314 lines
11 KiB
C#
314 lines
11 KiB
C#
using System.Data;
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using System.Text;
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using System.Text.RegularExpressions;
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using YLErp.Commons;
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using YLErp.Modules.SkewMapVolModule;
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using YLErp.Modules.VolatilityModule;
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using YLErp.QdpModule;
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using YLErp.QdpModule.Constants;
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namespace YLErp.Web.Controllers
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{
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[MyAuthorizeIgnore]
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public class skewMapController : BaseController
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{
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public ActionResult Index()
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{
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return View(new BasicViewModel(CurUser));
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}
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public ActionResult GetBaseVol(string underlyingCode, DateTime valueDate)
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{
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if (QdpCalendarHelper.IsHoliday(valueDate))
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{
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return JsonSuccess();
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}
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var vol = VolatilityHelper.GetVol(valueDate, "交易", underlyingCode, null);
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return JsonSuccessData(vol);
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}
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public ActionResult SetBaseVol(volatility vol)
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{
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if (vol is null)
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{
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throw new ArgumentNullException(nameof(vol));
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}
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var un = yldb.underlying_manager.Where(n => n.UnderlyingCode == vol.ContractCode)
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.Select(n => new { n.id }).FirstOrDefault();
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if (un == null)
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{
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return JsonError("标的信息不存在:" + vol.ContractCode);
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}
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vol.UnderlyingId = un.id;
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vol.VolType = "交易";
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vol.VolSurfaceMode = "MoneynessVol";
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vol.InterpolationMethod = ConsVolMethod.BiLinear;
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vol.OptDate = DateTime.Now;
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var cur_vol = new VolatilitySaveService(CurUser).SaveVol(vol);
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return JsonSuccessData(cur_vol.First());
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}
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/// <summary>
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/// 上传SkewMap文件CSV
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/// </summary>
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public ActionResult UploadSkewMap(string skewMapType)
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{
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if (string.IsNullOrEmpty(skewMapType))
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{
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return Json(Return.Fail("skewMapType 不应为空"));
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}
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var files = Request.Form.Files;
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if (files == null || files.Count == 0)
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{
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return Json(Return.Fail("上传文件不存在"));
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}
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if (files[0].Length < 1)
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{
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return Json(Return.Fail("上传文件内容为空"));
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}
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try
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{
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using var stream = files[0].OpenReadStream();
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using (var ms = new MemoryStream())
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{
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stream.CopyTo(ms);
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var content = Encoding.UTF8.GetString(ms.ToArray());
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var result = VolSkewMapInitializerSingleton.Instance.SetSkewMapData(content, skewMapType.ToLower() == "bid");
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return result ? JsonSuccess("成功") : JsonError("失败");
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}
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}
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catch (Exception ex)
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{
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return JsonError("保存失败," + ex.Messages());
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}
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}
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/// <summary>
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/// 下载SkewMap文件CSV
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/// </summary>
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public ActionResult DownLoadSkewMap(string type)
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{
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try
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{
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using (var db = new YLContext())
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{
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var queryObj = db.globalSkewMap.FirstOrDefault(O => O.SkewMapType == type);
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if (queryObj == null)
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{
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return ShowError("文件不存在");
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}
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var buffer = Encoding.UTF8.GetBytes(queryObj.SkewMapTableData);
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return File(buffer, "application/ms-excel", $"SkewMap-{type}.csv");
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}
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}
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catch (Exception e)
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{
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return ShowError("下载失败," + e.Messages());
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}
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}
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/// <summary>
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/// 上传BaseVol文件Excel
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/// </summary>
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public ActionResult UploadBaseVol()
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{
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var files = Request.Form.Files;
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if (files == null || files.Count == 0)
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{
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return Json(Return.Fail("上传文件不存在"));
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}
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var helper = new ExcelHelper();
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using var stream = files[0].OpenReadStream();
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var dt = helper.ExcelToDataTable(stream, "Sheet1", false);
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if (dt.Columns.Count != 2)
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{
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return Json(Return.Fail("数据格式有误"));
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}
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var StrikeRow = 0;
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var volatilitys = new List<volatility>();
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var unProvider = Modules.DataCacheProvider.GetUnderlyingDataSource();
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volatility volObj = null;
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List<SingleVol> singleVols = null;
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for (var i = 0; i < dt.Rows.Count; i++)
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{
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var drow = dt.Rows[i];
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if (string.IsNullOrWhiteSpace(drow[0]?.ToString()))
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{
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volObj.Data = singleVols.ToJson();
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StrikeRow = i + 1;
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continue;
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}
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if (StrikeRow == i)
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{
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var code = drow[0]?.ToString();
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var strike = double.Parse(dt.Rows[StrikeRow][1].ToString());
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if (OtcFormatHelper.FormatValue(strike, 2) != 1)
