96 lines
2.4 KiB
C#
96 lines
2.4 KiB
C#
using YLErp.Abstract;
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using YLErp.Abstract.DataProviders;
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namespace YLErp.Modules.CalculationModule.Abstract
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{
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/// <summary>
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/// 持仓风险对冲计算上下文接口
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/// </summary>
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public interface IHedgePnlCalcContext
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{
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/// <summary>
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/// 估值日
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/// </summary>
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DateTime ValueDate { get; }
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/// <summary>
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/// 计算场景
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/// </summary>
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Enums.CalcScenarioEnum CalcScenario { get; }
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/// <summary>
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/// 波动率类型
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/// </summary>
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string VolType { get; }
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bool IsEodCalc { get; }
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/// <summary>
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/// 标的数据提供者
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/// </summary>
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IUnderlyingDataProvider UnderlyingDataProvider { get; }
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/// <summary>
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/// 标的价格提供者
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/// </summary>
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IPriceProvider UnderlyingPriceProvider { get; }
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/// <summary>
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/// 标的结算价格提供者
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/// </summary>
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IPriceProvider UnderlyingSettlePriceProvider { get; }
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/// <summary>
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/// 场内期权价格提供者
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/// </summary>
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IPriceProvider ExchangeOptionPriceProvider { get; }
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/// <summary>
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/// 错误处理接口
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/// </summary>
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IErrorHandler ErrorHandler { get; }
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/// <summary>
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/// 对冲交易佣金计算接口
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/// </summary>
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IExchangeTradeCommissionCalc CommissionCalc { get; }
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/// <summary>
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/// 场内期权价格使用选项
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/// 注意：在计算类中光子将忽略此项并固定为CalcPv
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/// </summary>
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ExchangeOptionPriceUseFlag ExchangeOptionPriceUseFlag { get; }
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/// <summary>
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/// 创建期权计算上下文对象
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/// </summary>
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IOtcTradeValueCalcContext CreateOptionCalculateContext();
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}
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/// <summary>
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/// 场内期权价格使用选项
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/// </summary>
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public enum ExchangeOptionPriceUseFlag
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{
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/// <summary>
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/// 不使用
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/// </summary>
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None = 0,
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/// <summary>
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/// 只设置HedgePnl的ExOptionPrice属性值
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/// </summary>
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SetExOptionPrice = 1,
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/// <summary>
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/// 用来计算PV(此选项涵盖了SetExOptionPrice选项)
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/// </summary>
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CalcPv = SetExOptionPrice + 1,
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/// <summary>
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/// 价格试算模式
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/// </summary>
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TrialCalclMode = 11
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}
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}
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