675 lines
30 KiB
C#
675 lines
30 KiB
C#
using YLErp.Abstract.DataProviders;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Helpers;
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using YLErp.Modules;
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using YLErp.Modules.CalculationModule;
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using YLErp.Modules.DataCacheModule;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.MarginModule;
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using YLErp.Modules.UnderlyingModule;
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using YLErp.QdpModule;
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namespace YLErp.BLL.MarginCalculation
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{
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/// <summary>
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/// 方顿
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/// </summary>
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public class FDMarginCalculation : MarginCalculationBase
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{
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// 定义一个静态变量来保存类的实例
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public static readonly FDMarginCalculation Instance;
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static FDMarginCalculation()
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{
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Instance = new FDMarginCalculation();
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}
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// 定义私有构造函数，使外界不能创建该类实例
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private FDMarginCalculation()
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{
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}
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public override List<trade_span> RunMarginCalculation(RunMarginCalculationReq req)
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{
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//结果集
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var resultMap = new Dictionary<int, trade_span>();
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var mpProvider = helper.GetMarginParamProvider(MarginParamTypeEnum.MarginRate | MarginParamTypeEnum.UpDownLimit);
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//为了算客户角度的一个预付金数值
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helper.ReverseTradeSide();
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helper.SetFieldsByTradeType();
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GetPrices(req, out var TPrices1, out var TPrices2, out var TPrices3, out var TPrices4, out var TPrices5, out var TPrices6, out var TPrices7, out var TPrices8, out var TPrices9, out var TPrices10, out var TPrices11, out var TPrices12, out var TPrices13, out var TPrices14);
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var prices = new (string pId, IPriceProvider provider)[] { ("pr1", TPrices1), ("pr2", TPrices2), ("pr3", TPrices3), ("pr4", TPrices4), ("pr5", TPrices5), ("pr6", TPrices6), ("pr7", TPrices7), ("pr8", TPrices8), ("pr9", TPrices9), ("pr10", TPrices10), ("pr11", TPrices11), ("pr12", TPrices12), ("pr13", TPrices13), ("pr14", TPrices14) };
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var priceProvider = new ManualPriceProvider();
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foreach (var price in prices)
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{
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var key = $"{price.Item1}";
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var Results = req.tradeList.SelectMany(t =>
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{
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priceProvider.SetPrice(t.UnderlyingCode, price.provider.GetPrice(t.id.ToString()));
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var tradeRiskResult1 = CalculatorHelper.CalculateRisksForTrades(
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valueDate: req.settleDate,
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calcScenario: req.GetCalcScenario(),
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tradeList: new[] { t },
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priceProvider: priceProvider,
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pricingRequest: QdpPricingRequest.PV_ONLY,
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addVolRateDic: null,
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volType: req.volType,
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isUseTradeVol: PS.Config.IsTradeVol,
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preciseTimeMode: req.CalcMarginType != CalcMarginTypeEnum.EodMargin,
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isAddVolPercent: false);
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return (tradeRiskResult1.Results?.AsEnumerable()) ?? Enumerable.Empty<TradeRiskResultRecord>();
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});
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if (!Results.Any())
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{
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continue;
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}
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foreach (var item in Results)
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{
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var client = helper.GetClient(item.Trade.ClientId);
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var clientRatio = client == null ? 1.0 : client?.Ratio ?? 1.0;
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var clientRatio1 = client == null ? 1.0 : client?.Ratio1 ?? 1.0;
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var contains = resultMap.TryGetValue(item.Trade.id, out var tempTradeSpan);
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var pv = item.ValueResult.Pv;
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if (!helper.GetSpecialMargin(item.Trade, pv, out var value))
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{
