zszq-trs/YLErpDAL/Model/RiskLimit.cs

using System.ComponentModel.DataAnnotations;
using System.ComponentModel.DataAnnotations.Schema;

namespace YLErp.Model
{
    /// <summary>
    /// 风控限额配置
    /// </summary>
    [Table("Risk_Limit")]
    public class RiskLimit
    {
        [Key]
        public int id { get; set; }
        /// <summary>
        /// 限额配置名称
        /// <para>范围+"_"+类型;如:RB1910_deltacash</para>
        /// </summary>
        public string LimitName { get; set; }
        /// <summary>
        /// 限额指标类型
        /// <para>0:绝对值</para>
        /// <para>1:相对值</para>
        /// </summary>
        public byte LimitValueType { get; set; }
        /// <summary>
        /// 限额指标
        /// <para>当limitValueType=1时,改值为百分比</para>
        /// </summary>
        public decimal LimitValue { get; set; }
        /// <summary>
        /// 基准
        /// <para>当limitValueType=1时,改值为limitValue的基准</para>
        /// </summary>
        public string LimitBenchmark { get; set; }
        /// <summary>
        /// 操作时间
        /// </summary>
        public DateTime OptTime { get; set; }
        /// <summary>
        /// 操作人
        /// </summary>
        public string OptName { get; set; }
    }

    public class RiskDailyReportLimit
    {
        public static List<string> Names = new List<string>() {
                    "风控日报_年盈亏限额",
                    "风控日报_日盈亏限额",
                    "场外期权_Delta限额",
                    "场外期权_Gamma限额",
                    "场外期权_DeltaCash",
                    "场外期权_GammaCash"
                };
        /// <summary>
        /// 风控日报_年盈亏限额
        /// </summary>
        public RiskLimit YearPnlLimit { get; set; }
        /// <summary>
        /// 风控日报_日盈亏限额
        /// </summary>
        public RiskLimit DailyPnlLimit { get; set; }
        /// <summary>
        /// 场外期权_Delta限额
        /// </summary>
        public RiskLimit DeltaPnlLimit { get; set; }
        /// <summary>
        /// 场外期权_DeltaCash
        /// </summary>
        public RiskLimit DeltaCashPercent { get; set; }
        /// <summary>
        /// 场外期权_Gamma限额
        /// </summary>
        public RiskLimit GammaPnlLimit { get; set; }
        /// <summary>
        /// 场外期权_GammaCash
        /// </summary>
        public RiskLimit GammaCashPercent { get; set; }

        public RiskDailyReportLimit()
        {
            this.YearPnlLimit = new RiskLimit();
            this.YearPnlLimit.LimitName = "风控日报_年盈亏限额";
            this.YearPnlLimit.LimitValueType = 0;
            this.YearPnlLimit.LimitValue = 0;
            this.YearPnlLimit.LimitBenchmark = "";

            this.DailyPnlLimit = new RiskLimit();
            this.DailyPnlLimit.LimitName = "风控日报_日盈亏限额";
            this.DailyPnlLimit.LimitValueType = 0;
            this.DailyPnlLimit.LimitValue = 0;
            this.DailyPnlLimit.LimitBenchmark = "";

            this.DeltaPnlLimit = new RiskLimit();
            this.DeltaPnlLimit.LimitName = "场外期权_Delta限额";
            this.DeltaPnlLimit.LimitValueType = 0;
            this.DeltaPnlLimit.LimitValue = 0;
            this.DeltaPnlLimit.LimitBenchmark = "";

            this.GammaPnlLimit = new RiskLimit();
            this.GammaPnlLimit.LimitName = "场外期权_Gamma限额";
            this.GammaPnlLimit.LimitValueType = 0;
            this.GammaPnlLimit.LimitValue = 0;
            this.GammaPnlLimit.LimitBenchmark = "";

            this.DeltaCashPercent = new RiskLimit();
            this.DeltaCashPercent.LimitName = "场外期权_DeltaCash";
            this.DeltaCashPercent.LimitValueType = 1;
            this.DeltaCashPercent.LimitValue = 0;
            this.DeltaCashPercent.LimitBenchmark = "DeltaCash";

