/// <summary>
/// 根据期权合约代码，返回期权合约的信息。
/// </summary>
/// <param name="optionCode">期权合约代码</param>
/// <returns>optionInfo格式的期权合约信息</returns>
public optionInfo GetContractInfo(int optionCode)
{
optionInfo contract = new optionInfo();
if (CodeList.ContainsKey(optionCode))
{
contract = CodeList[optionCode];
}
return(contract);
}
/// <summary>
/// 根据期权合约代码和今日日期，给出期权的到期天数。
/// </summary>
/// <param name="optionCode">期权合约代码</param>
/// <param name="date">今日日期</param>
/// <returns>合约到期天数</returns>
public int GetOptionDuration(int optionCode, int date)
{
optionInfo contract = GetContractInfo(optionCode);
int duration = -1;
if (contract.optionCode > 0)
{
duration = TradeDays.GetTimeSpan(date, contract.endDate);
}
return(duration);
}
/// <summary>
/// 根据当日日期和strike的区间给出合约列表。
/// </summary>
/// <param name="minStrike">最低行权价</param>
/// <param name="maxStrike">最高行权价</param>
/// <param name="date">今日日期</param>
/// <returns>期权合约代码的列表</returns>
public List <int> GetCodeListByStrike(double minStrike, double maxStrike, int date)
{
List <int> codeList = new List <int>();
int frontDuration = GetFrontDuration(date);
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
if (contract.startDate <= date && contract.endDate >= date && TradeDays.GetTimeSpan(date, contract.endDate) == frontDuration && contract.strike >= minStrike && contract.strike <= maxStrike)
{
codeList.Add(contract.optionCode);
}
}
return(codeList);
}
/// <summary>
/// 根据给定的期权合约给出对应(call和put相对应)的期权合约信息。
/// </summary>
/// <param name="optionCode">期权合约代码</param>
/// <returns>optionInfo格式的期权合约信息</returns>
public optionInfo GetCorrespondingOption(int optionCode)
{
optionInfo thisContract = GetContractInfo(optionCode);
optionInfo correspondingContract = new optionInfo();
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
if (contract.optionCode != thisContract.optionCode && contract.strike == thisContract.strike && contract.startDate == thisContract.startDate && contract.endDate == thisContract.endDate && contract.optionType != thisContract.optionType && contract.executeType == thisContract.executeType)
{
correspondingContract = contract;
}
}
return(correspondingContract);
}
/// <summary>
/// 给出当日近月合约到期天数。
/// </summary>
/// <param name="date">今日日期</param>
/// <returns>近月合约到期天数</returns>
public int GetFrontDuration(int date)
{
int frontDuration = 999;
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
if (contract.startDate <= date && contract.endDate >= date)
{
int duration = TradeDays.GetTimeSpan(date, contract.endDate);
if (duration < frontDuration)
{
frontDuration = duration;
}
}
}
return(frontDuration);
}
/// <summary>
/// 根据期权合约信息的数据整理得到链表。
/// </summary>
/// <param name="data">DataTable格式的数据源</param>
/// <returns>SortedDictionary格式的处理后的数据</returns>
public SortedDictionary <int, optionInfo> GetOptionInfoList(DataTable data)
{
SortedDictionary <int, optionInfo> myList = new SortedDictionary <int, optionInfo>();
foreach (DataRow row in data.Rows)
{
optionInfo contract = new optionInfo();
contract.optionCode = (int)row["OptionCode"];
contract.optionName = row["OptionName"].ToString().Trim();
contract.executeType = row["ExecuteType"].ToString().Trim();
contract.strike = (double)row["Strike"];
contract.optionType = row["OptionType"].ToString().Trim();
contract.startDate = (int)row["StartDate"];
contract.endDate = (int)row["EndDate"];
contract.market = row["Market"].ToString().Trim();
myList.Add(contract.optionCode, contract);
}
return(myList);
}
/// <summary>
/// 根据给定的期权合约代码和今日日期，给出对应的远月期权的信息。
/// </summary>
/// <param name="optionCode">期权合约代码</param>
/// <param name="date">今日日期</param>
/// <returns>optionInfo格式的期权信息</returns>
public optionInfo GetFurtherOption(int optionCode, int date)
{
optionInfo frontContract = GetContractInfo(optionCode);
int frontDuration = GetOptionDuration(optionCode, date);
int nextDuration = 999;
optionInfo nextContract = new optionInfo();
foreach (var item in CodeList)
{
optionInfo contract = item.Value;
int duration = GetOptionDuration(contract.optionCode, date);
if (contract.optionCode != frontContract.optionCode && contract.startDate <= date && contract.endDate >= date && duration > frontDuration && contract.optionType == frontContract.optionType && contract.strike == frontContract.strike && contract.executeType == frontContract.executeType)
{
if (duration > frontDuration && duration < nextDuration)
{
nextContract = contract;
nextDuration = duration;
}
}
}
return(nextContract);
}
