211 lines
12 KiB
C#
211 lines
12 KiB
C#
//using System;
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//using System.Collections.Generic;
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//using System.Linq;
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//using YLErp.BLL.Calculation.V2;
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//using YLErp.DBModels;
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//using YLErp.Model;
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//using CalculatorHelper = YLErp.BLL.Calculation.CalculatorHelperOld;
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//namespace YLErp.BLL.MarginCalculationBak
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//{
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// /// <summary>
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// /// 安粮
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// /// </summary>
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// public class ALQHMarginCalculation : MarginCalculationBase
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// {
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// // 定义一个静态变量来保存类的实例
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// public static readonly ALQHMarginCalculation Instance;
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// static ALQHMarginCalculation()
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// {
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// Instance = new ALQHMarginCalculation();
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// }
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// // 定义私有构造函数，使外界不能创建该类实例
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// private ALQHMarginCalculation()
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// {
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// }
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// public override List<trade_span> RunMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, bool forSingleTrade = true, string volType = "交易", bool forOtherSide = false)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();
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// if (tradeList != null && tradeList.Count > 0)
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// {
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// var tempStockTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock).ToList();
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// if (tempStockTradeList.Any())
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// {
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// var stockTradeSpanlist = StockMarginCalculation(userId, userName, tempStockTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle);
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// if (stockTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(stockTradeSpanlist);
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// }
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// }
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// var tempFutureTradeList = tradeList.Where(t => t.UnderlyingInstrumentType == ConsGlobal.InstrumentType.CommodityFutures).ToList();
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// if (tempFutureTradeList.Any())
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// {
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// if (!(priceDict?.Count > 0))
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// {
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// var codes = tradeList.Select(O => O.UnderlyingCode).ToArray();
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// priceDict = base.GetSettlePrice(codes, settleDate);
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// }
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// if (priceDict.Count > 0)
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// {
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// var futureTradeSpanlist = FutureMarginCalculation(userId, userName, tempFutureTradeList, settleDate, priceDict, hasOptionInfo, isEodSettle, volType);
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// if (futureTradeSpanlist.Count > 0)
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// {
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// tradeSpans.AddRange(futureTradeSpanlist);
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// }
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// /// <summary>
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// /// 股票类期权计算保证金
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// /// </summary>
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// public List<trade_span> StockMarginCalculation(int userId, string userName, List<trade> tradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false)
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// {
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// List<trade_span> tradeSpans = new List<trade_span>();
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// if (tradeList != null && tradeList.Count > 0)
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// {
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// using (YLContext db = new YLContext())
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// {
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// var marginRation = valuedateBLL.SystemDate.MarginRatio ?? 0.15;
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// var clientIds = tradeList.Select(t => t.ClientId).ToList();
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// var clientList = (from client in db.client
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// join clientlevel in db.clientlevel
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// on client.LevelId equals clientlevel.id into tempClientlevel
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// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
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// where clientIds.Contains(client.id)
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// select new
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// {
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// client,
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// clientlevel = clientlevelTT
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// }).ToList();
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// if (clientList != null)
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// {
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// tradeList.ForEach(t =>
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// {
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// var client = clientList.FirstOrDefault(c => c.client.id == t.ClientId);
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// if (client != null)
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// {
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// //未设置相关保证金系数默认为1.0
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// var clientRatio = client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0);
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// //如果是股票去名义本金，如果是期货取：份额 * 即期价格
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// var value = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? -1 : 0)) * clientRatio;
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// var twoSideMargin = (t.StockEqvNotional ?? (t.Notional * t.SpotPrice ?? 0.0)) * marginRation * (t.BuySell == "买入" ? 1 : -1) * clientRatio;
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// tradeSpans.Add(new trade_span
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// {
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// TradeId = t.id,
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// OptDate = DateTime.Now,
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// OptId = userId,
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// OptName = userName,
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// ClientId = client.client.id,
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// UnderlyingId = t.UnderlyingId,
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// UnderlyingCode = t.UnderlyingCode,
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// ValueDate = settleDate,
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// Spv1 = value,
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// Spv2 = value,
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// Spv3 = value,
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// Spv4 = value,
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// WorstCastClientPayable = value,
