protected virtual void CheckBondGroupAverageMaturity(CheckParameter para)
{
int order = C_Order_BondMaturity;;
string title = C_Title_BondMaturity;
string description;
double warningthreshhold = Convert.ToDouble(para.WarningValue);
double failedthreshhold = Convert.ToDouble(para.FailedValue);
double warningyears = warningthreshhold / 365;
double failedyears = failedthreshhold / 365;
MonitorItem mi;
ASecurityGroup g = this.SecurityPortfolio.BondHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
mi = new MonitorItem();
mi.code = "";
mi.name = "债券组合";
mi.title = title;
mi.order = order;
mi.securityid = g.SecurityList.Count;
mi.status = Status.Pass;
double remainingdays = ((BondGroup)g).GetAverageMaturity();
double remainingyears = remainingdays / 365;
mi.value = remainingdays.ToString() + "天";
description = C_Desc_BondGroupAverageMaturity.Replace("<1>", mi.name).Replace("<OP>", getOperatorName(para.Operator));
if (this.compareValue(para.Operator, remainingdays, failedthreshhold))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failedthreshhold.ToString("N0") + "天";
mi.status = Status.Fail;
mi.description = description.Replace("<2>", remainingdays.ToString("F2") + "天(" + remainingyears.ToString("N2") + "年)").Replace("<3>", failedthreshhold + "天(" + failedyears.ToString("N2") + "年)");
}
else if (this.compareValue(para.Operator, remainingdays, warningthreshhold))
{
mi.threshhold = warningthreshhold.ToString("N0") + "天";
mi.status = Status.Warning;
mi.description = description.Replace("<2>", remainingdays.ToString("F2") + "天(" + remainingyears.ToString("N2") + "年)").Replace("<3>", warningthreshhold + "天(" + warningyears.ToString("N2") + "年)");
}
else
{
mi.threshhold = warningthreshhold.ToString("N0") + "天";
mi.status = Status.Pass;
mi.description = "";
}
this.Report.Add(mi);
}
/// <summary>
/// 检查债券估值偏离
/// </summary>
protected virtual void CheckBondValueDeviation(CheckParameter para)
{
try
{
int order = C_Order_BondValueDeviation;;
string title = C_Title_BondValueDeviation;
string description;
double warningthreshhold = Convert.ToDouble(para.WarningValue);
double failedthreshhold = Convert.ToDouble(para.FailedValue);
MonitorItem mi;
int id = 0;
ASecurityGroup g = this.SecurityPortfolio.BondHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
if (((Bond)g.SecurityList[0]).HistoryBondIntrinsicValue.OriginalTimeSeries.Count == 0)
{
g.LoadData(DataInfoType.HistoryBondValue);
}
foreach (ASecurity s in g.SecurityList)
{
mi = new MonitorItem();
mi.code = s.Code;
mi.name = s.Name;
mi.title = title;
mi.order = order;
mi.securityid = id++;
mi.status = Status.Pass;
double basevalue = s.Position.MarketValue / s.Position.Quantity;
double estimatevalue = 0;
if (((Bond)s).HistoryBondIntrinsicValue.AdjustedTimeSeries != null)
{
estimatevalue = ((HistoryItemBondValue)((Bond)s).HistoryBondIntrinsicValue.AdjustedTimeSeries[0]).ClearPrice;
}
double deviation = Math.Abs(estimatevalue / basevalue - 1);
mi.value = deviation.ToString("P2");
description = C_Desc_BondValueDeviation.Replace("<1>", s.Name + "(" + s.Code + ")").Replace("<OP>", getOperatorName(para.Operator));
description = description.Replace("<4>", basevalue.ToString("N3")).Replace("<5>", estimatevalue.ToString("N4"));
switch (s.Type)
{
case SecurityType.Bond:
if (this.compareValue(para.Operator, deviation, failedthreshhold))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failedthreshhold.ToString("P2");
mi.status = Status.Fail;
