zszq-trs/YLErpDAL/Modules/VolatilityModule/Providers/TradeVolitalityProvider.cs

using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Library.Equity.Engines.Analytical;

namespace YLErp.Modules.VolatilityModule
{
    /// <summary>
    /// 交易波动率提供(适用于UseTradeVol)
    /// </summary>
    public class TradeVolitalityProvider
    {
        protected readonly DateTime _valueDate;

        Dictionary<int, InnerTradeVolatility> _dicData;

        public TradeVolitalityProvider(DateTime valueDate)
        {
            _valueDate = valueDate.Date;
        }

        /// <summary>
        /// 如果设为true程序内部将不会再进行数据初始化,
        /// 这样做的目的是为了少量数据获取时避免初始化带来的性能损失
        /// </summary>
        public bool Initialized { get; set; }

        private void Initialize()
        {
            if (_dicData != null)
            {
                return;
            }

            lock (this)
            {
                if (_dicData != null)
                {
                    return;
                }

                if (Initialized)
                {
                    _dicData = new Dictionary<int, InnerTradeVolatility>();
                }
                else
                {
                    //只取3个月以内的
                    var startDate = _valueDate.AddMonths(-3);

                    using var db = DbContextFactory.GetYLDbContext();
                    var query1 = from a in db.TradeVolatility
                                 where a.ValueDate > startDate && a.ValueDate <= _valueDate
                                 group a by a.TradeId into g
                                 select new { TradeId = g.Key, ValueDate = g.Max(n => n.ValueDate) };

                    var query2 = from a in query1
                                 join b in db.TradeVolatility on a equals new { b.TradeId, b.ValueDate }
                                 select new InnerTradeVolatility
                                 {
                                     TradeId = b.TradeId,
                                     ValueDate = b.ValueDate,
                                     NumOfSmoothingDays = b.NumOfSmoothingDays,
                                     TradePositionVolatility = b.TradePositionVolatility,
                                     TradeCloseVolatility = b.TradeCloseVolatility,
                                     IsFromTradeAdd = b.IsFromTradeAdd
                                 };

                    _dicData = query2.ToDictionary(n => n.TradeId, m => m);
                }
            }
        }

        public bool TryGetVol(int tradeId, DateTime tradeExerciseDate, out double vol)
        {
            Initialize();

            if (!_dicData.TryGetValue(tradeId, out var tradeVol) && tradeId > 0)
            {
                using var db = DbContextFactory.GetYLDbContext();
                _dicData[tradeId] = tradeVol = db.TradeVolatility
                    .Where(v => v.TradeId == tradeId && v.ValueDate <= _valueDate)
                    .OrderByDescending(v => v.ValueDate)
                    .Select(b => new InnerTradeVolatility
                    {
                        TradeId = b.TradeId,
                        ValueDate = b.ValueDate,
                        NumOfSmoothingDays = b.NumOfSmoothingDays,
                        TradePositionVolatility = b.TradePositionVolatility,
                        TradeCloseVolatility = b.TradeCloseVolatility,
                        IsFromTradeAdd = b.IsFromTradeAdd
                    }).FirstOrDefault();
            }

            if (tradeVol == null)
            {
                vol = 0;
                return false;
            }

            if (tradeVol.ResultVol.HasValue)
            {
                vol = tradeVol.ResultVol.Value;
                return true;
            }

            if (_valueDate < tradeVol.ValueDate)
            {
                vol = tradeVol.TradePositionVolatility ?? 0;
            }
            else if (_valueDate > tradeExerciseDate)
            {
                vol = tradeVol.TradeCloseVolatility ?? 0;
            }
            else
            {
                var daycountMode = PS.Config.ErpElement.SmoothingDaycountMode == Configuration.Enums.SmoothingDaycountMode.CalendarDay
                               ? Qdp.Pricing.Base.Enums.DayCountMode.CalendarDay
                               : Qdp.Pricing.Base.Enums.DayCountMode.TradingDay;

                //新增交易当天的持仓波动率需要划掉一天，修改后的持仓波动率不需要再划一天
                vol = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(
                                new Qdp.Foundation.Implementations.Date(_valueDate),
                                tradeVol.TradePositionVolatility ?? 0,
                                tradeVol.TradeCloseVolatility ?? 0,
                                new Qdp.Foundation.Implementations.Date(tradeVol.ValueDate),
                                new Qdp.Foundation.Implementations.Date(tradeExerciseDate),
                                tradeVol.NumOfSmoothingDays ?? 0,
                                daycountMode,
                                CalendarImpl.Get("chn"),
                                includeStartDate: tradeVol.IsFromTradeAdd);
            }

            tradeVol.ResultVol = vol;

            return true;
        }

        class InnerTradeVolatility
        {
            public int TradeId { get; set; }

            /// <summary>
            /// 操作系统日
            /// </summary>
            public DateTime ValueDate { get; set; }

            /// <summary>
            /// 持仓波动率
            /// </summary>
            public double? TradePositionVolatility { get; set; }

            /// <summary>
            /// 目标波动率
            /// </summary>
            public double? TradeCloseVolatility { get; set; }

            /// <summary>
            /// 平滑天数
            /// </summary>
            public int? NumOfSmoothingDays { get; set; }

            /// <summary>
            /// 是否是新增交易时添加的波动率记录
            /// </summary>
            public bool IsFromTradeAdd { get; set; }

            public double? ResultVol { get; set; }
        }
    }
}