113 lines
4.4 KiB
C#
113 lines
4.4 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using YLErp.Abstract;
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using YLErp.DBModels;
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using YLErp.Modules.TradeModule.AccumulatorOptionModule;
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using YLErp.Modules.TradeModule.KnockOutModule.Dto;
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namespace YLErp.Modules.TradeModule.KnockOutModule
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{
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/// <summary>
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/// 累计期权敲出计算服务
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/// </summary>
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public class AccumulatorTradeKnockOutService : ITradeKnockOutService
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{
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/// <summary>
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/// 获取敲出payoff
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/// </summary>
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/// <param name="td"></param>
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/// <param name="underlyingPrice"></param>
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/// <param name="_valueDate"></param>
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/// <param name="_tradeExtendDataProvider"></param>
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/// <returns></returns>
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public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
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{
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var accumulatorOption = _tradeExtendDataProvider.GetTrade_Accumulator_Option(td.id);
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if (accumulatorOption == null)
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{
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return new GetKnockOutPayoffResult { IsKnockOut = false };
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}
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td.trade_accumulator_option = accumulatorOption;
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return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
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}
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/// <summary>
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/// 获取敲出payoff
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/// </summary>
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/// <param name="td"></param>
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/// <param name="underlyingPrice"></param>
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/// <param name="_valueDate"></param>
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/// <param name="accumulatorOption"></param>
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/// <returns></returns>
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public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
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{
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GetKnockOutPayoffResult result = new GetKnockOutPayoffResult { IsKnockOut = false };
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var accumulatorOption = td.trade_accumulator_option;
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if (accumulatorOption == null)
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{
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return result;
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}
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(td.UnderlyingCode);
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var notional = accumulatorOption.AccumuTradeAmount * underlying.CountRatio;
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var changeData = GetChangeDataOfSepecialDay(td.id, _valueDate);
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CheckResult checkResult = null;
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if (changeData != null)
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{
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//关键点:还原换月设置到交易时不要更新当前传入的trade和tradeAcc，因为这两个数据涉及到数据库更新
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var tdClone = new trade();
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YLAutoMapper.Map<trade, trade>(td, tdClone);
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var tdAccClone = accumulatorOption.Clone();
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tdClone.trade_accumulator_option = accumulatorOption;
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TradeAccumulatorHelper.RestoreAccumulatorChangeData(tdClone, tdAccClone, changeData);
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checkResult = TradeAccumulatorService.CheckAccumulatorPayoff(tdClone, tdAccClone, _valueDate, underlyingPrice, notional);
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}
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else
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{
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checkResult = TradeAccumulatorService.CheckAccumulatorPayoff(td, accumulatorOption, _valueDate, underlyingPrice, notional);
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}
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if (checkResult != null && "敲出".Equals(checkResult.SettlementMode) && accumulatorOption.EarlyTerminate)
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{
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result.IsKnockOut = true;
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result.Payoff = 0;
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}
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return result;
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}
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/// <summary>
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/// 获取累计期权换月设置
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/// </summary>
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/// <param name="tradeId"></param>
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/// <param name="valueDate"></param>
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/// <returns></returns>
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private TradeAccumulatorChangeData GetChangeDataOfSepecialDay(int tradeId, DateTime valueDate)
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{
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using(var db = DbContextFactory.GetYLDbContext())
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{
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var query = from a in db.TradeAction.AsNoTracking()
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where a.IsValid && a.TradeId == tradeId && a.ValueDate <= valueDate && a.ActionType == TradeActionType.AccumulatorChange
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orderby a.ValueDate descending
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select a.ActionData;
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var actionData = query.FirstOrDefault();
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if (string.IsNullOrEmpty(actionData))
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{
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return null;
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}
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return JsonHelper.Deserialize<TradeAccumulatorChangeData>(actionData);
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}
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}
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}
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}
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