379 lines
17 KiB
C#
379 lines
17 KiB
C#
using CxxCalcLib;
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using Qdp.Foundation.Implementations;
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using Qdp.Pricing.Base.Enums;
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using Qdp.Pricing.Base.Utilities;
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using YLErp.BLL.Calculation.V2;
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using YLErp.Commons;
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using YLErp.Enums;
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using YLErp.Modules.CalculationLogModule;
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using YLErp.QdpModule;
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namespace YLErp.Modules.CalculationModule
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{
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internal class SnowballSpecialistOptionCalculator
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{
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/// <summary>
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/// 计算Greeks
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/// </summary>
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/// <param name="valueDate"></param>
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/// <param name="vol"></param>
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/// <param name="td"></param>
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/// <returns></returns>
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public TradeValueResult CalcOptionValue(DateTime valueDate, double spotPrice, double vol, CalcScenarioEnum calcScenario, trade td)
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{
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return new TradeValueResult { Succeeded = false, ErrorMessage = "不支持专业版雪球" };
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//using var wrapper = new CxxCalcApi();
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//if (valueDate > td.ExerciseDate)
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//{
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// //OTC-5920:对于定价日期>到期日的交易，无需给定价引擎计算，PV和其他希腊字母等直接为0即可。
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// return new TradeValueResult(true)
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// {
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// UnderlyingCode = td.UnderlyingCode,
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// Pv = 0,
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// Delta = 0,
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// Gamma = 0,
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// Vega = 0,
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// Rho = 0,
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// CalendarDayTheta = 0,
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// TradingDayTheta = 0,
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// DeltaCash = 0,
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// GammaCash = 0,
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// VegaCash = 0,
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// Vol = vol,
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// SpotPrice = spotPrice
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// };
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//}
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//var calcIn = BuildCalcInParams(valueDate, spotPrice, vol, td);
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//AddCalculationLog(calcIn, calcScenario);
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//Dictionary<double, SnowballScenarioResult> result1;
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//try
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//{
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// result1 = wrapper.CalcPlatform_SnowballScenario(calcIn);
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//}
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//catch
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//{
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// throw new ServiceException("存在不符合定价条件的交易，无法完成定价，请检查交易要素是否完备");
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//}
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//var result = result1.Values.FirstOrDefault();
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//var direction = td.BuySell == "买入" ? 1 : -1;
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//var valueResult = new TradeValueResult(true)
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//{
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// UnderlyingCode = td.UnderlyingCode,
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// Pv = result.PV * direction,
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// Delta = result.DELTA * direction,
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// Gamma = result.GAMMA * direction,
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// Vega = result.VEGA * direction,
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// Rho = result.RHO * direction,
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// CalendarDayTheta = result.THETA * direction,
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// TradingDayTheta = result.THETA * direction,
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// DeltaCash = result.DELTA * spotPrice * direction,
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// GammaCash = result.GAMMA * spotPrice * spotPrice * 0.01 * direction,
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// VegaCash = result.VEGA * spotPrice * direction,
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// Vol = vol,
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// SpotPrice = spotPrice
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//};
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//// 计算 RoundedPv
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//valueResult.RoundedPv = OtcFormatHelper.FormatValue(valueResult.Pv / td.Notional, 2) * td.Notional;
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////计算DeltaInLots
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//var underlying = DataCacheModule.DataCacheManager.GetUnderlyingDataSource().GetData(td.UnderlyingCode);
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//valueResult.DeltaInLots = TradeLotsCalc.CalcDeltaInLots(result.DELTA, null, underlying);
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////if (!(td.trade_snowball?.PrepaymentAddedToPv ?? false))
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////{
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//// // 计算引擎返回的PV是包含预付金，如果pv不想包含预付金，需要减掉预付金
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//// var advanceAmount = td.StockEqvNotional * (td.trade_snowball.PrepaymentRatio ?? 0);
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//// valueResult.Pv -= advanceAmount;
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////}
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//ValueCalculator.ConvertTradeValueResultOfCompany(valueResult, td.TradeType);
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//return valueResult;
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}
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/// <summary>
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/// 根据目标PV反算票息、波动率等
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/// </summary>
