485 lines
20 KiB
C#
485 lines
20 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Text;
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using System.Threading.Tasks;
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using static YLErp.DBModels.Consts.ConsReport;
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using YLErp.BLL;
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using YLErp.DBModels.Consts;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels;
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using YLErp.Modules.SuperviseReportModule.SAC.Common;
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using YLErp.Modules.SuperviseReportModule.SAC.Model;
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using System.Data;
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using System.IO;
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using static iTextSharp.text.pdf.AcroFields;
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using YLErp.DBModels.Helpers;
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using YLErp.Modules.EodModule;
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using System.Collections.ObjectModel;
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using YLErp.Helpers;
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using YLErp.Modules.PricingModule.Models;
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using YLErp.Modules.CalculationModule;
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using YLErp.BLL.Calculation;
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using YLErp.Enums;
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using YLErp.Modules.DataProviderModule;
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using YLErp.QdpModule;
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using Qdp.Pricing.Base.Utilities;
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using YLErp.Enums;
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using YLErp.Configuration;
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using Qdp.Foundation.Implementations;
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using YLErp.Modules.VolatilityModule;
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using MoreLinq;
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namespace YLErp.Modules.SuperviseReportModule.SAC.Service
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{
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class ReportValuationInformationService : ReportBaseService
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{
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public ReportValuationInformationService(OptUserInfo optUser) : base(optUser)
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{
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}
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protected override string _excelDataSourcePath => "交易相关\\";
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protected override string _excelDataSourceFileName => "import_ValuationInformation_template.xlsx";
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protected override DataFlagsEnum BusiDataType => DataFlagsEnum.A1018;
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private List<OptFlagsEnum> _validOperationType = null;
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public override List<OptFlagsEnum> ValidOperationType
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{
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get
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{
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if (_validOperationType == null)
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{
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_validOperationType = new List<OptFlagsEnum>() {
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OptFlagsEnum.A,
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OptFlagsEnum.U,
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OptFlagsEnum.D,
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};
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}
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return _validOperationType;
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}
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}
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protected override SuperviseReportTypeEnum ReportType => SuperviseReportTypeEnum.SAC_ValuationInformation;
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List<SACReportNotes> noteList = new List<SACReportNotes>();
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protected override BodyModel GenerateBody(out bool noData, out List<string> fileList)
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{
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fileList = new List<string>();
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BodyModel model = new BodyModel();
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List<ValuationInformationModel> dataList = new List<ValuationInformationModel>();
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//if (_reqInfo.DataSource.HasFlag(SAC_ReportDataSourceEnum.Template))
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//{
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dataList = GetValuationInformationModelFromExcel(ref fileList);
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//}
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ReadOnlyCollection<string> useDel = null;
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if (_operationType == OptFlagsEnum.D && (useDel = ReportStatus.GetCacheInfo($"{DataFlagsEnum.A1018}_D")).Count > 0)
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{
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dataList.AddRange(GetValuationInformationModelFromCache(useDel));
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}
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var subsystemDataList = loadSubsystemDataSource<ValuationInformationModel>(fileList, AddSubsystemNote);
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if (subsystemDataList != null && subsystemDataList.Count > 0)
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dataList.AddRange(subsystemDataList);
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noData = dataList.Count == 0;
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model.ValuationInformation = dataList;
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return model;
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}
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private List<ValuationInformationModel> GetValuationInformationModelFromCache(IEnumerable<string> useDel)
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{
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List<ValuationInformationModel> result = new List<ValuationInformationModel>();
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foreach (var item in useDel)
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{
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var notes = base.GetReportNotes(formatInfoTag(item));
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foreach (var note in notes)
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{
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var info = new ValuationInformationModel();
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var reportCacheDic = JsonHelper.ToObject<Dictionary<string, string>>(note.InfoCache) ?? new Dictionary<string, string>();
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info.ValuationDate = reportCacheDic.ContainsKey("ValuationDate") ? reportCacheDic["ValuationDate"] : "";
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if (info.ValuationDate.IsNullOrWhiteSpace())
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{
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continue;
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}
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info.ConfirmationNo = item;
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var cacheValue = $"{info.ConfirmationNo}_{info.ValuationDate}";
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if (ReportStatus.CheckCacheInfo(CacheKey, cacheValue))
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{
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continue;
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}
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info.BizID = note.BizId;
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info.OperationType = OptFlagsEnum.D;
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info.Balance = "0.00";
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info.MarginRatio = "0.00";
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info.OptionValuation = "0.00";
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info.Delta = "0.00";
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info.Gamma = "0.00";
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info.Vega = "0.00";
