674 lines
31 KiB
C#
674 lines
31 KiB
C#
using Qdp.Foundation.Implementations;
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using YLErp.Abstract.DataProviders;
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using YLErp.BLL;
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using YLErp.Commons;
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using YLErp.DBModels.Enums;
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using YLErp.DBModels;
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using YLErp.Modules.DataProviderModule;
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using YLErp.Modules.EodModule;
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using YLErp.QdpModule;
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using NPOI.SS.Formula.Functions;
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namespace YLErp.Modules.CalculationModule
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{
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/// <summary>
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/// 收益互换计算服务
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/// </summary>
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public class PayoffSwapCalcService
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{
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/// <summary>
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/// 因为互换涉及到多标的所以需要确保所有标的都可以找到价格
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/// </summary>
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private static IAggregatePriceProvider GetAutoPriceProvider(DateTime valueDate, IPriceProvider priceProvider, bool isEodSettlement)
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{
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if (priceProvider is IAggregatePriceProvider)
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{
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return (IAggregatePriceProvider)priceProvider;
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}
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if (isEodSettlement)
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{
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return new AggregatePriceProvider(priceProvider,
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new EodPriceProvider(valueDate).GetPriceProvider(priceProvider is IEodPriceProviderWrap wrap ? wrap.SettlementType : SettlementTypeEnum.ClosePrice));
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}
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return new AggregatePriceProvider(priceProvider, DataCacheProvider.GetUnderlyingDataSource());
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}
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/// <summary>
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///
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/// </summary>
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public static TradeValueResult CalcValue(int tradeId, DateTime valueDate, IPriceProvider priceProvider, bool isEodSettlement)
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var trade = db.trade.Find(tradeId);
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if (trade == null)
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{
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return new TradeValueResult(false)
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{
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TradeId = tradeId,
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FailReason = TradeValueFailReason.missingTrade,
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ErrorMessage = "[收益互换]没有找到交易数据,tradeId:" + tradeId
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};
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}
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return CalcValue(trade, valueDate, priceProvider, isEodSettlement);
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}
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}
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public static TradeValueResult CalcValue(OtcTradeBase trade, DateTime valueDate, IPriceProvider priceProvider, bool isEodSettlement)
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{
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return CalcValueSingle(trade, valueDate, priceProvider, isEodSettlement);
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}
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/// <summary>
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/// 互换收益PV计算 普通
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/// </summary>
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public static TradeValueResult CalcValueSingle(OtcTradeBase trade, DateTime valueDate, IPriceProvider priceProvider, bool isEodSettlement, double spotPrice = double.NaN)
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{
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if (trade is null)
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{
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throw new ArgumentNullException(nameof(trade));
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}
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if(double.IsNaN(spotPrice))
