503 lines
17 KiB
C#
503 lines
17 KiB
C#
using System.ComponentModel.DataAnnotations;
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using System.ComponentModel.DataAnnotations.Schema;
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namespace YLErp.DBModels
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{
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[Table("valuedate")]
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public class valuedate : IDataTrace
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{
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public const string 历史使用 = "历史使用";
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public const string 当前使用 = "当前使用";
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public static string LogClass = "系统估值日期";
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public static readonly IEnumerable<string> BinaryOptionCalculationMethods = new List<string> { "Analytical", "Replication" }.AsReadOnly();
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public static readonly IEnumerable<string> ThetaTypes = new List<string> { "交易日Theta", "日历日Theta" }.AsReadOnly();
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public static readonly IEnumerable<string> BinaryOptionReplicationStrategies = new List<string> { "Down", "Middle" }.AsReadOnly();
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public static readonly IEnumerable<string> DayCount = new List<string> { "Act365", "Bus244", "Bus245", "Bus243", "Bus252", "ActAct" }.AsReadOnly();
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/// <summary>
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/// 监管参数 持仓报送一年有效天数
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/// </summary>
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public static readonly IEnumerable<string> PositionReportDayCount = new List<string> { "Act365", "Bus244", "Bus245", "Bus243", "Bus252", "ActAct", "BusBus" }.AsReadOnly();
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private static IEnumerable<string> _valueVanillaOptionMode = null;
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/// <summary>
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/// 美式香草期权定价模型
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/// </summary>
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public static IEnumerable<string> ValueVanillaOptionMode
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{
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get
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{
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if (_valueVanillaOptionMode == null)
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{
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//_valueVanillaOptionMode = (YLErp.PS.Config.Is光大光子 ? new List<string> { "BAW", "二叉树" } : new List<string> { "BAW" }).AsReadOnly();
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_valueVanillaOptionMode = (new List<string> { "BAW", "二叉树" }).AsReadOnly();
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}
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return _valueVanillaOptionMode;
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}
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}
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public static readonly IEnumerable<string> SettleDocModes = new List<string> { "单笔", "多笔" }.AsReadOnly();
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public static readonly IEnumerable<string> TradeContractDocModes =
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new List<string> { "单笔模式", "单客户同日", "单客户同日同类型", "单客户同日同类型同方向", "申银万国模式" }.AsReadOnly();
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public static readonly IEnumerable<string> TradeContractModes = new List<string> { "卖方-甲方", "买方-甲方", "渠道商-甲方" }.AsReadOnly();
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public static readonly List<string> EodSettlePriceModes = new List<string> { "收盘价" };//"结算价",
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public static readonly IEnumerable<string> PotentialSurplusCalcModes = new List<string> { "实值计算", "虚值计算" }.AsReadOnly();
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//报价周期可选项
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public static readonly IEnumerable<string> QuotationCycleType = new List<string> { "1W", "2W", "1M", "45D", "2M", "3M", "4M" }.AsReadOnly();
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public const string SettleDocModeSingle = "单笔";
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public const string SettleDocModeMultiple = "多笔";
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public const string TradeContractModeSellerForFirst = "卖方-甲方";
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public const string TradeContractModeBuyerForFirst = "买方-甲方";
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public const string TradeContractModeBrokerForFirst = "渠道商-甲方";
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public const string PotentialSurplusCalcMode_ActualPv = "实值计算";
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public const string PotentialSurplusCalcMode_Pv = "虚值计算";
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[NotMapped]
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public SystemConfigData ConfigInfoData
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{
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get
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{
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if (string.IsNullOrEmpty(ConfigInfo))
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{
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return new SystemConfigData();
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}
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return JsonHelper.Parse<SystemConfigData>(ConfigInfo);
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}
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}
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public string ConfigInfo { get; set; }
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/// <summary>
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/// 真实行权费率
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/// </summary>
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[NotMapped]
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[DisplayName("行权费率")]
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public double? ExerciseCostRatioReal { get { return (ExerciseCostRatio ?? 0) / 10000; } }
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/// <summary>
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/// 万分之单位
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/// </summary>
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[DisplayName("行权费率")]
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public double? ExerciseCostRatio { get; set; }
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/// <summary>
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/// 交易特批
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/// </summary>
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[DisplayName("交易特批")]
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public int? SpecialOperateForTrade { get; set; }
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/// <summary>
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/// 出金特批
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/// </summary>
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[DisplayName("出金特批")]
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public int? SpecialOperateForCashOut { get; set; }
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/// <summary>
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/// 是否需要平仓行权复核
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/// </summary>
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[DisplayName("是否需要平仓行权复核")]
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public int? CloseReCheck { get; set; }
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/// <summary>
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/// 是否需要平仓行权审批
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/// </summary>