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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value = double.IsNaN(pv) ? 0 : pv * clientRatio1;
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}
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else
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{
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value = double.IsNaN(pv) ? 0 : pv;
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}
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}
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if (!contains)
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{
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resultMap[item.Trade.id] = tempTradeSpan = helper.CreateTradeSpan(item.Trade);
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}
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switch (key)
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{
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case "pr1":
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tempTradeSpan.Spv1 = value; break;
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case "pr2":
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tempTradeSpan.Spv2 = value; break;
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case "pr3":
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tempTradeSpan.Spv3 = value; break;
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case "pr4":
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tempTradeSpan.Spv4 = value; break;
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case "pr5":
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tempTradeSpan.Spv5 = value; break;
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case "pr6":
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tempTradeSpan.Spv6 = value; break;
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case "pr7":
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tempTradeSpan.Spv7 = value; break;
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case "pr8":
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tempTradeSpan.Spv8 = value; break;
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case "pr9":
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tempTradeSpan.Spv9 = value; break;
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case "pr10":
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tempTradeSpan.Spv10 = value; break;
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case "pr11":
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tempTradeSpan.Spv11 = value; break;
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case "pr12":
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tempTradeSpan.Spv12 = value; break;
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case "pr13":
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tempTradeSpan.Spv13 = value; break;
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case "pr14":
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tempTradeSpan.Spv14 = value; break;
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}
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if (contains)
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{
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tempTradeSpan.SetWorstCastClientPayable();
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}
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}
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}
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return resultMap.Values.ToList();
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}
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/// <summary>
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/// 获取T0,T1涨跌停价格字典 ----方顿
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/// 涨跌停板幅度 T0 d1 T1 涨停 (1+d1)*(1+d1)-1 跌停 1-(1-d1)*(1-d1)
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/// </summary>
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public void GetPrices(RunMarginCalculationReq req, out IPriceProvider TPrices1, out IPriceProvider TPrices2, out IPriceProvider TPrices3, out IPriceProvider TPrices4, out IPriceProvider TPrices5, out IPriceProvider TPrices6, out IPriceProvider TPrices7, out IPriceProvider TPrices8, out IPriceProvider TPrices9, out IPriceProvider TPrices10, out IPriceProvider TPrices11, out IPriceProvider TPrices12, out IPriceProvider TPrices13, out IPriceProvider TPrices14)
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{
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var _TPrices1 = new ManualPriceProvider();
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var _TPrices2 = new ManualPriceProvider();
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var _TPrices3 = new ManualPriceProvider();
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var _TPrices4 = new ManualPriceProvider();
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var _TPrices5 = new ManualPriceProvider();
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var _TPrices6 = new ManualPriceProvider();
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var _TPrices7 = new ManualPriceProvider();
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var _TPrices8 = new ManualPriceProvider();
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var _TPrices9 = new ManualPriceProvider();
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var _TPrices10 = new ManualPriceProvider();
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var _TPrices11 = new ManualPriceProvider();
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var _TPrices12 = new ManualPriceProvider();
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var _TPrices13 = new ManualPriceProvider();
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var _TPrices14 = new ManualPriceProvider();
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//根据涨跌幅限制以及当日结算价计算涨停价以及跌停价
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foreach (var item in req.tradeList)
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{
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var code = item.UnderlyingCode;
