1007 lines
42 KiB
JavaScript
1007 lines
42 KiB
JavaScript
const consStoreKey = "volsurfaceedit" + pageVue.UserId;
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const consDefaultVol = 0.3;
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const consUnderlyingFlag = (function () {
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let unSelFlag = tradeHelper.UnderlyingSelectFlag;
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return unSelFlag.UseForTrading | unSelFlag.IncludeMatured | unSelFlag.UsePinYinFilter;
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}());
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const consPVolPrecision = pageVue.VolMoreAccurate ? 4 : 2;
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const consVolFmt = main.numberFormat(pageVue.VolMoreAccurate ? 6 : 4);
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const consPercentVolFmt = main.numberFormat(pageVue.VolMoreAccurate ? 4 : 2, { percent: true });
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function upLoadVolsurface() {
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var addurl = "/volatility/volsurfaceUpload/0";
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main.infopage("导入波动率曲面数据", addurl);
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}
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function downLoadVolsurface() {
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var addurl = "/volatility/volsurfaceDown/0";
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main.infopage("批量导出波动率曲面数据", addurl);
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}
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var autoVariety, autoUnderlying;
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function __init(vue) {
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//标的品种
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autoVariety = FastVue.autocomplete(document.getElementById('VarietyId'), {
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lookup: ylotc.varieties, nameField: 'Name', valueField: 'id', searchField: ['Name', 'Code', 'PinYin'],
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onSelect: function (data) { vue.changeVariety(data, 'select'); }
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});
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//标的资产
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autoUnderlying = tradeHelper.UnderlyingAutoComplete('UnderlyingCode').setFlag(consUnderlyingFlag);
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autoUnderlying.onSelect(vue.changeUnderlying);
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//标的控件初始化
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let filterCode = '';
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let storeData = localStorage.getItem(consStoreKey);
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if (storeData) {
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try {
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storeData = JSON.parse(storeData);
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typeof storeData === 'object' && (filterCode = storeData.underlyingCode);
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} catch {
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//
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}
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}
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autoUnderlying.selectFirst({ ExcatCodeFilter: !!filterCode, FilterCode: filterCode, MustRetOne: true });
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}
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var vue = new Vue({
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el: "#listdiv",
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data: {
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Vollist: [],
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VolTypes: [],
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expireList: [{ Expire: "", Vol: [{ Strike: "", VolValue: "" }] }],
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orderStrikes: [{ Vol: "", Strike: "" }],
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Model: {
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VolSurfaceMode: "MoneynessVol", InterpolationMethod: "BiLinear",
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ReviewDownLimit: 0, ReviewUpLimit: 1, VolType: "交易",
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MaintainDate: pageVue.ValueDate,
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CheckAddExpire: true, CheckAddStrike: true
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},
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Variety: tradeHelper.getEmptyVariety(),
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Underlying: Object.assign(tradeHelper.getEmptyUnderlying(), { ExerciseDate: '' }),
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updateKey: { variety: 0, underlying: 0, volstate: 0 },
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saveVolFlag: pageVue.HasSaveRight ? 1 | 2 : 0
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},
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mounted() {
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__init(this);
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},
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computed: {
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StrikeDesc() {
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return this.Model.VolSurfaceMode === "MoneynessVol" ? "MONEYNESS(K/S)" : "行权价";
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},
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SetSaveVol() {
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return this.saveVolFlag === 7;
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},
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},
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filters: {
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SetVolTypeName(rawName) {
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switch (rawName) {
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case "交易": return "交易Mid";
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case "报价Bid": return "交易Bid";
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case "报价Ask": return "交易Ask";
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default: return rawName;
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}
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},
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toInt(d) {
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return d.toFixed(0);
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},
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toPercent(d) {
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return numeral(d).format("0.0%");
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}
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},
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methods: {
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//变更标的类型
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changeInstrumentType() {
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let nowTime = new Date().getTime();
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if (nowTime < this.updateKey.variety + 300 || nowTime < this.updateKey.underlying + 300) return;
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this.updateKey.instrumentType = nowTime;
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autoUnderlying.selectFirst({ InstrumentTypes: [this.Underlying.InstrumentType] });
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},
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//设置标的品种
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changeVariety(variety, flag) {
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if (flag === 'select') {
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this.updateKey.variety = new Date().getTime();
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this.Underlying.UnderlyingInstrumentType = variety.InstrumentType;
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autoUnderlying.setVarietyId(variety.id);
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Object.assign(this.Underlying, tradeHelper.getEmptyUnderlying(variety.id));
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autoUnderlying.selectFirst(variety.id);
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} else {
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autoVariety.setData(variety);
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}
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Object.assign(this.Variety, variety || tradeHelper.getEmptyVariety());
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},
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//变更标的
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changeUnderlying(data) {
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this.updateKey.underlying = new Date().getTime();
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Object.assign(this.Underlying, data);
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autoUnderlying.setVarietyId(data.VarietyId);
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this.changeVariety(data.VarietyId ? ylotc.varieties.find(x => x.id === data.VarietyId) : null);
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this.updateVolTable();
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this.Model.CheckAddExpire = true;
