437 lines
16 KiB
C#
437 lines
16 KiB
C#
using Qdp.Pricing.Base.Implementations;
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using YLErp.BLL;
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using YLErp.Models;
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using YLErp.Modules.TradeModule.DealModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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/// <summary>
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/// 获取fixing的服务
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/// </summary>
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public static class FixingService
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{
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/// <summary>
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/// 获取fixing数据
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/// </summary>
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public static string GetFixingString(FixingRequest request)
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{
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if (request is null)
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{
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return null;
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}
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if (request.ValueDate == default)
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{
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request.ValueDate = valuedateBLL.ValueDate;
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}
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if (request.StartDate == default)
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{
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request.StartDate = request.ValueDate;
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}
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else if (request.ValueDate < request.StartDate)
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{
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return string.Empty;
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}
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//估值日期大于到期日期则估值日期变为到期日期
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if (request.ValueDate > request.ExerciseDate)
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{
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request.ValueDate = request.ExerciseDate;
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}
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Dictionary<DateTime, double> priceDic = null;
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HashSet<DateTime> observationDates = null;
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//仅选出观察日列表中的价格作为fixing
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if (!string.IsNullOrWhiteSpace(request.ObservationDates))
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{
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observationDates = QdpHelper.ParseObservationDate(request.ObservationDates).Select(x => x.DateTime).ToHashSet();
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}
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else
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{
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observationDates = CalendarImpl.Get("chn").BizDaysBetweenDatesExcluStartDay(request.StartDate, request.ValueDate).Select(x => x.DateTime).ToHashSet();
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observationDates.Add(request.StartDate);
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observationDates.Add(request.ValueDate);
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}
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var useReferencePrice = request.SettlementType == SettlementTypeEnum.ReferencePrice;
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using (var db = DbContextFactory.GetYLDbContext())
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{
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//日终股票价格
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if (ConsGlobal.InstrumentType.IsStock(request.InstrumentType))
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{
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var query = from e in db.eod_stock_price
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where e.UnderlyingCode == request.UnderlyingCode
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&& e.ValueDate >= request.StartDate && e.ValueDate <= request.ValueDate
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orderby e.ValueDate
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select new
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{
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e.ValueDate,
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Price = useReferencePrice ? (e.ReferencePrice ?? e.ClosePrice) : e.ClosePrice
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};
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priceDic = query.ToDictionary(n => n.ValueDate, n => n.Price);
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ExdividenProcess(request, priceDic);
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}
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else
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{
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var query = from e in db.eod_commodity_future_price
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where e.UnderlyingCode == request.UnderlyingCode
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&& e.ValueDate >= request.StartDate && e.ValueDate <= request.ValueDate
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orderby e.ValueDate
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select new EodPrice
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{
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ValueDate = e.ValueDate,
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ClosePrice = e.ClosePrice,
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ReferencePrice = e.ReferencePrice,
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SettlePrice = e.SettlePrice
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};
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priceDic = query.ToDictionary(e => e.ValueDate, e => e.GetPrice(request.SettlementType));
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}
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//厦门象屿使用参考价的交易在上午10点15分进入下一交易日,所以会出现导入参考价而没有导入收盘价和结算价的情况
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//如果取到的收盘价或结算价为0则可能是异常价格,受制于数据库结构不好修改，所以只能简单处理下
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if (priceDic != null && !useReferencePrice && PS.Config.Company == Configuration.CompanyEnum.厦门象屿
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&& request.ValueDate == valuedateBLL.ValueDate && DateTime.Now.TimeOfDay < GlobalConfig.EodStartTime
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&& priceDic.TryGetValue(request.ValueDate, out var price) && Math.Abs(price) < 1e-6)
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{
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priceDic.Remove(request.ValueDate);
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}
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if (request.ValueDate <= request.ExerciseDate && request.ValueDate >= request.StartDate)
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{
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if (priceDic == null)
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{
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priceDic = new Dictionary<DateTime, double>();
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}
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var valueDatePrice = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode).Price ?? 0;
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if (priceDic.Count < 1 && !QdpCalendarHelper.IsHoliday(request.ValueDate))
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{
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foreach (var observationDate in observationDates.OrderBy(x => x))
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{
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if(request.StartDate <= observationDate && observationDate <= request.ValueDate)
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{
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priceDic.Add(observationDate, valueDatePrice);
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}
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}
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}
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if (priceDic.Any() && priceDic.Last().Key != request.ValueDate && !QdpCalendarHelper.IsHoliday(request.ValueDate))
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{
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priceDic.Add(request.ValueDate, valueDatePrice);
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}
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}
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}
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if (priceDic != null && priceDic.Count > 0)
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{
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var em = priceDic.Where(n => observationDates.Contains(n.Key)).Select(p => $"{p.Key:yyyy-MM-dd},{p.Value}");
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return string.Join(";", em);
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}
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return string.Empty;
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}
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/// <summary>
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/// 获取fixing数据
