412 lines
20 KiB
C#
412 lines
20 KiB
C#
using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Base.Utilities;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.DBModels.Consts;
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using YLErp.Model;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.TradeModule.ExoticOptionModule
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{
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/// <summary>
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/// 障碍期权敲入敲出操作
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/// 迁移自:trade_barrier_optionBLL
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/// </summary>
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public class BarrierOptionKnockioService : TradeCashServiceEx
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{
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public BarrierOptionKnockioService(YLBaseService baseService) : base(baseService)
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{
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}
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public BarrierOptionKnockioService(OptUserInfo userInfo) : base(userInfo)
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{
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}
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/// <summary>
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/// 设置障碍期权敲入敲出 ,返回error
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/// </summary>
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public void SetKnockInOut(DateTime valueDate, IEodPriceProviderV2 priceProvider, DateTime? startDate = null,
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Action<OtcTrade, trade_barrier_option> afterKnowInOut = null, IEnumerable<int> clienIds = null)
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{
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if (priceProvider is null)
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{
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priceProvider = new EodPriceProvider(valueDate);
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}
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if (startDate == null)
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{
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startDate = valueDate.AddYears(-5);
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}
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var query = from td in DbContext.trade
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join tb in DbContext.trade_barrier_option on td.id equals tb.TradeId
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where td.TradeDate > startDate.Value && td.TradeDate <= valueDate
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&& string.IsNullOrEmpty(tb.KnockInOutStatus)
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&& td.TradeType == "障碍期权"
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&& ConsTrade.确认成交 == td.TradeStatus
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&& td.ValidState != ConsGlobal.InValid
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&& td.DividendDate < valueDate
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select new
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{
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trade = td,
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tradeBarrier = tb
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};
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#region 增加客户筛选 tw
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if (clienIds != null)
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{
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query = query.Where(l => clienIds.Contains(l.trade.ClientId));
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}
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#endregion
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var trades = query.ToList();
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if (trades == null || !trades.Any())
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{
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return;
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}
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var tradeIds = trades.Select(x => x.trade.id).ToList();
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var manuallyTradeObservationPrices = DbContext.manually_trade_observation_price
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.Where(x => tradeIds.Contains(x.TradeId) && x.ValueDate == valueDate).ToDictionary(n => n.TradeId);
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foreach (var tr in trades)
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{
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if (tr.trade.ExerciseDate < valueDate)
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{
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continue;//已到期交易不再观察;
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}
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double? closePrice, highPrice, lowPrice;
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if (manuallyTradeObservationPrices.TryGetValue(tr.trade.id, out var manuallyTradeObservationPrice))
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{
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closePrice = manuallyTradeObservationPrice.Price;
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highPrice = manuallyTradeObservationPrice.Price;
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lowPrice = manuallyTradeObservationPrice.Price;
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}
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else if (!priceProvider.TryGetEodPrice(tr.trade.UnderlyingCode, out var eodprice))
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{
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throw new Exception($"[{tr.trade.TradeType}:{tr.trade.TradeNumber},标的:{tr.trade.UnderlyingCode}]未找到结算价");
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}
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else
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{
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closePrice = eodprice.ClosePrice;
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highPrice = eodprice.HighPrice;
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lowPrice = eodprice.LowPrice;
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}
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var tradeStatus = tr.trade.TradeStatus;
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var oldKnockInOutStatus = tr.tradeBarrier.KnockInOutStatus;
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CheckBarrierKnockInOutStatus(tr.trade, tr.tradeBarrier, valueDate, closePrice, highPrice, lowPrice);
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if (oldKnockInOutStatus != tr.tradeBarrier.KnockInOutStatus)
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{
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var KnockInOutStatus = tr.tradeBarrier.KnockInOutStatus == ConsTrade.KnockState.KnockedIn ? "敲入" : "敲出";
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AddTradeOperationHistoryAndSetParentTradeInfo(false, tr.trade, KnockInOutStatus, KnockInOutStatus);
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}
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//到期仍未敲入的情况
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if (tr.tradeBarrier.BarrierType.Contains("敲入")
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&& (string.IsNullOrWhiteSpace(tr.tradeBarrier.KnockInOutStatus) || ConsTrade.KnockState.IsMonitoring(tr.tradeBarrier.KnockInOutStatus))
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&& tr.trade.ExerciseDate <= valueDate)
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{
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tr.trade.TradeStatus = ConsTrade.已到期;
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tr.trade.UnWindDate = valueDate;
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SaveBarrierRebateCash(tr.trade, tr.tradeBarrier, valueDate, closePrice, knockOutBarrierPrice: null);
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}
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if (tradeStatus != tr.trade.TradeStatus || oldKnockInOutStatus != tr.tradeBarrier.KnockInOutStatus)
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{
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//删除E/Bod_Trade记录
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RemoveEodTradeAndFutureInfo(false, tr.trade.id, valueDate);
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}