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this.saveVolFlag |= 4;
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if (["CommodityFutures", "StockIF"].includes(data.InstrumentType) && this.Underlying.MaturityDate < this.Model.MaintainDate) {
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this.saveVolFlag ^= 4;
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}
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},
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//变更维护日期
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changeMaintainDate() {
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this.saveVolFlag |= 2;
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if (pageVue.ValueDate !== this.Model.MaintainDate) {
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this.saveVolFlag ^= 2;
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}
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this.updateVolTable();
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},
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updateVolTable() {
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this.changeVolType();
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},
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excelOutput() {
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var thisObj = this;
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var quotationDate = thisObj.Model.MaintainDate;
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g_v_fileName = "{0}-{1}-{2}".template(thisObj.Underlying.Code, thisObj.Model.VolType, quotationDate);
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g_v_tagArray = [];
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$('#exceloutputWrap').html('');
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$.each(thisObj.VolTypes, function (i, v) {
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var tabName = "{1}".template(thisObj.Underlying.Code, thisObj.$options.filters.SetVolTypeName(v.VolModelName).replace('交易', ''), quotationDate);
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//使用复制的临时表以避免执行导出后导出源表不再跟随标的和波动率类型的改变而改变
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var tempTableName = 'temp_export_' + i;
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var tempTableHtml = $('#table' + v.VolModelName).html();
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var $tempTable = $('<div id="' + tempTableName + '"></div>').append(tempTableHtml).appendTo($('#exceloutputWrap'));
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$tempTable.find('th,td').each(function () {
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$(this).text($.trim($(this).text()));
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});
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var tagV = { name: tabName, from: { table: tempTableName } };
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g_v_tagArray.push(tagV);
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});
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$('#exceloutput').click(
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function () {
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return ExcellentExport.convert({ anchor: this, filename: g_v_fileName, format: 'xlsx' }, g_v_tagArray);
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}
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);
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document.getElementById('exceloutput').click();
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},
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changeVolType() { //
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var thisObj = this;
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var ucode = this.Underlying.Code;
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if (!ucode || !this.Model.MaintainDate) {
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return main.alert("请选择标的和维护日期");
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}
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this.updateKey.volstate++;
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var doneFunction = function (res) {
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res = res.obj;
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thisObj.Underlying.ExerciseDate = moment(res.underlying.ExerciseDate).format("YYYY-MM-DD");
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thisObj.Underlying.MaturityDate = res.underlying.MaturityDate ? moment(res.underlying.MaturityDate).format("YYYY-MM-DD") : '';
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thisObj.Underlying.Price = main.toNumberExcludingNaN(res.underlying.Price);
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thisObj.VolTypes = res.VolTypes;
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thisObj.sortVolTypes();
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//排序 volatity 交易为第一个
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if (res.all_volatilities.length > 1) {
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res.all_volatilities.sort(function (a, b) {
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if (a.VolType == "交易") return -1;
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if (b.VolType == "交易") return 1;
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return 0;
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});
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}
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thisObj.Vollist = res.all_volatilities;
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if (thisObj.Vollist.length > 0) {
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thisObj.Model.VolSurfaceMode = thisObj.Vollist[0].VolSurfaceMode;
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$.each(thisObj.Vollist, function (i, vol) {
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if (vol.VolTable) {
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$.each(vol.VolTable, function (ii, vv) {
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if (pageVue.VolMoreAccurate) {
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vv.PercentVol = numeral(vv.Vol * 100).format("0.0000");
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}
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else {
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vv.PercentVol = numeral(vv.Vol * 100).format("0.00");
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}
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//补丁
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delete vv.IsNewStrike; //删除以免保存
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delete vv.IsNewExpire;
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});
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vol.Data = JSON.stringify(vol.VolTable);
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}
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});
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thisObj.Model.InterpolationMethod = thisObj.Vollist[0].InterpolationMethod;
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thisObj.Model.ReviewDownLimit = (thisObj.Vollist[0].ReviewDownLimit * 100).toFixed(0);
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thisObj.Model.ReviewUpLimit = (thisObj.Vollist[0].ReviewUpLimit * 100).toFixed(0);
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}
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thisObj.loadVollist();
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};
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if (thisObj.Model.VolType === "隐含") {
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main.post("/volatility/GetImpliedVolSurface", { underlyingCode: ucode, valueDate: thisObj.Model.MaintainDate }).done(doneFunction);
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} else {
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main.post("/volatility/get_underlyingvolsurface", { systemdate: thisObj.Model.MaintainDate, ucode: ucode, voltype: thisObj.Model.VolType }).done(doneFunction);
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}
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},
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sortVolTypes() {
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var thisObj = this;
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//VolTypes 显示排序补丁
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var typeSort = ["报价Bid", "交易", "报价Ask"];
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thisObj.VolTypes.sort(function (a, b) {
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var aindex = typeSort.indexOf(a.VolModelName);
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var bindex = typeSort.indexOf(b.VolModelName);
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return aindex - bindex;
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});
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},
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getUnderlyingPrice() {
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var self = this;
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main.post("/pricing/AjaxGetUnderlyingPrice", { underlyingCode: this.Underlying.Code }).done(function (resp) {
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self.Underlying.Price = consFormat.umprice(resp.obj.price);
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});
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},
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checkvols(event) {
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//检查vol的数字必需为正数.
