def get_neutral_vol(db_session, instrument_id, valuation_date, window):
strike_type = VolSurfaceStrikeType.PERCENT.name
instance = VolSurfaceInstanceType.CLOSE.name
vol_surface_dbo = VolSurfaceRepo.\
get_instrument_vol_surface(db_session, instrument_id, valuation_date, strike_type, instance)
if vol_surface_dbo is None:
logging.error('标的: %s在%s时没有找到vol surface' %
(instrument_id, valuation_date))
raise CustomException('标的: %s在%s时没有找到波动率曲面' %
(instrument_id, valuation_date))
instruments = vol_surface_dbo.modelInfo['instruments']
# 获取公允波动率
neutral_vol = None
for instrument in instruments:
if instrument['tenor'] == str(window) + 'D':
for vol in instrument['vols']:
if vol['percent'] == 1:
neutral_vol = vol['quote']
break
break
if neutral_vol is None:
logging.error('标的: %s在%s时找到波动率曲面, 但是无法计算公允波动率' %
(instrument_id, valuation_date))
raise CustomException('标的: %s在%s时找到波动率曲面, 但是无法计算公允波动率' %
(instrument_id, valuation_date))
return neutral_vol
def get_primary_instrument_id(db_session, instrument_id, trade_date,
is_primary):
if InstrumentService.is_commodity_variety_type(db_session,
instrument_id):
# 如果传入的是大宗合约类型, 则直接获取当天的主力合约代码
variety_type = instrument_id
else:
if is_primary is False:
return instrument_id
# 如果传入的是具体的大宗标的代码, 则直接获取当天的主力合约代码
variety_type = InstrumentService.get_commodity_variety_type(
db_session, instrument_id)
# 如果获取到的合约种类为空, 则说明该标的不是大宗商品, 直接返回标的代码
if variety_type is None:
instrument = InstrumentRepo.get_instrument(db_session,
instrument_id)
if instrument is None:
raise CustomException('不支持标的%s' % instrument_id)
return instrument_id
else:
future_contract = CommodityFutureContractRepo.get_commodity_future_contract(
db_session, variety_type, trade_date)
if future_contract is None or future_contract.primaryContractId is None:
raise CustomException(
"合约类型%s在%s下无主力合约数据" %
(variety_type, DateTimeUtils.date2str(trade_date)))
return future_contract.primaryContractId
def check_date_params(db_session, start_date, end_date, window):
if start_date > date.today() or end_date > date.today():
raise CustomException('所选日期不能超过今天')
if TradingDayService.get_effective_days_num(db_session, start_date,
end_date) < window:
raise CustomException('所选日期范围[%s,%s]交易日个数小于窗口大小，无法进行计算' %
(DateTimeUtils.date2str(start_date),
DateTimeUtils.date2str(end_date)))
def get_otc_asset_tool_report(self,
start_date=None,
end_date=None,
page=None,
page_size=None,
current_user=None):
with self.make_session() as db_session:
if start_date is None or end_date is None:
raise CustomException('所选日期不能为空')
if (page is None
and page_size is not None) or (page is not None
and page_size is None):
raise CustomException('分页参数page和page_size必须同时存在或不存在')
DateTimeUtils.validate(start_date, REPORT_DATE_PATTERN)
DateTimeUtils.validate(end_date, REPORT_DATE_PATTERN)
reports = OTCReportService.get_otc_asset_tool_report(
db_session, start_date, end_date, page, page_size)
return reports
async def get_implied_vol_report(self, instrument_id, report_date):
with self.make_session() as db_session:
report_date_obj = DateTimeUtils.str2date(report_date)
if report_date_obj > date.today():
raise CustomException('所选日期不能超过今天')
vol_report_dto_list = OTCPositionSnapshotService.get_implied_vol_report(
db_session, instrument_id, report_date_obj)
implied_vol_report_schema = ImpliedVolReportSchema(many=True,
exclude=[])
return implied_vol_report_schema.dump(vol_report_dto_list).data
def calc_instrument_realized_vol(db_session,
instrument_id,
trade_date,
windows,
is_primary=False):
if trade_date > date.today():
raise CustomException('所选日期不能超过今天')
# TODO: 如果不是交易日，当前默认使用上一个交易日
holidays = TradingCalendarRepo.get_holiday_list(db_session)
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=max(windows),
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.get_instrument_quote_close_dict_by_period(
db_session, instrument_id, start_date, trade_date, is_primary)
realized_vol_dto_list = []
for window in windows:
return_rates = []
# 判断是否为节假日, 非节假日start_date为: trade_date往前走window-1天, 节假日start_date为: trade_date往前走window天
if DateTimeUtils.is_trading_day(trade_date, holidays):
