285 lines
13 KiB
C#
285 lines
13 KiB
C#
using BaseOUDAL;
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using YLErp.BLL;
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using YLErp.DBModels.Helpers;
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using YLErp.Model;
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using YLErp.QdpModule;
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namespace YLErp.Modules.SuperviseReportModule.XingZhengReport.Service
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{
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public class SuperviseReportOptionService : SuperviseReportBaseService<SuperviseReportOptionModel>
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{
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public SuperviseReportOptionService(OptUserInfo userInfo, SuperviseReportReq req) : base(userInfo, req)
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{
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}
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private SearchListResult<SuperviseReportOptionModel> ReportQuery(SuperviseReportReq req)
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{
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var query = from et in DbContext.eod_trade
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join risk in DbContext.eod_trade_risk
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on new { et.TradeId, et.ValueDate } equals new { risk.TradeId, risk.ValueDate }
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//join cfm in DbContext.trade_contract_r.Where(O => O.IsValid && O.Type == "交易确认书")
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//on et.TradeId equals cfm.TradeId into cfmTemp
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//from cfm in cfmTemp.DefaultIfEmpty()
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where et.ValueDate == req.ValueDate && et.TradeType != "收益互换" && et.TradeType != "现金流交易"
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orderby et.TradeId descending
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select new
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{
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et = new xodTradeBase() { TradeJson = et.TradeJson },
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risk = risk,
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//cfm.ContractCode,
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};
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var searchTradeInfo = query.ToSearchList(req, false);
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List<SuperviseReportOptionModel> modelList = new List<SuperviseReportOptionModel>();
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var hedgeGroup = searchTradeInfo.rows.Select(O => O.et.trade.UnderlyingCode).ToHashSet(); ;
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//暂时不要下面的逻辑了,默认全部为已对冲
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//var tradeList = searchTradeInfo.rows.Select(O => O.et.trade).ToList();
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//var priceProvider = new EodPriceProvider(req.ValueDate).GetPriceProvider(SettlementTypeEnum.ClosePrice);
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//var service = new QuotaMonitorService(OptUser);
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//service.GetHedgeGroup(tradeList, priceProvider, out _, out _, out _, out var hedgeGroup, out _);
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//service.GetRiskScale(tradeList,)
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foreach (var item in searchTradeInfo.rows)
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{
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var trade = item.et.trade;
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var risk = item.risk;
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode);
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if (um != null)
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{
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var obj = new SuperviseReportOptionModel();
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FormatModel(obj, trade, hedgeGroup, trade.TradeNumber, risk);
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modelList.Add(obj);
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}
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else
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{
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searchTradeInfo.records--;
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}
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}
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searchTradeInfo.total = Math.Max(1, (int)Math.Ceiling((double)searchTradeInfo.records / searchTradeInfo.rows.Count()));
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return new SearchListResult<SuperviseReportOptionModel>(searchTradeInfo, modelList);
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}
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public override SearchListResult<SuperviseReportOptionModel> SearchReportList()
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{
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return ReportQuery(RequestInfo);
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}
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private void FormatModel(SuperviseReportOptionModel model, trade trade, IEnumerable<string> hedgeGroup, string contractCode, EodTradeRisk risk)
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{
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base.FormatModel(model, trade, hedgeGroup, contractCode);
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var um = DataCacheProvider.GetUnderlyingDataSource().GetData(trade.UnderlyingCode);
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model.OptStructName = trade.StructureType ?? trade.TradeType;
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model.OptPrftTypeCd = getOptPrftTypeCode(trade);
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model.CallPutCd = trade.OptionType == "看涨" ? "01" : "02";
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model.OtcDeriType = "01";//场外期权
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model.RgtDutyCd = trade.BuySell == "买入" ? "01" : "02";
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model.TgtCd = um.UnderlyingCode.Contains(".") ? um.UnderlyingCode : $"{um.UnderlyingCode}.{um.MarketCode}";
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model.TgtName = um.UnderlyingName;
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model.TgtExchCd = base.getTgtExchCd(um.MarketName);
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model.TgtAstTypeCd = um.IsCommodity() ? "02" : (um.IsStock() || um.IsStockIndex()) ? "01" : "03";
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model.CtrNomnVal = trade.StockEqvNotional;
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model.RealNomnVal = TradeHelper.GetStockEqvNotionalReal(trade.StockEqvNotional, trade.ParticipationRate, trade.AnnualizeFactor);
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//model.InsmScal = 0;//目前算法计算的业务规模是标的维度的,无法分解为交易维度;
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model.PremFix = trade.TradePrice;
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model.ExerMod = trade.ExerciseMode == "American" ? "20" : "10";
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setObservationInfo(model, trade);
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model.MaktVal = risk.Pv;