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// TwoSideMargin = twoSideMargin
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// });
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// }
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// });
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// }
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// }
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// }
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// return tradeSpans;
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// }
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// /// <summary>
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// /// 商品期权计算保证金
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// /// </summary>
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// public List<trade_span> FutureMarginCalculation(int userId, string userName, List<trade> futureTradeList, DateTime settleDate, Dictionary<int, double> priceDict, bool hasOptionInfo = false, bool isEodSettle = false, string volType = "交易")
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// {
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// var tradeSpans = new List<trade_span>();
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// using (YLContext db = new YLContext())
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// {
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// if (!hasOptionInfo)
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// {
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// tradeBLL.SetFieldsByTradeType(futureTradeList);
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// }
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// var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(userId + "", settleDate, futureTradeList, priceDict, ValueCalculator.BASIC_GREEKS, null, isEodSettle, volType, isUseTradeVol: PS.Config.IsTradeVol, PreciseTimeMode: !isEodSettle);
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// var deltaCoefficient = valuedateBLL.SystemDate.FutureMarginDeltaCoefficient ?? 1;
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// var vegaCoefficient = valuedateBLL.SystemDate.FutureMarginVegaCoefficient ?? 3;
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// var omegaCoefficient = valuedateBLL.SystemDate.FutureMarginOmegaCoefficient ?? 2.5;
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// var alphaRate = valuedateBLL.SystemDate.FutureMarginAlphaRate ?? 1;
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// //客户对应等级系数
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// var clientIds = futureTradeList.Select(t => t.ClientId).ToList();
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// var clientList = (from client in db.client
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// join clientlevel in db.clientlevel
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// on client.LevelId equals clientlevel.id into tempClientlevel
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// from clientlevelTT in tempClientlevel.DefaultIfEmpty()
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// where clientIds.Contains(client.id)
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// select new
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// {
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// client,
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// clientlevel = clientlevelTT
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// }).ToList();
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// foreach (var item in tradeRiskResult.Results)
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// {
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// var tempTrade = futureTradeList.FirstOrDefault(t => t.id == item.Trade.id);
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// var optionValue = item.ValueResult;
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// var tempVariety = _underlyingDataProvider.GetVariety(tempTrade.UnderlyingId);
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// var closePrice = priceDict.ContainsKey(tempTrade.UnderlyingId) ? priceDict[tempTrade.UnderlyingId] : 0.0;
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// var client = clientList.FirstOrDefault(c => c.client.id == item.Trade.ClientId);
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// if (tempTrade != null && item.ValueResult != null && tempVariety != null)
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// {
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// //未设置相关保证金系数默认为1.0
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// var clientRatio = client == null ? 1.0 : (client.clientlevel == null ? 1.0 : (client.clientlevel.Ratio ?? 1.0));
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// //保证金 = ( a * DeltaCash + b* GammaCash * PricingVol / 16) * 当前标的保证金率 + c * Vega
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// var value = ((optionValue.DeltaCash * deltaCoefficient
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// + optionValue.GammaCash * 0.01 * (optionValue.Vol / 16) * omegaCoefficient) * tempVariety.Margin
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// + optionValue.Vega * vegaCoefficient
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// ) * alphaRate * (tempTrade.BuySell == "买入" ? 1 : (PS.Config.ErpElement.TwoSideMargin && client.client.HasTwoSideMargin == 1 ? 1 : 0)) * clientRatio;
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// var twoSideMargin = ((optionValue.DeltaCash * deltaCoefficient
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// + optionValue.GammaCash * 0.01 * (optionValue.Vol / 16) * omegaCoefficient) * tempVariety.Margin
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// + optionValue.Vega * vegaCoefficient
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// ) * alphaRate * (tempTrade.BuySell == "买入" ? 1 : -1) * clientRatio;
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// tradeSpans.Add(new trade_span
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// {
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// TradeId = tempTrade.id,
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// OptDate = DateTime.Now,
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// OptId = userId,
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// OptName = userName,
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// ClientId = tempTrade.ClientId,
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// UnderlyingId = tempTrade.UnderlyingId,
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// UnderlyingCode = tempTrade.UnderlyingCode,
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// ValueDate = settleDate,
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// Spv1 = value,
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// Spv2 = value,
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// Spv3 = value,
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// Spv4 = value,
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// WorstCastClientPayable = value,
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// TwoSideMargin = twoSideMargin
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// });
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// }
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// }
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// return tradeSpans;
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// }
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// }
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// public override double GetTradeMargin(trade trade, double price, bool isInitialMargin = false, bool hasOptionInfo = false)
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// {
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// var tradeMargin = RunMarginCalculation(0, "系统", new List<trade> { trade }, isInitialMargin ? (trade.TradeDate ?? valuedateBLL.ValueDate) : valuedateBLL.ValueDate, new Dictionary<int, double> { { trade.UnderlyingId, price } }, hasOptionInfo: hasOptionInfo);
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// if (null != tradeMargin)
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// {
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// return tradeMargin.FirstOrDefault()?.WorstCastClientPayable ?? 0.0;
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// }
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// return 0.0;
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// }
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// }
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//}
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