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[DisplayName("是否需要平仓行权审批")]
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public int? CloseReApprove { get; set; }
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[DisplayName("无风险利率")]
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public double? RiskFreeRate { get; set; }
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[DisplayName("扩展无风险利率")]
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public double? RiskFreeRateExtend { get; set; }
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[DisplayName("利率曲线")]
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public string RiskFreeCurveData { get; set; }
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[DisplayName("二元期权计算方法")]
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public string BinaryCalculation { get; set; }
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[DisplayName("Theta类型")]
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public string ThetaType { get; set; }
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[DisplayName("二元期权复制策略")]
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public string BinaryReplicationStrategy { get; set; }
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[DisplayName("开启客户报价计算")]
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public int? EnableClientCalculation { get; set; }
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[DisplayName("开启手机端实时报价")]
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public int? EnableMobileQuotation { get; set; }
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[DisplayName("手机端报价是否展示波动率报价")]
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public int? EnableMobileVolQuote { get; set; }
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/// <summary>
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///
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/// </summary>
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[Key]
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public int id { set; get; }
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/// <summary>
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/// 估值日期
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/// </summary>
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[DisplayName("估值日期")]
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public DateTime ValueDate { set; get; }
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/// <summary>
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/// 状态
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/// </summary>
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[DisplayName("状态")]
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public string State { set; get; } = "";
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/// <summary>
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/// 是否自动更新时间，true就自动更新，false不是自动更新
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/// </summary>
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[DisplayName("类型")]
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public string Type { set; get; } = "";
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/// <summary>
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/// 是否自动更新时间
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/// </summary>
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[NotMapped]
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public bool IsAutoUpdate
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{
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get { return Type != "false"; }
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}
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/// <summary>
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/// 操作员_optid
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/// </summary>
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[DisplayName("操作员")]
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public int? OptId { set; get; }
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/// <summary>
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/// 操作员_optname
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/// </summary>
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[DisplayName("操作员")]
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public string OptName { set; get; } = "";
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/// <summary>
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/// 更新时间_updatedate
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/// </summary>
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[DisplayName("更新时间")]
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public DateTime? UpdateTime { set; get; }
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/// <summary>
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/// 创建时间_createdate
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/// </summary>
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[DisplayName("创建时间")]
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public DateTime? CreateTime { set; get; }
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//[DisplayName("对冲风险实时刷新频率")]
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//public int RiskHedgingRefreshPeriod { get; set; }
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[DisplayName("CurveDayCount")] public string CurveDayCount { get; set; } = "Act365";
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[DisplayName("TradeDayCount")] public string TradeDayCount { get; set; } = "Bus244";
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[DisplayName("持仓报送报告的一年有效天数")] public string PositionReportTradeDayCount { get; set; } = "Act365";
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[DisplayName("延迟")]
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public int Delay { get; set; }
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/// <summary>
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/// 1表示备兑
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/// </summary>
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[DisplayName("备兑")]
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public int IsCovered { get; set; }
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[DisplayName("预付金比率")]
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public double? MarginRatio { get; set; }
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[DisplayName("商品期货预付金比率")]
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public double? FutureMarginRatio { get; set; }
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[DisplayName("商品预付金加点")]
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public double? FutureMarginAddRatio { get; set; }
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[DisplayName("波动率调整比")]
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public double? VolatilityRatio { get; set; }
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[DisplayName("默认通道簿记账户")]
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public string DefaultAssetUnit { get; set; }
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[DisplayName("Delta系数")]
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public double? FutureMarginDeltaCoefficient { get; set; }
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[DisplayName("Vega系数")]
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public double? FutureMarginVegaCoefficient { get; set; }
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[DisplayName("Omega系数")]
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public double? FutureMarginOmegaCoefficient { get; set; }
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[DisplayName("Alpha倍率")]
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public double? FutureMarginAlphaRate { get; set; }
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[DisplayName("商品期权初始预付金")]
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public double? FutureInitialMarginRatio { get; set; }
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[DisplayName("清算书生成模式")]
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public string SettleDocMode { get; set; }
