zszq-trs/YLErpDAL/Model/EodPositionRisks.cs

using BaseOUDAL;
using YLErp.Commons;
using YLErp.Helpers;
using YLErp.Modules;

namespace YLErp.Model
{
    public class EodPositionRisksDTO
    {
        public int id { get; set; }

        public bool? IsUsePremiumRate { get; set; }

        public double? PremiumRate { get; set; }

        public double? Notional { get; set; }

        public double? TradeAmount
        {
            get
            {
                return Notional / DataCacheProvider.GetUnderlyingDataSource().GetCountRatio(UnderlyingCode);
            }
        }

        public double UnderlyingPrice { get; set; }

        public int UnderlyingId { get; set; }

        public int? VarietyId { get; set; }

        public string EncryptTradeId
        {
            get
            {
                return DataProtectHelper.Encrypt(id);
            }
        }

        public string IsMoneynessOption { get; set; }
        /// <summary>
        /// 主交易编号
        /// </summary>
        public string ParentTradeNumber { get; set; }
        /// <summary>
        /// 确认书编号
        /// </summary>
        public string ContractCode { get; set; }

        public string BuySell { get; set; }

        private string _tradeNumber;

        /// <summary>
        /// 多腿编号
        /// </summary>
        public string TradeNumber
        {
            get
            {
                return _tradeNumber;
            }
            set
            {
                if (string.IsNullOrWhiteSpace(value))
                {
                    _tradeNumber = "";
                }
                else
                {
                    _tradeNumber = value;
                }
            }
        }

        public string ChildLeg { get; set; }

        public string HedgeUniqueCode { get; set; }

        public int ParentTradeId { get; set; }

        public string TradeStatus { get; set; }

        public DateTime? ExerciseDate { get; set; }

        public DateTime? SettlementDate { get; set; }
        public int SettlementFlag { get; set; }

        public string ExerciseMode { get; set; }

        public string TradeType { get; set; }

        public string StructureType { get; set; }

        public string ClientName { get; set; }

        public string ClientNumber { get; set; }

        public string AssetBookName { get; set; }

        public DateTime? TradeDate { get; set; }

        public string OptionType { get; set; }

        public string UnderlyingCode { get; set; }

        public string UnderlyingAssetName { get; set; }

        public string UnderlyingVariety { get; set; }

        public double? InitialSpotPrice { get; set; }
        /// <summary>
        /// 保底收益总额
        /// </summary>
        public double? OriginalPrincipalSum { get; set; }

        public double? Strike { get; set; }

        public double? TradeSinglePrice { get; set; }

        public double? TradePrice { get; set; }

        public double? etcTradePrice { get; set; }

        public double? StockEqvNotional { get; set; }

        internal double? StockEqvNotionalMax { set; get; }

        public double? OriginalStockEqvNotional
        {
            get
            {
                return PS.Config.ErpElement.UseStockEqvNotionalMax && StockEqvNotionalMax > 0 ? StockEqvNotionalMax : _originalStockEqvNotional;
            }
            set
            {
                _originalStockEqvNotional = value;
            }
        }

        public double? StockEqvNotionalToShow
        {
            get
            {
                if (ConsTrade.TradeTypesForHedge.Contains(TradeType))
                {
                    return OtcFormatHelper.FormatValue(StockEqvNotional ?? 0, 2);
                }

                if (PS.Config.ComponentVersion == Configuration.ComponentVersion.Broker)
                {
                    return OtcFormatHelper.FormatValue(StockEqvNotional ?? 0, 2);
                }

                return OtcFormatHelper.FormatValue(OriginalStockEqvNotional, 2);
            }
        }

        public double? TradeOriginalAmount { get; set; }

        public double? OriginalNotional { get; set; }

        public int IsGroup { get; set; }

        public double? SinglePV { get; set; }

        public double? PV { get; set; }

        public double? RoundedPV { get; set; }

        public double? PositionPnl { get; set; }

        public double? RoundedPositionPnl { get; set; }

        public double RealizedPnl { get; set; }

        public double dailyPnl { get; set; }

        public double? CurrentVolatility { get; set; }

        public string ExchangeOptionCode { get; set; }

        public double? Delta { get; set; }

        public double? DeltaCash { get; set; }

        public double? DeltaLots { get; set; }

        public double? Gamma { get; set; }

        public double? GammaCash { get; set; }

        public double? GammaLots { get; set; }

        public double? Theta { get; set; }

        public double? Rho { get; set; }

        public double? Vega { get; set; }

        public double? VegaCash { get; set; }

        /// <summary>
        /// 无风险利率
        /// </summary>
        public double RiskFreeRate { get; set; }