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{
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//因为互换涉及到多标的所以需要确保所有标的都可以找到价格
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if (trade.StructureType== "多空组合")
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{
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spotPrice = 0;
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}
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else
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{
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priceProvider = GetAutoPriceProvider(valueDate, priceProvider, isEodSettlement);
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if (!priceProvider.TryGetPrice(trade.UnderlyingCode, out spotPrice))
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{
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spotPrice = DataCacheProvider.GetUnderlyingDataSource().GetPrice(trade.UnderlyingCode);
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}
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}
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}
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(trade.ClientId);
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var rate = new EodCurrencyRateService(OptUserInfo.SystemUser).GetCurrencyRate(trade.QuoteCurrency, trade.SettlementCurrency, valueDate, seekPreday: !isEodSettlement);
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var rateTradeDate = new EodCurrencyRateService(OptUserInfo.SystemUser).GetCurrencyRate(trade.QuoteCurrency, trade.SettlementCurrency, trade.TradeDate.Value, seekPreday: !isEodSettlement);
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var lastEodSwap = GetEodSwapData(trade, db);
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var pv = lastEodSwap.PostionValue;
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var clientCashOut= db.ClientCashInCashOut.FirstOrDefault(x=>x.Action== "系统操作-期权费"&&x.TradeId== trade.id&&x.HappenDate<= valueDate) ;
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var credit = db.credit.FirstOrDefault(x => x.CreditStartDate <= valueDate && x.CreditDeadLine >= valueDate && x.ClientId == trade.ClientId && x.ProcessStatus == "已审批");
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var hasCredit = credit != null && credit.PFECredit > 0;
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client_variety_marginrate clientVarietyMarginRate = new client_variety_marginrate
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{
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ClientId = trade.ClientId,
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ClientName = trade.ClientName,
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HighMarginRate = 1,
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LowMarginRate = 1,
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ValueDate = valueDate,
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};
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var OptionValue = new TradeValueResult
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{
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TradeId = trade.id,
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Pv =Convert.ToDouble(pv),
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ExtendInfo = new TradeValueResultExtend()
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{
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QuoteFloatingWinLoss =Convert.ToDouble(lastEodSwap.FloatingPnL),
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FloatingWinLoss = Convert.ToDouble(lastEodSwap.FloatingPnL) * rate,
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RealPnl = Convert.ToDouble(lastEodSwap.RealizedPnL) * rate,
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QuoteCommission = clientCashOut?.Money??0,
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Commission = (clientCashOut?.Money ?? 0) * rate,
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QuoteAnnualFee = 0,
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AnnualFee = 0,
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QuotePv = Convert.ToDouble(pv),
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QuoteIM = client.BoundSide == BoundSideEnum.南向 ? (trade.Notional * spotPrice * clientVarietyMarginRate.LowMarginRate) : (trade.StockEqvNotional * (hasCredit ? clientVarietyMarginRate.LowMarginRate : clientVarietyMarginRate.HighMarginRate)),
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IM = (client.BoundSide == BoundSideEnum.南向 ? (trade.Notional * spotPrice * clientVarietyMarginRate.LowMarginRate) : (trade.StockEqvNotional * (hasCredit ? clientVarietyMarginRate.LowMarginRate : clientVarietyMarginRate.HighMarginRate))) * rate,
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QuotePFE = client.BoundSide == BoundSideEnum.南向 ? trade.Notional * spotPrice * clientVarietyMarginRate.HighMarginRate : 0,
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PFE = client.BoundSide == BoundSideEnum.南向 ? trade.Notional * spotPrice * clientVarietyMarginRate.HighMarginRate * rate : 0
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},
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RoundedPv = Convert.ToDouble(pv),