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[DisplayName("交易书甲乙方模式")]
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public string TradeContractMode { get; set; }
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[DisplayName("交易确认书生成模式")]
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public string TradeContractDocMode { get; set; }
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[DisplayName("批量导入行权检查误差范围")]
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public double? UploadExerciseScope { get; set; }
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[DisplayName("结算价格模式")]
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public string EodSettlePriceMode { get; set; }
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[DisplayName("结算波动率")]
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public string EodSettleVolMode { get; set; }
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[DisplayName("潜在行权盈余是否算入预付金余额")]
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public int? IsPotentialSurplusUseMargin { get; set; }
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[DisplayName("潜在行权盈余计算模式")]
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public string PotentialSurplusCalcMode { get; set; }
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[DisplayName("累计盈亏统计起始日")]
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public DateTime? AccruedTotalPnlStartDate { get; set; }
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/// <summary>
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/// 是否客户端下单自动撤销
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/// </summary>
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[DisplayName("客户端下单自动撤销")]
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public bool IsAutoRebackOrder { get; set; }
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[DisplayName("自动撤单延迟时间")]
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public int AutoRebackOrderDelay { get; set; }
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/// <summary>
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/// 监管报告主体名称
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/// </summary>
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[DisplayName("监管报告主体名称")]
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public string SuperviseMainName { get; set; }
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/// <summary>
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/// 监管报告主体的统一社会信用代码
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/// </summary>
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[DisplayName("监管报告主体的统一社会信用代码")]
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public string SuperviseMainCode { get; set; }
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/// <summary>
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/// 报价周期
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/// </summary>
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[DisplayName("报价周期")]
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public string QuotationCycle { get; set; }
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/// <summary>
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/// 是否可使用担保品
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/// </summary>
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[DisplayName("是否可使用担保品")]
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public bool PartyUseColl
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{
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get { return false; }
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set {; }
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}
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/// <summary>
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/// 担保品使用说明
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/// </summary>
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[DisplayName("担保品使用说明")]
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public string CollInstruction
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{
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get { return "无"; }
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set {; }
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}
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/// <summary>
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/// 开户审批是否受限于双录预约
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/// </summary>
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[DisplayName("开户审批是否受限于双录预约")]
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public bool IsClientNeedBook { get; set; }
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/// <summary>
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/// 是否能设置初始预付金
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/// </summary>
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[DisplayName("是否能设置初始预付金")]
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public bool CanSetInitialMargin { get; set; }
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/// <summary>
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/// 客户端声明
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/// </summary>
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[DisplayName("客户端声明")]
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public string ClientDesc { get; set; }
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/// <summary>
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/// 监管报告文件前缀
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/// </summary>
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[DisplayName("监管报告文件前缀")]
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public string SupervisePrefix { get; set; }
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/// <summary>
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/// 除权除息分红税
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/// </summary>
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[DisplayName("除权除息分红税率")]
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public double DividendRate { get; set; }
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/// <summary>
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/// 同业追保起点
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/// </summary>
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[DisplayName("同业追保起点")]
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public double SamePeerMarginCallPoint { get; set; }
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/// <summary>
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/// 预付金保底收益率（海通）
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/// </summary>
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[DisplayName("预付金保底收益率（海通）")]
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public double? GuaranteedIncome { get; set; }
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/// <summary>
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/// 业务合约总规模
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/// </summary>
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[DisplayName("业务合约总规模")]
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public double? BusinessTotalScale { get; set; }
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/// <summary>
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/// 业务投入资金
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/// </summary>
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[DisplayName("业务投入资金")]
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public double? BusinessAvailableFunds { get; set; }
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/// <summary>
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/// 单标的品种合约总规模占业务合约总规模比例上限
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/// </summary>
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[DisplayName("单标的品种合约总规模占业务合约总规模比例上限")]
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public double? SingleUnderlyingRate { get; set; }
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/// <summary>
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/// 交易确认成交前和确认成交时要不要执行试算逻辑