mi.description = description.Replace("<2>", deviation.ToString("P2")).Replace("<3>", failedthreshhold.ToString("P2"));
}
else if (this.compareValue(para.Operator, deviation, warningthreshhold))
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Warning;
mi.description = description.Replace("<2>", deviation.ToString("P2")).Replace("<3>", warningthreshhold.ToString("P2"));
}
else
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Pass;
mi.description = "";
}
break;
default:
//对于非债券类型，无需作错误提示，会在其他步骤中检验
break;
}
this.Report.Add(mi);
}
}
catch (Exception ex)
{
throw ex;
}
}
/// <summary>
/// 检查付息日
/// </summary>
protected virtual void CheckBondPayment(CheckParameter para)
{
int order = C_Order_BondIntPayment;;
string title = C_Title_BondIntPayment;
string description;
double warningthreshhold = Convert.ToDouble(para.WarningValue);
double failedthreshhold = Convert.ToDouble(para.FailedValue);
MonitorItem mi;
int id = 0;
ASecurityGroup g = this.SecurityPortfolio.BondHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
foreach (ASecurity s in g.SecurityList)
{
mi = new MonitorItem();
mi.code = s.Code;
mi.name = s.Name;
mi.title = title;
mi.order = order;
mi.securityid = id++;
mi.status = Status.Pass;
DateTime intPayment = ((Bond)s).IntNextPaymentDate;
double remainingdays = (intPayment - DateTime.Today).Days;
mi.value = remainingdays.ToString() + "天";
description = C_Desc_BondIntPayment.Replace("<1>", s.Name + "(" + s.Code + ")").Replace("<OP>", getOperatorName(para.Operator));
switch (s.Type)
{
case SecurityType.Bond:
if (this.compareValue(para.Operator, remainingdays, failedthreshhold))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failedthreshhold.ToString("N0") + "天";
mi.status = Status.Fail;
mi.description = description.Replace("<2>", intPayment.ToString("yyyy-MM-dd")).Replace("<3>", failedthreshhold + "天");
}
else if (this.compareValue(para.Operator, remainingdays, warningthreshhold))
{
mi.threshhold = warningthreshhold.ToString("N0") + "天";
mi.status = Status.Warning;
mi.description = description.Replace("<2>", intPayment.ToString("yyyy-MM-dd")).Replace("<3>", warningthreshhold + "天");
}
else
{
mi.threshhold = warningthreshhold.ToString("N0") + "天";
mi.status = Status.Pass;
mi.description = "";
}
break;
default:
//对于非债券类型，无需作错误提示，会在其他步骤中检验
break;
}
this.Report.Add(mi);
}
}
/// <summary>
/// 检查债券评级
/// </summary>
protected virtual void CheckBondRating(CheckParameter para)
{
string title = C_Title_BondRating;
string description;
int order = C_Order_SecurityType;
string failthreshhold = para.FailedValue.ToString();
string warningthreshhold = para.WarningValue.ToString();
int failRating = Bond.ConvertCreditRating(failthreshhold);
int warnRating = Bond.ConvertCreditRating(warningthreshhold);
MonitorItem mi;
int id = 0;
ASecurityGroup g = this.SecurityPortfolio.BondHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
foreach (ASecurity s in g.SecurityList)
{
mi = new MonitorItem();
mi.code = s.Code;
mi.name = s.Name;
mi.title = title;
mi.order = order;
mi.securityid = id++;
mi.status = Status.Pass;
mi.value = ((Bond)s).CreditRate;
switch (((Bond)s).SubType)
{
case BondType.Treasury:
case BondType.Central:
case BondType.SpecialFinancial:
mi.value = "AAA";
break;
default:
break;
}
description = C_Desc_BondRating.Replace("<1>", s.Name + "(" + s.Code + ")").Replace("<OP>", getOperatorName(para.Operator));
switch (s.Type)
{
case SecurityType.Bond:
int currRating = Bond.ConvertCreditRating(mi.value);