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var price = req.PriceProvider.GetPrice(code);
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var pricenow = GetUnderlyingPrice(code, req.UserInfo, req.settleDate);
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if (req.CalcMarginType == CalcMarginTypeEnum.InitialMargin)
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{
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price = pricenow;
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}
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else if (req.CalcMarginType == CalcMarginTypeEnum.None)
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{
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if (item.TradeDate?.ToString("yyyyMMdd") == req.settleDate.ToString("yyyyMMdd"))
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{
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price = pricenow;
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}
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else
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{
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price = (price + pricenow) / 2;
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}
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}
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var _mpProvider = new MarginParamProvider(req.UserInfo, req.settleDate);
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if (_mpProvider.TryGetUpdownLimit(code, out var limit, out var isFixed))
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{
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if (isFixed)
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{
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limit /= price;
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}
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}
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else
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{
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limit = 0.05;
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}
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//注意:price价格可能为负值
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limit = Math.Abs(limit);
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double upPrice;
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double downPrice;
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var helper = new RunMarginCalculationHelper(req, _underlyingDataProvider);
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var client = helper.GetClient(item.ClientId);
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if (client == null)
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{
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upPrice = price * (1 + limit);
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downPrice = price * (1 - limit);
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}
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else
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{
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if (string.IsNullOrWhiteSpace(client.RuleT0orT1) || client.RuleT0orT1 == "T+0")
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{
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upPrice = price * (1 + limit);
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downPrice = price * (1 - limit);
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}
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else
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{
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var a1 = (1 + limit) * (1 + limit) - 1;
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var a2 = 1 - (1 - limit) * (1 - limit);
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upPrice = price * (1 + a1);
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downPrice = price * (1 - a2);
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}
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}
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var p1 = downPrice + (upPrice - downPrice) * 1 / 13;
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var p2 = downPrice + (upPrice - downPrice) * 2 / 13;
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var p3 = downPrice + (upPrice - downPrice) * 3 / 13;
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var p4 = downPrice + (upPrice - downPrice) * 4 / 13;
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var p5 = downPrice + (upPrice - downPrice) * 5 / 13;
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var p6 = downPrice + (upPrice - downPrice) * 6 / 13;
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var p7 = downPrice + (upPrice - downPrice) * 7 / 13;
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var p8 = downPrice + (upPrice - downPrice) * 8 / 13;
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var p9 = downPrice + (upPrice - downPrice) * 9 / 13;
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var p10 = downPrice + (upPrice - downPrice) * 10 / 13;
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var p11 = downPrice + (upPrice - downPrice) * 11 / 13;
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var p12 = downPrice + (upPrice - downPrice) * 12 / 13;
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_TPrices1.SetPrice(item.id.ToString(), downPrice);
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_TPrices2.SetPrice(item.id.ToString(), p1);
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_TPrices3.SetPrice(item.id.ToString(), p2);
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_TPrices4.SetPrice(item.id.ToString(), p3);
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_TPrices5.SetPrice(item.id.ToString(), p4);
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_TPrices6.SetPrice(item.id.ToString(), p5);
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_TPrices7.SetPrice(item.id.ToString(), p6);
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_TPrices8.SetPrice(item.id.ToString(), p7);