            this.GammaCashPercent = new RiskLimit();
            this.GammaCashPercent.LimitName = "场外期权_GammaCash";
            this.GammaCashPercent.LimitValueType = 1;
            this.GammaCashPercent.LimitValue = 0;
            this.GammaCashPercent.LimitBenchmark = "GammaCash";
        }

        public RiskDailyReportLimit(List<RiskLimit> riskLimits) : this()
        {
            for (int i = 0; i < riskLimits.Count; i++)
            {
                switch (riskLimits[i].LimitName)
                {
                    case "风控日报_年盈亏限额":
                        this.YearPnlLimit = riskLimits[i];
                        break;
                    case "风控日报_日盈亏限额":
                        this.DailyPnlLimit = riskLimits[i];
                        break;
                    case "场外期权_Delta限额":
                        this.DeltaPnlLimit = riskLimits[i];
                        break;
                    case "场外期权_Gamma限额":
                        this.GammaPnlLimit = riskLimits[i];
                        break;
                    case "场外期权_DeltaCash":
                        this.DeltaCashPercent = riskLimits[i];
                        break;
                    case "场外期权_GammaCash":
                        this.GammaCashPercent = riskLimits[i];
                        break;
                }
            }
        }
    }

    #region 风险日报表结构

    public class RiskLimitOptionModel
    {
        /// <summary>
        /// 场外期权
        /// </summary>
        public RiskLimitValueModel Option { get; set; } = new RiskLimitValueModel();
        /// <summary>
        /// 场内期权
        /// </summary>
        public RiskLimitValueModel Exchange { get; set; } = new RiskLimitValueModel();
        /// <summary>
        /// 汇总
        /// </summary>
        public RiskLimitValueModel Summary
        {
            get =>
                new RiskLimitValueModel()
                {
                    AuxiliaryValue = Option.AuxiliaryValue + Exchange.AuxiliaryValue,
                    BaseValue = Option.BaseValue + Exchange.BaseValue
                };
        }
        /// <summary>
        /// 差异值
        /// </summary>
        public double DiffValue { get { return Math.Abs(Summary.BaseValue - Summary.AuxiliaryValue); } }
    }
    public class RiskLimitValueModel
    {
        /// <summary>
        /// 光子波动率计算
        /// </summary>
        public double BaseValue { get; set; }
        /// <summary>
        /// 光证波动率计算
        /// </summary>
        public double AuxiliaryValue { get; set; }
    }
    /// <summary>
    /// 场外期权盈亏概况
    /// </summary>
    public class RiskLimitOptionPnlSummary
    {
        /// <summary>
        /// 场内期权已完结盈亏
        /// </summary>
        public double ExchangeEndPnl { get; set; }
        /// <summary>
        /// 场外期权已完结盈亏
        /// </summary>
        public double OptionEndPnl { get; set; }
        /// <summary>
        /// 已完结盈亏
        /// </summary>
        public double EndPnl { get => ExchangeEndPnl + OptionEndPnl; }
        /// <summary>
        /// 持仓盈亏
        /// </summary>
        public RiskLimitOptionModel Position { get; set; } = new RiskLimitOptionModel();
        /// <summary>
        /// 总盈亏
        /// </summary>
        public RiskLimitOptionModel Total { get; set; } = new RiskLimitOptionModel();
    }
    /// <summary>
    /// 合计概况
    /// </summary>
    public class RiskLimitSummary
    {
        /// <summary>
        /// 已完结盈亏
        /// </summary>
        public double EndPnl { get; set; }
        /// <summary>
        /// 持仓盈利
        /// </summary>
        public RiskLimitValueModel Option { get; set; } = new RiskLimitValueModel();
        /// <summary>
        /// 总盈亏
        /// </summary>
        public RiskLimitValueModel Total { get; set; } = new RiskLimitValueModel();
    }
    /// <summary>
    /// 期货盈亏概况
    /// </summary>
    public class RiskLimitFuturePnlSummary
    {
        /// <summary>
        /// 已完结盈亏
        /// </summary>
        public double EndPnl { get; set; }
        /// <summary>
        /// 持仓盈亏
        /// </summary>
        public double Pnl { get; set; }
        /// <summary>
        /// 总盈亏
        /// </summary>
        public double TotalPnl { get; set; }
    }
    /// <summary>
    /// 盈亏概况
    /// </summary>
    public class RiskLimitPnlSummary
    {
        /// <summary>
        /// 限额
        /// </summary>
        public double LimitValue { get; set; }
        /// <summary>
        /// 期权盈亏概况
        /// </summary>
        public RiskLimitOptionPnlSummary Option { get; set; } = new RiskLimitOptionPnlSummary();
        /// <summary>
        /// 期货盈亏概况
        /// </summary>
        public RiskLimitFuturePnlSummary Future { get; set; } = new RiskLimitFuturePnlSummary();
        /// <summary>
        /// 合计
        /// </summary>
        public RiskLimitSummary Summary { get; set; } = new RiskLimitSummary();

