zszq-trs/YLErpDAL/Modules/ExchangeOptionTradeModule/ExchangeOptionVolQueryService.cs

using YLErp.Abstract.DataProviders;
using YLErp.BLL;
using YLErp.Modules.VolatilityModule;

namespace YLErp.Modules.ExchangeOptionTradeModule
{
    /// <summary>
    /// 场内期权波动率查询
    /// </summary>
    public class ExchangeOptionVolQueryService : YLBaseService
    {
        public ExchangeOptionVolQueryService(OptUserInfo userInfo) : base(userInfo)
        {

        }

        /// <summary>
        /// 获取场内期权保存的波动率
        /// </summary>
        /// <returns></returns>
        public double? GetSavedVol(string optionCode, DateTime valueDate)
        {
            var (volValue, useFlag) = InnerGetSavedVol(optionCode, valueDate);
            return useFlag == ExchangeOptionVolUseFlag.FixedValue ? volValue : null;
        }

        private (double? volValue, ExchangeOptionVolUseFlag useFlag) InnerGetSavedVol(string optionCode, DateTime valueDate)
        {
            valueDate = valueDate.Date;

            var data = DbContext.exchange_option_vol
                    .Where(v => v.OptionCode == optionCode && v.ValueDate <= valueDate)
                    .OrderByDescending(v => v.ValueDate)
                    .Select(n => new { n.Volatility, n.UseFlag })
                    .FirstOrDefault();

            return data != null ? (data.Volatility, data.UseFlag) : (null, ExchangeOptionVolUseFlag.SystemOrImpliedVol);
        }

        /// <summary>
        /// 获取场内期权波动率
        /// </summary>
        /// <param name="valueDate">nullable时使用当前交易日期</param>
        /// <param name="optionCode"></param>
        /// <param name="underlyingPrice"></param>
        /// <param name="userGroup"></param>
        /// <returns></returns>
        public (double? volValue, ExchangeOptionVolResultType volType) GetVolValue(ExchangeOptionVolRequest request)
        {
            if (request is null)
            {
                throw new ArgumentNullException(nameof(request));
            }

            if (string.IsNullOrWhiteSpace(request.OptionCode))
            {
                throw new ServiceException("场内期权代码 不能为空");
            }

            var valueDate = request.ValueDate ?? valuedateBLL.ValueDate;

            //从数据库中获取保存的场内期权波动率值
            var (volValue, useFlag) = InnerGetSavedVol(request.OptionCode, valueDate);
            if (useFlag == ExchangeOptionVolUseFlag.FixedValue)
            {
                return (volValue, ExchangeOptionVolResultType.SavedFixVol);
            }

            //特殊:光子只需要保存的波动率，故而返回null
            if (PS.Config.Is光大光子)
            {
                return (null, ExchangeOptionVolResultType.SavedFixVol);
            }

            //根据配置获取系统或隐含波动率
            return GetSystemOrImpliedVol(request);
        }

        /// <summary>
        /// 根据配置获取系统或隐含波动率
        /// </summary>
        private (double? volValue, ExchangeOptionVolResultType volType) GetSystemOrImpliedVol(ExchangeOptionVolRequest request)
        {
            var valueDate = request.ValueDate ?? valuedateBLL.ValueDate;

            var isImpliedVol = PS.Config.ErpElement.ExchangeOptionVolType == Configuration.Enums.ExchangeOptionVolType.ImpliedVol;
            var volResultType = isImpliedVol ? ExchangeOptionVolResultType.ImpliedVol : ExchangeOptionVolResultType.UnderlyingVol;

            //取场内期权合约信息
            var exchangeOption = DataCacheProvider.GetExchangeListOptionDataSource().GetData(request.OptionCode);
            if (exchangeOption == null)
            {
                return (null, volResultType);
            }

            //取场内期权标的信息
            var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(exchangeOption.UnderlyingCode);
            if (underlying == null)
            {
                return (null, volResultType);
            }