if (this.compareValue(para.Operator, currRating, failRating))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failthreshhold;
mi.status = Status.Fail;
mi.description = description.Replace("<2>", mi.value).Replace("<3>", failthreshhold);
Debug.WriteLine(mi.description);
}
else if (this.compareValue(para.Operator, currRating, warnRating))
{
mi.threshhold = warningthreshhold;
mi.status = Status.Warning;
mi.description = description.Replace("<2>", mi.value).Replace("<3>", warningthreshhold);
}
else
{
mi.threshhold = warningthreshhold;
mi.status = Status.Pass;
mi.description = "";
}
break;
default:
//对于非债券类型，无需作错误提示，会在其他步骤中检验
break;
}
this.Report.Add(mi);
}
}
/// <summary>
/// 检查同一公司发行的债券持仓占比
/// </summary>
protected virtual void CheckBondGroupPositionPct(CheckParameter para)
{
int order = C_Order_BondGroupPositionPct;;
string title = C_Title_BondGroupPositionPct;
string description;
double warningthreshhold = Convert.ToDouble(para.WarningValue);
double failedthreshhold = Convert.ToDouble(para.FailedValue);
MonitorItem mi;
ASecurityGroup g = this.SecurityPortfolio.BondHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
List <BondGroup.CompanyView> companylist = ((BondGroup)g).GetCompanyPositions();
int id = 0;
foreach (BondGroup.CompanyView cv in companylist)
{
//当前公司仅有一个债券被持有，不做检验
if (cv.CompanyNumber == 1)
{
id++;
continue;
}
mi = new MonitorItem();
mi.order = order;
mi.title = title;
mi.securityid = id++;
mi.status = Status.Pass;
mi.value = cv.TotalPosition.MarketValuePct.ToString("P2");
mi.name = cv.CompanyName;
mi.code = "";
string allcodes = "";
foreach (PositionInfo p in cv.RelatedPositionList)
{
allcodes += p.Name + "(" + p.Code + "),";
}
allcodes = allcodes.Substring(0, allcodes.Length - 1);
description = C_Desc_BondGroupPositionPct.Replace("<1>", mi.name).Replace("<2>", allcodes).Replace("<OP>", getOperatorName(para.Operator));
if (this.compareValue(para.Operator, cv.TotalPosition.MarketValuePct, failedthreshhold))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failedthreshhold.ToString("P2");
mi.status = Status.Fail;
mi.description = description.Replace("<3>", cv.TotalPosition.MarketValuePct.ToString("P2")).Replace("<4>", failedthreshhold.ToString("P2"));
}
else if (this.compareValue(para.Operator, cv.TotalPosition.MarketValuePct, warningthreshhold))
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Warning;
mi.description = description.Replace("<3>", cv.TotalPosition.MarketValuePct.ToString("P2")).Replace("<4>", warningthreshhold.ToString("P2"));
}
else
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Pass;
mi.description = "";
}
this.Report.Add(mi);
}
}
/// <summary>
/// 检查现金存款占比
/// </summary>
protected virtual void CheckCashPct(CheckParameter para)
{
string title = C_Title_CashPct;
string description = "";;
int order = C_Order_CashPct;
double warningthreshhold = Convert.ToDouble(para.WarningValue);
double failedthreshhold = Convert.ToDouble(para.FailedValue);
MonitorItem mi;
int id = 0;
ASecurityGroup g = this.SecurityPortfolio.CashHoldings;
if (g.SecurityList == null || g.SecurityList.Count == 0)
{
return;
}
foreach (ASecurity s in g.SecurityList)
{
//仅检查活期存款
if (s.Code != Deposit.C_Code_CurrentDeposit)
{
continue;
}
mi = new MonitorItem();
mi.code = s.Code;
mi.name = s.Name;
mi.title = title;
mi.order = order;
mi.securityid = id++;
mi.status = Status.Pass;
mi.value = s.Position.MarketValuePct.ToString("P2");
description = C_Desc_CashPct.Replace("<OP>", getOperatorName(para.Operator));
if (this.compareValue(para.Operator, s.Position.MarketValuePct, failedthreshhold))
