Merge remote-tracking branch 'origin/glms/feature/1.4.2' into glms/feature/1.4.2

2026-06-25 13:55:10 +08:00
parent 5c2ca835f1 1aba5cca00
commit 0514e34e13
3 changed files with 105 additions and 96 deletions
@@ -145,7 +145,10 @@ namespace YLErp.Modules.SwapModule
                        if (autoInterval != null)
                            break;
                    }
-                    DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, autoInterval, curEodPosis, tradeExtend);
+                    // 自动互换（仅利息/预付金，不含分红）
+                    DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, autoInterval);
+                    // 分红独立处理：只要当天有债券需要分红，则生成分红自动互换，与利息互换无关
+                    DealDividends(curEodPosis, td, settleDate, tradeExtend);
                    //多空组合判断是否已到到期日且无持仓信息
                    if (longShort && td.ExerciseDate.Value == settleDate && allPositionQty == 0)
                    {
@@ -373,114 +376,121 @@ namespace YLErp.Modules.SwapModule
        /// <param name="interval">自动互换观察日信息，用于获取结算日期</param>
        /// <param name="curEodPositions">当日浮动端EOD持仓</param>
        /// <param name="tradeExtend">交易扩展信息</param>
-        private void DealAutoInterests(List<swap_flow_event> autoInterests, trade td, DateTime settleDate, DateTime? preDealDate, decimal StockEqvNotional, IntervalModel interval, List<eod_swap_position> curEodPositions, trade_extend tradeExtend)
+        /// <summary>
+        /// 自动互换（仅利息/预付金，不含分红）
+        /// </summary>
+        private void DealAutoInterests(List<swap_flow_event> autoInterests, trade td, DateTime settleDate, DateTime? preDealDate, decimal StockEqvNotional, IntervalModel interval)
        {
-            if (autoInterests.Count == 0 ||curEodPositions == null )
-            {
-                return;
-            }
-            //生成自动互换事件
+            if (autoInterests.Count == 0) return;
+
            UnwindData unwindData = new UnwindData();
            unwindData.SwapTradeId = td.id;
            unwindData.ValueDate = settleDate;
-            if (preDealDate.HasValue)
-            {
-                unwindData.StartDate = preDealDate.Value;
-            }
-            else
-            {
-                unwindData.StartDate = td.StartDate.Value;
-            }
+            unwindData.StartDate = preDealDate ?? td.StartDate.Value;
            unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
            unwindData.PosiNotionalValue = StockEqvNotional;
+            unwindData.PayDate = settleDate;

-            // PayDate 统一用派息金额支付日 + 日历调整
-            var dividendPayDateOffset = tradeExtend?.ExtendObj?.DividendPayDate ?? 1;
-            // 0到期结算日 1派息日+0 2派息日+1 3派息日+2
-            var payDays = dividendPayDateOffset > 0 ? dividendPayDateOffset - 1 : 0;
-            var autoSwapPayDate = QdpCalendarHelper.GetNonHoliday(settleDate.AddDays(payDays));
-            unwindData.PayDate = autoSwapPayDate;
+            autoInterests.ForEach(x => x.PayDate = settleDate);

-            // 给已有利息腿统一赋 PayDate
-            autoInterests.ForEach(x => x.PayDate = autoSwapPayDate);
-
-            // 预付金腿类型列表：初始预付金、追加预付金
            var premiumModes = new List<int>() { (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
-
-            // 分别计算预付金腿和利息腿的金额
            var premiumInterests = autoInterests.Where(x => premiumModes.Contains(x.InterestMode)).ToList();
            var interestLegs = autoInterests.Where(x => !premiumModes.Contains(x.InterestMode)).ToList();

-            // 预付金腿金额
            decimal premiumTotal = 0;
            premiumInterests.ForEach(x =>
            {
                var ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1;
                premiumTotal += x.InterestClosePnL * ratio;
            });
-            unwindData.SwapMarginRebatePnl = premiumTotal; // 预付金腿金额
+            unwindData.SwapMarginRebatePnl = premiumTotal;

