zszq-trs/YLErpDAL/Modules/TradeModule/KnockOutModule/AmericanBinaryOptionTradeKnockOutService.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.DBModels;
using YLErp.Modules.TradeModule.KnockOutModule.Dto;
using YLErp.QdpModule;

namespace YLErp.Modules.TradeModule.KnockOutModule
{
    /// <summary>
    /// 美式二元期权敲出服务
    /// </summary>
    public class AmericanBinaryOptionTradeKnockOutService : ITradeKnockOutService
    {
        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
        {
            var binaryOption = _tradeExtendDataProvider.GetTrade_Binary_Option(td.id);
            if (binaryOption == null)
            {
                return new GetKnockOutPayoffResult { IsKnockOut = false };
            }
            td.trade_binary_option = binaryOption;
            return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
        }

        /// <summary>
        /// 获取敲出赔付
        /// </summary>
        /// <param name="td"></param>
        /// <param name="underlyingPrice"></param>
        /// <param name="_valueDate"></param>
        /// <param name="binaryOption"></param>
        /// <returns></returns>
        public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
        {
            var binaryOption = td.trade_binary_option;
            GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
            if (binaryOption == null)
            {
                return result;
            }
            if (binaryOption.IsDiscreteMonitored)
            {
                var observationDates = QdpHelper.GetObservationDatesFromString(binaryOption.ObservationDates);
                if (observationDates != null && observationDates.Length > 0 && !observationDates.Contains(_valueDate))
                {
                    return result;  //非观察日 不做敲出计算
                }
            }
            var strike = td.IsMoneynessOptionData ? td.Strike * td.SpotPrice : td.Strike;
            var UpperBarrier = new Lazy<double?>(() =>
                        td.IsMoneynessOptionData ? binaryOption.UpperBarrier * td.SpotPrice : binaryOption.UpperBarrier);
            switch (binaryOption.PayoffType)
            {
                case "UpOneTouch":
                    if (underlyingPrice >= strike)
                    {
                        //触碰，买方获得盈利，交易结束
                        result.IsKnockOut = true;
                        result.Payoff = CalcAmericanBinaryOptionTradeKnockOutPayoff(td, binaryOption, useHighAmount: false, _valueDate);
                    }
                    else if (td.ExerciseDate <= _valueDate)
                    {
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;
                case "DownOneTouch":
                    if (underlyingPrice <= strike)
                    {
                        //触碰，买方获得盈利，交易结束
                        result.IsKnockOut = true;
                        result.Payoff = CalcAmericanBinaryOptionTradeKnockOutPayoff(td, binaryOption, useHighAmount: false, _valueDate);
                    }
                    else if (td.ExerciseDate <= _valueDate)
                    {
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;
                case "UpNoTouch":
                    if (underlyingPrice >= strike)
                    {
                        //触碰，买方无盈利，交易结束
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;
                case "DownNoTouch":
                    if (underlyingPrice <= strike)
                    {
                        //触碰，买方无盈利，交易结束
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;
                case "DoubleOneTouch":
                    if (underlyingPrice >= UpperBarrier.Value || underlyingPrice <= strike)
                    {
                        var breachHighBarrier = underlyingPrice >= UpperBarrier.Value;
                        result.IsKnockOut = true;
                        result.Payoff = CalcAmericanBinaryOptionTradeKnockOutPayoff(td, binaryOption, useHighAmount: breachHighBarrier, _valueDate);
                    }
                    else if (td.ExerciseDate <= _valueDate)
                    {
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;
                case "DoubleNoTouch":
                    if (underlyingPrice >= UpperBarrier.Value || underlyingPrice <= strike)
                    {
                        //触碰上限或下限，买方无盈利，交易结束
                        result.IsKnockOut = true;
                        result.Payoff = 0;
                    }
                    break;

            }

            return result;
        }



        /// <summary>
        /// 计算美式二元敲出 收益
        /// </summary>
        /// <param name="td"></param>
        /// <param name="binaryOption"></param>
        /// <param name="useHighAmount"></param>
        /// <returns></returns>
        private double CalcAmericanBinaryOptionTradeKnockOutPayoff(trade td, trade_binary_option binaryOption, bool useHighAmount,DateTime _valueDate)
        {
            var result = (td.Notional / td.OriginalNotional * (td.OriginalPrincipalSum ?? 0)) ?? 0;
            double refund;
            if (td.IsUsePremiumRate == true)
            {
                var rate = useHighAmount ? binaryOption.CashOrNothingAmountHighRate : binaryOption.CashOrNothingAmountRate;
                refund = Math.Abs((rate ?? 0) * (td.SpotPrice ?? 0) * td.Notional);
            }
            else
            {
                var amount = useHighAmount ? binaryOption.CashOrNothingAmountHigh : binaryOption.CashOrNothingAmount;
                refund = Math.Abs((amount ?? 0) * td.Notional);
            }
            if (binaryOption.RebateAnnualizedAtKO)
            {
                var rebateDayCountImpl = string.IsNullOrWhiteSpace(binaryOption.RebateDayCount) ? new Act365() : binaryOption.RebateDayCount.ToDayCountImpl();
                var fraction = rebateDayCountImpl.CalcDayCountFraction(new Date(td.StartDate.Value), new Date(_valueDate));
                refund *= fraction;
                refund += Math.Abs((td.TradePrice - td.TradePrice * fraction) ?? 0);
            }
            return (result + refund) * EodOperationBase.GetSign(td.BuySell);
        }
    }
}