95 lines
4.2 KiB
C#
95 lines
4.2 KiB
C#
using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix;
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using YLErp.Abstract;
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using YLErp.BLL;
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using YLErp.Modules.CalculationModule;
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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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/// 凤凰期权敲出计算服务
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/// </summary>
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public class AutocallTradeKnockOutService : ITradeKnockOutService
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{
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public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate, ITradeExtendDataProvider _tradeExtendDataProvider)
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{
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var autocallOption = _tradeExtendDataProvider.GetTrade_Autocall_Option(td.id);
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if (autocallOption == null)
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{
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return new GetKnockOutPayoffResult { IsKnockOut = false };
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}
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td.trade_autocall = autocallOption;
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return GetKnockOutPayoff(td, underlyingPrice, _valueDate);
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}
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public GetKnockOutPayoffResult GetKnockOutPayoff(trade td, double underlyingPrice, DateTime _valueDate)
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{
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var result = new GetKnockOutPayoffResult { IsKnockOut = false };
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var autocallOption = td.trade_autocall;
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if (autocallOption == null)
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{
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return result;
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}
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//1、获取敲出观察日期
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var optionTrade = QdpTradeBuilder.GetAutocallOptionTrade(td, autocallOption,
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new OptionTradeParamRequest(valuedateBLL.SysRiskFreeRate()) { ParamOverride = x => { x.notional = td.Notional; } });
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var autocall = (AutoCall)optionTrade.Instrument;
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var kiBarrier = td.IsMoneynessOptionData ? autocallOption.KIBarrier * td.SpotPrice : autocallOption.KIBarrier;
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var isCall = ConsGlobal.CallPut.IsCall(td.CallPut);
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if (autocall.KOObsDates.Select(x => x.DateTime).Contains(_valueDate)) //当前日为观察日
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{
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//2、敲出判断
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double koBarrier;
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if (autocall.CustomizedKOBarriers != null && autocall.CustomizedKOBarriers.Length > 0)
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{
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var index = autocall.KOObsDates.Select(x => x.DateTime).ToList().IndexOf(_valueDate);
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koBarrier = autocall.CustomizedKOBarriers[index];
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}
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else
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{
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koBarrier = autocallOption.KOBarrier;
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}
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if (td.IsMoneynessOptionData)
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{
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koBarrier *= td.SpotPrice ?? 1.0;
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}
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//看涨 - 向上敲出,看跌 - 向下敲出
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var isKnockedOut = isCall ? underlyingPrice >= koBarrier : underlyingPrice <= koBarrier;
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if (isKnockedOut)
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{
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result.IsKnockOut = true;
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var couponBarrier = td.IsMoneynessOptionData ? autocallOption.CouponBarrier * td.SpotPrice : autocallOption.CouponBarrier;
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if (isCall ? underlyingPrice >= couponBarrier : underlyingPrice <= couponBarrier) // 与派息障碍价格比较
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{
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var observation = autocall.GetEffectiveObservation(_valueDate, includeTradeStartDate: autocallOption.CouponIncludeStartDate == true && autocallOption.CouponDayCount != "Monthly");
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if (observation != null)
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{
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result.Payoff = observation.PaymentAmount;
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}
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}
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if (autocallOption.CouponPayType == CouponPayTypeEnum.AtCreated) //如果是产生时支付，持仓payoff为当日票息
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{
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return result;
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}
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//如果到期支付 或者 敲出支付 持仓payoff加上之前的票息
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var obsAmount = db.autocall_observation.Where(o => o.TradeId == td.id && o.EndDate != _valueDate).Sum(p => p.PaymentAmount);
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result.Payoff += obsAmount;
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}
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return result;
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}
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}
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return result;
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}
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}
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}
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