{
//检查fail放在前
// 确保当failthreshhold=warningthreshhold时，显示fail
mi.threshhold = failedthreshhold.ToString("P2");
mi.status = Status.Fail;
mi.description = description.Replace("<1>", mi.value).Replace("<2>", mi.threshhold);
}
else if (this.compareValue(para.Operator, s.Position.MarketValuePct, warningthreshhold))
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Warning;
mi.description = description.Replace("<1>", mi.value).Replace("<2>", mi.threshhold);
}
else
{
mi.threshhold = warningthreshhold.ToString("P2");
mi.status = Status.Pass;
mi.description = "";
}
this.Report.Add(mi);
}
}
public List <EquityAttibution> Attribute()
{
if (this.Benchmark == null || this.Benchmark.Components == null || this.Benchmark.Components.Count == 0)
{
MessageManager.GetInstance().AddMessage(MessageType.Information, "未设置比较基准", "");
return(null);
}
ASecurityGroup benchmarkcomponents = this.Benchmark.GetLatestComponents();
if (benchmarkcomponents.SecurityList == null || benchmarkcomponents.SecurityList.Count == 0 || benchmarkcomponents.SecurityList[0].Type != SecurityType.Equity)
{
throw new Exception("比较基准设置错误，仅股票型可用");
}
List <EquityGroup> bmindustrylist = ((EquityGroup)benchmarkcomponents).IndustryList;
EquityGroup portfolio = (EquityGroup)this.PortfGroup.GetLatestPortfolio().EquityHoldings;
List <EquityGroup> pindustrylist = portfolio.IndustryList;
//基准总回报：
// 1) benchmarkcomponents.Position.AccumulatedYieldIndex - 1; //指数成份的区间加权平均收益率，这个不准确，因为一个月内成分权重会随着涨跌变化
// 2) this.Benchmark.Position.CurrentYield; //指数的区间收益率，这个准确
double totalbmreturn = this.Benchmark.Position.CurrentYield;
this.EquityAttributions.Clear();
foreach (EquityGroup bmindustry in bmindustrylist)
{
EquityGroup pindustry = pindustrylist.Find(delegate(EquityGroup eg) { return(eg.Name == bmindustry.Name); });
if (pindustry == null)
{
pindustry = new EquityGroup();
pindustry.Name = bmindustry.Name;
}
//•行业配置回报 = (组合权重 - 基准权重) * (基准回报 - 基准总回报)，反应投资组合的行业配置效应；
//•行业内选股回报 = 基准权重 * (组合回报 - 基准回报)，反应投资组合行业内的选股效应；
//•交叉回报 = (组合权重 - 基准权重) * (组合回报 - 基准回报)，反应行业配置和行业内选股的联合效应；
//•增加值 = 组合权重 * 组合回报 - 基准权重 * 基准回报，反应主动性管理给投资组合带来的超额收益效应；
EquityAttibution ea = new EquityAttibution();
ea.IndustryName = bmindustry.Name;
ea.MarketValue = pindustry.Position.MarketValue;
ea.PortfolioWeight = pindustry.Position.MarketValuePct;
ea.BenchmarkWeight = bmindustry.Position.MarketValuePct;
ea.PortfolioReturn = pindustry.Position.AccumulatedYieldIndex - 1;
ea.BenchmarkReturn = bmindustry.Position.AccumulatedYieldIndex - 1;
ea.IndustryAttribution = (ea.PortfolioWeight - ea.BenchmarkWeight) * (ea.BenchmarkReturn - totalbmreturn);
ea.SecurityAttribution = ea.BenchmarkWeight * (ea.PortfolioReturn - ea.BenchmarkReturn);
ea.CrossAttribution = (ea.PortfolioWeight - ea.BenchmarkWeight) * (ea.PortfolioReturn - ea.BenchmarkReturn);
ea.ValueAdded = ea.PortfolioWeight * ea.PortfolioReturn - ea.BenchmarkWeight * ea.BenchmarkReturn;
this.EquityAttributions.Add(ea);
}
//按市值排序
this.EquityAttributions.Sort();
//整个股票组合
EquityAttibution equityattr = new EquityAttibution();
equityattr.IndustryName = "股票组合";
equityattr.MarketValue = portfolio.Position.MarketValue;
equityattr.PortfolioWeight = portfolio.Position.MarketValuePct;
equityattr.PortfolioReturn = portfolio.Position.AccumulatedYieldIndex - 1;
equityattr.BenchmarkReturn = totalbmreturn;
equityattr.ValueAdded = equityattr.PortfolioReturn - equityattr.BenchmarkReturn;
this.EquityAttributions.Add(equityattr);
return(this.EquityAttributions);
}