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model.Delta = risk.Delta;
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model.Vega = risk.Vega;
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model.Gamma = risk.Gamma;
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model.RiskFreeRate = trade.NoRiskRate ?? valuedateBLL.RiskFreeRate;
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//model.DividRate = 0;
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model.Volat = risk.Vol;
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}
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/// <summary>
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/// 设置观察信息
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/// </summary>
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/// <param name="obj"></param>
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/// <param name="trade"></param>
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private void setObservationInfo(SuperviseReportOptionModel obj, trade trade)
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{
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var bpObsvDay = trade.StartDate.GetValueOrDefault().ToString("yyyy-MM-dd");
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var epObsvDay = trade.ExerciseDate.GetValueOrDefault().ToString("yyyy-MM-dd");
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switch (trade.TradeType)
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{
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case "亚式期权":
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//获取fixings的时候，函数内部处理除权除息逻辑;
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break;
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case "障碍期权":
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obj.BpObsvDay = bpObsvDay;
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obj.EpObsvDay = epObsvDay;
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obj.ObsvFreq = "每日观察";//1:到期观察;2:每日观察;
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if (trade.IsMoneynessOptionData)
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{
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obj.BarriPricRati2 = trade.trade_barrier_option.BarrierPrice;
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obj.BarriPricRati1 = trade.trade_barrier_option.UpperBarrierPrice;
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}
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else
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{
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obj.BarriPric2 = trade.trade_barrier_option.BarrierPrice;
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obj.BarriPric1 = trade.trade_barrier_option.UpperBarrierPrice;
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}
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break;
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case "凤凰期权":
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var obsInfos = QdpHelper.ParseAutocallCustomizedInfo(trade.trade_autocall.KOObservationDates);
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obj.BpObsvDay = obsInfos.Item1.Length > 0 ? obsInfos.Item1.Min().DateTime.ToString("yyyy-MM-dd") : bpObsvDay;
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obj.EpObsvDay = obsInfos.Item1.Length > 0 ? obsInfos.Item1.Max().DateTime.ToString("yyyy-MM-dd") : epObsvDay;
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obj.ObsvFreq = obsInfos.Item1.Length > 0 ? "" : "每日观察";//1:到期观察;2:每日观察;
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if (trade.IsMoneynessOptionData)
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{
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obj.ExecPricRati2 = trade.trade_autocall.SpreadStrike;
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obj.ExecPricRati1 = trade.trade_autocall.SpreadStrike1;
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}
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else
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{
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obj.ExecPric2 = trade.trade_autocall.SpreadStrike;
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obj.ExecPric1 = trade.trade_autocall.SpreadStrike1;
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}
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break;
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case "双鲨期权":
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obj.BpObsvDay = bpObsvDay;
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obj.EpObsvDay = obj.ExprDt;
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obj.ObsvFreq = "每日观察";//1:到期观察;2:每日观察;
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if (trade.IsMoneynessOptionData)
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{
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obj.BarriPricRati2 = trade.trade_double_sharkfin_option.BarrierHigh;
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obj.BarriPricRati1 = trade.trade_double_sharkfin_option.BarrierLow;
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obj.ExecPricRati2 = trade.trade_double_sharkfin_option.StrikeHigh;
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obj.ExecPricRati1 = trade.trade_double_sharkfin_option.StrikeLow;
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}
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else
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{
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obj.BarriPric2 = trade.trade_double_sharkfin_option.BarrierHigh;
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obj.BarriPric1 = trade.trade_double_sharkfin_option.BarrierLow;
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obj.ExecPric2 = trade.trade_double_sharkfin_option.StrikeHigh;
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obj.ExecPric1 = trade.trade_double_sharkfin_option.StrikeLow;
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}
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break;
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case "区间累积期权":
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//t.trade_rangeaccrual.LowerRange = GetPrice(t.trade_rangeaccrual.LowerRange, dividendInfo, ratio);
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//t.trade_rangeaccrual.UpperRange = GetPrice(t.trade_rangeaccrual.UpperRange, dividendInfo, ratio);
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break;
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case "雪球期权":
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obsInfos = QdpHelper.ParseAutocallCustomizedInfo(trade.trade_snowball.KOObservationDates);
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obj.BpObsvDay = obsInfos.Item1.Length > 0 ? obsInfos.Item1.Min().DateTime.ToString("yyyy-MM-dd") : bpObsvDay;
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obj.EpObsvDay = obsInfos.Item1.Length > 0 ? obsInfos.Item1.Max().DateTime.ToString("yyyy-MM-dd") : epObsvDay;
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obj.ObsvFreq = obsInfos.Item1.Length > 0 ? "" : "每日观察";//1:到期观察;2:每日观察;
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if (trade.IsMoneynessOptionData)
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{
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obj.BarriPricRati2 = trade.trade_barrier_option.BarrierPrice;
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obj.BarriPricRati1 = trade.trade_barrier_option.UpperBarrierPrice;
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}