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_TPrices9.SetPrice(item.id.ToString(), p8);
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_TPrices10.SetPrice(item.id.ToString(), p9);
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_TPrices11.SetPrice(item.id.ToString(), p10);
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_TPrices12.SetPrice(item.id.ToString(), p11);
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_TPrices13.SetPrice(item.id.ToString(), p12);
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_TPrices14.SetPrice(item.id.ToString(), upPrice);
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}
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TPrices1 = _TPrices1;
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TPrices2 = _TPrices2;
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TPrices3 = _TPrices3;
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TPrices4 = _TPrices4;
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TPrices5 = _TPrices5;
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TPrices6 = _TPrices6;
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TPrices7 = _TPrices7;
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TPrices8 = _TPrices8;
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TPrices9 = _TPrices9;
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TPrices10 = _TPrices10;
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TPrices11 = _TPrices11;
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TPrices12 = _TPrices12;
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TPrices13 = _TPrices13;
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TPrices14 = _TPrices14;
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}
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/// <summary>
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/// 获取标的现价
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/// </summary>
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/// <param name="underlyingCode"></param>
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/// <param name="CurUser"></param>
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/// <param name="tradeDate"></param>
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/// <returns></returns>
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public static double GetUnderlyingPrice(string underlyingCode, OptUserInfo CurUser, DateTime? tradeDate = null)
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{
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double price = 0;
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var udm = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);
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SyntheticPriceModel synthetic = null;
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if (udm != null)
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{
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if (udm.CommodityCode == "组合标的")
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{
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synthetic = new SyntheticUnderlyingPriceService(CurUser).GetPriceModel(underlyingCode);
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price = synthetic.Price;
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}
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else
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{
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price = udm.Price ?? 0;
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}
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if (tradeDate != null && tradeDate != valuedateBLL.ValueDate)
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{
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if (EodPriceQueryService.TryGetEodPrice(Convert.ToDateTime(tradeDate), underlyingCode, out var eodPrice))
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{
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price = eodPrice.ClosePrice;
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}
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}
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}
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return price;
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}
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public override List<trade_span> CalcClientMargin(CalcClientMarginReq req)
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{
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var clientSpanNews = new List<ClientSpan>();
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using (var db = new YLContext())
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{
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if (req.tradeSpans != null && req.tradeSpans.Count > 0)
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{
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var clientGroups = req.tradeSpans.GroupBy(t => t.ClientId);
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foreach (var clientGroup in clientGroups)
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{
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var underlyingGroup = clientGroup.GroupBy(t => t.UnderlyingId).Select(t => new ClientSpan
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{
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UnderlyingId = t.Key,
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ClientId = clientGroup.Key ?? 0,
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ValueDate = req.settleDate,
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Spv1 = -t.Sum(g => g.Spv1),
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Spv2 = -t.Sum(g => g.Spv2),
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Spv3 = -t.Sum(g => g.Spv3),
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Spv4 = -t.Sum(g => g.Spv4),
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Spv5 = -t.Sum(g => g.Spv5),
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Spv6 = -t.Sum(g => g.Spv6),
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Spv7 = -t.Sum(g => g.Spv7),