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//2. 同一个vol grid, 检查所有数字，发现max > 10 * min，就报错，提示交易员有问题。纠正后再保存。
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//如果用户选择忽略，则允许保存。
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var thisObj = this;
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if (event) {
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var vol = $(event.target).val();
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if (vol <= 0) {
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$(event.target).focus();
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main.message("波动率请输入正数");
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return;
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}
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}
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var maxVol = { Vol: 0 };
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var minVol = { Vol: 99999 };
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$.grep(thisObj.Vollist, function (vdata, vindex) {
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$.grep(vdata.VolTable, function (data, index) {
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data.Vol = data.PercentVol / 100;
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if (data.Vol) {
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if (data.Vol > maxVol.Vol) {
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maxVol = data;
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}
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if (data.Vol < minVol.Vol) {
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minVol = data;
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}
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}
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});
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});
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if (maxVol.Vol > 10 * minVol.Vol) {
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main.message("警告，最大Vol超过10倍最小Vol");
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}
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},
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getVol(expire, strike, voltype) {
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var thisObj = this;
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var pickVol = null;
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$.each(thisObj.Vollist, function (vi, vd) {
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if (vd.VolType == voltype.VolModelName) {
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$.grep(vd.VolTable, function (d, i) {
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if (d.Strike == strike.Strike && d.Expire == expire.Expire) {
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pickVol = d; return;
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}
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});
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}
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});
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if (pickVol == null) {
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//增加默认值
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$.each(thisObj.Vollist, function (vi, vd) {
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if (vd.VolType == voltype.VolModelName) {
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pickVol = { PercentVol: consDefaultVol * 100, VolModelName: voltype.VolModelName, Strike: strike.Strike, Expire: expire.Expire, Vol: consDefaultVol };
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vd.VolTable.push(pickVol);
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}
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});
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}
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if (!pickVol) return { Vol: 0 };
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if (pageVue.VolMoreAccurate) {
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//Vol值精确到小数点六位
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let digit = Math.pow(10, 6);
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pickVol.Vol = Math.round(pickVol.PercentVol / 100 * digit) / digit;
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}
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else {
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//Vol值精确到小数点四位
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let digit = Math.pow(10, 4);
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pickVol.Vol = Math.round(pickVol.PercentVol / 100 * digit) / digit;
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}
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return pickVol;
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},
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checkAddExpire(obj) {
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var thisObj = this;
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var newExpire = $("#newAddExpire").val();
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if (!newExpire) {
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main.message("请输入正确的期限");