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else
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{
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obj.BarriPric2 = trade.trade_barrier_option.BarrierPrice;
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obj.BarriPric1 = trade.trade_barrier_option.UpperBarrierPrice;
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}
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break;
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case "气囊结构":
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obj.BpObsvDay = bpObsvDay;
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obj.EpObsvDay = epObsvDay;
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obj.ObsvFreq = "每日观察";//1:到期观察;2:每日观察;
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if (trade.IsMoneynessOptionData)
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{
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obj.BarriPricRati2 = trade.trade_airbag.Barrier;
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obj.ExecPricRati2 = trade.trade_airbag.HighStrike;
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}
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else
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{
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obj.BarriPric2 = trade.trade_airbag.Barrier;
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obj.ExecPric2 = trade.trade_airbag.HighStrike;
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}
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break;
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default:
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break;
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}
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}
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/// <summary>
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/// 获取期权收益类型代码
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/// </summary>
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/// <param name="trade"></param>
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/// <returns></returns>
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private string getOptPrftTypeCode(trade trade)
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{
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string code = "99";
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switch (trade.TradeType)
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{
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case "香草期权":
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code = "01";
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break;
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case "结构化交易":
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switch (trade.StructureType)
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{
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case "跨式组合":
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code = "07";
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break;
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case "宽跨式":
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case "宽跨式组合":
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code = "08";
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break;
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case "牛市价差":
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case "熊市价差":
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code = "03";
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break;
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case "结构化交易":
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//自由组合
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default:
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break;
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}
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break;
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case "合成价差期权":
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code = "03";
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break;
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case "凤凰期权":
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code = "16";
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break;
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case "雪球期权":
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if (trade.trade_snowball.KOPayoffType == KOPayoffTypeEnum.ToSpreadOption)
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{
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code = "14";
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}
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else
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{
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code = "15";
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}
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break;
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case "障碍期权":
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if (trade.trade_barrier_option.BarrierType == "双障碍敲出")
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{
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code = "06";
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}
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else if (trade.trade_barrier_option.BarrierType.Contains("双"))
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{
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//其他
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}
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else if (trade.trade_barrier_option.BarrierType.Contains("敲出"))
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{
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code = "04";
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}
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else if (trade.trade_barrier_option.BarrierType.Contains("敲入"))
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{
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code = "05";
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}
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break;
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case "二元期权":
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code = "02";
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break;
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case "亚式期权":
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code = "13";
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break;
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case "双鲨期权":
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code = "06";
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break;
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case "区间累计期权":
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case "区间累积期权":
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code = "18";
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break;
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default:
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break;
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}
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return code;
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}
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}
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}
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