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Delta = (lastEodSwap.MarketValueLong>0 ? 1 : -1) * trade.Notional,
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Gamma = 0,
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Vega = 0,
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TradingDayTheta = 0,
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CalendarDayTheta = 0,
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Rho = 0,
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DeltaCash = (lastEodSwap.MarketValueLong > 0 ? spotPrice : -spotPrice) * trade.Notional,
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GammaCash = 0,
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SpotPrice= spotPrice,
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DV01= Convert.ToDouble(lastEodSwap.DV01)
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};
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return OptionValue;
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}
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}
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/// <summary>
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/// 构建eodswap
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/// </summary>
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/// <param name="tradeId"></param>
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/// <param name="db"></param>
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/// <returns></returns>
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private static eod_swap GetEodSwapData(OtcTradeBase trade, YLContext db)
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{
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var eodSwap = new eod_swap();
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var positions = db.swap_position.Where(x => x.PosiQuantity > 0 && !x.IsInitial && x.SwapTradeId == trade.id).ToList();
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eodSwap.SwapTradeId = trade.id;
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eodSwap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
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eodSwap.NotionalValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
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eodSwap.NotionalValue = eodSwap.NotionalValueLong + eodSwap.NotionalValueShort;
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eodSwap.DV01 = 0;
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var lastEod = db.eod_swap.Where(x => x.SwapTradeId == trade.id).OrderByDescending(o => o.ValueDate).FirstOrDefault();
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eodSwap.RealizedPnL = lastEod?.RealizedPnL ?? 0;
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eodSwap.InterestPnL = lastEod?.InterestPnL ?? 0;
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foreach (var item in positions)
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{
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decimal shortRatio = item.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;//多空方向
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int directionRatio = item.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
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var pv = item.PosiQuantity * shortRatio * item.ContractSize;
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var pvNoPrice = item.PosiQuantity * item.ContractSize;
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decimal vobp = 0;
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var data = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
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if (data != null)
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{
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if (data.IsBond())
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{
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var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, data.UnderlyingCode);
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vobp = bondPrice?.Vobp ?? 0;
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var price = Convert.ToDecimal(bondPrice?.ClosePrice??0);
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eodSwap.FloatingPnL = (price - item.PosiGrossPrice) * item.PosiQuantity * item.ContractSize * shortRatio * directionRatio;
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}
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}
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if (shortRatio > 0)
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{
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eodSwap.MarketValueLong += pv;
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}
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else
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{
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eodSwap.MarketValueShort += pv;
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}
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eodSwap.NotionalValue += pvNoPrice;
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eodSwap.DV01 += pvNoPrice * vobp * shortRatio * directionRatio * 0.01m;
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}
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eodSwap.PostionValue = eodSwap.InterestPnL + eodSwap.FloatingPnL;