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if (afterKnowInOut != null && DbContext.Entry(tr.tradeBarrier).State == EntityState.Modified)
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{
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afterKnowInOut(tr.trade, tr.tradeBarrier);
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}
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//更新，不能放到循环外，黑箱交易的子交易相互有依赖关系
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DbContext.SaveChanges();
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}
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}
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/// <summary>
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///
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/// </summary>
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public void CheckBarrierKnockInOutStatus(OtcTradeBase td, trade_barrier_option tradeBarrier
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, DateTime valuedate, double? closePrice, double? highPrice, double? lowPrice)
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{
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var BarrierPrice = td.IsMoneynessOptionData ? tradeBarrier.BarrierPrice * td.SpotPrice : tradeBarrier.BarrierPrice;
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var UpperBarrierPrice = td.IsMoneynessOptionData ? tradeBarrier.UpperBarrierPrice * td.SpotPrice : tradeBarrier.UpperBarrierPrice;
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switch (tradeBarrier.Discrete)
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{
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case "离散":
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var observationDates = QdpHelper.GetObservationDatesFromString(tradeBarrier.ObservationDates);
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//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
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if (observationDates == null || observationDates.Contains(valuedate))
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{
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switch (tradeBarrier.BarrierType)
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{
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case "上升敲入":
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if (closePrice >= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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case "上升敲出":
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if (closePrice >= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, closePrice, tradeBarrier.BarrierPrice);
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}
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break;
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case "下降敲入":
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if (closePrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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case "下降敲出":
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if (closePrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, closePrice, tradeBarrier.BarrierPrice);
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}
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break;
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case "双障碍敲出":
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if (closePrice >= UpperBarrierPrice || closePrice <= BarrierPrice)
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{
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var barrierPrice = closePrice >= UpperBarrierPrice ?
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tradeBarrier.UpperBarrierPrice : tradeBarrier.BarrierPrice;
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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var upDown = closePrice >= UpperBarrierPrice ? true : false;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, closePrice, barrierPrice, upDown);
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}
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break;
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case "双障碍敲入":
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if (closePrice >= UpperBarrierPrice || closePrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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}
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}
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break;
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case "连续":
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switch (tradeBarrier.BarrierType)
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{
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case "上升敲入":
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if (highPrice >= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;//UpdateDate
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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case "上升敲出":
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if (highPrice >= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, highPrice, tradeBarrier.BarrierPrice);
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}
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break;
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case "下降敲入":
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if (lowPrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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case "下降敲出":
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if (lowPrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, lowPrice, tradeBarrier.BarrierPrice);
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}
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break;
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case "双障碍敲出":
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if (highPrice >= UpperBarrierPrice || lowPrice <= BarrierPrice)
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{
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var price = highPrice >= UpperBarrierPrice ? highPrice : lowPrice;
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var barrierPrice = highPrice >= UpperBarrierPrice ?
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tradeBarrier.UpperBarrierPrice : tradeBarrier.BarrierPrice;
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedOut;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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td.TradeStatus = ConsTrade.已平仓;
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td.UnWindDate = valuedate;
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var upDown = highPrice >= UpperBarrierPrice ? true : false;
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SaveBarrierRebateCash(td, tradeBarrier, valuedate, price, barrierPrice, upDown);
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}
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break;
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case "双障碍敲入":
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if (highPrice >= UpperBarrierPrice || lowPrice <= BarrierPrice)
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{
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tradeBarrier.KnockInOutStatus = ConsTrade.KnockState.KnockedIn;
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tradeBarrier.KnockInOutDate = valuedate;
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tradeBarrier.KnockInOutNotional = td.Notional;
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}
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break;
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}
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break;
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}
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}
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/// <summary>
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/// 障碍期权到期时仍未敲入,或者已经敲出，应获得rebate，保存相应的资金信息
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/// </summary>
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public void SaveBarrierRebateCash(OtcTradeBase td, trade_barrier_option tradeBarrier, DateTime settleDate, double? closePrice, double? knockOutBarrierPrice, bool upDown = false)
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{
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var tc = SetTradeCash(td, tradeBarrier, settleDate, closePrice, knockOutBarrierPrice, upDown);
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SaveTradeCashDetail(tc);
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//增加出入金记录
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new ClientCashinCashoutBLL(this).CloseTrade_ClientCashInCashOutSave(td, tc, tc.ValueDate);