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thisObj.Model.CheckAddExpire = false;
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return;
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}
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if (this.expireList.some(y => y.Expire == newExpire)) {
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main.message("请输入不同的期限");
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thisObj.Model.CheckAddExpire = false;
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} else {
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thisObj.Model.CheckAddExpire = true;
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}
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this.checkvols();
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},
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checkAddStrike() {
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var thisObj = this;
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var newStrike = $("#newAddStrike").val();
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if (newStrike <= 0) {
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main.alert("请输入正数行权价");
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thisObj.Model.CheckAddStrike = false;
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return false;
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}
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//1.001 最多保留
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newStrike = numeral(newStrike).format("0.000");
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newStrike = numeral(newStrike).value();
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$("#newAddStrike").val(newStrike);
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if (thisObj.orderStrikes.some(function (data, index) { return data.Strike == newStrike })) {
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main.message("已经存在相同行权价");
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thisObj.Model.CheckAddStrike = false;
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$("#newAddStrike").focus();
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return false;
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}
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thisObj.Model.CheckAddStrike = true;
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},
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addStrike() {
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if (this.Vollist.some(x => x.VolTable.some(y => y.IsNewStrike))) {
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return main.message("已经有新增行权价");
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}
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if (this.Vollist.some(x => x.VolTable.some(y => y.IsNewExpire))) {
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return main.message("请先新增到期日");
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}
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var thisObj = this;
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if (this.Vollist.length < 1) {
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let strike = "";
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this.orderStrikes.push({ ValidState: undefined, IsNewStrike: true, Strike: strike });
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let volTable = [{ Strike: strike, IsNewStrike: true, Expire: "1D", Vol: 0.3, PercentVol: "30.00" }];
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let baseVol = {
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VolTable: volTable, Data: JSON.stringify(volTable),
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VolSurfaceMode: "MoneynessVol",
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UnderlyingId: this.Underlying.id, ContractCode: this.Underlying.Code,
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ReviewDownLimit: this.Model.ReviewDownLimit, ReviewUpLimit: this.Model.ReviewUpLimit,
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InterpolationMethod: this.Model.InterpolationMethod
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};
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this.Vollist = this.VolList.concat(this.VolTypes.map(x => {
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let newVol = _.cloneDeep(baseVol);
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newVol.VolType = x;
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return newVol;
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}));
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this.expireList.push({ ValidState: false, Expire: "1D" });
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}
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else {
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$.each(this.Vollist, function (vi, vd) {
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$.each(thisObj.expireList, function (i, d) {
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//新增行权价时,复制邻近的列的波动率值（这里取第一列）
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var vol = "";
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var percentvol = "";