-            // 利息腿金额（总金额减去预付金腿金额）
            decimal interestTotal = 0;
            interestLegs.ForEach(x =>
            {
                var ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
                interestTotal += x.InterestClosePnL * ratio;
            });
-            unwindData.SwapCloseAmount = interestTotal; // 利息腿金额
+            unwindData.SwapCloseAmount = interestTotal;
+            unwindData.SwapDividendPnl = 0;
+            unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount + unwindData.SwapMarginRebatePnl;
+
+            SaveAutoSwapDeal(td, autoInterests, unwindData, interval);
+        }
+        /// <summary>
+        /// 分红独立处理：当天有债券需要分红时，生成独立的分红自动互换事件
+        /// </summary>
+        private void DealDividends(List<eod_swap_position> curEodPositions, trade td, DateTime settleDate, trade_extend tradeExtend)
+        {
+            if (curEodPositions == null) return;
+            var hasDividend = curEodPositions.Any(x => x.PosiDividendSum != 0);
+            if (!hasDividend) return;
+
+            var dividendPayDateOffset = tradeExtend?.ExtendObj?.DividendPayDate ?? 1;
+            if (dividendPayDateOffset <= 0) return;
+
+            var payDays = dividendPayDateOffset - 1;
+            var dividendPayDate = QdpCalendarHelper.GetNonHoliday(settleDate.AddDays(payDays));

-            // 处理浮动端待实现分红：将其转为已实现（到期结算日不处理）
            List<swap_flow_event> dividendEvents = new List<swap_flow_event>();
            decimal dividendTotal = 0;
-            if (curEodPositions != null && dividendPayDateOffset > 0)
-            {
-                foreach (var eodPosi in curEodPositions.Where(x => x.PosiDividendSum != 0))
-                {
-                    var dividendEvent = new swap_flow_event
-                    {
-                        SwapTradeId = td.id,
-                        SwapTradeNo = td.TradeNumber,
-                        EventType = (int)SwapEventTypeEnum.自动互换,
-                        EventReason = "系统操作-自动互换",
-                        EventDate = settleDate,
-                        UnwindDate = settleDate,
-                        PayDate = autoSwapPayDate,
-                        PositionId = eodPosi.PositionId,
-                        UnderlyingCode = eodPosi.UnderlyingCode,
-                        PayDirection = eodPosi.PosiDirection,
-                        PositionType = eodPosi.PositionType,
-                        PositionQty = eodPosi.PosiQuantity,
-                        Quantity = 0,
-                        ContractSize = eodPosi.ContractSize,
-                        TradingAmountAvg = eodPosi.PosiNetPrice,
-                        PosiGrossPrice = eodPosi.PosiGrossPrice,
-                        PosiNetPrice = eodPosi.PosiNetPrice,
-                        MarkClosePnl = eodPosi.PosiDividendSum,
-                        DividendIn = eodPosi.PosiDividendSum,
-                        CloseFee = 0,
-                        TradingFee = 0,
-                        TradingFeePending = 0,
-                        ClientId = td.ClientId,
-                        DataState = (int)SwapFlowDateStateEnum.完成,
-                    };
-                    dividendEvents.Add(dividendEvent);
-                    dividendTotal += eodPosi.PosiDividendSum;

-                    // 将EOD持仓的待实现分红转为已实现
-                    eodPosi.TdCloseDividend += eodPosi.PosiDividendSum;
-                    eodPosi.TdPosiDividend = 0;
-                    eodPosi.RealizedDividend += eodPosi.PosiDividendSum;
-                    eodPosi.PosiDividendSum = 0;
-                }
+            foreach (var eodPosi in curEodPositions.Where(x => x.PosiDividendSum != 0))
+            {
+                var dividendEvent = new swap_flow_event
+                {
+                    SwapTradeId = td.id,
+                    SwapTradeNo = td.TradeNumber,
+                    EventType = (int)SwapEventTypeEnum.自动互换,
+                    EventReason = "系统操作-分红",
+                    EventDate = settleDate,
+                    UnwindDate = settleDate,
+                    PayDate = dividendPayDate,
+                    PositionId = eodPosi.PositionId,
+                    UnderlyingCode = eodPosi.UnderlyingCode,
+                    PayDirection = eodPosi.PosiDirection,
+                    PositionType = eodPosi.PositionType,
+                    PositionQty = eodPosi.PosiQuantity,
+                    Quantity = 0,
+                    ContractSize = eodPosi.ContractSize,
+                    TradingAmountAvg = eodPosi.PosiNetPrice,
+                    PosiGrossPrice = eodPosi.PosiGrossPrice,
+                    PosiNetPrice = eodPosi.PosiNetPrice,
+                    MarkClosePnl = eodPosi.PosiDividendSum,
+                    DividendIn = eodPosi.PosiDividendSum,
+                    CloseFee = 0,
+                    TradingFee = 0,
+                    TradingFeePending = 0,
+                    ClientId = td.ClientId,
+                    DataState = (int)SwapFlowDateStateEnum.完成,
+                };
+                dividendEvents.Add(dividendEvent);
+                dividendTotal += eodPosi.PosiDividendSum;
+
+                eodPosi.TdCloseDividend += eodPosi.PosiDividendSum;
+                eodPosi.TdPosiDividend = 0;
+                eodPosi.RealizedDividend += eodPosi.PosiDividendSum;
+                eodPosi.PosiDividendSum = 0;
+                eodPosi.PosiProfitSum -= eodPosi.TdCloseDividend;
+                //互换持仓价值要去掉已实现的
+                eodPosi.SwapPositionValue -= eodPosi.PosiDividendSum;
+                //已实现盈亏要加上已实现的
+                eodPosi.RealizedPnl += eodPosi.PosiDividendSum;
            }

