public bool VaildateHedgedPut()
{
IsVaildated = false;
if (Legs.Count != 2)
{
throw new VaildateException("必须是两腿的");
}
var OptionLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(Option));
var SpotLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(STK));
if (!(OptionLegsCount == 1 && SpotLegsCount == 1))
{
throw new VaildateException("HedgePut 必须是做多现货和看跌期权");
}
if (PosSpot.Quantity < 0 || PosPut.Quantity < 0)
{
throw new VaildateException("现货和期权都必须做多");
}
if (PosSpot.Quantity < PosPut.Quantity)
{
throw new VaildateException("现货做多的量不能大于期货的保护量");
}
return(true);
}
internal Itinerary WithLeg(Leg leg)
{
var newLegs = new List <Leg>(Legs.Count() + 1);
newLegs.AddRange(Legs);
newLegs.Add(leg);
return(new Itinerary(newLegs));
}
internal Itinerary AppendBy(Itinerary other)
{
var newLegs = new List <Leg>(Legs.Count() + other.Legs.Count());
newLegs.AddRange(Legs);
newLegs.AddRange(other.Legs);
return(new Itinerary(newLegs));
}
public bool VaildateBearCollar()
{
IsVaildated = false;
//BearCollar 必须是三腿的
if (Legs.Count != 3)
{
throw new VaildateException("BearCollar 必须是三腿的");
}
var OptionLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(Option));
var SpotLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(STK));
if (!(OptionLegsCount == 2 && SpotLegsCount == 1))
{
throw new VaildateException("BearCollar 必须有两腿期权和一腿现货,那才叫BearCollar啊！");
}
//期权腿的集合
var OptionLegs = new List <Position>();
//归置出现货和期权头寸
Legs.ForEach((leg) =>
{
if (leg.Asset.GetType() == typeof(Option))
{
OptionLegs.Add(leg);
}
else
{
if (leg.Quantity >= 0)
{
throw new VaildateException("BearCollar 必须有现货头寸必须是做空的");
}
else
{
PosSpot = leg;
}
}
});
Option opt1 = (Option)OptionLegs[0].Asset;
Option opt2 = (Option)OptionLegs[1].Asset;
if (opt1.StrikePrice == opt2.StrikePrice)
{
throw new VaildateException("期权腿的执行价不能相同");
}
//必须是异常权与同到期日的
if ((opt1.Right == opt2.Right) || (opt1.ExpiryDate != opt2.ExpiryDate))
{
throw new VaildateException("BearCollar 两腿必须异权且同到期日");
}
//必须是高执行价的Call做多，低执行价的Put做空
if (opt1.StrikePrice > opt2.StrikePrice)
{
if ((opt1.Right == OptionRight.CALL && OptionLegs[0].Quantity > 0) &&
(opt2.Right == OptionRight.PUT) && OptionLegs[1].Quantity < 0)
{
OptHigherK = opt1;
OptLowerK = opt2;
PosHigherK = OptionLegs[0];
PosLowerK = OptionLegs[1];
}
else
{
throw new VaildateException("BearCollar 组成异常");
}
}
else
{
if ((opt2.Right == OptionRight.CALL && OptionLegs[1].Quantity > 0) &&
(opt1.Right == OptionRight.PUT) && OptionLegs[0].Quantity < 0)
{
OptHigherK = opt2;
OptLowerK = opt1;
PosHigherK = OptionLegs[1];
PosLowerK = OptionLegs[0];
}
else
{
throw new VaildateException("BearCollar 组成异常");
}
}
return(true);
}
public bool VaildateCBSS()
{
IsVaildated = false;
//BearCollar 必须是三腿的
if (Legs.Count != 3)
{
throw new VaildateException("CBSS 必须是三腿的");
}
var OptionLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(Option));
var SpotLegsCount = Legs.Count((leg) => leg.Asset.GetType() == typeof(STK));
if (!(OptionLegsCount == 2 && SpotLegsCount == 1))
{
throw new VaildateException("CBSS 必须有两腿期权和一腿现货,那才叫BearCollar啊！");
}
//期权腿的集合
var OptionLegs = new List <Position>();
//归置出现货和期权头寸
Legs.ForEach((leg) =>
{
if (leg.Asset.GetType() == typeof(Option))
{
OptionLegs.Add(leg);
}
else
{
if (leg.Quantity >= 0)
{
throw new VaildateException("CBSS 必须有现货头寸且必须是做空的");
}
else
{
PosSpot = leg;
}
}
});
Option opt1 = (Option)OptionLegs[0].Asset;
Option opt2 = (Option)OptionLegs[1].Asset;
if (opt1.StrikePrice == opt2.StrikePrice)
{
throw new VaildateException("期权腿的执行价不能相同");
}
//必须是异常权与同到期日的
if ((opt1.Right == OptionRight.PUT || opt2.Right == OptionRight.PUT) || (opt1.ExpiryDate != opt2.ExpiryDate))
{
throw new VaildateException("CBSS 两腿期权必须都是看涨期权且同到期日");
}
if (opt1.StrikePrice > opt2.StrikePrice)
{
OptHigherK = opt1;
OptLowerK = opt2;
PosHigherK = OptionLegs[0];
PosLowerK = OptionLegs[1];
}
else
{
OptHigherK = opt2;
OptLowerK = opt1;
PosHigherK = OptionLegs[1];
PosLowerK = OptionLegs[0];
}
//高执行价价买低执行价卖 Higher(k) Buy Lower(k) Sell
bool HBLS = PosHigherK.Quantity > 0 && PosLowerK.Quantity < 0;
if (!HBLS)
{
throw new VaildateException("Call BackSpread 必须保证更高执行价是做多，低执行价是做空的");
}
//高执行价看涨期权的张数必须比较低执行价的要高。
if (!(PosHigherK.Quantity > Math.Abs(PosLowerK.Quantity)))
{
throw new VaildateException("Call BackSpread 必须保证更高执行价的期权张数更多");
}
//现货的持仓量必然是个负数，先取绝对值
bool Safe = Math.Abs(PosSpot.Quantity) <= PosHigherK.Quantity - PosLowerK.Quantity;
if (!Safe)
{
throw new VaildateException("CBSS 必须保障两边的安全");
}
return(false);
}