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$.grep(vd.VolTable, function (value, index) {
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if (value.Strike == thisObj.orderStrikes[0].Strike && value.Expire == d.Expire) {
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vol = value.Vol;
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percentvol = value.PercentVol;
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}
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});
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var addVol = { Expire: d.Expire, IsNewStrike: true, Strike: "", Vol: vol, PercentVol: percentvol };
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vd.VolTable.push(addVol);
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});
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vd.Data = JSON.stringify(vd.VolTable);
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});
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}
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this.loadVollist();
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},
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addExpire() {
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var thisObj = this;
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if (thisObj.Vollist.some(x => x.VolTable.some(y => y.IsNewExpire))) {
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main.message("已经有新增到期日");
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return;
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}
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if (thisObj.Vollist.some(x => x.VolTable.some(y => y.IsNewStrike))) {
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main.message("请先新增行权价");
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return;
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}
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if (thisObj.Vollist.length == 0) {
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var table = new Array();
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var strike = 1;
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thisObj.orderStrikes.push({ ValidState: undefined, IsNewStrike: undefined, Strike: strike });
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var addVol = { Strike: strike, IsNewExpire: true, Expire: "", Vol: 0.3, PercentVol: "30.00" };
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table.push(addVol);
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$.each(thisObj.VolTypes, function (vi, vt) {
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thisObj.Vollist.push({
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VolTable: table, VolSurfaceMode: "MoneynessVol", Data: JSON.stringify(table), VolType: vt.VolModelName,
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UnderlyingId: thisObj.Underlying.id, ContractCode: thisObj.Underlying.Code,
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EncryptId: thisObj.Underlying.EncryptId, ReviewDownLimit: thisObj.Model.ReviewDownLimit, ReviewUpLimit: thisObj.Model.ReviewUpLimit,
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InterpolationMethod: thisObj.Model.InterpolationMethod
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});
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})
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thisObj.expireList.push({ ValidState: undefined, Expire: "", IsNewExpire: true });
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}
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else {
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$.each(thisObj.Vollist, function (vi, vd) {
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$.each(thisObj.orderStrikes, function (i, d) {
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var vol = "";
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var percentVol = "";
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$.grep(vd.VolTable, function (value, index) {
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if (value.Strike == d.Strike && value.Expire == thisObj.expireList[0].Expire) {
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vol = value.Vol;
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percentVol = value.PercentVol;
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}
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});
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var addVol = { Strike: d.Strike, IsNewExpire: true, Expire: "", Vol: vol, PercentVol: percentVol };
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vd.VolTable.push(addVol);
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});
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vd.Data = JSON.stringify(vd.VolTable);
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});
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}
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thisObj.loadVollist();
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},
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deleteExpire(expire) {
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var thisObj = this;
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var flag = false;
