122 lines
5.0 KiB
C#
122 lines
5.0 KiB
C#
using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Library.Common.Interfaces;
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using Qdp.Pricing.Library.Options.MonteCarlo;
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using Qdp.Pricing.Library.Options.Products.Barrier.Engines.Numerical.Quad;
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using Qdp.Pricing.Library.Options.Products.Binary.Engines.Analytical;
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namespace YLErp.BLL.Calculation.Engine
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{
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class BinaryEngineFactory : OptionEngineFactoryBase
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{
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public static BinaryEngineFactory Instance
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{
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get
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{
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if (_instance == null)
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{
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_instance = new BinaryEngineFactory();
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}
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return _instance;
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}
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}
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protected BinaryEngineFactory() { }
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protected static BinaryEngineFactory _instance;
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public override IEngine GetEngine(
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string engineName = null,
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OptionExercise exercise = OptionExercise.European,
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params object[] additionalParams)
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{
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if (string.IsNullOrEmpty(engineName))
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{
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return DefaultEngine(exercise, additionalParams);
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}
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else
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{
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switch (engineName.ToUpper())
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{
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case "ANALYTICALBINARYEUROPEANOPTIONENGINE":
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return new AnalyticalBinaryEuropeanOptionEngine();
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case "ANALYTICALBINARYEUROPEANOPTIONREPLICATIONENGINE":
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return DefaultEngine(exercise, additionalParams);
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case "ANALYTICALBINARYAMERICANOPTIONENGINE":
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return new AnalyticalBinaryAmericanOptionEngine();
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case "QUADBARRIEROPTIONENGINE":
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return new QuadBarrierOptionEngine();
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case "GENERICMONTECARLOENGINE":
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return CreateGenericMonteCarloEngine(additionalParams);
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case "GBMMONTECARLOENGINE":
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return new GbmMonteCarloEngine(100000, 1e-3, 1e-6, 1);
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default:
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if (engineName.IsValidEngineName())
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{
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return OptionEngineRepository.CreateEngine(engineName);
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}
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else
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{
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return DefaultEngine(exercise, additionalParams);
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}
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}
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}
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}
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/// <summary>
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/// /
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/// </summary>
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/// <param name="exercise"></param>
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/// <param name="additionalParams">
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/// param[0] - 二元期权的复制模型的步长（仅对复制模型有效）
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/// param[1] - 二元期权的复制方法（仅对复制模型有效）
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/// param[2] - 是否自定义了观察日（仅对美式二元有效）
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/// param[3] - 是否按年化敲出
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/// </param>
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/// <returns></returns>
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private static IEngine DefaultEngine(
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OptionExercise exercise,
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params object[] additionalParams)
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{
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switch (exercise)
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{
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case OptionExercise.European:
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if (additionalParams.Length > 1
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&& (BinaryOptionReplicationStrategy)additionalParams[1] != BinaryOptionReplicationStrategy.None)
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{
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return new AnalyticalBinaryEuropeanOptionReplicationEngine((double)additionalParams[0], (BinaryOptionReplicationStrategy)additionalParams[1]);
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}
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else
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{
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return string.IsNullOrWhiteSpace(OptionEngineRepository.BinaryEuropeanDefaultEngine)
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? new AnalyticalBinaryEuropeanOptionEngine()
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: OptionEngineRepository.CreateEngine(OptionEngineRepository.BinaryEuropeanDefaultEngine);
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}
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case OptionExercise.American:
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var customizedObservation = false;
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if (additionalParams.Length > 2)
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{
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customizedObservation = (bool)additionalParams[2];
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}
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var rebateAnnualized = false;
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if (additionalParams.Length > 3)
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{
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rebateAnnualized = (bool)additionalParams[3];
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}
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if (customizedObservation || rebateAnnualized)
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{
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return new QuadBarrierOptionEngine();
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}
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else
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{
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return string.IsNullOrWhiteSpace(OptionEngineRepository.BinaryAmericanDefaultEngine)
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? new AnalyticalBinaryAmericanOptionEngine()
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: OptionEngineRepository.CreateEngine(OptionEngineRepository.BinaryAmericanDefaultEngine);
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}
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default:
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throw new Exception($"二元期权不支持的行权方式{exercise}.无法创建计算引擎");
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}
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}
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}
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}
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