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return eodSwap;
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}
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/// <summary>
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/// 获取互换固定收益PV
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/// </summary>
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/// <param name="trades"></param>
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/// <param name="valueDate"></param>
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/// <returns></returns>
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public static Dictionary<int, double> GetFixedInterestRatePV(List<int> tradeIds, DateTime valueDate)
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{
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var result = new Dictionary<int, double>();
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if (tradeIds == null || tradeIds.Count == 0)
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{
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return result;
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}
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List<trade_swap> tradeSwapList = null;
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List<trade_cash> tradeCashList = null;
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List<trade_cash_swap> tradeCashSwapList = null;
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List<trade> tradeList = null;
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List<eod_trade> eodTradeList = null;
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using (var db = DbContextFactory.GetYLDbContext())
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{
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//tradeList = db.trade.AsNoTracking().Where(p => tradeIds.Contains(p.id)).ToList();
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eodTradeList = db.eod_trade.AsNoTracking().Where(p => p.ValueDate == valueDate && tradeIds.Contains(p.TradeId)).ToList();
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tradeSwapList = db.trade_swap.AsNoTracking().Where(p => tradeIds.Contains(p.TradeId)).ToList();
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tradeCashList = db.trade_cash.AsNoTracking().Where(y => tradeIds.Contains(y.TradeId) && y.Action == "系统操作-互换" && y.ValidState != "InValid" && !y.IsDeleted && y.ValueDate <= valueDate).ToList();
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tradeCashSwapList = db.trade_cash_swap.AsNoTracking().Where(p => tradeIds.Contains(p.TradeId)).ToList();
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}
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if (tradeSwapList == null)
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{
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tradeSwapList = new List<trade_swap>();
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}
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if (tradeCashList == null)
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{
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tradeCashList = new List<trade_cash>();
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}
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if (tradeCashSwapList == null)
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{
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tradeCashSwapList = new List<trade_cash_swap>();
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}
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if (eodTradeList != null && eodTradeList.Count > 0)
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{
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tradeList = eodTradeList.Select(p => p.trade).ToList();
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}
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if (tradeList == null)
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{
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tradeList = new List<trade>();
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}
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if (tradeList.Count > 0)
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{
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foreach (var trade in tradeList)
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{
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var tradeSwap = tradeSwapList.FirstOrDefault(d => d.TradeId == trade.id);
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if (tradeSwap == null)
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{
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continue;
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}
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var tradeCashs = tradeCashList.Where(y => y.TradeId == trade.id && y.Action == "系统操作-互换" && y.ValidState != "InValid" && !y.IsDeleted && y.ValueDate <= valueDate);
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var tradeCashIds = tradeCashs.Select(x => x.id);
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var tradeCash = tradeCashs.OrderByDescending(y => y.id).FirstOrDefault();