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info.Theta = "0.00";
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info.Rho = "0.00";
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info.RhoQ = "0.00";
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info.DeltaCash = "0.00";
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info.GammaCash = "0.00";
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info.VegaCash = "0.00";
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info.ThetaCash = "0.00";
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info.RhoCash = "0.00";
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info.RhoQCash = "0.00";
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info.Blank1 = "0.00";
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info.Blank2 = "0.00";
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var exceId_TY = $"{info.ConfirmationNo}_{info.ValuationDate}";
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info.ExceID = base.formatExceID();
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result.Add(info);
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ReportStatus.AddCacheInfo(CacheKey, cacheValue);
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note.id = 0;
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note.InfoCache = $"{{\"Tag\":\"{info.ConfirmationNo}\",\"ValuationDate\":\"{info.ValuationDate}\",\"ExceId_TY\":\"{exceId_TY}\"}}";
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note.ExceId = info.ExceID;
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note.CreateTime = DateTime.Now;
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note.FileTag = FileTag;
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note.ReportType = ReportType;
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note.ReportDate = _reqInfo.ReportDate;
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note.InfoTag = formatInfoTag(info, true);
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note.OptTime = note.CreateTime;
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note.RetCode = "";
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note.RetMsg = "";
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note.ReportResponse = false;
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note.BizId = "";
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note.DataId = "";
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note.changeStatus = false;
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noteList.Add(note);
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}
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}
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return result;
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}
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public bool AddSubsystemNote(ValuationInformationModel model, List<string> fileList, string tag)
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{
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SACReportNotes note = base.GetReportNotes(ReportType, formatInfoTag(model, true)).FirstOrDefault();//参数true要加，要不A和D会查到同一条记录，在D时候，就会和A相同的数据
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if (note == null)
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{
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note = new SACReportNotes()
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{
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InfoCache = $"{{\"Tag\":\"{model.ConfirmationNo}\",\"Source\":\"Subsystem\",\"SubFileTag\":\"{tag}\",\"ExceID\":\"{model.ExceID}\"}}",
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IsValid = true,
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};
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}
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else
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{
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switch (model.OperationType)
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{
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case OptFlagsEnum.A:
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return false;//新增数据已报送,跳过
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case OptFlagsEnum.U:
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//多次U的时候，每次用最新的tag来赋值SubFileTag
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note.InfoCache = $"{{\"Tag\":\"{model.ConfirmationNo}\",\"Source\":\"Subsystem\",\"SubFileTag\":\"{tag}\",\"ExceID\":\"{model.ExceID}\"}}";
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note.IsValid = true;
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break;
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case OptFlagsEnum.D:
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note.IsValid = false;
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break;
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case OptFlagsEnum.NONE:
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default:
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throw new ServiceException("未知操作类型");
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}
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}
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model.ExceID = base.formatExceID();
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note.id = 0;
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note.ExceId = model.ExceID;
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note.CreateTime = DateTime.Now;
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note.FileTag = FileTag;
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note.ReportType = ReportType;
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note.ReportDate = _reqInfo.ReportDate;
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note.InfoTag = formatInfoTag(model, true);
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note.OptTime = note.CreateTime;
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note.RetCode = "";
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note.RetMsg = "";
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note.ReportResponse = false;
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note.BizId = "";
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note.changeStatus = false;
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noteList.Add(note);
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return true;
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}
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private List<ValuationInformationModel> GetValuationInformationModelFromExcel(ref List<string> fileList)
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{
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List<ValuationInformationModel> result = new List<ValuationInformationModel>();
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if (_excelDataSource != null && _excelDataSource.Tables.Contains("每日估值信息"))
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{
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DataTable dt = _excelDataSource.Tables["每日估值信息"];
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for (int i = 1; i < dt.Rows.Count; i++)
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{
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if (string.IsNullOrWhiteSpace(dt.Rows[i][0]?.ToString()))
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{
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//第一列空白说明数据结束了;
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break;
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}
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var optType = OptFlagsEnum.NONE;
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switch (dt.Rows[i][1]?.ToString())
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{
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case "0":
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case "A":
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case "首次":
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optType = OptFlagsEnum.A;
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break;
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case "1":
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case "U":
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case "变更":
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optType = OptFlagsEnum.U;
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break;
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case "2":
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case "D":
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case "废止":
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optType = OptFlagsEnum.D;
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break;
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}
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if (optType != _operationType)
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{
