zszq-trs/YLErpDAL/Modules/VolatilityModule/SkewMapVolModule/VolSkewMapDbInitializer.cs

using System.Data;
using YLErp.BLL;

namespace YLErp.Modules.SkewMapVolModule
{
    public class VolSkewMapDbInitializer : IVolSkewMapInitializer
    {
        /// <summary>
        /// 从数据库表读取SkewMapData
        /// </summary>
        /// <returns></returns>
        public DataTable GetSkewMapData(bool isBuy)
        {
            if (isBuy)
            {
                if (_bidTable == null)
                {
                    var rawTable = ReadDataFromDb(isBuy);
                    if (rawTable == null)
                    {
                        return null;
                    }
                    _bidTable = ExpandSkewMap(rawTable);
                }

                return _bidTable;
            }
            else
            {
                if (_askTable == null)
                {
                    var rawTable = ReadDataFromDb(isBuy);
                    if (rawTable == null)
                    {
                        return null;
                    }
                    _askTable = ExpandSkewMap(rawTable);
                }

                return _askTable;
            }
        }

        public bool SetSkewMapData(string table, bool isBuy)
        {
            if (SaveDataToDb(table, isBuy))
            {
                var rawTable = ReadDataFromDb(isBuy);
                if (isBuy)
                {
                    _bidTable = ExpandSkewMap(rawTable);
                }
                else
                {
                    _askTable = ExpandSkewMap(rawTable);
                }
                return true;
            }
            return false;
        }

        private static DataTable ExpandSkewMap(DataTable base_map)
        {
            int[] base_var = { 1, 5, 10, 15, 20, 25, 30, 35, 40, 45, 50 };
            var target_var = new int[50];
            for (int i = 0; i < 50; i++)
            {
                target_var[i] = i + 1;
            }

            var tb = new DataTable();
            tb.Columns.Add("term", System.Type.GetType("System.Double"));
            tb.Columns.Add("moneyness", System.Type.GetType("System.Double"));
            tb.Columns.Add("basevol", System.Type.GetType("System.Double"));
            foreach (int i in target_var)
            {
                tb.Columns.Add(i.ToString(), System.Type.GetType("System.Double"));
            }

            foreach (DataRow dr in base_map.Rows)
            {
                var r = tb.NewRow();
                r[0] = Convert.ToSingle(dr["term"]);
                r[1] = Convert.ToSingle(dr["moneyness"]);
                r[2] = Convert.ToSingle(dr["basevol"]);
                int loc = 3;

                foreach (int v in target_var)
                {
                    var var_col = v.ToString();
                    if (base_var.Contains(v))
                    {
                        r[loc] = Convert.ToSingle(dr[var_col]);
                    }
                    else
                    {
                        int l_var = base_var.Where(b => b < v).Last();
                        int h_var = base_var.Where(b => b > v).First();
                        float l_v = Convert.ToSingle(dr[l_var.ToString()]);
                        float h_v = Convert.ToSingle(dr[h_var.ToString()]);
                        float n_value = l_v + (v - l_var) * (h_v - l_v) / (h_var - l_var);
                        r[loc] = n_value;
                    }
                    loc++;
                }
                tb.Rows.Add(r);
            }
            return tb;

        }

        private static DataTable ReadDataFromDb(bool isBuy)
        {
            using (var db = new YLContext())
            {
                var skewMapType = ConvertToSkewMapType(isBuy);
                var skewMap = db.globalSkewMap.FirstOrDefault(x => x.SkewMapType == skewMapType);
                if (skewMap == null || string.IsNullOrWhiteSpace(skewMap.SkewMapTableData))
                {
                    return null;
                }

                var tb = new DataTable();
                var rows = skewMap.SkewMapTableData.Split('\n');
                for (int i = 0; i < rows.Count() - 1; i++)
                {
                    var rowValues = rows[i].Split(',');
                    if (i == 0)
                    {
                        //tb.Columns.Add(rowValues[0].Trim());
                        for (int j = 0; j < rowValues.Count(); j++)
                        {
                            tb.Columns.Add(rowValues[j].Trim());
                        }
                    }
                    else
                    {
                        var dr = tb.NewRow();
                        for (int k = 0; k < rowValues.Count(); k++)
                        {
                            dr[k] = Convert.ToSingle(rowValues[k]);
                        }
                        tb.Rows.Add(dr);
                    }
                }
                return tb;
            }
        }

        private static bool SaveDataToDb(string tableStr, bool isBuy)
        {
            try
            {
                var skewMapType = ConvertToSkewMapType(isBuy);
                using (var db = new YLContext())
                {
                    var existingRecord = db.globalSkewMap.FirstOrDefault(x => x.SkewMapType == skewMapType);
                    if (existingRecord == null)
                    {
                        existingRecord = new Model.GlobalSkewMap
                        {
                            SkewMapTableData = tableStr,
                            SkewMapType = skewMapType,
                            UpdateTime = DateTime.Now
                        };
                        db.globalSkewMap.Add(existingRecord);
                    }
                    else
                    {
                        existingRecord.SkewMapTableData = tableStr;
                        existingRecord.UpdateTime = DateTime.Now;
                    }
                    db.SaveChanges();
                }
                return true;
            }
            catch (Exception)
            {
                return false;
            }
        }

        private static string ConvertToSkewMapType(bool isBuy)
        {
            return isBuy ? "Bid" : "Ask";
        }

        private DataTable _bidTable = null;
        private DataTable _askTable = null;
    }
}