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/// </summary>
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/// <param name="valueDate">估值日期</param>
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/// <param name="otcTrade">场外交易</param>
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/// <param name="startDate">开始日期</param>
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/// <param name="observationDates">观察日</param>
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public static string GetFixingString(DateTime valueDate, OtcTradeBase otcTrade, DateTime startDate, string observationDates)
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{
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if (otcTrade is null)
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{
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return null;
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}
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return GetFixingString(new FixingRequest(
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tradeId: otcTrade.id,
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valueDate: valueDate,
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startDate: startDate,
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exerciseDate: otcTrade.ExerciseDate ?? valueDate,
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observationDates: observationDates,
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instrumentType: otcTrade.UnderlyingInstrumentType,
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underlyingCode: otcTrade.UnderlyingCode,
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settlementType: otcTrade.SettlementType));
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}
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/// <summary>
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/// 日终价格进行除权处理
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/// </summary>
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private static void ExdividenProcess(FixingRequest request, Dictionary<DateTime, double> priceDic)
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{
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if (priceDic == null || priceDic.Count < 1)
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{
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return;
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}
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var service = new DividendService(OptUserInfo.SystemUser);
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//获取按照除权除息日期正序排列的数组,估值日不需要除权处理(O.ExDividendDate < request.ValueDate)
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var exDividendInfos = service.GetExDividendInfos(request.UnderlyingCode)
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.Where(O => O.ExDividendDate >= request.StartDate && O.ExDividendDate < request.ValueDate)
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.OrderBy(n => n.ExDividendDate).ToArray();
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if (!exDividendInfos.Any())
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{
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return;
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}
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var ratioDict = new DbRecordChangesService<TradeChanges>(OptUserInfo.SystemUser).GetValue(
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changeType: DBModels.Consts.ConsInfoChangeType.Dividend,
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recordId: request.TradeId,
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fieldName: nameof(trade.DividendRatio),
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optDateStart: request.StartDate,
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optDateEnd: request.ValueDate)
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.ToDictionary(K => K.OptDate, V => { return double.TryParse(V.NewValue, out var tempValue) ? (double?)tempValue : null; });
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//日终价格和除权除息信息都按照正序排列
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//获取除权价格则使用大于日终价格日期的除权信息除权
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//循环日终价格，如果除权日期小于价格日期则被排除掉
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var startIndex = 0;
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foreach (var kv in priceDic)
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{
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(var date, var price) = (kv.Key, kv.Value);
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for (var i = startIndex; i < exDividendInfos.Length; i++)
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{
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var dividenInfo = exDividendInfos[i];
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//除权日当天的收盘价也需要处理
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if (date <= dividenInfo.ExDividendDate.Value)
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{
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ratioDict.TryGetValue(date, out var ratio);
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price = service.GetPrice(price, dividenInfo, ratio);
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}
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else
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{
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startIndex = i;
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}
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}
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priceDic[date] = price;
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}
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}
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/// <summary>
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/// 获取fixing请求参数
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="otcTrade"></param>
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/// <returns></returns>
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public static FixingRequestBase GetRequestBase(DateTime valueDate, OtcTradeBase otcTrade)
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{
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if (otcTrade is null)
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{
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return null;
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}
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return new FixingRequestBase(
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tradeId: otcTrade.id,
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valueDate: valueDate,
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exerciseDate: otcTrade.ExerciseDate ?? valueDate,
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instrumentType: otcTrade.UnderlyingInstrumentType,
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underlyingCode: otcTrade.UnderlyingCode,
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settlementType: otcTrade.SettlementType
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);
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}
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/// <summary>
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/// 添加或替换最后一天的fixing价格,仅fixing有值的情况下进行处理
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/// </summary>
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public static string AddOrReplaceLastDateSpotPrice(string fixing, DateTime lastDate, double spotPrice)
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{
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if (!string.IsNullOrEmpty(fixing))
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{
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var span = fixing.AsSpan().Trim(';');
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var lastIndex = span.LastIndexOf(';');
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if (span.Slice(lastIndex + 1).StartsWith(lastDate.ToString("yyyy-MM-dd").AsSpan()))
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{
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fixing = span.Slice(0, lastIndex + 1).ToString();
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}
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else
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{
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fixing += ";";
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}
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fixing += $"{lastDate:yyyy-MM-dd},{spotPrice}";
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}
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return fixing;
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}
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}
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/// <summary>
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/// 亚式期权fixing数据服务
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/// </summary>
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public static class AsianOptionFixingService
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{
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private static trade_asian_option GetAsianOption(int tradeId)
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{
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if (tradeId > 0)
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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return db.trade_asian_option.AsNoTracking().FirstOrDefault(n => n.TradeId == tradeId);
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}
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}
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return null;
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}
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/// <summary>
