zszq-trs/YLErpDAL/Model/RiskExposureModel.cs

using BaseOUDAL;

namespace YLErp.Model
{
    public class RiskExposureModel
    {
        /// <summary>
        /// 品种
        /// </summary>
        public string VarietyCode { get; set; }

        /// <summary>
        /// 品种指数收盘价
        /// </summary>
        public double? VarietyIndexClosePrice { get; set; }

        /// <summary>
        /// 品种指数日波动率
        /// </summary>
        public double? VarietyIndexDailyVol { get; set; }

        public RiskIndicatorParameter FuturesIndicator { get; set; }

        public OptionRiskIndicatorParameter OptionIndicator { get; set; }

        public RiskIndicatorParameter PortfolioIndicator => new RiskIndicatorParameter
        {
            Delta = FuturesIndicator.Delta + OptionIndicator.Delta,
            Pnl = FuturesIndicator.Pnl + OptionIndicator.Pnl
        };

        /// <summary>
        /// 组合Delta敞口比例
        /// </summary>
        public double? DeltaExposureRatio { get; set; }

        /// <summary>
        /// Gamma*日波动率*指数收盘价
        /// </summary>
        public double? GammaDailyVolClosePrice { get; set; }

        /// <summary>
        /// 风险价值
        /// </summary>
        public double? VAR { get; set; }

        /// <summary>
        /// 是否超敞口
        /// </summary>
        public bool? IsOverexposure { get; set; }
    }

    public class RiskExposureModelSum
    {
        public double? FuturesPnlSum { get; set; }

        public double? FuturesDeltaSum { get; set; }

        public double? OptionPnlSum { get; set; }

        public double? OptionDeltaSum { get; set; }

        public double? OptionGamma { get; set; }

        public double? PortfolioPnlSum { get; set; }

        public double? PortfolioDeltaSum { get; set; }

        public double? VARSum { get; set; }
    }

    public class RiskIndicatorParameter
    {
        /// <summary>
        /// 盈亏
        /// </summary>
        public double? Pnl { get; set; }

        public double? Delta { get; set; }
    }

    public class OptionRiskIndicatorParameter : RiskIndicatorParameter
    {
        public double? Gamma { get; set; }
    }

    public class RiskExposureReq : BaseSearchReq
    {
        /// <summary>
        /// 品种
        /// </summary>
        public string VarietyCodes { get; set; }

        /// <summary>
        /// 品种
        /// </summary>
        public List<string> VarietyCodeList => DataConvert.SplitByComma(VarietyCodes).ToList();

        /// <summary>
        /// 结算日
        /// </summary>
        public DateTime? SettlementDate { get; set; }
    }
}