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continue;
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}
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ValuationInformationModel model = new ValuationInformationModel();
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model.ConfirmationNo = GetDataSetValue(dt, i, 0);
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model.OperationType = _operationType;
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DateTime.TryParse(GetDataSetValue(dt, i, 2), out DateTime date);
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model.ValuationDate = date == DateTime.MinValue ? null : date.ToString("yyyy-MM-dd");
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var cacheValue = $"{model.ConfirmationNo}_{model.ValuationDate}";
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if (ReportStatus.CheckCacheInfo(CacheKey, cacheValue))
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{
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continue;
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}
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List<SACReportNotes> notes = base.GetReportNotes(ReportType, formatInfoTag(model));
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var note = notes.LastOrDefault(O => O.InfoCache.Contains(model.ConfirmationNo));
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if (note == null && _operationType == OptFlagsEnum.A)
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{
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note = new SACReportNotes()
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{
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InfoCache = $"{{\"Tag\":\"{model.ConfirmationNo}\",\"ValuationDate\":\"{model.ValuationDate}\",\"Source\":\"Template\"}}",
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IsValid = true,
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};
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}
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else
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{
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if (note == null)
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{
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continue;
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}
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switch (_operationType)
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{
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case OptFlagsEnum.A:
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continue;//新增数据已报送,跳过
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case OptFlagsEnum.U:
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note.IsValid = true;
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break;
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case OptFlagsEnum.D:
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note.IsValid = false;
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break;
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case OptFlagsEnum.NONE:
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default:
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throw new ServiceException("未知操作类型");
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}
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}
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if (_operationType != OptFlagsEnum.A)
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{
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model.BizID = note.BizId;
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}
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model.Balance = GetDataSetValueToDoubleOrNull(dt, i, 3)?.ToString("0.00");
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model.MarginRatio = GetDataSetValue(dt, i, 4);
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model.OptionValuation = GetDataSetValueToDoubleOrNull(dt, i, 5)?.ToString("0.00");
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model.Delta = GetDataSetValue(dt, i, 6);
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model.Gamma = GetDataSetValue(dt, i, 7);
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model.Vega = GetDataSetValue(dt, i, 8);
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model.Theta = GetDataSetValue(dt, i, 9);
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model.Rho = GetDataSetValue(dt, i, 10);
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model.RhoQ = GetDataSetValue(dt, i, 11);
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model.DeltaCash = GetDataSetValue(dt, i, 12);
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model.GammaCash = GetDataSetValue(dt, i, 13);
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model.VegaCash = GetDataSetValue(dt, i, 14);
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model.ThetaCash = GetDataSetValue(dt, i, 15);
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model.RhoCash = GetDataSetValue(dt, i, 16);
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model.RhoQCash = GetDataSetValue(dt, i, 17);
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model.Blank1 = GetDataSetValue(dt, i, 18); ;
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model.Blank2 = GetDataSetValue(dt, i, 19);
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model.ExceID = base.formatExceID();
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result.Add(model);
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ReportStatus.AddCacheInfo(CacheKey, cacheValue);
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note.id = 0;
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note.ExceId = model.ExceID;
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note.CreateTime = DateTime.Now;
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note.FileTag = FileTag;
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note.ReportType = ReportType;
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note.ReportDate = _reqInfo.ReportDate;
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note.InfoTag = formatInfoTag(model, true);
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note.OptTime = note.CreateTime;
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note.RetCode = "";
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note.RetMsg = "";
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note.ReportResponse = false;
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note.BizId = "";
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note.DataId = "";
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note.changeStatus = false;
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noteList.Add(note);
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}
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}
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return result;
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}
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private string formatInfoTag(ValuationInformationModel model, bool suffixType = false)
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{
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string result = $"{BusiDataType}_{model.ConfirmationNo.Replace("_", "-")}_{model.ValuationDate}_";
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if (suffixType)
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{
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result = $"{result}{_operationType}";
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}
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return result;
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}
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private string formatInfoTag(string confirmationNo)
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{
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string result = $"{BusiDataType}_{confirmationNo.Replace("_", "-")}_";
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return result;
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}
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protected override string _changeCodeOfInfoTag(string infoTag, string newCode, out string originalCode)
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{
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var arr = infoTag.Split('_');
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if (arr.Length != 4)
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{
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throw new ServiceException($"InfoTag信息不匹配:{infoTag}");
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}
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originalCode = arr[1];
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arr[1] = newCode.Replace("_", "-");
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return string.Join("_", arr);
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}
