275 lines
13 KiB
C#
275 lines
13 KiB
C#
using Qdp.ComputeServiceV2.Data.CommonModels.TradeInfos;
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using Qdp.Pricing.Base.Implementations;
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using Qdp.Pricing.Library.Common.Interfaces;
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using Qdp.Pricing.Library.Options.Products.Asian;
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using Qdp.Pricing.Library.Options.Products.Barrier;
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using Qdp.Pricing.Library.Options.Products.Binary;
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using YLErp.Commons;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.TradeModule.ExoticOptionModule;
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namespace YLErp.BLL.EodSettlement
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{
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/// <summary>
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/// 结算通用类
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/// </summary>
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public class SettlementCalcCommons
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{
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/// <summary>
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/// 计算行权收益
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/// </summary>
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public static void SetPossibleExec(trade_cash tc, trade trade, double price, bool isRefreshFinalPrice = false
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, DateTime? finalPriceSettleDate = null, double? strike = null)
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{
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string fixings = null;
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tradeBLL.SetFieldsByTradeType(trade);
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//var isBinaryOption = trade.TradeType == "二元期权";
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var isAsianOption = trade.TradeType == "亚式期权";
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if (isAsianOption && trade.trade_asian_option == null)
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{
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throw new ServiceException("缺少亚式期权交易信息");
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}
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//亚式期权浮动行权价有行权价传入的情况处理
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if (isAsianOption)
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{
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var startDate = trade.trade_asian_option.AveragingPeriodStartDate ?? trade.TradeDate.Value;
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var settleDate = finalPriceSettleDate ?? valuedateBLL.ValueDate;
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//亚式浮动行权价并且行权价有输入值的情况下
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if (strike.HasValue && trade.trade_asian_option.StrikeType == "Floating")
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{
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//均价起算日大于结算日的情况下取计值日
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if (startDate > settleDate)
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{
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startDate = settleDate;
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}
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fixings = $"{startDate:yyyy-MM-dd},{strike}";
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}
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else
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{
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//均价起算日大于结算日的情况下取不到fixing则直接赋值
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if (startDate > settleDate)
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{
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fixings = $"{settleDate:yyyy-MM-dd},{price}";
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}
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else
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{
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fixings = AsianOptionFixingService.GetFixingString(settleDate, trade);
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if (string.IsNullOrEmpty(fixings))
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{
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//取不到fixing则直接赋值
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fixings = $"{settleDate:yyyy-MM-dd},{price}";
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}
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}
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}
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}
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if (trade.TradeType == "Risky期权")
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{
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var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode);
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if (underlying == null)
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{
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throw new Exception($"找不到标的资产{trade.UnderlyingCode}的信息");
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}
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var QdpTrades = GetToQdpOptionRisk(trade, underlying, finalPriceSettleDate, fixings);
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tc.IsPossibleExec = true;
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tc.UnwindPrice = tc.UnwindPrice ?? 0;
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foreach (var item in QdpTrades)
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{
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if (item != null && item.Instrument != null && item.Instrument is IOption optitem)
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{
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Cashflow[] cashFlows;
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cashFlows = optitem.GetPayoff(new double[] { price });
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if (!(cashFlows != null && (cashFlows[0].PaymentAmount == 0 || double.IsNaN(cashFlows[0].PaymentAmount))))
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{
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//cashFlows[0].PaymentAmount包含了买卖方向的处理了
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tc.UnwindPrice += cashFlows[0].PaymentAmount / trade.Notional;
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tc.Amount += OtcFormatHelper.FormatValue(cashFlows[0].PaymentAmount, 2);
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tc.InitialAmount += OtcFormatHelper.FormatValue(cashFlows[0].PaymentAmount, 2);
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}
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}
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}