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/// <param name="valueDate">定价日</param>
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/// <param name="vol">波动率</param>
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/// <param name="calcTarget">计算的目标</param>
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/// <param name="td">交易信息</param>
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/// <returns></returns>
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public double CalcTargets(DateTime valueDate, double spotPrice, double vol, int calcTarget, trade td)
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{
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return 0;
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//using var wrapper = new CxxCalcApi();
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//var calcIn = BuildCalcInParams(valueDate, spotPrice, vol, td);
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//var targetPv = td.TradePrice ?? 0.0;
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//var clacTarget = (CalcTarget)calcTarget;
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//var isNan = false;
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//if (clacTarget == CalcTarget.COUPON)
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//{
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// //calcIn.koCoupons = calcIn.koCoupons.Select(g => double.NaN).ToArray();
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// calcIn.maturityCoupon = double.NaN;
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// isNan = false;
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//}
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//else if (clacTarget == CalcTarget.KO_COUPON)
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//{
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// //calcIn.koCoupons = calcIn.koCoupons.Select(g => double.NaN).ToArray();
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// isNan = true;
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//}
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//else if (clacTarget == CalcTarget.MATURITY_COUPON)
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//{
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// calcIn.maturityCoupon = double.NaN;
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// isNan = true;
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//}
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//AddCalculationLog(calcIn, CalcScenarioEnum.Pricing, targetPv, isNan);
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//double targetValue = 0;
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//try
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//{
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// targetValue = wrapper.CalcPlatform_Infer(calcIn, targetPv, isNan, CalcTarget.COUPON);
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//}
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//catch
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//{
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// throw new ServiceException("存在不符合定价条件的交易，无法完成反算，请检查交易要素是否完备");
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//}
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//return targetValue;
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}
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/// <summary>
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/// 根据原始专业版雪球拆分为两个雪球
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/// 此处获取拆分的专业版雪球
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/// </summary>
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/// <param name="td"></param>
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/// <returns></returns>
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public trade GetSpecialTrade(trade td)
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{
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//预付金比例设置为0
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var tdClone = td.Clone();
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tdClone.trade_snowball = td.trade_snowball.Clone();
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tdClone.trade_snowball.PrepaymentRatio = 0;
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return tdClone;
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}
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/// <summary>
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/// 根据原始专业版雪球拆分为两个雪球
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/// 此处获取拆分的保本雪球
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/// </summary>
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/// <param name="td"></param>
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/// <returns></returns>
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public trade GetBreakevenTrade(trade td)
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{
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//无敲入条款，敲出票息与红利票息(不年化)=原始雪球的预付金比例
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//无风险利率=原始雪球的预付金折现率
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var tdClone = td.Clone();
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tdClone.trade_snowball = td.trade_snowball.Clone();
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tdClone.trade_snowball.KnockInOutDate = null;
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tdClone.trade_snowball.KnockInOutStatus = null;
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tdClone.trade_snowball.KIBarrier = 0;
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tdClone.trade_snowball.SpreadStrikeAtMaturity1 = 0;
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tdClone.trade_snowball.KIPayoffType = KIPayoffTypeEnum.None;
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tdClone.trade_snowball.KORebate = td.trade_snowball.PrepaymentRatio ?? 0;
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tdClone.trade_snowball.Coupon = td.trade_snowball.PrepaymentRatio ?? 0;
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tdClone.trade_snowball.IsFixedCoupon = true;
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tdClone.trade_snowball.PrepaymentUsed = false;
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var customizedResults = QdpHelper.ParseAutocallCustomizedInfo(td.trade_snowball.KOObservationDates);
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var koObservationDates = customizedResults.Item1;
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var customizedKOBarriers = customizedResults.Item2;
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tdClone.trade_snowball.KOObservationDates = $"{string.Join(",", koObservationDates.Select(O => O.DateTime.OtcFormatDate()))};" +
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$"{string.Join(",", customizedKOBarriers)};" +
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$"{string.Join(",", koObservationDates.Select(x => (td.trade_snowball.PrepaymentRatio ?? 0).OtcFormatFlex(6)))}";
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tdClone.NoRiskRate = td.trade_snowball.PrepaymentConvertCashRate ?? 0;
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return tdClone;
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}
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/// <summary>
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/// 加和result结果
