65 lines
1.9 KiB
C#
65 lines
1.9 KiB
C#
using YLErp.Abstract;
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using YLErp.Abstract.DataProviders;
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using YLErp.Modules.CalculationModule.Abstract;
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namespace YLErp.Modules.TradeRiskCalcModule.Abstract
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{
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public interface ITradeRiskCalcContext : IErrorHandler
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{
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/// <summary>
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/// 估值日期
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/// </summary>
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DateTime ValueDate { get; }
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/// <summary>
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/// 上个交易日(场外交易计算用这个)
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/// </summary>
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DateTime PreValueDate { get; }
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/// <summary>
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/// 上个结算日(场外交易计算用不到这个)
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/// </summary>
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DateTime PreSettleDate { 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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/// <summary>
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/// 期权价值计算数据接口
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/// </summary>
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IOptionCalcDataProvider OptionCalcDataProvider { get; }
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/// <summary>
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/// 上个交易日结算价接口
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/// </summary>
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IEodPriceProvider YdEodPriceProvider { get; }
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/// <summary>
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/// 上日交易历史数据接口
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/// </summary>
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ITradeHisDataProvider YdTradeHisDataProvider { get; }
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/// <summary>
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/// 上日持仓数据接口
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/// </summary>
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ITradeRiskEodPositionDataProvider YdEodPositionDataProvider { get; }
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/// <summary>
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/// 获取交易的现金交割
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/// </summary>
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IEnumerable<trade_cash> GetTrade_Cashes(IEnumerable<int> tradeIds);
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/// <summary>
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/// 生成当前风险期权计算上下文
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/// </summary>
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IOtcTradeValueCalcContext CreateOptionValueCalcContext(double sysRiskFreeRate);
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/// <summary>
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/// 根据期权价值计算上下文生成对冲损益计算上下文
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/// </summary>
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IHedgePnlCalcContext CreateHedgePnlCalcContext(IOtcTradeValueCalcContext optionValueCaclContext);
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}
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}
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