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//risky保底是一个总的值
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var amount = TradeHelper.GetAmountByPaymentAmount(0, trade.PrincipalSum(), trade.BuySell);
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tc.Amount += OtcFormatHelper.FormatValue(amount, 2);
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tc.InitialAmount += OtcFormatHelper.FormatValue(amount, 2);
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}
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else if (trade.TradeType == "雪球期权" && trade.trade_snowball.PrepaymentUsed)
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{
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var obResult = new SpecialSnowballObservationHelper(trade, trade.trade_snowball)
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.GetObservationResultForTraderSide(finalPriceSettleDate ?? valuedateBLL.ValueDate, price, trade.Notional);
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var amount = TradeHelper.GetAmountByPaymentAmount(obResult.PaymentAmount, trade.PrincipalSum(), trade.BuySell);
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tc.IsPossibleExec = true;
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tc.UnwindPrice = obResult.PaymentAmount / trade.Notional;
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tc.Amount = OtcFormatHelper.FormatValue(amount, 2);
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tc.InitialAmount = OtcFormatHelper.FormatValue(amount, 2);
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}
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else
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{
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var QdpTrade = TradeCalcHelper.GetQdpTrade(trade, finalPriceSettleDate, fixings);
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if (QdpTrade != null && QdpTrade.Instrument != null && QdpTrade.Instrument is IOption opt)
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{
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if (isAsianOption)
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{
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var asianOpt = opt as AsianOption;
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tc.StrikeType = trade.trade_asian_option.StrikeType;
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if (trade.trade_asian_option.StrikeType == "Floating")
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{
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tc.Strike = asianOpt.ActualStrike;
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}
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else
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{
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tc.FinalPrice = asianOpt.FinalPrice();
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//isRefreshFinalPrice为false代表非默认标的价格，则根据行权页面的标的价格计算行权收益
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if (isRefreshFinalPrice)
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{
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//分段式亚式期权，行权时的默认标的价格需要通过QDP计算得出，而不是标的现价
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//再根据该价格算出行权收益
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price = asianOpt.FinalPrice();
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if (finalPriceSettleDate != null)
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{
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price = asianOpt.FinalPrice(finalPriceSettleDate);
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}
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price = Convert.ToDouble(price.OtcFormatUmPrice());
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}
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}
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}
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Cashflow[] cashFlows;
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if (QdpTrade.Instrument is BinaryOption)
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{
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var option = QdpTrade.Instrument as BinaryOption;
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var valueDate = finalPriceSettleDate ?? valuedateBLL.ValueDate;
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cashFlows = option.GetPayoff(new double[] { price }, valueDate);
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}
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else if (QdpTrade.Instrument is BarrierOption)
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{
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var option = QdpTrade.Instrument as BarrierOption;
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var valueDate = finalPriceSettleDate ?? valuedateBLL.ValueDate;
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cashFlows = option.GetPayoff(new double[] { price }, valueDate);
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}
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else
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{
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cashFlows = opt.GetPayoff(new double[] { price });
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}
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if (cashFlows != null && (cashFlows[0].PaymentAmount == 0 || double.IsNaN(cashFlows[0].PaymentAmount)))
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{
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var amount = TradeHelper.GetAmountByPaymentAmount(0, trade.PrincipalSum(), trade.BuySell);
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tc.IsPossibleExec = true;
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tc.UnwindPrice = 0;
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tc.Amount = OtcFormatHelper.FormatValue(amount, 2);
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tc.InitialAmount = OtcFormatHelper.FormatValue(amount, 2);
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}
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else
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{
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//cashFlows[0].PaymentAmount包含了买卖方向的处理了
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var paymentAmount = trade.TradeType == "累计期权" ? cashFlows[0].PaymentAmount * trade.Notional / (trade.CountRatio ?? 1) : cashFlows[0].PaymentAmount;
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var amount = TradeHelper.GetAmountByPaymentAmount(paymentAmount, trade.PrincipalSum(), trade.BuySell);
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tc.IsPossibleExec = true;
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tc.UnwindPrice = paymentAmount / trade.Notional;
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tc.Amount = OtcFormatHelper.FormatValue(amount, 2);
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tc.InitialAmount = OtcFormatHelper.FormatValue(amount, 2);
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}
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}