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var cashSwaps = tradeCashSwapList.Where(x => x.TradeId == trade.id && tradeCashIds.Contains(x.TradeCashId)).ToArray();
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//var tradeCashSwap = tradeCash != null ? cashSwaps.FirstOrDefault(x => x.TradeCashId == tradeCash.id) : null;
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//取最后一次手动收益；
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var lastManualCashSwap = cashSwaps.OrderByDescending(o => o.StartDate).FirstOrDefault(x => !x.IsAuto);
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var lastManualCash = lastManualCashSwap != null ? tradeCashs.FirstOrDefault(x => x.id == lastManualCashSwap.TradeCashId) : null;
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DateTime endDate;
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double fixAmount = 0;
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if (!tradeSwap.IsGetFloatingProfit)
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{
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var preSwapDate = GetSwapRateStartDate(trade, tradeSwap, valueDate, tradeCash, lastManualCash, tradeSwap.IsGetFloatingProfit, out endDate);
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var extraAmountGet = GetExtraAmountBySwapRate(trade.ClientId, trade.TradeDate, tradeSwap.GetSwapTimeAndRate, preSwapDate, endDate, tradeSwap.AnnualDays ?? 0, trade.StockEqvNotional);
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fixAmount += extraAmountGet;
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}
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if (!tradeSwap.IsPayFloatingProfit)
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{
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var preSwapDate = GetSwapRateStartDate(trade, tradeSwap, valueDate, tradeCash, lastManualCash, tradeSwap.IsPayFloatingProfit, out endDate);
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var extraAmountPay = GetExtraAmountBySwapRate(trade.ClientId, trade.TradeDate, tradeSwap.PaySwapTimeAndRate, preSwapDate, endDate, tradeSwap.AnnualDays ?? 0, trade.StockEqvNotional);
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fixAmount -= extraAmountPay;
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}
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result.Add(trade.id, fixAmount);
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}
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}
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return result;
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}
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/// <summary>
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/// 多空组合PV计算 子交易计算模式
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/// </summary>
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public static TradeValueResult CalcValue(OtcTradeBase trade, trade_swap trade_swap, List<trade_swap_detail> trade_swap_details, DateTime valueDate, IPriceProvider priceProvider, bool isEodSettlement)
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{
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if (trade_swap.SwapType == "多空组合")
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{
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using (var db = DbContextFactory.GetYLDbContext())
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{
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var tradeIds = trade_swap_details.Select(t => t.ChildTradeId).ToList();
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var subTradeList = db.trade.Where(t => tradeIds.Contains(t.id)).ToList();
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var resultList = new List<TradeValueResult>();
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foreach (var subTrade in subTradeList)
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{
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var price = DataCacheProvider.GetUnderlyingDataSource().GetPrice(subTrade.UnderlyingCode);
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var subResult = CalcValue(subTrade, valueDate, priceProvider, isEodSettlement);
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resultList.Add(subResult);
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}
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var OptionValue = new TradeValueResult
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{
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TradeId = trade.id,
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Pv = 0,
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ExtendInfo = new TradeValueResultExtend()
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{
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QuoteFloatingWinLoss = 0,
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FloatingWinLoss = 0,
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QuoteCommission = 0,
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Commission = 0,
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QuoteAnnualFee = 0,
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AnnualFee = 0,
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QuotePv = 0,
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QuoteIM = 0,
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IM = 0,