        /// <summary>
        /// 分红率
        /// </summary>
        public double DividendRate { get; set; }



        /// <summary>
        /// Delta_R
        /// </summary>
        public double? Delta_r { get; set; }

        public double? Delta_r_1bp { get; set; }


        public double? Dv01 { get; set; }

        public double? Gamma_r { get; set; }

        public double? Gamma_r_1bp { get; set; }

        public double? Vega_r { get; set; }

        public double? Vega_r_1bp { get; set; }

        public double? Vega_1bp { get; set; }



        /// <summary>
        /// 维持预付金
        /// </summary>
        public double? Margin { get; set; }
        /// <summary>
        /// 广期想查看
        /// </summary>
        public double? Spv1 { get; set; }

        public double? Spv2 { get; set; }

        public double? Spv3 { get; set; }

        /// <summary>
        /// 敞口
        /// </summary>
        public double? Exposure { get; set; }

        /// <summary>
        /// 观察状态
        /// </summary>
        public string KnockInOutStatus { get; set; }

        /// <summary>
        /// 交易员
        /// </summary>
        public string TraderName { get; set; }

        /// <summary>
        /// 初始预付金
        /// </summary>
        public double? InitMargin { get; set; }

        /// <summary>
        /// 持仓初始预付金 = 初始预付金 *持仓数量/开仓数量
        /// </summary>
        public double? PosiInitMargin { get; set; }

        [NonSerialized]
        public string TradeJson;

        private trade _trade = null;

        private double? _originalStockEqvNotional;

        public trade trade
        {
            get
            {
                if (_trade != null)
                {
                    return _trade.IsDefault() ? trade.Default : _trade;
                }

                if (!string.IsNullOrEmpty(TradeJson))
                {
                    try
                    {
                        _trade = TradeHelper2.Deserialize(TradeJson);
                    }
                    catch (Exception e)
                    {
                        LogFactory.GetLogger<EodPositionRisksDTO>().Error("EodTrade Trade", e);
                    }
                }
                else
                {
                    _trade = trade.Default;
                }
                return _trade;
            }
            set
            {
                _trade = value;
            }
        }

        #region ----二元----
        /// <summary>
        /// 二元类型    
        /// </summary>
        public string PayoffType { get; set; }

        /// <summary>
        /// 补偿金额
        /// </summary>
        public double? CashOrNothingAmount { get; set; }

        /// <summary>
        /// 补偿金额比率
        /// </summary>
        public double? CashOrNothingAmountRate { get; set; }

        /// <summary>
        /// 观察方式
        /// </summary>
        public string MonitorType { get; set; }

        /// <summary>
        /// 是否离散观察
        /// </summary>
        public string IsDiscreteMonitored
        {
            get
            {
                if (string.IsNullOrWhiteSpace(MonitorType))
                {
                    return string.Empty;
                }
                return MonitorType == "离散" ? "是" : "否";
            }
        }

        /// <summary>
        /// 补偿方式
        /// </summary>
        public string RebateType { get; set; }

        #endregion

        #region ----亚式----

        public string StrikeType { get; set; }

        /// <summary>
        /// 均价起算日
        /// </summary>
        public DateTime? AveragingPeriodStartDate { get; set; }

        public string PayoffType2 { get; set; }

        /// <summary>
        /// 参与率
        /// </summary>
        public double? ParticipationRate { get; set; }

        /// <summary>
        /// 杠杆率
        /// </summary>
        public double? StrikeGearingFactor { get; set; }
        /// <summary>
        /// 增强价格
        /// </summary>
        public double EnhancedPrice { get; set; }

        #endregion

        #region

        public double? ParticipationRate2 { get; set; }

        public double? ParticipationRate3 { get; set; }

        #endregion

        #region ----障碍----

        /// <summary>
        /// 障碍类型
        /// </summary>
        public string BarrierType { get; set; }


        /// <summary>
        /// 观察类型
        /// </summary>
        public string Discrete { get; set; }


        /// <summary>
        /// 障碍价格
        /// </summary>
        public double? BarrierPrice { get; set; }


