zszq-trs/YLErpDAL/Modules/ScenarioModule/Models/ScenarioCalcResult.cs

using YLErp.Modules.CalculationModule;

namespace YLErp.Modules.ScenarioModule
{
    /// <summary>
    /// 情景分析计算结果
    /// </summary>
    public class ScenarioCalcResult
    {
        public string ConfigName { get; set; }

        public IEnumerable<ScenarioCalcResultItem> Trades { get; set; }

        public IEnumerable<ScenarioUnderlyingModel> Underlyings { get; set; }

        public IEnumerable<ScenarioCalcResultItem> ResultItems { get; set; }

        public string xType { get; set; }

        public string yType { get; set; }

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

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

    /// <summary>
    /// 情景分析计算结果单项
    /// </summary>
    public class ScenarioCalcResultItem
    {
        public int xIndex { get; set; }

        public int yIndex { get; set; }

        public string UnderlyingCode { get; set; }

        public string UnderlyingPrice { get; set; }

        public int TradeId { get; set; }

        public double ZeroPv { get; set; }

        public double Pv { get; set; }

        public double Delta { get; set; }

        public double Gamma { get; set; }

        public double Theta { get; set; }

        public double Vega { get; set; }

        public double PnL { get; set; }

        public double DeltaChg { get; set; }

        public double DeltaInLots { get; set; }

        public double DeltaCash { get; set; }

        public double GammaCash { get; set; }

        public void AddValueResult(TradeValueResult valueResult, double contractSize, double zeroPv, double zeroDelta)
        {
            Pv += NumberHelper.Normalize(valueResult.Pv);
            Delta += NumberHelper.Normalize(valueResult.Delta);
            Gamma += NumberHelper.Normalize(valueResult.Gamma);
            Theta += NumberHelper.Normalize(valueResult.Theta);
            Vega += NumberHelper.Normalize(valueResult.Vega);

            PnL += NumberHelper.Normalize(valueResult.Pv - zeroPv);

            DeltaChg += NumberHelper.Normalize(valueResult.Delta - zeroDelta);

            DeltaCash += NumberHelper.Normalize(valueResult.DeltaCash);
            GammaCash += NumberHelper.Normalize(valueResult.GammaCash);

            ZeroPv += Math.Abs(NumberHelper.Normalize(zeroPv));

            DeltaInLots = NumberHelper.Normalize(Delta) / (contractSize < 1 ? 1 : contractSize);
        }
    }
}