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}
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/// <summary>
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/// 生成TradeCash
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/// </summary>
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/// <param name="td">交易</param>
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/// <param name="tradeBarrier">子对象</param>
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/// <param name="settleDate">敲出/了结日期</param>
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/// <param name="closePrice">收盘价</param>
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/// <param name="knockOutBarrierPrice">障碍价</param>
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/// <param name="saveChanges">是否保存</param>
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/// <returns></returns>
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public trade_cash SetTradeCash(OtcTradeBase td, trade_barrier_option tradeBarrier, DateTime settleDate, double? closePrice, double? knockOutBarrierPrice, bool upDown = false, bool saveChanges = true)
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{
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var spotPrice = td.SpotPrice ?? 0;
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double rebate, rebateRate;
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if (upDown)
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{
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if (td.IsUsePremiumRate == true)
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{
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rebateRate = tradeBarrier.RebateHighRate ?? 0;
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rebate = rebateRate * spotPrice;
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}
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else
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{
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rebate = tradeBarrier.RebateHigh ?? 0;
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rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
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}
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}
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else
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{
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if (td.IsUsePremiumRate == true)
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{
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rebateRate = tradeBarrier.RebateRate ?? 0;
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rebate = rebateRate * spotPrice;
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}
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else
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{
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rebate = tradeBarrier.Rebate ?? 0;
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rebateRate = spotPrice > 0 ? rebate / spotPrice : 0;
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}
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}
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if (tradeBarrier.RebateAnnualizedAtKO)
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{
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var rebateDayCountImpl = string.IsNullOrWhiteSpace(tradeBarrier.RebateDayCount) ? new Act365() : tradeBarrier.RebateDayCount.ToDayCountImpl();
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var fraction = rebateDayCountImpl.CalcDayCountFraction(new Date(td.StartDate.Value), new Date(settleDate));
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rebate *= fraction;
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rebate += Math.Abs((td.TradeSinglePrice - td.TradeSinglePrice * fraction) ?? 0);
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}
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var req = new TradeCashReq
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{
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UnwindNotional = td.Notional,
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UnwindPrice = rebate,
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UnwindPricePercentRate = rebateRate,
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FinalPrice = closePrice,
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UnwindPercentRate = td.OriginalNotional > 0 ? td.Notional / td.OriginalNotional.Value : 0,
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Notional = td.Notional,
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TradeAmount = td.TradeAmount,
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ValueDate = settleDate,
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HappenedDate = settleDate,//记录流水记录的结算日
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BarrierPrice = knockOutBarrierPrice
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};
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req.UnwindFee = req.UnwindNotional * (req.UnwindPrice ?? 0) + ((req.UnwindNotional / td.OriginalNotional * td.OriginalPrincipalSum) ?? 0);
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if (valuedateBLL.SystemDate.UnwindAmountAngle == 1)
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{
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req.UnwindFee = req.UnwindFee * (td.BuySell == "卖出" ? -1 : 1);
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}
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if (valuedateBLL.SystemDate.UnwindSinglePriceAngle == 1)
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{
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req.UnwindPrice = req.UnwindPrice * (td.BuySell == "卖出" ? -1 : 1);
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}
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var tc = CloseTrade_TradeCashSave(td, req, isFromRecheckOrKO: true, isLastAction: true, saveChanges: saveChanges);
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if (tradeBarrier.RebateType == "AtEnd")
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{
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tc.ValueDate = td.ExerciseDate.Value;
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tc.HappenedDate = settleDate;
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}
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if (td.IsGroup == 2 && td.ParentTradeId > 0)
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{
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var groupAction = DbContext.trade_cash_group_action.FirstOrDefault(x => x.TradeId == td.id && x.Status != "已完成");
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if (groupAction != null)
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{
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groupAction.Status = "已完成";
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tc.ParentTradeCashId = groupAction.ParentTradeCashId;
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tc.ParentTradeId = groupAction.ParentTradeId;
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}
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else
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{
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tc.ParentTradeId = td.ParentTradeId;
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tc.ParentTradeCashId = SaveGroupUnwindCash(td, tc.ValueDate, tc.Amount, closePrice ?? 0, out var continueTradeCashHandle).id;
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}
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}
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tc.ValidState = "Valid";
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//敲出价格为null，代表该交易为敲入类型的交易，但未敲入，到期后需要返还补偿金额的一条tradecash记录，归为到期行为
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if (knockOutBarrierPrice == null)
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{
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tc.ExerciseWay = TradeCashExerciseWayEnum.到期行权;
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}
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else
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{
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tc.ExerciseWay = TradeCashExerciseWayEnum.提前终止行权;
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}
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return tc;
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}
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}
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}
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