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QuotePFE = 0,
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PFE = 0
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},
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RoundedPv = 0,
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Delta = 0,
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Gamma = 0,
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Vega = 0,
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TradingDayTheta = 0,
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CalendarDayTheta = 0,
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Rho = 0,
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DeltaCash = 0,
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GammaCash = 0
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};
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foreach (var valueResult in resultList)
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{
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OptionValue.Pv += valueResult.Pv;
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OptionValue.ExtendInfo.QuoteFloatingWinLoss += valueResult.ExtendInfo.QuoteFloatingWinLoss;
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OptionValue.ExtendInfo.FloatingWinLoss += valueResult.ExtendInfo.FloatingWinLoss;
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OptionValue.ExtendInfo.QuoteCommission += valueResult.ExtendInfo.QuoteCommission;
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OptionValue.ExtendInfo.Commission += valueResult.ExtendInfo.Commission;
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OptionValue.ExtendInfo.QuoteAnnualFee += valueResult.ExtendInfo.QuoteAnnualFee;
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OptionValue.ExtendInfo.AnnualFee += valueResult.ExtendInfo.AnnualFee;
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OptionValue.ExtendInfo.QuotePv += valueResult.ExtendInfo.QuotePv;
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OptionValue.ExtendInfo.QuoteIM += valueResult.ExtendInfo.QuoteIM;
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OptionValue.ExtendInfo.IM += valueResult.ExtendInfo.IM;
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OptionValue.ExtendInfo.QuotePFE += valueResult.ExtendInfo.QuotePFE;
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OptionValue.ExtendInfo.PFE += valueResult.ExtendInfo.PFE;
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OptionValue.RoundedPv += valueResult.RoundedPv;
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OptionValue.DeltaCash += valueResult.DeltaCash;
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}
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return OptionValue;
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}
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}
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else
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{
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return CalcValue(trade,valueDate, priceProvider, isEodSettlement);
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}
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}
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/// <summary>
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/// 计算互换利息
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/// </summary>
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public static double GetExtraAmountBySwapRate(int clientId, DateTime? tradeDate, string timeRate, DateTime startDate, DateTime valueDate, int annualDays, double stockEqvNotional)
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{
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if (valueDate == tradeDate && PS.Config.Company == Configuration.CompanyEnum.中金)
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{
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var client = DataCacheProvider.GetClientDataSource().GetData(clientId);
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if (client.BoundSide == BoundSideEnum.北向)
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{
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startDate = startDate.AddDays(-1);
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}
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}
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double extraAmountGet = 0;
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var swapDates = GetSwapDatesBetween(timeRate, startDate, valueDate);
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if (swapDates != null && swapDates.Any())
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{
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swapDates.ForEach(x =>
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{
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var itemDays = (x.DateTime - startDate).Days;
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var itemRate = GetSwapRateByDate(timeRate, x.DateTime);
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extraAmountGet += stockEqvNotional * itemRate * ((double)itemDays / annualDays);
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startDate = x.DateTime;
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});
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}