        public void SetSummary()
        {
            this.Summary.EndPnl = this.Option.EndPnl + this.Future.EndPnl;
            this.Summary.Option.BaseValue = this.Option.Position.Summary.BaseValue + this.Future.Pnl;
            this.Summary.Option.AuxiliaryValue = this.Option.Position.Summary.AuxiliaryValue + this.Future.Pnl;

            this.Summary.Total.BaseValue = this.Option.Total.Summary.BaseValue + this.Future.TotalPnl;
            this.Summary.Total.AuxiliaryValue = this.Option.Total.Summary.AuxiliaryValue + this.Future.TotalPnl;
        }
    }
    /// <summary>
    /// 希腊值概况
    /// </summary>
    public class RiskLimitGreeksValueSummary : RiskLimitValueModel
    {
        /// <summary>
        /// 限额
        /// </summary>
        public double LimitValue { get; set; }

        public RiskLimitOptionModel Option { get; set; } = new RiskLimitOptionModel();
        public double FutureValue { get; set; }

        public RiskLimitValueModel Summary
        {
            get => new RiskLimitValueModel
            {
                BaseValue = Option.Summary.BaseValue + FutureValue,
                AuxiliaryValue = Option.Summary.AuxiliaryValue + FutureValue
            };
        }
    }
    /// <summary>
    /// 风险日报表
    /// </summary>
    public class RiskLimitDailySummary
    {
        /// <summary>
        /// 期货预付金占用
        /// </summary>
        public double HoldingDeposit { get; set; }
        /// <summary>
        /// 期货客户权益
        /// </summary>
        public double Amount { get; set; }
        /// <summary>
        /// 期货风险度
        /// </summary>
        public double Risk { get; set; }
        /// <summary>
        ///  期权名义本金
        /// </summary>
        public double StockEqvNotional { get => OptionStockEqvNotional + ExchangeStockEqvNotional; }
        /// <summary>
        /// 场外期权名义本金
        /// </summary>
        public double OptionStockEqvNotional { get; set; }
        /// <summary>
        /// 场内期权名义本金
        /// </summary>
        public double ExchangeStockEqvNotional { get; set; }
        /// <summary>
        /// 持仓市值
        /// </summary>
        public RiskLimitOptionModel PositionValue { get; set; } = new RiskLimitOptionModel();
        /// <summary>
        /// 年盈亏概况
        /// </summary>
        public RiskLimitPnlSummary YearPnl { get; set; } = new RiskLimitPnlSummary();
        /// <summary>
        /// 日盈亏
        /// </summary>
        public RiskLimitPnlSummary DailyPnl { get; set; } = new RiskLimitPnlSummary();
        /// <summary>
        /// DeltaCash
        /// </summary>
        public RiskLimitGreeksValueSummary DeltaCashLimit { get; set; } = new RiskLimitGreeksValueSummary();
        /// <summary>
        /// GammaCash
        /// </summary>
        public RiskLimitGreeksValueSummary GammaCashLimit { get; set; } = new RiskLimitGreeksValueSummary();
    }

    #endregion
}