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}
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}
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public static List<TradeBase> GetToQdpOptionRisk(trade trade, underlying_manager underlying, DateTime? finalPriceSettleDate, string fixings)
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{
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var tradeclone = trade.Clone();
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tradeclone.TradeAmount = tradeclone.TradeAmount = TradeCalcHelper.GetTradeAmountV(trade, trade.TradeAmount, 1);
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tradeclone.Notional = tradeclone.Notional = TradeCalcHelper.GetTradeAmountV(trade, trade.Notional, underlying.CountRatio);
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var options = new List<TradeBase>();
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var td1 = tradeclone.Clone();
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td1.Strike = trade.trade_risky_option.Strike1;
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td1.ParticipationRate = trade.trade_risky_option.ParticipationRate1;
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td1.TradeAmount = TradeCalcHelper.GetTradeAmount(td1, td1.TradeAmount, 1);
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td1.Notional = TradeCalcHelper.GetTradeAmount(td1, td1.Notional, underlying.CountRatio);
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td1.OptionType = "看跌";
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td1.BuySell = trade.BuySell == "买入" ? "卖出" : "买入";
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var option1 = TradeCalcHelper.GetQdpTrade(td1, finalPriceSettleDate, fixings);
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if (option1 != null)
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{
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options.Add(option1);
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}
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var td2 = tradeclone.Clone();
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td2.Strike = trade.trade_risky_option.Strike2;
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td2.ParticipationRate = trade.trade_risky_option.ParticipationRate2;
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td2.TradeAmount = TradeCalcHelper.GetTradeAmount(td2, td2.TradeAmount, 1);
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td2.Notional = TradeCalcHelper.GetTradeAmount(td2, td2.Notional, underlying.CountRatio);
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var option2 = TradeCalcHelper.GetQdpTrade(td2, finalPriceSettleDate, fixings);
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if (option2 != null)
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{
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options.Add(option2);
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}
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var td3 = tradeclone.Clone();
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td3.Strike = trade.trade_risky_option.Strike3;
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//decimal 为了解决精度问题： 0.2-0.3=0.0999999999
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var participationRate3 = (decimal)trade.trade_risky_option.ParticipationRate2 - (decimal)trade.trade_risky_option.ParticipationRate3;
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td3.ParticipationRate = (double?)Math.Abs(participationRate3);
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td3.TradeAmount = TradeCalcHelper.GetTradeAmount(td3, td3.TradeAmount, 1);
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td3.Notional = TradeCalcHelper.GetTradeAmount(td3, td3.Notional, underlying.CountRatio);
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if (participationRate3 < 0)
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{
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td3.BuySell = trade.BuySell == "买入" ? "卖出" : "买入";
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}
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var option3 = TradeCalcHelper.GetQdpTrade(td3, finalPriceSettleDate, fixings);
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if (option3 != null)
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{
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options.Add(option3);
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}
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return options;
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}
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/// <summary>
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/// 获取根据当前价格行权的行权价
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/// </summary>
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public static double GetOTCTradeExerciseProfit(trade trade, double price)
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{
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//实值pv计算
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var ActualPv = 0.0;
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tradeBLL.SetFieldsByTradeType(trade);
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var QdpTrade = TradeCalcHelper.GetQdpTrade(trade);
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if (QdpTrade != null && QdpTrade.Instrument != null)
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{
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var opt = QdpTrade.Instrument as IOption;
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if (opt != null)
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{
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try
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{
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var cashFlows = opt.GetPayoff(new double[] { price });
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if (cashFlows != null && cashFlows[0].PaymentAmount == 0)
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{
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return ActualPv;
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}
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else
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{
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ActualPv = OtcFormatHelper.FormatValue(cashFlows[0].PaymentAmount, 2);
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}
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}
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catch (Exception)
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{
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}
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}
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}
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return ActualPv;
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}
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}
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}
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