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$.grep(thisObj.Vollist, function (vd, vi) {
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var grepExpire = [];
|
|
if (!expire.IsNewExpire) { //删除行为新增到期日时
|
|
$.grep(vd.VolTable, function (value) {
|
|
if (value.Expire != expire.Expire) {
|
|
grepExpire.push(value);
|
|
}
|
|
});
|
|
} else {
|
|
$.grep(vd.VolTable, function (value) {
|
|
if (value.Expire != expire.Expire && value.Expire != "") {
|
|
grepExpire.push(value);
|
|
}
|
|
});
|
|
}
|
|
|
|
if (grepExpire.length == 0) {
|
|
|
|
flag = true;
|
|
}
|
|
if (!flag) {
|
|
if (expire.IsNewExpire) { thisObj.Model.CheckAddExpire = true; }
|
|
vd.VolTable = grepExpire;
|
|
vd.Data = JSON.stringify(vd.VolTable);
|
|
}
|
|
});
|
|
if (flag) {
|
|
main.message("不能删光到期日");
|
|
return;
|
|
}
|
|
thisObj.loadVollist();
|
|
if (expire.IsNewExpire) {
|
|
thisObj.Model.CheckAddExpire = true;
|
|
}
|
|
},
|
|
deleteStrike(strike) {
|
|
var thisObj = this;
|
|
var grepStrike = [];
|
|
var flag = false;
|
|
$.grep(thisObj.Vollist, function (vd, vi) {
|
|
var grepStrike = [];
|
|
$.grep(vd.VolTable, function (value) {
|
|
if (value.Strike != strike.Strike) {
|
|
grepStrike.push(value);
|
|
}
|
|
});
|
|
|
|
if (grepStrike.length == 0) { //长度为零不允许删光行权价
|
|
flag = true;
|
|
return;
|
|
}
|
|
vd.VolTable = grepStrike;
|
|
vd.Data = JSON.stringify(vd.VolTable);
|
|
});
|
|
if (flag) {
|
|
main.message("不能删光行权价");
|
|
return;
|
|
}
|
|
if (strike.IsNewStrike) { thisObj.Model.CheckAddStrike = true; }
|
|
thisObj.loadVollist();
|
|
},
|
|
changeReviewDownLimitMethod() {
|
|
this.Model.ReviewDownLimit = $("#ReviewDownLimit").val();
|
|
},
|
|
changeReviewUpLimitMethod() {
|
|
this.Model.ReviewUpLimit = $("#ReviewUpLimit").val();
|
|
},
|
|
loadVollist() { //为展示分析波动率数据
|
|
var thisObj = this;
|
|
//移除空
|
|
thisObj.expireList = [];
|
|
thisObj.orderStrikes = [];
|
|
var cols = new Set();
|
|
var rows = new Set();
|
|
$.each(thisObj.Vollist, function (vi, vd) {
|
|
if (vd.VolTable && vd.VolTable.length) {
|
|
if (thisObj.VolTypes.some(function (d, i) { return !d.VolDisabled && d.VolModelName == vd.VolType; })) {//debugger;
|
|
$.each(vd.VolTable, function (i, d) {
|
|
|
|
//补丁，有时候会出现Strike为1.0和1.00不是同一个strike情况
|
|
d.Strike = main.toNumber(d.Strike, 4);
|
|
|
|
if (typeof (d) != "function") {
|
|
if (!(cols.has(d.Expire))) {
|
|
cols.add(d.Expire);
|
|
thisObj.expireList.push({ ValidState: d.ExpireValidState, Expire: d.Expire, IsNewExpire: d.IsNewExpire, Vol: [{ VolType: d.VolType, VolValue: d.Vol, PercentVol: d.Vol * 100, Strike: d.Strike }] });
|
|
}
|
|
$.each(thisObj.expireList, function (ii, dd) {
|
|
if (dd.Expire == d.Expire) {
|
|
dd.Vol.push({ VolType: d.VolType, ValidState: d.ExpireValidState, IsNewExpire: d.IsNewExpire, Strike: d.Strike, PercentVol: d.Vol * 100, VolValue: d.Vol });
|
|
}
|
|
});
|
|
|
|
if (!(rows.has(d.Strike))) {
|
|
rows.add(d.Strike);
|
|
thisObj.orderStrikes.push({ ValidState: d.StrikeValidState, IsNewStrike: d.IsNewStrike, Strike: d.Strike });
|
|
}
|
|
}
|
|
});
|
|
}
|
|
}
|
|
});
|
|
|
|
thisObj.orderStrikes.sort(function sortStrike(a, b) { return a.Strike - b.Strike });
|
|
var orderExpire = ["D", "W", "M", "Y"];
|
|
thisObj.expireList.sort(function sortExpire(a, b) {
|
|
//比较到期日字母，比较数字
|
|
var adata = thisObj.getExpireDay(a.Expire);
|
|
var bdata = thisObj.getExpireDay(b.Expire);
|
|
return adata - bdata;
|
|
});
|
|
},
|
|
getExpireDay(expire) {
|
|
var mu = expire.substr(expire.length - 1, 1);
|
|
var data = expire.substr(0, expire.length - 1);
|
|
var drate = 1;
|
|
switch (mu) {
|
|
case "W": drate = 7; break;
|
|
case "M": drate = 30; break;
|
|
case "Y": drate = 365; break;
|
|
}
|
|
return data * drate;
|
|
},
|
|
checkExpire(ex) {
|
|
return /^\d+(W|Y|M|D)$/.test(ex);
|
|
},
|
|
updownVol(expire, voltype, isup) {
|
|
let upval = isup ? 0.1 : -0.1;
|
|
this.Vollist.forEach(x => {
|
|
if (voltype && x.VolType !== voltype.VolModelName) return;
|
|
x.VolTable.forEach(x => {
|
|
if (x.Expire === expire.Expire) {
|
|
let pvol = (parseFloat(x.PercentVol) || 0) + upval;
|
|
x.Vol = pvol / 100;
|
|
x.PercentVol = pvol.toFixed(consPVolPrecision);
|
|
}
|
|
});
|
|
});
|
|
},
|
|
upExpire(expire) {
|
|
this.updownVol(expire, null, true);
|
|
},
|
|
downExpire(expire) {
|
|
this.updownVol(expire, null, false);
|
|
},
|
|
upExpireSubLine(expire, voltype) {
|
|
this.updownVol(expire, voltype, true);
|
|
},
|
|
downExpireSubLine(expire, voltype) {
|
|
this.updownVol(expire, voltype, false);
|
|
},
|
|
submitSurface(item, count) {
|
|
var thisObj = this;
|
|
|
|
if (thisObj.Model.VolType === "隐含") {
|
|
main.message("隐含波动率不允许修改");
|
|
return;
|
|
}
|
|
|
|
//校验数据
|
|
if (!thisObj.Model.CheckAddExpire) {
|
|
main.message("请检查新增到期日是否正确");
|
|
return;
|
|
}
|
|
if (!thisObj.Model.CheckAddStrike) {
|
|
main.message("请检查新增到行权价是否正确");
|
|
return;
|
|
}
|
|
var newStrike = $("#newAddStrike").val();
|
|
var newExpire = $("#newAddExpire").val();
|
|
|
|
var expireFormatOK = true; var strikeFormatOK = true;
|
|
$.each(thisObj.expireList, function (i, d) {
|
|
if (d.IsNewExpire) d.Expire = newExpire;
|
|
expireFormatOK = expireFormatOK && thisObj.checkExpire(d.Expire);
|
|
});
|
|
if (!expireFormatOK) {
|
|
main.message("请检查期限格式是否正确");
|
|
return;
|
|
}
|
|
$.each(thisObj.orderStrikes, function (i, d) {