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/// </summary>
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/// <param name="result1"></param>
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/// <param name="result2"></param>
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/// <returns></returns>
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public TradeValueResult MergeTradeValueResult(TradeValueResult specialSnowballResult, TradeValueResult breakevenSnowballResult)
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{
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specialSnowballResult.Pv += breakevenSnowballResult.Pv;
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specialSnowballResult.RoundedPv += breakevenSnowballResult.RoundedPv;
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specialSnowballResult.Delta += breakevenSnowballResult.Delta;
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specialSnowballResult.DeltaCash += breakevenSnowballResult.DeltaCash;
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specialSnowballResult.Gamma += breakevenSnowballResult.Gamma;
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specialSnowballResult.GammaCash += breakevenSnowballResult.GammaCash;
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specialSnowballResult.CalendarDayTheta += breakevenSnowballResult.CalendarDayTheta;
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specialSnowballResult.TradingDayTheta += breakevenSnowballResult.TradingDayTheta;
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specialSnowballResult.Rho += breakevenSnowballResult.Rho;
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specialSnowballResult.Vega += breakevenSnowballResult.Vega;
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specialSnowballResult.VegaCash += breakevenSnowballResult.VegaCash;
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specialSnowballResult.TimeValue += breakevenSnowballResult.TimeValue;
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return specialSnowballResult;
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}
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/// <summary>
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/// 构建计算引擎需要的参数
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/// </summary>
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/// <param name="valueDate">定价日</param>
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/// <param name="vol">波动率</param>
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/// <param name="td">交易信息</param>
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/// <returns></returns>
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private CalcIn BuildCalcInParams(DateTime valueDate, double spotPrice, double vol, trade td)
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{
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var trade_snowball = td.trade_snowball;
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// 敲入观察日
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if (string.IsNullOrEmpty(trade_snowball?.KOObservationDates?.Trim(new[] { ' ', ';' })))
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{
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throw new ServiceException("敲出观察日列表不能为空，请生成敲出观察日列表");
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}
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if (vol <= 0)
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{
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throw new ServiceException("波动率必须大于0，请调整波动率");
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}
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var koParams = trade_snowball.KOObservationDates.Split(";");
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var koObsDateStr = koParams[0];
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var koObsDates = koObsDateStr.Split(",").Select(g => new Date(DateTime.Parse(g))).ToArray();
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var koBarriers = koParams[1].Split(",").Select(g => double.Parse(g)).ToArray();
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var koCoupons = koParams[2].Split(",").Select(g => string.IsNullOrEmpty(g) ? double.NaN : double.Parse(g)).ToArray();
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var kiBarrier = trade_snowball.KIBarrier;
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var strike = trade_snowball.SpreadStrikeAtMaturity1 ?? 0;
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if (!td.IsMoneynessOptionData)
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{
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//转为相对价格比例
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koBarriers = koBarriers.Select(g => g / td.InitialSpotPrice ?? 0).ToArray();
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kiBarrier = kiBarrier / td.InitialSpotPrice ?? 0;
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strike = strike / td.InitialSpotPrice ?? 0;
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}
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// 计算票息年化系数(外部有不同的计算方式)
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var iFixedCoupon = string.IsNullOrEmpty(trade_snowball.CouponDayCount); //是否年化，约定为空表示非年化
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var dayCount = iFixedCoupon ? null : trade_snowball.CouponDayCount.ToDayCountImpl();
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var koFractions = koObsDateStr.Split(",").Select(g =>
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{
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var koObsDate = DateTime.Parse(g);
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var koFraction = iFixedCoupon ? 1 : YLErp.QdpModule.QdpHelper.AnnualizeFactor(new Date(td.StartDate), koObsDate, dayCount);
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return koFraction;
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}).ToArray();
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var market = GetMarket(td.UnderlyingCode);
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// 计算入参
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var calcIn = new CalcIn()
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{
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// 市场（日历）名称，如China
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market = market,
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// 开始日期
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startDate = new Date(td.StartDate).ToString(),
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// 估值日期
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valueDate = valueDate.ToString("yyyy-MM-dd"),
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// 5是向上敲出的雪球，6是向下敲出的雪球
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barrierType = QdpConverter.ConvertOptionType(td.CallPut) == OptionType.Call ? CxxCalcLib.BarrierType.UP_OUT_DOWN_IN : CxxCalcLib.BarrierType.UP_IN_DOWN_OUT,
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// 期初价格
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initialSpot = td.InitialSpotPrice ?? 0,
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// 敲出观察日列表，以逗号分隔
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koObsDateStr = koObsDateStr,
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// 敲出障碍价格列表，与敲出观察日对应
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koBarriers = koBarriers,
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// 敲出票息列表??
