105 lines
3.5 KiB
C#
105 lines
3.5 KiB
C#
using YLErp.Enums;
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using YLErp.Modules.ApiModule.PricingModule;
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using YLErp.Modules.ApiModule.PricingModule.CustomizedAsianPricing;
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using YLErp.Modules.PricingModule;
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namespace YLWebAPI.ApiModule.ManagerApi
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{
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/// <summary>
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/// 交易定价API
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/// </summary>
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public class TradePricingController : BaseApiController
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{
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/// <summary>
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/// 期权定价
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/// </summary>
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[HttpPost, Route("api/v1/optionPricing"), ManagerAuth]
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public ApiResponseModel optionPricing2([FromBody] OptionPricingModelV1 reqModel)
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{
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if (reqModel == null)
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{
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return JsonError("参数为null");
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}
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var result = new PriceCalcService(CurUser).CalcOptionPrice(reqModel.Trades, reqModel.IsCalcMargin, CalcScenarioEnum.Pricing, td => reqModel.IsCalcGreeks);
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return JsonSuccess(result);
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}
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/// <summary>
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/// 期权定价
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/// </summary>
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[HttpPost, Route("api/v1/otc-option/pricing"), ManagerAuth]
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public ApiResponseModel OtcOptionPricing([FromBody] OptionPricingModelV2 req)
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{
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if (req is null)
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{
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return JsonError("参数不能为空");
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}
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var result = new OptionPricingApiService().GetOptionPrice(req);
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return JsonSuccess(new
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{
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req.CalcId,
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InitialMargin = result.initialMargin,
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ContractSize = result.contractSize,
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result.calcResult.Pv,
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result.calcResult.Delta,
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result.calcResult.Gamma,
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result.calcResult.Vega,
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result.calcResult.Theta,
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result.calcResult.Rho
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});
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}
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/// <summary>
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/// 保险加期货等奇异但不太常用的奇异期权定价，如各种亚式变种等
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/// </summary>
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[HttpPost, Route("api/v1/otc-option/customized_asian_pricing"), ManagerAuth]
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public ApiResponseModel CustomizedAsianPricing([FromBody] CustomizedAsianPricingModel req)
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{
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if (req is null)
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{
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return JsonError("参数不能为空");
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}
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if (req.ExoticAsianType == "触碰锁定增强亚式期权") // 宏源恒利的保险加期货产品2022
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{
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var result = new OptionPricingApiService().GetCustomizedAsianOptionPrice(req);
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return JsonSuccess(new
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{
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req.CalcId,
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InitialMargin = result.initialMargin,
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ContractSize = result.contractSize,
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result.calcResult.Pv,
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result.calcResult.Delta,
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result.calcResult.Gamma,
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result.calcResult.Vega,
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result.calcResult.Theta,
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result.calcResult.Rho
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});
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}
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else
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{
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return JsonError("不支持的期权类型");
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}
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}
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/// <summary>
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/// 雪球期权反算票息
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/// </summary>
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[HttpPost, Route("api/v1/otc-option/snowball/calc_korebate"), ManagerAuth]
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public ApiResponseModel CalcSnowballKoRebate([FromBody] OptionPricingModelV2 req)
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{
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OptionPricingApiHelper.CheckPricingRequestData(req);
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req.TradeType = "雪球期权";
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var korebate = new PriceCalcService(CurUser).CalcSnowballKORebate(req);
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return JsonSuccess(korebate);
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}
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}
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} |