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Spv8 = -t.Sum(g => g.Spv8),
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Spv9 = -t.Sum(g => g.Spv9),
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Spv10 = -t.Sum(g => g.Spv10),
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Spv11 = -t.Sum(g => g.Spv11),
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Spv12 = -t.Sum(g => g.Spv12),
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Spv13 = -t.Sum(g => g.Spv13),
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Spv14 = -t.Sum(g => g.Spv14),
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OptId = req.userId,
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OptName = req.userName,
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OptDate = DateTime.Now,
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SpanType = req.SpanType,
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}).ToList();
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foreach (var item in underlyingGroup)
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{
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item.SetWorstCastClientPayableMin();
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item.WorstCastClientPayable = Math.Min((double)item.WorstCastClientPayable, 0);
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#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
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var tradeIdList = clientGroup.Select(x => x.TradeId);
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var tradeSpansUpdate = db.trade_span.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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var tradeSpansReq = req.tradeSpans.Where(x => tradeIdList.Contains(x.TradeId) && x.ClientId == item.ClientId && x.UnderlyingId == item.UnderlyingId && x.ValueDate == req.settleDate).ToList();
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if (item.WorstCastClientPayable == item.Spv1)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
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}
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else if (item.WorstCastClientPayable == item.Spv2)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
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}
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else if (item.WorstCastClientPayable == item.Spv3)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
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}
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else if (item.WorstCastClientPayable == item.Spv4)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
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}
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else if (item.WorstCastClientPayable == item.Spv5)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
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}
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else if (item.WorstCastClientPayable == item.Spv6)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
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}
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else if (item.WorstCastClientPayable == item.Spv7)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
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}
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else if (item.WorstCastClientPayable == item.Spv8)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
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}
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else if (item.WorstCastClientPayable == item.Spv9)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv9);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv9);
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}
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else if (item.WorstCastClientPayable == item.Spv10)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv10);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv10);
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}
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else if (item.WorstCastClientPayable == item.Spv11)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv11);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv11);
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}
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else if (item.WorstCastClientPayable == item.Spv12)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv12);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv12);
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}
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else if (item.WorstCastClientPayable == item.Spv13)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv13);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv13);
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}
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else if (item.WorstCastClientPayable == item.Spv14)
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv14);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv14);
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}
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else
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{
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tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = 0);
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tradeSpansReq.ForEach(x => x.WorstCastClientPayable = 0);
|
|
}
|
|
#endregion
|
|
}
|
|
var clientSpan = new ClientSpan
|
|
{
|
|
ClientId = clientGroup.Key ?? 0,
|
|
ValueDate = req.settleDate,
|
|
Spv1 = underlyingGroup.Sum(g => g.Spv1),
|
|
Spv2 = underlyingGroup.Sum(g => g.Spv2),
|
|
Spv3 = underlyingGroup.Sum(g => g.Spv3),
|
|
Spv4 = underlyingGroup.Sum(g => g.Spv4),
|
|
Spv5 = underlyingGroup.Sum(g => g.Spv5),
|
|
Spv6 = underlyingGroup.Sum(g => g.Spv6),
|
|
Spv7 = underlyingGroup.Sum(g => g.Spv7),
|
|
Spv8 = underlyingGroup.Sum(g => g.Spv8),
|
|
Spv9 = underlyingGroup.Sum(g => g.Spv9),
|
|
Spv10 = underlyingGroup.Sum(g => g.Spv10),
|
|
Spv11 = underlyingGroup.Sum(g => g.Spv11),