|
|
if (d.IsNewStrike) d.Strike = newStrike;
|
|
var strikePass = /^\d+[.]*(\d)*$/.test(d.Strike);
|
|
strikeFormatOK = strikeFormatOK && strikePass;
|
|
});
|
|
if (!strikeFormatOK) {
|
|
main.message("请检查行权价格式是否正确");
|
|
return;
|
|
}
|
|
|
|
|
|
var volListList = [];//Vollist 提交
|
|
var im = thisObj.Model.InterpolationMethod;//认为一个界面中波动率模式都一样，都为第一个波动率的模式
|
|
var downLimit = thisObj.Model.ReviewDownLimit / 100;
|
|
var upLimit = thisObj.Model.ReviewUpLimit / 100;
|
|
//验证提交数据
|
|
//行权价只能大于之前的或小于之前的
|
|
//到期日不能和之前的相等
|
|
$.each(thisObj.Vollist, function (vi, vd) {
|
|
if (thisObj.VolTypes.some(function (d, i) { return !d.VolDisabled && d.VolModelName == vd.VolType })) {
|
|
var vols = { InterpolationMethod: im, ReviewDownLimit: downLimit, ReviewUpLimit: upLimit, UnderlyingId: thisObj.Underlying.id, ContractCode: thisObj.Underlying.Code, VolType: vd.VolType, VolSurfaceMode: thisObj.Model.VolSurfaceMode };
|
|
var volList = [];
|
|
$.each(vd.VolTable, function (i, d) {
|
|
if (typeof (d) != "function") {
|
|
if (d.IsNewStrike == true) {
|
|
d.Strike = newStrike;
|
|
}
|
|
if (d.IsNewExpire == true) {
|
|
d.Expire = newExpire;
|
|
}
|
|
d.VolSurfaceMode = thisObj.Model.VolSurfaceMode;
|
|
if (pageVue.VolMoreAccurate) {
|
|
//以PercentVol为主 保留6位
|
|
d.Vol = numeral(d.PercentVol / 100).format("0.000000");
|
|
}
|
|
else {
|
|
//以PercentVol为主 保留4位
|
|
d.Vol = numeral(d.PercentVol / 100).format("0.0000");
|
|
}
|
|
|
|
//检查重复
|
|
var existdata = $.grep(volList, function (ed, i) {
|
|
return ed.Strike == d.Strike && ed.Expire == d.Expire;
|
|
});
|
|
if (existdata.length == 0 && thisObj.checkExpire(d.Expire))
|
|
volList.push(d);
|
|
}
|
|
});
|
|
$.each(volList, function (index, vol) {
|
|
delete vol.IsNewStrike; //删除以免保存
|
|
delete vol.IsNewExpire;
|
|
});
|
|
|
|
|
|
vols.Data = JSON.stringify(volList);
|
|
volListList.push(vols);
|
|
vols.VolTable = eval(vols.Data);
|
|
vd.Data = vols.Data;
|
|
vd.VolTable = vols.VolTable;
|
|
}
|
|
});
|
|
|
|
if (thisObj.Vollist.some(function (vd, vi) {
|
|
var isValidType = thisObj.VolTypes.some(function (d, i) { return !d.VolDisabled && d.VolModelName == vd.VolType });
|
|
var isExistInvalid = vd.VolTable.some(function (vtd, vti) { return (!vtd.Vol || vtd.Vol < 0); });
|
|
return isValidType && isExistInvalid;
|
|
})) {
|
|
main.message("请检查波动率是否正确");
|
|
return;
|
|
}
|
|
//if (thisObj.Vollist.VolTable.some(function (data, index) { return !data.Vol || data.Vol < 0; })) {
|
|
// main.message("请检查波动率是否正确");
|
|
// return;
|
|
//}
|
|
main.post("/volatility/SubmitSurface2", { vols: volListList }).done(function (r) {
|
|
if (parent != window) {
|
|
parent.main.message(r.msg);
|
|
parent.layer.close();
|
|
} else {
|
|
$.each(thisObj.Vollist, function (vi, vd) {
|
|
for (var j = vd.VolTable.length - 1; j >= 0; j--) {
|
|
if (vd.VolTable[j].Expire === "") { vd.VolTable.splice(j, 1); }
|
|
}
|
|
$.each(vd.VolTable, function (i, d) { //貌似没用，以后再修改
|
|
if (d.IsNewStrike == true) {
|
|
d.IsNewStrike = false;
|
|
}
|
|
if (d.IsNewExpire == true) {
|
|
d.IsNewExpire = false;
|
|
}
|
|
if (pageVue.VolMoreAccurate) {
|
|
d.PercentVol = (d.Vol * 100).toFixed(4);
|
|
} else {
|
|
d.PercentVol = (d.Vol * 100).toFixed(2);
|
|
}
|
|
});
|
|
});
|
|
thisObj.loadVollist();
|
|
}
|
|
});
|
|
},
|
|
//从页面的表格中按解析波动率数据
|
|
//不要从后端请求的波动率数据里取数据，因为用户需要在保存数据之前看图形效果
|
|
getVolSurfaceDataFromPage() {
|
|
var volTable = document.getElementById("volsurface");
|
|
var rows = volTable.rows;
|
|
var content, expire, strike, voltype, vol;
|
|
var volDict = {};
|
|
var maxVol = 0.0, minVol = 99999.0;
|
|
|
|
for (var i = rows.length - 1; i > 0; --i) {
|
|
for (var j = 0; j < rows[i].cells.length; ++j) {
|
|
content = rows[i].cells[j];
|
|
if (content.childNodes.length == 2) {
|
|
expire = content.childNodes[0].attributes["expire"].nodeValue;
|
|
strike = content.childNodes[0].attributes["strike"].nodeValue;
|
|
voltype = content.childNodes[0].attributes["voltype"].nodeValue;
|
|
vol = content.childNodes[0].value;
|
|
if (volDict[voltype] == undefined) {
|
|
volDict[voltype] = [];
|
|
}
|
|
|
|
volDict[voltype].push({ Strike: strike * 1.0, Expire: expire, Vol: vol / 100.0 });
|
|
if (vol < minVol) {
|
|
minVol = vol;
|
|
}
|
|
if (vol > maxVol) {
|
|
maxVol = vol;
|
|
}
|
|
}
|
|
}
|
|
}
|
|
return [volDict, maxVol, minVol];
|
|
},
|
|
refresh3DChart() {
|
|
var myChart = echarts.init(document.getElementById('volSurfaceChart'));
|
|
var result = this.getVolSurfaceDataFromPage();
|
|
var volDict = result[0];
|
|
var thisObj = this;
|
|
|
|
var volSurfacePoints = [];
|
|
for (var k in volDict) {
|
|
var volSurface = {
|
|
SurfaceName: k,
|
|
Points: volDict[k]
|
|
};
|
|
volSurfacePoints.push(volSurface);
|
|
}
|
|
|
|
main.post("/volatility/FillVolSurfaceInterpolatePoints", { volSurfaces: volSurfacePoints, interpolation: thisObj.Model.InterpolationMethod }).done(function (res) {
|
|
var newVolDict = res;
|
|
|
|
// 如果获取更密集的点失败，还是使用原来的点画曲面
|
|
if (newVolDict == null) {
|
|
newVolDict = volDict;
|
|
}
|
|
|
|
var maxVol = result[1] / 100.0;
|
|
var minVol = result[2] / 100.0;
|
|
|
|
// 指定图表的配置项和数据
|
|
var option = {
|
|
tooltip: {},
|
|
backgroundColor: '#fff',
|
|
visualMap: {
|
|
show: true,
|
|
dimension: 2,
|
|
min: minVol,
|
|
max: maxVol,
|
|
inRange: {
|
|
