "累积期权":
|
|
case "累计期权":
|
|
return QdpTradeBuilder.GetAccumulatorOptionTrade(trade, trade.trade_accumulator_option, null)?.Instrument as AccumulatorOption;
|
|
case "气囊结构":
|
|
return QdpTradeBuilder.GetAirbagOptionTrade(trade, trade.trade_airbag, null)?.Instrument as Airbag;
|
|
case "收益增强结构":
|
|
return QdpTradeBuilder.GetUnderlyingEnhanceTrade(trade, trade.trade_underlying_enhance, null)?.Instrument as UnderlyingPayoffEnhance;
|
|
case "Risky期权":
|
|
return QdpTradeBuilder.GetVanillaOptionTrade(trade, null, false)?.Instrument as VanillaOption;
|
|
default:
|
|
return null;
|
|
}
|
|
}
|
|
|
|
public List<OptionBase> GetToQdpOptionRisk(trade trade, underlying_manager underlying)
|
|
{
|
|
var options = new List<OptionBase>();
|
|
var tradeclone = trade.Clone();
|
|
tradeclone.TradeAmount = tradeclone.TradeAmount = TradeCalcHelper.GetTradeAmountV(trade, trade.TradeAmount, 1);
|
|
tradeclone.Notional = tradeclone.Notional = TradeCalcHelper.GetTradeAmountV(trade, trade.Notional, underlying.CountRatio);
|
|
|
|
var td1 = tradeclone.Clone();
|
|
if (trade.trade_risky_option.ParticipationRate1 != 0)
|
|
{
|
|
td1.Strike = trade.trade_risky_option.Strike1;
|
|
td1.ParticipationRate = trade.trade_risky_option.ParticipationRate1;
|
|
td1.TradeAmount = TradeCalcHelper.GetTradeAmount(td1, td1.TradeAmount, 1);
|
|
td1.Notional = TradeCalcHelper.GetTradeAmount(td1, td1.Notional, underlying.CountRatio);
|
|
td1.OptionType = "看跌";
|
|
td1.BuySell = trade.BuySell == "买入" ? "卖出" : "买入";
|
|
var option1 = ToQdpOption(td1, underlying);
|
|
if (option1 != null)
|
|
{
|
|
options.Add(option1);
|
|
}
|
|
}
|
|
|
|
var td2 = tradeclone.Clone();
|
|
if (trade.trade_risky_option.ParticipationRate2 != 0)
|
|
{
|
|
td2.Strike = trade.trade_risky_option.Strike2;
|
|
td2.ParticipationRate = trade.trade_risky_option.ParticipationRate2;
|
|
td2.TradeAmount = TradeCalcHelper.GetTradeAmount(td2, td2.TradeAmount, 1);
|
|
td2.Notional = TradeCalcHelper.GetTradeAmount(td2, td2.Notional, underlying.CountRatio);
|
|
|
|
var option2 = ToQdpOption(td2, underlying);
|
|
if (option2 != null)
|
|
{
|
|
options.Add(option2);
|
|
}
|
|
}
|
|
|
|
var td3 = tradeclone.Clone();
|
|
//decimal 为了解决精度问题： 0.2-0.3=0.0999999999
|
|
var participationRate3 = (decimal)trade.trade_risky_option.ParticipationRate3 - (decimal)trade.trade_risky_option.ParticipationRate2;
|
|
if (participationRate3 != 0)
|
|
{
|
|
td3.Strike = trade.trade_risky_option.Strike3;
|
|
td3.ParticipationRate = (double?)Math.Abs(participationRate3);
|
|
td3.TradeAmount = TradeCalcHelper.GetTradeAmount(td3, td3.TradeAmount, 1);
|
|
td3.Notional = TradeCalcHelper.GetTradeAmount(td3, td3.Notional, underlying.CountRatio);
|
|
if (participationRate3 < 0)
|
|
{
|
|
td3.BuySell = trade.BuySell == "买入" ? "卖出" : "买入";
|
|
}
|
|
|
|
var option3 = ToQdpOption(td3, underlying);
|
|
if (option3 != null)
|
|
{
|
|
options.Add(option3);
|
|
}
|
|
}
|
|
|
|
return options;
|
|
}
|
|
}
|
|
|
|
public class CurvePoint
|
|
{
|
|
public double X { get; set; }
|
|
public double Y { get; set; }
|
|
}
|
|
}
|