            //取场内期权标的价格
            double underlyingPrice;
            if (request.UnderlyingPrice == null)
            {
                if (request.UnderlyingPriceProvider?.Value == null)
                {
                    throw new ServiceException("缺少标的价格提供接口");
                }

                underlyingPrice = request.UnderlyingPriceProvider.Value.GetPrice(underlying.UnderlyingCode);
            }
            else
            {
                underlyingPrice = request.UnderlyingPrice.Value;
            }

            if (isImpliedVol)
            {
                if (request.ExchangeOptionPriceProvider?.Value == null)
                {
                    throw new ServiceException("缺少场内期权价格提供接口");
                }

                var exOptionPrice = request.ExchangeOptionPriceProvider.Value.GetPrice(exchangeOption.ContractCode);

                var tempTrade = new trade
                {
                    BuySell = "买入",
                    TradeType = "场内期权",
                    UnderlyingCode = underlying.UnderlyingCode,
                    UnderlyingId = underlying.id,
                    TradeDate = valueDate,
                    StartDate = valueDate,
                    ExerciseDate = exchangeOption.MaturityDate,
                    MaturityDate = underlying.MaturityDate,
                    TradePrice = exOptionPrice,
                    TradeStatus = "确认成交",
                    ExerciseMode = exchangeOption.ExerciseMode,
                    OptionType = exchangeOption.OptionType,
                    Strike = exchangeOption.Strike,
                    Notional = 1,
                    UnderlyingInstrumentType = underlying.UnderlyingInstrumentType,
                    ExchangeOptionCode = exchangeOption.ContractCode,
                    AssetId = 0,
                    id = -1,
                    UnderlyingAssetClass = underlying.UnderlyingType,

                    //用于反算隐含波动率
                    StructureType = "场内期权",
                    TradeSinglePrice = exOptionPrice
                };

                var volValue = VolatilityHelper.GetImpliedVol(valueDate, tempTrade, null, underlyingPrice, false);

                return (volValue, ExchangeOptionVolResultType.ImpliedVol);
            }
            else
            {
                var req = new SingleVolReq
                {
                    VolType = VolatilityHelper.GetUnderlyingVolType(request.VolType),
                    Strike = exchangeOption.Strike,
                    SpotPrice = underlyingPrice,
                    TradeDate = valueDate,
                    ExerciseDate = exchangeOption.MaturityDate,
                    IsMoneynessOption = "否",
                    //CallPut = trade.CallPut;
                    UnderlyingId = underlying.id,
                    UnderlyingCode = underlying.UnderlyingCode,
                    UnderlyingName = underlying.UnderlyingName,
                    UnderlyingTypeId = underlying.UnderlyingTypeId,
                    UserGroup = request.UserGroup
                };

                double? volValue = null;

                try
                {
                    volValue = SingleVolService.GetSingleVol(req, 0);
                }
                catch { }

                return (volValue, ExchangeOptionVolResultType.UnderlyingVol);
            }
        }
    }

    /// <summary>
    /// 场内期权波动率查询
    /// </summary>
    public class ExchangeOptionVolRequest
    {
        public ExchangeOptionVolRequest()
        {

        }

        /// <summary>
        /// 必需, 场内期权代码
        /// </summary>
        public string OptionCode { get; set; }

        /// <summary>
        /// 估值日期,为null时取系统交易日期 
        /// </summary>
        public DateTime? ValueDate { get; set; }

        /// <summary>
        /// 必需，场内期权价格提供，用于计算隐含波动率
        /// </summary>
        public Lazy<IPriceProvider> ExchangeOptionPriceProvider { get; set; }

        /// <summary>
        /// 标的价格, savedVol无效时用于取隐含波动率或曲面波动率,为null时使用IUnderlyingPriceProvider获取
        /// </summary>
        public double? UnderlyingPrice { get; set; }

        /// <summary>
        /// 获取标的价格的接口，UnderlyingPrice为null时使用此接口
        /// </summary>
        public Lazy<IPriceProvider> UnderlyingPriceProvider { get; set; }

        /// <summary>
        /// 用户组，用于取曲面波动率
        /// </summary>
        public string UserGroup { get; set; }

        /// <summary>
        /// 波动率类型，未传入时TradeVol模式下使用交易Mid波动率，Volsurface模式下使用配置的结算波动率
        /// </summary>
        public string VolType { get; set; }
    }

    /// <summary>
    /// 场内期权波动率结果类型
    /// </summary>
    public enum ExchangeOptionVolResultType
    {
        /// <summary>
        /// 保存的固定波动率
        /// </summary>
        SavedFixVol,

        /// <summary>
        /// 曲面波动率
        /// </summary>
        UnderlyingVol,

        /// <summary>
        /// 隐含波动率
        /// </summary>
        ImpliedVol
    }
}