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protected override List<SacInfo> CheckBodyValue(BodyModel model, out bool checkStatus)
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{
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List<SacInfo> result = new List<SacInfo>();
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if (model?.ValuationInformation != null)
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{
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CheckHelper<ValuationInformationModel> helper = new CheckHelper<ValuationInformationModel>();
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for (int i = 0; i < model.ValuationInformation.Count; i++)
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{
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List<SacInfo> listRoot = new List<SacInfo>();
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var item = model.ValuationInformation[i];
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helper.ExecuteCheck(item, (name, value, msg) =>
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{
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listRoot.Add(new SacInfo(name, value, msg));
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});
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if (listRoot.Count > 0)
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{
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var errMsg = new SacInfo("ValuationInformation", i);
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errMsg.FieldValue = item.ConfirmationNo;
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errMsg.SubMaps = new List<SacInfo>(listRoot);
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result.Add(errMsg);
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}
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}
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}
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checkStatus = result.Count > 0;
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return result;
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}
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public override bool BeforeOfGenerated(out string errMsg)
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{
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errMsg = "";
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for (int i = 0; i < noteList.Count; i++)
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{
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base.SaveReportNotes(noteList[i]);
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}
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return true;
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}
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private enum clacTargetEnum
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{
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/// <summary>
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/// 波动率变动
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/// </summary>
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vol,
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/// <summary>
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/// 无风险利率变动
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/// </summary>
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r,
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/// <summary>
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/// 分红率变动
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/// </summary>
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q
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}
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/// <summary>
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/// 计算参数
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/// </summary>
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private class calcParam
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{
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/// <summary>
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/// 计算指标
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/// </summary>
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public clacTargetEnum Target { get; set; }
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/// <summary>
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/// 交易列表
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/// </summary>
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public IEnumerable<trade> TradeList { get; set; }
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/// <summary>
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/// 估值日期
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/// </summary>
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public DateTime Date { get; set; }
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/// <summary>
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/// 偏移值
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/// <para>每次只变动一个参数,所以只需要一个</para>
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/// </summary>
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public double Offset { get; set; }
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/// <summary>
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/// 波动率变动
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/// </summary>
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public Dictionary<int, double> UpVolForTrade { get; set; }
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/// <summary>
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/// 无风险利率或分红率变动
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/// </summary>
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public Action<OptionTradeParamBase> UpParamOverride { get; set; }
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/// <summary>
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/// 波动率变动
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/// </summary>
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public Dictionary<int, double> DownVolForTrade { get; set; }
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/// <summary>
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/// 无风险利率或分红率变动
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/// </summary>
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public Action<OptionTradeParamBase> DownParamOverride { get; set; }
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/// <summary>
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/// PV差
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/// </summary>
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public Dictionary<int, double> PvDiff { get; set; }
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/// <summary>
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///
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/// </summary>
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/// <param name="offset"></param>
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/// <param name="volForTrade"></param>
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/// <param name="rParamOverride"></param>
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/// <param name="qParamOverride"></param>
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public calcParam(
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clacTargetEnum target,
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IEnumerable<trade> tradeList,
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DateTime date,
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double offset,
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Dictionary<int, double> upVolForTrade,
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Dictionary<int, double> downVolForTrade,
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Action<OptionTradeParamBase> upParamOverride,
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Action<OptionTradeParamBase> downParamOverride)
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{
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this.Target = target;
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this.TradeList = tradeList;
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this.Date = date;
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this.Offset = offset;
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this.UpVolForTrade = upVolForTrade;
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this.DownVolForTrade = downVolForTrade;
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this.UpParamOverride = upParamOverride;
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this.DownParamOverride = downParamOverride;
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}
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}
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}
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}
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