|
|
Spv12 = underlyingGroup.Sum(g => g.Spv12),
|
|
Spv13 = underlyingGroup.Sum(g => g.Spv13),
|
|
Spv14 = underlyingGroup.Sum(g => g.Spv14),
|
|
//负数代表客户应缴预付金，正数代表客户应收预付金
|
|
WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
|
|
OptId = req.userId,
|
|
OptName = req.userName,
|
|
OptDate = DateTime.Now,
|
|
SpanType = req.SpanType,
|
|
AdditionalWorstCastClientPayable = req.clientAdditionalMarginDic != null
|
|
&& req.clientAdditionalMarginDic.TryGetValue(clientGroup.Key ?? 0, out var dd) ? dd : 0
|
|
};
|
|
clientSpanNews.Add(clientSpan);
|
|
}
|
|
}
|
|
//span类型为实时删除所有实时计算的交易的预付金信息
|
|
if (req.SpanType == ClientSpan.SpanType_RealTime)
|
|
{
|
|
if (req.RefreshClientIds != null)
|
|
{
|
|
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.ClientId)} in @ids", new { ids = req.RefreshClientIds });
|
|
}
|
|
else
|
|
{
|
|
db.BulkDelete<ClientSpan>($"{nameof(ClientSpan.SpanType)}=@SpanType", new { req.SpanType });
|
|
}
|
|
}
|
|
else
|
|
{
|
|
if (req.ClientIds != null)
|
|
{
|
|
var sql = $"{nameof(ClientSpan.ClientId)} in @ids and {nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
|
db.BulkDelete<ClientSpan>(sql, new { ids = req.ClientIds });
|
|
}
|
|
else
|
|
{
|
|
var sql = $"{nameof(ClientSpan.ValueDate)}='{req.settleDate.ToSqlDate()}' and {nameof(ClientSpan.SpanType)}={req.SpanType} and {nameof(ClientSpan.ModifiedFlag)}=0";
|
|
db.BulkDelete<ClientSpan>(sql);
|
|
}
|
|
|
|
var clientSpanOldsWithFlag = db.client_span.Where(t => t.ValueDate == req.settleDate && t.SpanType == req.SpanType && t.ModifiedFlag).ToList();
|
|
clientSpanNews = clientSpanNews.Where(c => !clientSpanOldsWithFlag.Any(t => t.ValueDate == c.ValueDate && t.ClientId == c.ClientId)).ToList();
|
|
}
|
|
if (clientSpanNews.Count > 0)
|
|
{
|
|
db.client_span.AddRange(clientSpanNews);
|
|
}
|
|
db.SaveChanges();
|
|
return req.tradeSpans;
|
|
}
|
|
}
|
|
|
|
|
|
/// <summary>
|
|
/// 获取初始预付金率
|
|
/// </summary>
|
|
/// <param name="trade"></param>
|
|
/// <returns></returns>
|
|
public double? GetInitialMarginRatio(trade trade)
|
|
{
|
|
if (trade == null)
|
|
{
|
|
return 0;
|
|
}
|
|
if (!trade.VarietyId.HasValue || trade.VarietyId <= 0)
|
|
{
|
|
return 0;
|
|
}
|
|
if (trade.StockEqvNotional == 0)
|
|
{
|
|
return 0;
|
|
}
|
|
var variety = DataCacheManager.GetVarietyDataSource().GetData(trade.VarietyId ?? 0);
|
|
if (variety == null)
|
|
{
|
|
return 0;
|
|
}
|
|
|
|
//OTC-8856 Start
|
|
var UpLimitValue = variety.UpLimitValue;
|
|
//var UpLimitValue =((Math.Abs(trade.Underlying.UpDownLimitValue) > 1e-5) ? trade.Underlying.UpDownLimitValue : variety.UpLimitValue);
|
|
//End
|
|
|
|
if (trade.StockEqvNotional <= 5000000)
|
|
{
|
|
return 2 * UpLimitValue;
|
|
}
|
|
else if (trade.StockEqvNotional <= 10000000)
|
|
{
|
|
return 2.5 * UpLimitValue;
|
|
}
|
|
else if (trade.StockEqvNotional <= 20000000)
|
|
{
|
|
return 3 * UpLimitValue;
|
|
}
|
|
return null;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 获取维持预付金率
|
|
/// </summary>
|
|
/// <param name="trade"></param>
|
|
/// <returns></returns>
|
|
public double? GetPositionMarginRatio(trade trade)
|
|
{
|
|
if (trade == null)
|
|
{
|
|
return 0;
|
|
}
|
|
if (!trade.VarietyId.HasValue || trade.VarietyId <= 0)
|
|
{
|
|
return 0;
|
|
}
|
|
if (trade.StockEqvNotional == 0)
|
|
{
|
|
return 0;
|
|
}
|
|
|
|
//underlying_manager
|
|
|
|
|
|
var variety = DataCacheManager.GetVarietyDataSource().GetData(trade.VarietyId ?? 0);
|
|
if (variety == null)
|
|
{
|
|
return 0;
|
|
}
|
|
if (trade.StockEqvNotional <= 5000000)
|
|
{
|
|
return 1.5 * variety.UpLimitValue;
|
|
}
|
|
else if (trade.StockEqvNotional <= 10000000)
|
|
{
|
|
return 2 * variety.UpLimitValue;
|
|
}
|
|
else if (trade.StockEqvNotional <= 20000000)
|
|
{
|
|
return 2.5 * variety.UpLimitValue;
|
|
}
|
|
return null;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 获取初始预付金
|
|
/// </summary>
|
|
/// <param name="trade"></param>
|
|
/// <returns></returns>
|
|
//public double GetInitialMargin(trade trade)
|
|
//{
|
|
// return DoInitialMarginCalculationV2(trade);
|
|
//}
|
|
|
|
//public double DoInitialMarginCalculationV2(trade trade)
|
|
//{
|
|
// if (trade.BuySell == "卖出")
|
|
// {
|
|
// return 0;
|
|
// }
|
|
|
|
// var underlying = DataCacheManager.GetUnderlyingDataSource().GetData(trade.UnderlyingId);
|
|
// underlying.QuotationDate = trade.TradeDate;
|
|
|
|
// var spotPrices = new double[] { trade.SpotPrice ?? 0 };
|
|
|
|
// string userGroup = UserBLL.GetUserGroup(trade.TraderId ?? 0);
|
|
// var volSurfaceData = VolatilityHelper.GetVol(underlying.QuotationDate.Value, "交易", underlying.UnderlyingCode, userGroup);
|
|
|
|
// var vol = OptionCalculator.GetInterpolatedVol(
|
|
// VolConstructionType.Normal,
|
|
// trade.OptId.ToString(),
|
|
// volSurfaceData,
|
|
// underlying.QuotationDate?.ToString("yyyy-MM-dd"),
|
|
// underlying.UnderlyingCode,
|
|
// trade.ExerciseDate?.ToString("yyyy-MM-dd"),
|
|
// trade.Strike ?? 0.0,
|
|
// isBuy: true,
|
|
// isCall: trade.CallPut == "Call",
|
|
// spotPrice: spotPrices[0],
|
|
// isMoneynessOption: trade.IsMoneynessOptionData,
|
|
// timeToMaturityDays: trade.TTMDays ?? double.NaN);
|
|
|
|
// if (!trade.NoRiskRate.HasValue)
|
|
// {
|
|
// trade.NoRiskRate = (valuedateBLL.SystemDate.RiskFreeRate ?? 0) * 0.01;
|
|
// }
|
|
|
|
// string fixing = null;
|
|
// //亚式期权
|
|
// if (trade.TradeType == "亚式期权" || trade.StructureType == "亚式熊市价差")
|
|
// {
|
|
// fixing = TradeCalcHelper.GetFixingStringForAsianOption(trade, trade.TradeDate);
|
|
// }
|
|
// var optionValue = ValueCalculator.GetOptionValueResultV2(
|
|
// trade.OptId.ToString(),
|
|
// underlying,
|
|
// trade,
|
|
// new double[] { vol },
|
|
// spotPrices,
|
|
// fixing,
|
|
// preciseTimeMode: true);
|
|
// //预付金初始价值=期初期权价值+CashDelta(t）*预付金初始比例(预付金初始比例)
|
|
// return (trade.TradePrice ?? 0) + ((optionValue == null) ? 0 : Math.Abs(optionValue.DeltaCash)) * (trade.InitialMarginRatio ?? 0);
|
|
//}
|
|
|
|
public override double GetTradeMargin(GetTradeMarginReq req)
|
|
{
|
|
var tradeMargin = RunMarginCalculation(req.GetRunMarginCalculationReq());
|
|
if (null != tradeMargin)
|
|
{
|
|
return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
|
|
}
|
|
return 0.0;
|
|
}
|
|
}
|
|
}
|