65 lines
2.1 KiB
C#
65 lines
2.1 KiB
C#
using System.Collections.Concurrent;
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using YLErp.Abstract;
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namespace YLErp.Modules.DataProviderModule
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{
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/// <summary>
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/// 场外期权对冲波动率提供
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/// </summary>
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public class OtcHedgingVolProvider : IDataUpdater, IJsonSerializable
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{
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readonly DateTime _valueDate;
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//使用tradeid做为主键
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readonly ConcurrentDictionary<int, double?> _dic;
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//业务操作上来说，旧的波动率不会再变更
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readonly ConcurrentDictionary<int, double?> _dicOld;
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/// <summary>
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/// 构造函数
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/// </summary>
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/// <param name="valueDate">当前结算日期</param>
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public OtcHedgingVolProvider(DateTime valueDate)
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{
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_valueDate = valueDate;
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_dic = new ConcurrentDictionary<int, double?>();
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_dicOld = new ConcurrentDictionary<int, double?>();
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}
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public string TableName => nameof(trade_hedge_vol);
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/// <summary>
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/// 获取交易波动率
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/// </summary>
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public double? GetVol(int tradeId, DateTime valueDate)
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{
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var dic = valueDate < _valueDate ? _dicOld : _dic;
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if (!dic.TryGetValue(tradeId, out double? vol))
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{
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vol = DbContextFactory.GetYLDbContext().trade_hedge_vol
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.Where(n => n.TradeId == tradeId && n.ValueDate <= valueDate)
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.OrderByDescending(n => n.ValueDate)
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.Select(n => (double?)n.TradeSavedVol).FirstOrDefault();
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dic.AddOrUpdate(tradeId, vol, (n, m) => vol);
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}
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return vol;
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}
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/// <summary>
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/// 更新数据
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/// </summary>
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public void UpdateData(IEnumerable<string> updateKeyIds)
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{
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var tradeIds = DataConvert.ConvertToInt32Array(updateKeyIds);
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foreach (var tradeId in tradeIds)
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{
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_dic.TryRemove(tradeId, out _);
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}
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}
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public string ToJson()
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{
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return new { _valueDate, _dic, _dicOld }.ToJson();
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}
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}
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}
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