        /// <summary>
        /// 高障碍价格
        /// </summary>
        public double? UpperBarrierPrice { get; set; }

        public double? RebateRate { get; set; }

        /// <summary>
        /// 补偿金额
        /// </summary>
        public double? Rebate { get; set; }

        /// <summary>
        /// 高障碍补偿金额
        /// </summary>
        public double? RebateHigh { get; set; }

        /// <summary>
        /// 高障碍补偿金额
        /// </summary>
        public double? RebateHighRate { get; set; }

        /// <summary>
        /// 障碍偏移
        /// </summary>
        public double? BarrierShift { get; set; }

        public string RebateType3 { get; set; }

        #endregion

        #region----盈亏分解----

        public double? PnLDelta { get; set; }

        public double? PnLGamma { get; set; }

        public double? PnLVega { get; set; }

        public double? PnLTheta { get; set; }

        public double? PnLPsi { get; set; }

        #endregion

        /// <summary>
        /// 
        /// </summary>
        public int? CountRatio { get; set; }
        /// <summary>
        /// 存续名义本金
        /// </summary>
        public double? SurvivingNominalPrincipal { get; internal set; }


        public string GroupName { get; set; }
        /// <summary>
        /// 累计期权  类型（标准，三段式）
        /// </summary>
        public string AccumulatorStructureTypeStr { get; internal set; }
        /// <summary>
        /// 累计三段式 risk 执行价格2
        /// </summary>
        public double? Strike2 { get; internal set; }
        /// <summary>
        /// 累计三段式 risk 执行价格3
        /// </summary>
        public double? Strike3 { get; internal set; }

        /// <summary>
        /// 备注
        /// </summary>
        public string Comments { get; set; }
    }

    /// <summary>
    /// 日终持仓风险
    /// </summary>
    public class EodPositionRisksReq : BaseSearchReq, IClonable<EodPositionRisksReq>
    {
        /// <summary>
        /// 开始时间
        /// </summary>
        public DateTime StartDate { get; set; }
        /// <summary>
        /// 结算日
        /// </summary>
        public DateTime ValueDate { get; set; }

        /// <summary>
        /// 交易编号
        /// </summary> 
        public string TradeNumber { get; set; }

        /// <summary>
        /// 是否仅仅导出
        /// </summary>
        public bool IsOnlyExport { get; set; }

        /// <summary>
        /// 簿记账户信息
        /// </summary>  
        public List<int> BookIds { get; set; }

        public IEnumerable<int> AssetIdGroupList { get; set; }

        public IEnumerable<string> TradeTypes { get; set; }

        public IEnumerable<int> VarietyIds { get; set; }

        public IEnumerable<int> UnderlyingIds { get; set; }

        /// <summary>
        /// 正数代表tradeId；负数代表eod_trade_position的id
        /// </summary>
        public IEnumerable<int> TradeIds { get; set; }

        public List<int> ClientIds { get; set; }


        public DateTime? SettlementDateStart { get; set; }

        public DateTime? SettlementDateEnd { get; set; }

        public IEnumerable<int> SettlementFlags { get; set; }

        /// <summary>
        /// 标的价格类型
        /// </summary>
        public string EodSettlePriceMode { get; set; }

        /// <summary>
        /// 波动率类型
        /// </summary>
        public string VolType { get; set; }

        /// <summary>
        /// 分红率类型
        /// </summary>
        public string DividendRateType { get; set; }
        /// <summary>
        /// 是否需要eod结算时的数据
        /// </summary>
        public bool needSettleData { get; set; }

        /// <summary>
        /// 是否只查询场外期权交易，组合交易按照主交易展示
        /// </summary>
        public bool IsParentTrade { get; set; }

        public List<int> UserAssets { get; set; }
        public List<int> UserClients { get; set; }

        public List<string> GroupNamesList
        {
            get
            {
                return (GroupNames + "").Split(new char[] { ',' }, StringSplitOptions.RemoveEmptyEntries).ToList();
            }
        }

        public string GroupNames { get; set; }


        public List<int> CurUserTradeIds { get; set; }

        /// <summary>
        /// 标签值
        /// </summary>
        public List<int> TagIds { get; set; }

        public EodPositionRisksReq Clone()
        {
            return (EodPositionRisksReq)MemberwiseClone();
        }
    }
}