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/// </summary>
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[DisplayName("交易试算")]
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public bool TradeTrial { get; set; }
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/// <summary>
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/// 敲入触碰预警偏差值
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/// </summary>
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[DisplayName("敲入触碰预警偏差值")]
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public double AlertLineKonckInLimit { get; set; }
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/// <summary>
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/// 敲出触碰预警偏差值
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/// </summary>
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[DisplayName("敲出触碰预警偏差值")]
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public double AlertLineKonckOutLimit { get; set; }
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/// <summary>
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/// 编辑交易时必须填写备注
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/// </summary>
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[DisplayName("编辑交易时必须填写备注")]
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public bool EditTradeNeedRemark { get; set; }
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/// <summary>
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/// 信用风险敞口-CCR计算参数j
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/// </summary>
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[DisplayName("信用风险敞口-CCR计算参数j")]
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public double RiskExposureJ { get; set; }
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/// <summary>
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/// 信用风险敞口-CCR计算参数N
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/// </summary>
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[DisplayName("信用风险敞口-CCR计算参数N")]
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public double RiskExposureN { get; set; }
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/// <summary>
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/// 预付金-CCR计算参数j
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/// </summary>
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[DisplayName("预付金-CCR计算参数j")]
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public double MarginJ { get; set; }
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/// <summary>
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/// 预付金-CCR计算参数N
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/// </summary>
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[DisplayName("预付金-CCR计算参数N")]
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public double MarginN { get; set; }
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/// <summary>
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/// 平仓单价视角（0：价值视角；1：结算视角）
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/// 平仓单价平仓总额视角情况：
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/// 平仓单价：价值视角;平仓总额:价值视角、结算视角
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/// 平仓单价：结算视角;平仓总额:结算视角
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/// </summary>
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[DisplayName("平仓单价视角")]
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public int UnwindSinglePriceAngle { get; set; }
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/// <summary>
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/// 平仓总额视角（0：价值视角；1：结算视角）
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/// </summary>
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[DisplayName("平仓总额视角")]
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public int UnwindAmountAngle { get; set; }
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/// <summary>
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/// 双向预付金启用日期
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/// </summary>
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[DisplayName("双向预付金启用日期")]
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public DateTime? TwoSideMarginValueDate { get; set; }
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public string AssetIds { get; set; }
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public valuedate Clone()
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{
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return (valuedate)MemberwiseClone();
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}
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public string GetDataTraceKeyInfo()
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{
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return "交易参数";
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}
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}
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|
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public class SystemConfigData
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{
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/// <summary>
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/// 美式香草期权定价模型
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/// </summary>
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public string ValueVanillaOptionMode { get; set; }
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///// <summary>
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///// 是否启用税率
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///// </summary>
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//public bool IsUseTax { get; set; }
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///// <summary>
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///// 政府规定的分割月数
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///// </summary>
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//public int MaxStockMonth { get; set; }
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///// <summary>
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///// 小于规定月数的派息税
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///// </summary>
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//public double DividendRate_Before { get; set; }
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///// <summary>
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///// 大于规定月数的派息税
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///// </summary>
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//public double DividendRate { get; set; }
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/// <summary>
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/// 预付金名义本金占比
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/// </summary>
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public int StockEqvNotionalRatio { get; set; } = -5;
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/// <summary>
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/// 一般掉期初始预付金
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/// </summary>
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public int NormalSwapInitMarginRatio { get; set; } = 15;
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/// <summary>
|
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/// 基差掉期初始预付金
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/// </summary>
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public int BasisSwapInitMarginRatio { get; set; } = 10;
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/// <summary>
|
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/// 一般掉期持仓预付金
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/// </summary>
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public int NormalSwapMarginRatio { get; set; } = 15;
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/// <summary>
|
|
/// 基差掉期持仓预付金
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|
/// </summary>
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public int BasisSwapMarginRatio { get; set; } = 10;
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}
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}
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