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if (startDate < valueDate)
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{
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var latestDays = (valueDate - startDate).Days;
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var LatestRate = GetSwapRateByDate(timeRate, valueDate);
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extraAmountGet += stockEqvNotional * LatestRate * ((double)latestDays / annualDays);
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}
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return extraAmountGet.Normalize().FormatValue(2);
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}
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/// <summary>
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/// 获取计息开始日期,结束日期
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/// </summary>
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/// <param name="td"></param>
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/// <param name="valueDate"></param>
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/// <param name="tradeCash"></param>
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/// <param name="lastManualCashSwap"></param>
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/// <param name="floating"></param>
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/// <param name="endDate"></param>
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/// <returns></returns>
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public static DateTime GetSwapRateStartDate(OtcTradeBase td, trade_swap tradeSwap, DateTime valueDate, trade_cash tradeCash, trade_cash lastManualCash, bool floating, out DateTime endDate)
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{
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var tradeStartDate = PS.Config.Company == Configuration.CompanyEnum.中金 ? td.TradeDate.Value : td.StartDate.Value;
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var calcFirst = tradeSwap.RateCalcMode.StartsWith("1");//算头
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var calcLast = tradeSwap.RateCalcMode.EndsWith("1");//算尾
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DateTime startDate = calcFirst ? tradeStartDate.AddDays(-1) : tradeStartDate;
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//如果valueDate超过了到期日，利息以到期日来计算
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endDate = valueDate > td.ExerciseDate ? td.ExerciseDate.Value : valueDate;
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//是否算尾
|
|
if (td.ExerciseDate == endDate && !calcLast)
|
|
{
|
|
endDate = endDate.AddDays(-1);
|
|
}
|
|
if (floating)
|
|
{
|
|
if(lastManualCash != null)
|
|
{
|
|
startDate = lastManualCash.ValueDate;
|
|
}
|
|
}
|
|
else if (tradeCash != null)
|
|
{
|
|
startDate = tradeCash.ValueDate;
|
|
}
|
|
|
|
return startDate;
|
|
}
|
|
/// <summary>
|
|
/// 获取计息开始日期,结束日期
|
|
/// </summary>
|
|
/// <param name="td"></param>
|
|
/// <param name="valueDate"></param>
|
|
/// <param name="tradeCash"></param>
|
|
/// <param name="lastManualCashSwap"></param>
|
|
/// <param name="floating"></param>
|
|
/// <param name="endDate"></param>
|
|
/// <returns></returns>
|
|
public static DateTime GetSwapRateStartDatePre(OtcTradeBase td, trade_swap tradeSwap, DateTime valueDate, trade_cash tradeCash, trade_cash_pre lastManualCash, bool floating, out DateTime endDate)
|
|
{
|
|
var tradeStartDate = PS.Config.Company == Configuration.CompanyEnum.中金 ? td.TradeDate.Value : td.StartDate.Value;
|
|
var calcFirst = tradeSwap.RateCalcMode.StartsWith("1");//算头
|
|
var calcLast = tradeSwap.RateCalcMode.EndsWith("1");//算尾
|
|
DateTime startDate = calcFirst ? tradeStartDate.AddDays(-1) : tradeStartDate;
|
|
endDate = valueDate;
|
|
if (td.ExerciseDate == endDate && !calcLast)
|
|
{
|
|
endDate = endDate.AddDays(-1);
|
|
}
|
|
if (floating)
|
|
{
|
|
if (lastManualCash != null)
|
|
{
|
|
startDate = lastManualCash.ValueDate;
|
|
}
|
|
}
|
|
else if (tradeCash != null)
|
|
{
|
|
startDate = tradeCash.ValueDate;
|
|
}
|
|
|
|
return startDate;
|
|
}
|
|
/// <summary>
|
|
/// 计算互换手续费
|
|
/// </summary>
|
|
/// <param name="tradePosition"></param>
|
|
/// <param name="tradeImport"></param>
|
|
/// <param name="tradeCash"></param>
|
|
/// <param name="isForGet"></param>
|
|
/// <returns></returns>
|
|
public static double GetCostFee(trade tradePosition, trade tradeImport, trade_cash tradeCash, bool isForGet, bool isOpenFee)
|
|
{
|
|
if (tradeImport.trade_swap == null)
|
|
{
|
|
throw new Exception($"该交易[{tradeImport.TradeNumber}]对应的trade_swap未赋值");
|
|
}
|
|
|
|
double costFee = 0;
|
|
if (isForGet)
|
|
{
|
|
var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(tradeImport.UnderlyingCode);
|
|
costFee += (tradeImport.trade_swap.GetSingleFee ?? 0) * (tradeCash.UnwindNotional ?? 0) / underlying.ContractSize;
|
|
costFee += (tradeImport.trade_swap.GetUnAnnualRate ?? 0) * (tradeCash.UnwindNotional ?? 0) * (isOpenFee ? (tradePosition.SpotPrice ?? 0) : (tradeCash.FinalPrice ?? 0));
|
|
}
|
|
else
|
|
{
|
|
var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(tradeImport.UnderlyingCode);
|
|
costFee += (tradeImport.trade_swap.PaySingleFee ?? 0) * (tradeCash.UnwindNotional ?? 0) / underlying.ContractSize;
|
|
