zszq-trs/YLErpDAL/Modules/EodModule/SettlementModule/Base/EodVolProvider.cs

using YLErp.DBModels.Consts;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;

namespace YLErp.Modules.EodModule.SettlementModule
{
    /// <summary>
    /// 结算波动率接口(暂未考虑多标的处理)
    /// </summary>
    public interface IEodVolProvider
    {
        double? GetVol(OtcTradeBase td, double spotPrice);
    }

    #region----持仓波动率----

    /// <summary>
    /// TradeVol模式持仓波动率提供
    /// </summary>
    class EodPositionVolProvider_Trade : TradeVolitalityProvider, IEodVolProvider
    {
        Dictionary<int, double> _overridVolDic;

        public EodPositionVolProvider_Trade(DateTime valueDate) : base(valueDate)
        {

        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            if (td is null)
            {
                throw new ArgumentNullException(nameof(td));
            }

            if (td.id < 1)
            {
                return null;
            }

            if (_overridVolDic == null)
            {
                using (var db = DbContextFactory.GetYLDbContext())
                {
                    _overridVolDic = db.eod_trade_vol_override.Where(x => x.valuedate == _valueDate)
                        .Select(n => new { n.tradeid, n.vol }).ToDictionary(n => n.tradeid, m => m.vol);
                }
            }

            if (_overridVolDic.TryGetValue(td.id, out var vol))
            {
                return vol;
            }

            if (TryGetVol(td.id, td.ExerciseDate.Value, out vol))
            {
                return vol;
            }

            return VolatilityHelper.GetTradeVol(_valueDate, td.TradeDate.Value, td.ExerciseDate.Value,
                td.TradeOpenVolatility ?? 0, td.TradeCloseVolatility ?? 0, td.NumOfSmoothingDays ?? 0);
        }
    }

    #endregion

    #region----曲面波动率----

    /// <summary>
    /// 曲面波动率模式持仓波动率提供
    /// </summary>
    class EodUnderlyingVolProvider : UnderlyingVolitalityProvider
    {
        protected EodUnderlyingVolProvider(DateTime valueDate, IEnumerable<string> volTypes) : base(valueDate, volTypes)
        {

        }

        protected double? InnerGetVol(OtcTradeBase td, string volType, double spotPrice)
        {
            if (td is null)
            {
                throw new ArgumentNullException(nameof(td));
            }

            var userGroup = string.Empty;

            if (ConsUserGroup.HasGroup)
            {
                userGroup = DataCacheProvider.GetAssetUnitDataSource().GetData(td.AssetId)?.UserGroup;

                if (string.IsNullOrEmpty(userGroup))
                {
                    throw new Exception($"[结算交易'{td.TradeNumber}'][取{volType}波动率]未能获取用户组!");
                }
            }

            var unVol = GetVol(volType, userGroup, td.UnderlyingCode);

            if (unVol == null)
            {
                return null;
            }

            var constVol = VolatilityHelper.GetInterpolatedVol(
                volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                volSurface: unVol,
                valueDate: _valueDate,
                underlyingCode: td.UnderlyingCode,
                exerciseDate: td.ExerciseDate.Value,
                strike: td.Strike ?? 0,
                isBuy: td.BuySell == "买入",
                isCall: td.CallPut == "Call",
                spotPrice: spotPrice,
                isMoneynessOption: td.IsMoneynessOption == "是",
                isEodCalc: true);

            return constVol;
        }
    }

    /// <summary>
    /// 单个曲面波动率类型
    /// </summary>
    class EodUnderlyingSingleVolProvider : EodUnderlyingVolProvider, IEodVolProvider
    {
        readonly string _volType;

        public EodUnderlyingSingleVolProvider(DateTime valueDate, string volType)
            : base(valueDate, new[] { volType })
        {
            _volType = volType ?? throw new ArgumentNullException(nameof(volType));
        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            return InnerGetVol(td, _volType, spotPrice);
        }
    }

    /// <summary>
    /// 曲面波动率模式持仓波动率提供
    /// </summary>
    class EodPositionVolProvider_Underlying : EodUnderlyingVolProvider, IEodVolProvider
    {
        readonly string _volType;

