zszq-trs/Framework/YLErp.Jobs/Imp/GuoYuanCalcVolJob.cs

using YLErp.DBModels;
using YLErp.Modules;
using YLErp.QdpModule;
using YLErp.Jobs.Configs;

namespace YLErp.Jobs.Imp
{
    /// <summary>
    /// 国元计算波动率
    /// </summary>
    public class GuoYuanCalcVolJob : BaseJob
    {
        static readonly IYcLogger logger;

        static GuoYuanCalcVolJob()
        {
            logger = LogFactory.GetLogger<GuoYuanCalcVolJob>();
        }

        GuoYuanCalcVolJobConfig _guoYuanCalcVolJobConfig;
        public GuoYuanCalcVolJob(GuoYuanCalcVolJobConfig guoYuanCalcVolJobConfig)
        {
            _guoYuanCalcVolJobConfig= guoYuanCalcVolJobConfig;
        }

        public override Task JobImp()
        {
            var startDate = DateTime.MinValue;
            var endDate = DateTime.MinValue;
            try
            {
                startDate = _guoYuanCalcVolJobConfig.StartDate.Value;
                endDate = _guoYuanCalcVolJobConfig.EndDate.Value;
            }
            catch (Exception ex)
            {
                logger.Error(ex, "参数错误");
            }
            for (DateTime date = startDate; date <= endDate; date = date.AddDays(1))
            {
                try
                {
                    logger.Info($"开始计算 {date:yyyy-MM-dd}");
                    if (QdpCalendarHelper.IsHoliday(date))
                    {
                        logger.Info($"{date:yyyy-MM-dd} 非交易日,跳过执行");
                        continue;
                    }
                    Execute(date);
                    logger.Info($"计算完成 {date:yyyy-MM-dd}");
                }
                catch (Exception ex)
                {
                    logger.Error(ex, $"计算异常 {date:yyyy-MM-dd}");
                }
            }
            return Task.CompletedTask;
        }

        #region JobStatus Manager
        static JobStatus jobStatus = JobStatus.Init;

        public override JobStatus GetJobStatus()
        {
            return jobStatus;
        }

        public override void SetJobStatus(JobStatus status)
        {
            jobStatus = status;
        }
        #endregion

        public Task Execute(DateTime valueDate)
        {
            logger.Info($"执行每日计算Vol {valueDate:yyyy-MM-dd}");

            var db = DbContextFactory.GetYLDbContext();
            var umList =
                (from um in db.underlying_manager
                 join vol in db.volatility.Where(O => O.QuotationDate == valueDate)
                 on um.UnderlyingCode equals vol.ContractCode into temp
                 from vol in temp.DefaultIfEmpty()
                 where um.UnderlyingState != "Matured" && um.LaunchState == "1" && vol == null
                 select new { um.id, um.UnderlyingCode }).ToArray();

            var volList = new List<volatility>();
            foreach (var um in umList)
            {
                try
                {
                    logger.Info($"{um.UnderlyingCode} 准备计算Vol");
                    var prices =
                        db.eod_stock_price
                        .Where(O =>
                            O.UnderlyingCode == um.UnderlyingCode &&
                            O.ValueDate < valueDate)
                        .Select(O =>
                        new
                        {
                            O.ValueDate,
                            O.ClosePrice
                        })
                        .OrderByDescending(O => O.ValueDate)
                        .Take(121).Select(O => O.ClosePrice).ToArray();
                    if (prices.Length <= 1)
                    {
                        logger.Info($"{um.UnderlyingCode} 价格缺失,跳过计算Vol");
                        continue;
                    }
                    if (prices.Length < 121)
                    {
                        logger.Info($"{um.UnderlyingCode} 价格不足121,继续计算Vol");
                    }
                    logger.Info($"{um.UnderlyingCode} 计算Vol价格:{prices.ToJson()}");
                    var vol = CalcVol(prices);
                    logger.Info($"{um.UnderlyingCode} 计算完成 {vol}");
                    var midVol = VolatilityBuilder.CreateMoneynessVolBuilder(valueDate, "交易").SetUnderlying(um.id, um.UnderlyingCode).SetOpt(0, "系统计算").Build(vol);
                    var bidVol = VolatilityBuilder.CreateMoneynessVolBuilder(valueDate, "报价Bid").SetUnderlying(um.id, um.UnderlyingCode).SetOpt(0, "系统计算").Build(vol);
                    var askVol = VolatilityBuilder.CreateMoneynessVolBuilder(valueDate, "报价Ask").SetUnderlying(um.id, um.UnderlyingCode).SetOpt(0, "系统计算").Build(vol);
                    volList.Add(midVol);
                    volList.Add(bidVol);
                    volList.Add(askVol);
                }
                catch (Exception ex)
                {
                    logger.Info($"{um.UnderlyingCode} 计算Vol错误:{ex.ToJson()}");
                }
            }
            db.volatility.AddRange(volList);
            db.SaveChanges();

            logger.Info("每日计算Vol执行完成");
            return Task.CompletedTask;
        }

        private double CalcVol(double[] arrData)
        {
            var result = 0d;

            if (arrData.Length < 2)
            {
                throw new Exception("数据不足!");
            }
            #region Log

            var log = new double[arrData.Length - 1];
            for (int i = 1; i < arrData.Length; i++)
            {
                log[i - 1] = Math.Log(arrData[i] / arrData[i - 1]);
            }

            #endregion
            #region STDEV.P

            var avg = log.Average();
            var sum = log.Sum(O => Math.Pow(O - avg, 2));
            var sqrt = Math.Sqrt(sum / log.Length);

            #endregion
            #region Annualized

            result = sqrt * Math.Sqrt(240);

            #endregion

            return result;
        }
    }
}