color: ['#313695', '#4575b4', '#74add1', '#abd9e9', '#e0f3f8', '#ffffbf', '#fee090', '#fdae61', '#f46d43', '#d73027', '#a50026']
|
|
}
|
|
},
|
|
xAxis3D: {
|
|
name: '行权价',
|
|
type: 'category'
|
|
},
|
|
yAxis3D: {
|
|
name: '期限',
|
|
type: 'category'
|
|
},
|
|
zAxis3D: {
|
|
type: 'value'
|
|
},
|
|
grid3D: {
|
|
viewControl: {
|
|
// projection: 'orthographic'
|
|
}
|
|
},
|
|
series: []
|
|
};
|
|
|
|
for (var k in newVolDict) {
|
|
var series = {};
|
|
series.type = 'surface';
|
|
series.data = newVolDict[k];
|
|
option.series.push(series);
|
|
}
|
|
|
|
// 使用刚指定的配置项和数据显示图表。
|
|
myChart.clear();
|
|
myChart.setOption(option);
|
|
|
|
layer.open({
|
|
type: 1,
|
|
title: '3D曲面',
|
|
content: $('#volSurfaceChart'),
|
|
area: ['600px', '600px']
|
|
});
|
|
});
|
|
},
|
|
// 刷新波动率微笑曲线图
|
|
refreshVolSmileChart() {
|
|
// 检查是否勾选了某个期限
|
|
var checkBoxes = $(".expireCheckBox");
|
|
var oneSelected = false;
|
|
var expireStr = "";
|
|
for (var i = 0; i < checkBoxes.length; ++i) {
|
|
if (checkBoxes[i].checked) {
|
|
if (oneSelected) {
|
|
main.message("只能选择一个期限作图");
|
|
return;
|
|
}
|
|
oneSelected = true;
|
|
expireStr = checkBoxes[i].nextElementSibling.innerText;
|
|
}
|
|
}
|
|
|
|
if (!oneSelected) {
|
|
main.message("请选择一个期限作图");
|
|
return;
|
|
}
|
|
|
|
var myChart = echarts.init(document.getElementById('volSurfaceChart'));
|
|
var result = this.getVolSurfaceDataFromPage();
|
|
var volDict = result[0];
|
|
var thisObj = this;
|
|
|
|
var volSurfacePoints = [];
|
|
for (var k in volDict) {
|
|
var volSurface = {
|
|
SurfaceName: k,
|
|
Points: volDict[k]
|
|
};
|
|
volSurfacePoints.push(volSurface);
|
|
}
|
|
|
|
main.post("/volatility/Fill2DVolSmileCurvePoints", { volSurfaces: volSurfacePoints, interpolation: thisObj.Model.InterpolationMethod, expire: expireStr }).done(function (res) {
|
|
var volSmileCurve = res;
|
|
|
|
// 指定图表的配置项和数据
|
|
var option = {
|
|
title: {
|
|
text: expireStr + " Vol Smile",
|
|
show: true
|
|
},
|
|
xAxis: {
|
|
type: 'category'
|
|
},
|
|
yAxis: {
|
|
type: 'value',
|
|
axisLabel: {
|
|
formatter: '{value} %'
|
|
}
|
|
},
|
|
series: [],
|
|
tooltip: {
|
|
trigger: 'axis',
|
|
formatter: 'K/S: {b0}</br>'
|
|
}
|
|
};
|
|
|
|
var index = 0;
|
|
for (var k in volSmileCurve) {
|
|
option.xAxis.data = volSmileCurve[k].XPoints;
|
|
var series = {};
|
|
series.type = 'line';
|
|
series.symbol = 'none';
|
|
series.smooth = true;
|
|
series.name = k;
|
|
series.data = [];
|
|
for (var i = 0; i < volSmileCurve[k].YPoints.length; ++i) {
|
|
series.data.push(Math.round(volSmileCurve[k].YPoints[i] * 10000) / 100);
|
|
}
|
|
option.series.push(series);
|
|
option.tooltip.formatter += '{a' + index + '}: {c' + index + '}%</br>';
|
|
++index;
|
|
}
|
|
|
|
option.yAxis.min = Math.round(Math.min.apply(null, option.series[0].data) * 0.8, 2);
|
|
|
|
myChart.clear();
|
|
myChart.setOption(option);
|
|
|
|
layer.open({
|
|
type: 1,
|
|
title: '微笑曲线',
|
|
content: $('#volSurfaceChart'),
|
|
area: ['600px', '600px']
|
|
});
|
|
});
|
|
},
|
|
historicalVolCurve() {
|
|
var ucode = this.Underlying.Code;
|
|
var lookBackDays = $("#lookbackDays :selected").val();
|
|
var thisObj = this;
|
|
main.post("/volatility/GetHistoricalVolCurve", { underlyingCode: ucode, valueDate: thisObj.Model.MaintainDate, lookBackDays: lookBackDays }).done(function (res) {
|
|
var myChart = echarts.init(document.getElementById('historicalVolCurveChart'));
|
|
|
|
var option = {
|
|
xAxis: {
|
|
type: 'category'
|
|
},
|
|
yAxis: {
|
|
type: 'value',
|
|
axisLabel: {
|
|
formatter: '{value} %'
|
|
}
|
|
},
|
|
series: [{
|
|
type: 'line',
|
|
symbol: 'none',
|
|
smooth: true
|
|
}, {
|
|
type: 'line',
|
|
symbol: 'none',
|
|
smooth: true
|
|
}, {
|
|
type: 'line',
|
|
symbol: 'none',
|
|
smooth: true
|
|
}, {
|
|
type: 'line',
|
|
symbol: 'none',
|
|
smooth: true
|
|
}],
|
|
tooltip: {
|
|
trigger: 'axis',
|
|
formatter: '{b0}</br>{c0}%</br>75分位:{c1}%</br>中位数:{c2}%</br>25分位:{c3}%'
|
|
}
|
|
};
|
|
|
|
option.xAxis.data = res.Dates;
|
|
option.series[0].data = [];
|
|
option.series[1].data = [];
|
|
option.series[2].data = [];
|
|
option.series[3].data = [];
|
|
for (var i = 0; i < res.Points.length; ++i) {
|
|
option.series[0].data.push(Math.round(res.Points[i] * 10000) / 100);
|
|
option.series[1].data.push(Math.round(res.PercentileHigh * 10000) / 100);
|
|
option.series[2].data.push(Math.round(res.Median * 10000) / 100);
|
|
option.series[3].data.push(Math.round(res.PercentileLow * 10000) / 100);
|
|
}
|
|
|
|
option.yAxis.min = Math.min.apply(null, option.series[0].data) * 0.95;
|
|
|
|
myChart.clear();
|
|
myChart.setOption(option);
|
|
});
|
|
}
|
|
}
|
|
});
|
|
|
|
$(function () {
|
|
$("#maintainDate").datepicker({
|
|
changeMonth: true,
|
|
changeYear: true,
|
|
showButtonPanel: true,
|
|
showOtherMonths: true,
|
|
selectOtherMonths: true,
|
|
maxDate: pageVue.ValueDate
|
|
}).on('change', function () {
|
|
vue.Model.MaintainDate = $(this).val();
|
|
vue.changeMaintainDate();
|
|
});
|
|
|
|
$(window).on('beforeunload', function () {
|
|
localStorage.setItem(consStoreKey, JSON.stringify({ underlyingCode: vue.Underlying.Code }));
|
|
});
|
|
});
|
|
|
|
function ReloadVolsurface(underlyingCode) {
|
|
if (underlyingCode) {
|
|
autoUnderlying.selectByCode(underlyingCode);
|
|
} else {
|
|
vue.updateVolTable();
|
|
}
|
|
} |