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koCoupons = koCoupons,
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// 敲出票息的年化系数列表
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koFractions = koFractions,
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// 敲出观察日个数
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activeKoObsCount = koObsDates.Count(),//koObsDates.Where(g => g > new Date(td.StartDate)).Count(),
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// 敲出增强收益的参与率，无增强收益填0
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koPayoffParticipation = trade_snowball.EnhancedParticipationRate ?? 0,
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// 敲入障碍价格
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kiBarrier = kiBarrier,
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// 敲入后的行权价
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kiStrike = strike,
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// 是否仅在到期日进行敲入观察，否则为每日观察
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kiObsOnlyAtMaturity = trade_snowball.KIObservationType == KIObservationType.OnlyEndDate,
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// 敲入后的期权参与率??
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kiParticipationRate = trade_snowball.KIParticipationRate ?? 0,
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// 红利票息
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maturityCoupon = trade_snowball.Coupon,
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// 保本比例，如0.8表示敲入后亏损封顶20%
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protectionRatio = trade_snowball.PrincipalProtectionRate ?? 0,
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// 初始预付金比例
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initialMarginRatio = trade_snowball.PrepaymentRatio ?? 0,
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// 预付金利率
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marginInterestRate = trade_snowball.PrepaymentInterestRate ?? 0,
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// 数量??
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amount = td.Notional,
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// 是否已敲入
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isKnockedIn = trade_snowball.IsInitialKnockedIn,
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// 一组标的资产价格，每个价格都是一个情景
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spots = new double[] { spotPrice },
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// 情景个数??
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scenarioCount = 1,
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// 无风险利率
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r = td.NoRiskRate ?? 0,
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// 分红率
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q = td.DividendRate ?? 0,
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// 波动率
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v = vol,
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// 计算指标，逗号隔开
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greekType = "PV,DELTA,GAMMA,VEGA,THETA,RHO"
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};
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return calcIn;
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}
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/// <summary>
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/// 添加日志
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/// </summary>
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/// <param name="trade"></param>
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/// <param name="scenarioEnum"></param>
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/// <param name="tradeNumber"></param>
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private static void AddCalculationLog(CalcIn CalcParams, CalcScenarioEnum calcScenario, double? targetPv = null, bool? isNan = null)
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{
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try
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{
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// 添加计算日志
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var log = new CalculationLog()
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{
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CreateTime = DateTime.Now,
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Scenario = calcScenario,
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LogObject = CalcParams,
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//TradeNumber = tradeNumber,
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//Notional = CalcParams.amount,
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//Exercise = CalcParams..ToString(),
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//OptionType = CalcParams?.OptionType.ToString(),
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//TradeDate = trade.TradeDate?.ToString(),
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//MaturityDate = trade.MaturityDate?.ToString(),
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//InitialSpotPrice = option?.InitialSpotPrice.ToString(),
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//Strike = option?.Strike.ToString(),
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targetPv = targetPv,
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isNan = isNan
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};
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ICalculationLogService calcLogService = new CalculationLogService();
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calcLogService.AddLog(log, calcScenario);
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}
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catch (Exception ex)
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{
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Console.WriteLine(ex.Message);
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}
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}
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/// <summary>
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/// 获取交易日历名称
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/// </summary>
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/// <param name="underlyingCode"></param>
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/// <returns></returns>
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private static string GetMarket(string underlyingCode)
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{
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var underlyingManager = DataCacheModule.DataCacheManager.GetUnderlyingDataSource().GetData(underlyingCode);
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var market = DataCacheModule.DataCacheManager.GetMarketDataSource().AsQueryable(g => g.MarketName == underlyingManager.MarketName)?.FirstOrDefault();
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return market?.CalendarName ?? "chn";
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}
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}
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}
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