        Dictionary<int, double> _overridVolDic;

        public EodPositionVolProvider_Underlying(DateTime valueDate, string volType)
            : base(valueDate, new[] { volType })
        {
            _volType = volType ?? throw new ArgumentNullException(nameof(volType));
        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            if (_overridVolDic == null)
            {
                using (var db = DbContextFactory.GetYLDbContext())
                {
                    _overridVolDic = db.eod_trade_vol_override.Where(x => x.valuedate == _valueDate)
                        .Select(n => new { n.tradeid, n.vol }).ToDictionary(n => n.tradeid, m => m.vol);
                }
            }

            if (_overridVolDic.TryGetValue(td.id, out var vol))
            {
                return vol;
            }

            return InnerGetVol(td, _volType, spotPrice);
        }
    }

    #endregion

    #region----对冲波动率----

    /// <summary>
    /// 对冲波动率提供
    /// </summary>
    class EodHedgeVolProvider : TradeHedgeVolProvider, IEodVolProvider
    {
        public EodHedgeVolProvider(DateTime valueDate) : base(valueDate)
        {

        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            if (td is null)
            {
                throw new ArgumentNullException(nameof(td));
            }

            if (TryGetVol(td.id, out var vol))
            {
                return vol;
            }

            return td.TradeSavedVol ?? 0;
        }
    }

    /// <summary>
    /// 开仓波动率提供(开仓波动率只在TradeVol模式下结算)
    /// </summary>
    class EodOpenVolProvider : TradeHedgeVolProvider, IEodVolProvider
    {
        public EodOpenVolProvider(DateTime valueDate) : base(valueDate)
        {

        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            return td?.TradeOpenVolatility;
        }
    }

    #endregion

    #region----扩展波动率----

    /// <summary>
    /// 扩展波动率(光证)提供
    /// </summary>
    class EodExtendVolProvider_GZ : VarietyVolProvider, IEodVolProvider
    {
        public EodExtendVolProvider_GZ(DateTime valueDate) : base(valueDate)
        {

        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            if (td is null)
            {
                throw new ArgumentNullException(nameof(td));
            }

            if (TryGetVol(td.UnderlyingCode, out var vol))
            {
                return vol;
            }

            return null;
        }
    }

    /// <summary>
    /// 扩展波动率(BidAskVol)提供
    /// </summary>
    class EodExtendVolProvider_BidAskVol : EodUnderlyingVolProvider, IEodVolProvider
    {
        public EodExtendVolProvider_BidAskVol(DateTime valueDate)
            : base(valueDate, new[] { "报价Ask", "报价Bid" })
        {
        }

        public double? GetVol(OtcTradeBase td, double spotPrice)
        {
            if (td is null)
            {
                throw new ArgumentNullException(nameof(td));
            }

            return InnerGetVol(td, td.BuySell == "买入" ? "报价Ask" : "报价Bid", spotPrice);
        }
    }

    #endregion

    /// <summary>
    /// 波动率提供者工厂
    /// </summary>
    public class EodVolProviderFactory
    {
        public static IEodVolProvider GetEodVolProvider(DateTime valueDate, string volType)
        {
            switch (volType)
            {
                case "持仓":
                    if (PS.Config.IsTradeVol)
                    {
                        return new EodPositionVolProvider_Trade(valueDate);
                    }
                    volType = BLL.valuedateBLL.SystemDate.EodSettleVolMode.TrimToNull() ?? "财务";
                    return new EodPositionVolProvider_Underlying(valueDate, volType);
                case "开仓":
                    return new EodOpenVolProvider(valueDate);
                case "对冲":
                    return new EodHedgeVolProvider(valueDate);
                case "BidAskVol":
                    return new EodExtendVolProvider_BidAskVol(valueDate);
                case "光证":
                    return new EodExtendVolProvider_GZ(valueDate);
                default:
                    return new EodUnderlyingSingleVolProvider(valueDate, volType);
            }
        }
    }
}