costFee += (tradeImport.trade_swap.PayUnAnnualRate ?? 0) * (tradeCash.UnwindNotional ?? 0) * (isOpenFee ? (tradePosition.SpotPrice ?? 0) : (tradeCash.FinalPrice ?? 0));
|
|
}
|
|
|
|
return costFee.FormatValue(2);
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public static double GetInitialAmountSwapGet(OtcTradeBase trade, trade_swap trade_swap, double lastFinalPrice
|
|
, double price, double stockEqvNotional, DateTime valueDate, DateTime? preSwapDate)
|
|
{
|
|
double? initialAmount;
|
|
if (trade_swap.IsGetFloatingProfit)
|
|
{
|
|
var annualRate = GetAnnualVarIncomeRate(trade_swap, valueDate, preSwapDate, trade.StartDate.Value, trade.ExerciseDate.Value);
|
|
initialAmount = GetInitialAmountSwap(lastFinalPrice, price
|
|
, (trade_swap.GetNotional ?? 0) * stockEqvNotional / trade.OriginalStockEqvNotional.Value
|
|
, trade_swap.GetLongShort, annualRate);
|
|
}
|
|
else
|
|
{
|
|
initialAmount = trade_swap.GetFixedProfit * stockEqvNotional / trade.OriginalStockEqvNotional;
|
|
}
|
|
|
|
return (initialAmount ?? 0).FormatValue(2);
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
public static double GetInitialAmountSwapPay(OtcTradeBase trade, trade_swap trade_swap, double lastFinalPrice
|
|
, double price, double stockEqvNotional, DateTime valueDate, DateTime? preSwapDate)
|
|
{
|
|
double? initialAmount;
|
|
|
|
if (trade_swap.IsPayFloatingProfit)
|
|
{
|
|
var annualRate = GetAnnualVarIncomeRate(trade_swap, valueDate, preSwapDate, trade.StartDate.Value, trade.ExerciseDate.Value);
|
|
initialAmount = GetInitialAmountSwap(lastFinalPrice, price
|
|
, (trade_swap.PayNotional ?? 0) * stockEqvNotional / trade.OriginalStockEqvNotional.Value
|
|
, trade_swap.PayLongShort, annualRate);
|
|
}
|
|
else
|
|
{
|
|
initialAmount = trade_swap.PayFixedProfit * stockEqvNotional / trade.OriginalStockEqvNotional;
|
|
}
|
|
|
|
return (initialAmount ?? 0).FormatValue(2);
|
|
}
|
|
|
|
/// <summary>
|
|
///
|
|
/// </summary>
|
|
/// <param name="lastFinalPrice"></param>
|
|
/// <param name="price"></param>
|
|
/// <param name="notional"></param>
|
|
/// <param name="longShort"></param>
|
|
/// <param name="annualVarIncomeRate">年化浮动收益率(为null表示非年化)</param>
|
|
/// <returns></returns>
|
|
public static double GetInitialAmountSwap(double lastFinalPrice, double price, double notional, string longShort, double? annualVarIncomeRate)
|
|
{
|
|
var amount = (price - lastFinalPrice) * notional.Normalize() * (longShort == "多头" ? 1 : -1);
|
|
|
|
return annualVarIncomeRate.HasValue ? amount * annualVarIncomeRate.Value : amount;
|
|
}
|
|
|
|
private static List<Date> GetSwapDatesBetween(string swapTimeAndRate, DateTime startDate, DateTime endDate)
|
|
{
|
|
var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(swapTimeAndRate);
|
|
var dates = customizedResults.Item1;
|
|
if (dates == null)
|
|
{
|
|
return null;
|
|
}
|
|
|
|
return dates.Where(x => x.DateTime > startDate && x.DateTime <= endDate).ToList();
|
|
}
|
|
|
|
public static double GetSwapRateByDate(string swapTimeAndRate, DateTime valueDate)
|
|
{
|
|
double swapRate = 0;
|
|
var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(swapTimeAndRate);
|
|
var dates = customizedResults.Item1;
|
|
if (dates == null)
|
|
{
|
|
return swapRate;
|
|
}
|
|
|
|
var getSwapRates = customizedResults.Item2;
|
|
var latestDate = dates.Where(x => x.DateTime >= valueDate).OrderBy(x => x.DateTime).FirstOrDefault();
|
|
|
|
//展期情况互换利率获取最后一个日期的互换利率
|
|
if (latestDate == null)
|
|
{
|
|
latestDate = dates.Max();
|
|
}
|
|
|
|
if (getSwapRates != null && getSwapRates.Any())
|
|
{
|
|
swapRate = getSwapRates[GetDateIndex(dates, latestDate)];
|
|
}
|
|
|
|
return swapRate;
|
|
}
|
|
|
|
private static int GetDateIndex(Date[] source, Date value)
|
|
{
|
|
if (source is null)
|
|
{
|
|
throw new ArgumentNullException(nameof(source));
|
|
}
|
|
|
|
var index = 0;
|
|
foreach (var item in source)
|
|
{
|
|
if (item.DateTime == value.DateTime)
|
|
{
|
|
return index;
|
|
}
|
|
|
|
index++;
|
|
}
|
|
return -1;
|
|
}
|
|
|
|
/// <summary>
|
|
/// 获取互换交易变动收益年化率,返回null表示非年化
|
|
/// </summary>
|
|
/// <param name="trade_swap">互换交易</param>
|
|
/// <param name="valueDate">结算日期</param>
|
|
/// <param name="preSwapDate">上次互换日期</param>
|
|
/// <param name="tradeStartDate">交易开始日期</param>
|
|
/// <returns>返回null表示非年化</returns>
|
|
public static double? GetAnnualVarIncomeRate(trade_swap trade_swap, DateTime valueDate, DateTime? preSwapDate, DateTime tradeStartDate, DateTime exerciseDate)
|
|
{
|
|
if (trade_swap is null)
|
|
{
|
|
throw new ArgumentNullException(nameof(trade_swap));
|
|
}
|
|
|
|
//浮动收益是否年化
|
|
if (!trade_swap.AnnualVarIncome)
|
|
{
|
|
return null;
|
|
}
|
|
|
|
if (!trade_swap.AnnualDays.HasValue || trade_swap.AnnualDays < 1)
|
|
{
|
|
return null;
|
|
}
|
|
|
|
DateTime startDate;
|
|
|
|
if (preSwapDate != null)
|
|
{
|
|
startDate = preSwapDate.Value.AddDays(1);
|
|
}
|
|
else
|
|
{
|
|
//2021-05-11:浮动收益年化时,首日计息规则会影响到收益金额的计算
|
|
bool calcFirst = trade_swap.RateCalcMode.StartsWith("1");//算头
|
|
startDate = calcFirst ? tradeStartDate : tradeStartDate.AddDays(1);
|
|
}
|
|
|
|
var days = (valueDate - startDate.Date).Days + 1;
|
|
|
|
if (exerciseDate == valueDate && trade_swap.RateCalcMode.EndsWith("0"))
|
|
{
|
|
days -= 1;
|
|
}
|
|
|
|
if (days < 0)
|
|
{
|
|
days = 0;
|
|
}
|
|
|
|
return (double)days / trade_swap.AnnualDays.Value;
|
|
}
|
|
}
|
|
}
|