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=window - 1,
direction=-1)
else:
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=window,
direction=-1)
# 只处理在窗口范围日期内的数据
for key in quote_close_dto_dict:
if start_date <= key <= trade_date:
quote_close = quote_close_dto_dict.get(key)
if quote_close is not None and quote_close.returnRate is not None:
return_rates.append(quote_close.returnRate)
if len(return_rates) < window:
logging.debug('窗口大小大于回报率个数，窗口大小：%d，回报率个数：%d' %
(window, len(return_rates)))
realized_vol = HistoricalVolAlgo.calc_one_realized_vol(
return_rates)
if realized_vol is None:
# 如果计算得到的结果为None，直接跳过处理
logging.debug('计算得到的值为空，窗口：%d' % window)
continue
dto = RealizedVolDTO()
dto.window = window
dto.vol = realized_vol
realized_vol_dto_list.append(dto)
return realized_vol_dto_list, diagnostics
async def get_latest_vol_surface(
self,
instrument_id,
valuation_date,
strike_type=VolSurfaceStrikeType.PERCENT.name,
instance=VolSurfaceInstanceType.CLOSE.name,
is_primary=False):
with self.make_session() as db_session:
vol_surface_dto = ImpliedVolService.get_latest_vol_surface(
db_session, instrument_id,
DateTimeUtils.str2date(valuation_date), strike_type, instance,
is_primary)
if vol_surface_dto is None:
raise CustomException('没有找到对应的波动率曲面')
vol_surface_schema = VolSurfaceSchema(exclude=[])
return vol_surface_schema.dump(vol_surface_dto).data
async def get_instrument_realized_vol(
self,
instrument_id,
trade_date,
windows=[1, 3, 5, 10, 22, 44, 66, 132],
is_primary=False):
with self.make_session() as db_session:
trade_date_obj = DateTimeUtils.str2date(trade_date)
if trade_date_obj > date.today():
raise CustomException('所选日期不能超过今天')
realized_vol_dto_list, diagnostics = HistoricalVolService.calc_instrument_realized_vol(
db_session, instrument_id, DateTimeUtils.str2date(trade_date),
windows, is_primary)
realized_vol_schema = RealizedVolSchema(
many=True, exclude=['tradeDate', 'instrumentId', 'percentile'])
return DiagnosticResponse(
realized_vol_schema.dump(realized_vol_dto_list).data, diagnostics)
def get_instrument_quote_close_list_by_period(db_session, instrument_id, start_date, end_date, is_primary=False):
if not InstrumentService.is_commodity_variety_type(db_session, instrument_id):
variety_type = None
if is_primary:
# 如果是大宗商品标的，则直接使用variety_type
variety_type = InstrumentService.get_commodity_variety_type(db_session, instrument_id)
if variety_type is None:
instrument = InstrumentRepo.get_instrument(db_session, instrument_id)
if instrument is None:
raise CustomException('暂不支持标的物%s，请导入该标的物行情' % instrument_id)
quote_close_dbo_list = QuoteCloseRepo.\
get_instrument_quote_close_list_by_period(db_session, instrument_id, start_date, end_date)
else:
quote_close_dbo_list = QuoteCloseService.\
get_commodity_future_quote_close_list_by_period(db_session, variety_type, start_date, end_date)
else:
quote_close_dbo_list = QuoteCloseService.\
get_commodity_future_quote_close_list_by_period(db_session, instrument_id, start_date, end_date)
return QuoteCloseService.to_dtos(quote_close_dbo_list)
def get_instrument_atm_quote_list_by_period(db_session, underlyer,
start_date, end_date,
is_primary):
if not InstrumentService.is_commodity_variety_type(
db_session, underlyer):
variety_type = None
if is_primary:
# 如果是大宗商品标的，则直接使用variety_type
variety_type = InstrumentService.get_commodity_variety_type(
db_session, underlyer)
if variety_type is None:
instrument = InstrumentRepo.get_instrument(
db_session, underlyer)
if instrument is None:
raise CustomException('暂不支持标的物%s，请导入该标的物行情' % underlyer)
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_instrument_atm_quote_list_by_period(db_session, underlyer, start_date, end_date)
else:
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_commodity_future_atm_quote_list_by_period(db_session, variety_type, start_date, end_date)
else:
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_commodity_future_atm_quote_list_by_period(db_session, underlyer, start_date, end_date)
return OtcAtmQuoteService.to_dtos(atm_quote_dbo_list)