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/// 为亚式期权交易获取fixing数据
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/// </summary>
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public static string GetFixingString(DateTime valueDate, trade trade, bool setFixingBeforeAPdStartDate = false)
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{
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if (trade.trade_asian_option == null)
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{
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trade.trade_asian_option = GetAsianOption(trade.id);
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if (trade.trade_asian_option == null)
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{
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return string.Empty;
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}
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}
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var fixingReq = GetRequest(valueDate, trade, setFixingBeforeAPdStartDate);
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return GetFixingString(fixingReq, trade.trade_asian_option);
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}
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/// <summary>
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/// 为亚式期权交易获取fixing数据
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/// </summary>
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public static string GetFixingString(DateTime valueDate, OtcTradeBase trade, trade_asian_option asianOption)
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{
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if (trade is null)
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{
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return null;
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}
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if (asianOption == null || asianOption.TradeId != trade.id)
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{
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asianOption = GetAsianOption(trade.id);
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if (asianOption == null)
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{
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return string.Empty;
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}
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}
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return FixingService.GetFixingString(valueDate, trade
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, asianOption.AveragingPeriodStartDate ?? trade.TradeDate ?? valueDate, asianOption.ObservationDates);
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}
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/// <summary>
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/// 为亚式期权交易获取fixing数据
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/// </summary>
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public static string GetFixingString(AsianFixingRequest request, trade_asian_option asianOption)
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{
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if (request is null)
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{
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return null;
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}
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if (asianOption == null)
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{
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asianOption = GetAsianOption(request.TradeId);
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if (asianOption == null)
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{
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return string.Empty;
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}
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}
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var AveragingPeriodStartDate = asianOption.AveragingPeriodStartDate ?? request.ValueDate;
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//这段逻辑从方顿Logic中抽取,但应该是通用逻辑
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if (request.ValueDate < AveragingPeriodStartDate)
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{
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if (request.SetFixingBeforeAPdStartDate)
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{
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var umPrice = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode).Price;
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asianOption.Fixings = $"{request.ValueDate:yyyy-MM-dd},{umPrice}";
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}
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else
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{
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asianOption.Fixings = string.Empty;
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}
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return asianOption.Fixings;
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}
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return FixingService.GetFixingString(new FixingRequest(request, AveragingPeriodStartDate, asianOption.ObservationDates));
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}
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/// <summary>
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/// 获取亚式期权fixing请求参数
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/// </summary>
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/// <param name="valueDate">估值日期</param>
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/// <param name="otcTrade">场外交易对象</param>
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/// <param name="onlyFixed">是否只在固定行权价时获取</param>
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/// <param name="setFixingBeforeAPdStartDate"></param>
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public static AsianFixingRequest GetRequest(DateTime valueDate, OtcTradeBase otcTrade, bool setFixingBeforeAPdStartDate = false)
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{
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if (otcTrade is null)
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{
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return null;
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}
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return new AsianFixingRequest(
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tradeId: otcTrade.id,
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valueDate: valueDate,
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exerciseDate: otcTrade.ExerciseDate ?? valueDate,
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instrumentType: otcTrade.UnderlyingInstrumentType,
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underlyingCode: otcTrade.UnderlyingCode,
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settlementType: otcTrade.SettlementType)
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{
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SetFixingBeforeAPdStartDate = setFixingBeforeAPdStartDate
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};
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}
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/// <summary>
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/// 检查fixings是否需要填充
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/// </summary>
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public static string CheckAsiaFixings(OtcTradeBase tr, trade_asian_option asianOption, string fixings, double spotPrice)
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{
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if (string.IsNullOrWhiteSpace(fixings) && asianOption.PayoffType == "EnhancedArithmeticAverage" && asianOption.StrikeType != "Segmented")
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{
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return $"{tr.StartDate.Value:yyyy-MM-dd},{spotPrice}";
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}
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return fixings;
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}
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}
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/// <summary>
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/// 亚式期权fixing请求model
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/// </summary>
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public class AsianFixingRequest : FixingRequestBase
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{
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public AsianFixingRequest(FixingRequestBase baseReq) : base(baseReq)
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{
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}
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public AsianFixingRequest(DateTime valueDate, int tradeId, string instrumentType, string underlyingCode, DateTime exerciseDate, SettlementTypeEnum settlementType)
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: base(valueDate, tradeId, instrumentType, underlyingCode, exerciseDate, settlementType)
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{
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}
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/// <summary>
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/// 来源于以前的方顿逻辑暂时保留
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/// </summary>
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public bool SetFixingBeforeAPdStartDate { get; set; }
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}
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}
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