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{
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return Json(Return.Fail($"{code}的 Strike 不为 1"));
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}
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var info = unProvider.GetData(code);
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if (info == null)
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{
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return JsonError("标的信息不存在:" + code);
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}
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if (info.IsFutures() && info.MaturityDate < valuedateBLL.ValueDate)
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{
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return JsonError("标的已过期:" + code);
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}
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volObj = new volatility
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{
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ContractCode = drow[0]?.ToString(),
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UnderlyingId = info?.id,
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QuotationDate = valuedateBLL.ValueDate,
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VolType = "交易",
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VolSurfaceMode = "MoneynessVol",
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InterpolationMethod = ConsVolMethod.BiLinear,
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OptDate = DateTime.Now
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};
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if (!volatilitys.Exists(O => O.ContractCode == code))//如果存在重复代码则以第一条为准
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{
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volatilitys.Add(volObj);
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}
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singleVols = new List<SingleVol>();
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continue;
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}
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singleVols.Add(new SingleVol()
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{
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Expire = drow[0]?.ToString(),
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Strike = double.Parse(dt.Rows[StrikeRow][1].ToString()),
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Vol = double.Parse(drow[1].ToString())
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});
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}
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if (volObj != null && volatilitys[volatilitys.Count - 1].Data == null)
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{
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volObj.Data = singleVols.ToJson();
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}
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new VolatilitySaveService(CurUser).SaveVols(volatilitys);
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return JsonSuccess();
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}
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/// <summary>
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/// 下载BaseVol文件Excel
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/// </summary>
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public ActionResult DownLoadBaseVol(DateTime valueDate, string underlyingCode, bool query = false)
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{
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byte[] buffer = null;
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try
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{
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var list = new VolatilityQueryService(CurUser).GetVolatilities(new BatchVolatilityRequest
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{
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QuotationDate = valueDate,
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UnderlyingCodes = string.IsNullOrEmpty(underlyingCode) ? null : new[] { underlyingCode },
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TradeVolWithBidAsk = true,
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UserGroup = CurUser.UserGroup,
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VolType = "交易"
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}, false);
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if (list == null || !list.Any())
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{
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return Json(Return.Fail("数据不存在"));
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}
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if (query)//如果只是查询数据是否存在，则只返回错误信息或数量;
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{
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return JsonSuccessData(list.Count());
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}
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list = list.OrderBy(O => O.ContractCode).ToList();
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var dt = new DataTable();
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var StrikeRow = 0;
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dt.Columns.Add();
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dt.Columns.Add();
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foreach (var item in list)
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{
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dt.Rows.Add();
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dt.Rows[StrikeRow][0] = item.ContractCode;
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var vos = item.VolTable;
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vos.Sort((X, Y) =>
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{
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if (X == null) { return -1; }
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if (Y == null) { return 1; }
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return ExpireToDay(X.Expire) - ExpireToDay(Y.Expire);
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});
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for (var j = 0; j < vos.Count; j++)
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{
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dt.Rows.Add();
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dt.Rows[StrikeRow][1] = vos[j].Strike;
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dt.Rows[StrikeRow + j + 1][0] = vos[j].Expire;
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dt.Rows[StrikeRow + j + 1][1] = vos[j].Vol;
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}
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dt.Rows.Add();
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StrikeRow = StrikeRow + vos.Count + 2;
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}
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new ExcelHelper().DataTableToExcel(dt, "Sheet1", false, out buffer);
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if (string.IsNullOrWhiteSpace(underlyingCode)) { underlyingCode = "All"; }
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return File(buffer, "application/ms-excel", $"BaseVol-{valueDate:yyyy-MM-dd}-{underlyingCode}.xlsx");
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}
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catch (Exception e)
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{
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return ShowError("下载失败" + e.Message);
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}
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}
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private int ExpireToDay(string expire)
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{
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var result = 0;
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var m = Regex.Match(expire.ToUpper(), @"^(?<num>\d+)(?<unit>[D|W|M|Y])$");
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if (!m.Success) { return 999; }
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var num = int.Parse(m.Groups["num"].Value);
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var unit = m.Groups["unit"].Value;
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switch (unit)
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{
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case "D":
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result = int.Parse(m.Groups["num"].Value);
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break;
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case "W":
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result = int.Parse(m.Groups["num"].Value) * 7;
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break;
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case "M":
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result = int.Parse(m.Groups["num"].Value) * 30;
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break;
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case "Y":
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result = int.Parse(m.Groups["num"].Value) * 365;
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break;
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}
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return result;
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}
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public ActionResult GetVarietyVol(int varietyId, DateTime valueDate)
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{
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var data = new VarietyVolService(CurUser).GetVol(varietyId, valueDate);
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return JsonSuccessData(data);
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}
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public ActionResult SetVarietyVol(int varietyId, DateTime valueDate, double vol)
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{
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new VarietyVolService(CurUser).SaveData(varietyId, valueDate, vol);
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return JsonSuccess();
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}
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}
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} |