zszq-trs/YLErpDAL/QdpModule/QdpConverter.cs

using Qdp.ComputeServiceV2.Data.CommonModels.TradeInfos;
using Qdp.Pricing.Base.Enums;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 转换为QDP定义
    /// </summary>
    public static class QdpConverter
    {
        /// <summary>
        /// 转换OTC看涨看跌到QDP枚举
        /// </summary>
        public static OptionType ConvertOptionType(string value)
        {
            if (string.IsNullOrEmpty(value))
            {
                return OptionType.Call;
            }

            switch (value?.ToUpperInvariant())
            {
                case "看涨":
                case "CALL":
                    return OptionType.Call;
                case "看跌":
                case "PUT":
                    return OptionType.Put;
                default:
                    throw new NotImplementedException("ToOptionType:" + value);
            }
        }

        /// <summary>
        /// 转换OTC看涨看跌到QDP枚举
        /// </summary>
        public static OptionType ConvertCallPut(string value)
        {
            return ConvertOptionType(value);
        }

        /// <summary>
        /// 转换OTC买卖方向到QDP买卖方向
        /// </summary>
        public static TradeType ConvertTradeType(string value)
        {
            if (string.IsNullOrEmpty(value))
            {
                return TradeType.Buy;
            }

            switch (value.ToUpperInvariant())
            {
                case "卖出":
                case "SELL":
                    return TradeType.Sell;
                case "买入":
                case "BUY":
                    return TradeType.Buy;
                default:
                    throw new NotImplementedException("ToTradeType:" + value);
            }
        }

        /// <summary>
        /// 转换OTC行权方式到QDP行权方式
        /// </summary>
        public static OptionExercise ConvertExerciseType(string exerciseType)
        {
            if (string.IsNullOrEmpty(exerciseType))
            {
                return OptionExercise.European;
            }

            switch (exerciseType.ToUpperInvariant())
            {
                case "美式":
                case "AMERICAN":
                    return OptionExercise.American;
                default:
                    return OptionExercise.European;
            }
        }

        /// <summary>
        /// 转换OTC买卖方向到QDP买卖方向
        /// </summary>
        public static Position ConvertPosition(string tradeType)
        {
            if (tradeType == null)
            {
                return Position.Buy;
            }

            switch (tradeType.ToUpperInvariant())
            {
                case "卖出":
                case "SELL":
                    return Position.Sell;
                default:
                    return Position.Buy;
            }
        }

        /// <summary>
        /// 转换OTC敲入敲出状态到QDP敲入敲出状态
        /// </summary>
        public static BarrierStatus ConvertBarrierStatus(string barrierStatus)
        {
            if (barrierStatus == null)
            {
                return BarrierStatus.Monitoring;
            }

            switch (barrierStatus.ToUpperInvariant())
            {
                case "敲入":
                case "KNOCKEDIN":
                    return BarrierStatus.KnockedIn;
                case "敲出":
                case "KNOCKEDOUT":
                    return BarrierStatus.KnockedOut;
                default:
                    return BarrierStatus.Monitoring;
            }
        }

        /// <summary>
        /// 转换OTC敲入敲出状态到QDP敲入敲出状态
        /// </summary>
        public static BinaryOptionReplicationStrategy ConvertReplicationStrategy(string replicationStrategy)
        {
            switch (replicationStrategy)
            {
                case "Down":
                    return BinaryOptionReplicationStrategy.Down;
                case "Middle":
                    return BinaryOptionReplicationStrategy.Middle;
                default:
                    return BinaryOptionReplicationStrategy.None;
            }
        }

        /// <summary>
        /// 转换OTC敲入到期支付类别到QDP期权类型
        /// </summary>
        public static OptionType ConvertOptionType(KIPayoffTypeEnum kiPayoffType)
        {
            switch (kiPayoffType)
            {
                case KIPayoffTypeEnum.ToPutOption:
                    return OptionType.Put;
                case KIPayoffTypeEnum.ToPutSpreadOption:
                    return OptionType.PutSpread;
                case KIPayoffTypeEnum.ToCallOption:
                    return OptionType.Call;
                case KIPayoffTypeEnum.ToCallSpreadOption:
                    return OptionType.CallSpread;
                default:
                    return OptionType.Put;
            }
        }

        /// <summary>
        /// 对于Autocall类期权结构（主要是雪球），根据期权看涨看跌和koType转换为KO的OptionType
        /// </summary>
        /// <param name="koType"></param>
        /// <param name="optionType"></param>
        /// <returns></returns>
        public static OptionType ConvertAutocallKOOptionType(KOPayoffTypeEnum koType, OptionType optionType)
        {
            //3.13 请用下面的逻辑
            if (koType == KOPayoffTypeEnum.Rebate)
                return OptionType.Coupon;

            if (optionType == OptionType.Put)
            {
                return koType == KOPayoffTypeEnum.ToSpreadOption ? OptionType.PutSpread : OptionType.Put;
            }
            else
            {
                return koType == KOPayoffTypeEnum.ToSpreadOption ? OptionType.CallSpread : OptionType.Call;
            }
        }
    }
}