-            // 分红收支加入总实现盈亏
+            UnwindData unwindData = new UnwindData();
+            unwindData.SwapTradeId = td.id;
+            unwindData.ValueDate = settleDate;
+            unwindData.StartDate = td.StartDate.Value;
+            unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
+            unwindData.PosiNotionalValue = curEodPositions.Sum(x => x.PosiNotionalValue);
+            unwindData.PayDate = dividendPayDate;
            unwindData.SwapDividendPnl = dividendTotal;
+            unwindData.SwapCloseAmount = 0;
+            unwindData.SwapMarginRebatePnl = 0;
+            unwindData.SwapRealizedPnL = dividendTotal;

-            // 总实现盈亏
-            unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount + unwindData.SwapMarginRebatePnl + dividendTotal;
-
-            SaveAutoSwapDeal(td, autoInterests, unwindData, interval, dividendEvents);
+            SaveAutoSwapDeal(td,null , unwindData,null, dividendEvents:dividendEvents);
        }
        /// <summary>
        /// 保存自动互换数据信息
@@ -504,7 +514,7 @@ namespace YLErp.Modules.SwapModule
            // 预付金腿：单独插入一条资金记录（系统操作_预付金返息）
            if (unwindData.SwapMarginRebatePnl != 0)
            {
-                AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapMarginRebatePnl), ClientCashInCashOut.系统操作_预付金返息, unwindData.ValueDate);
+                clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapMarginRebatePnl), ClientCashInCashOut.系统操作_预付金返息, unwindData.ValueDate);
            }

            // 分红：使用派息支付日偏移记录资金记录
@@ -513,16 +523,21 @@ namespace YLErp.Modules.SwapModule
                var dividendPayDate = (dividendEvents != null && dividendEvents.Count > 0)
                    ? dividendEvents.First().PayDate.Value
                    : unwindData.ValueDate;
-                AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapDividendPnl), ClientCashInCashOut.系统操作_互换, dividendPayDate);
+                clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapDividendPnl), ClientCashInCashOut.系统操作_互换, dividendPayDate);
            }

            string data = JsonConvert.SerializeObject(unwindData);
            var swapEvent = new SwapEventService(this).AddSwapEventDate(unwindData.ValueDate, unwindData.SwapTradeId, (int)SwapEventTypeEnum.自动互换, data, clientCashId, true, "系统操作-自动互换");//将互换总额存入事件
-            flowEvents.ForEach(x =>
+            if (flowEvents!=null)
            {
-                x.EventId = swapEvent.id;
-                DbContext.swap_flow_event.Add(x);
-            });
+                flowEvents.ForEach(x =>
+                {
+                    x.EventId = swapEvent.id;
+                    DbContext.swap_flow_event.Add(x);
+                });
+                UpdateInitalPostion(flowEvents, td.id);
+            }
+           
            // 保存分红事件
            if (dividendEvents != null)
            {
@@ -531,8 +546,8 @@ namespace YLErp.Modules.SwapModule
                    x.EventId = swapEvent.id;
                    DbContext.swap_flow_event.Add(x);
                });
+                UpdateInitalPostion(dividendEvents, td.id);
            }
-            UpdateInitalPostion(flowEvents, td.id);
            return swapEvent.id;
        }
        /// <summary>
@@ -1450,14 +1465,12 @@ namespace YLErp.Modules.SwapModule
            curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
            curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
            curretEod.TdPosiDividend = 0;
-            // 有互换事件时，分红已全量结算，不再查分红，TdPosiDividend和PosiDividendSum都归0
-            var hasSwapEvent = unwindEvents.Any(e => e.EventType == (int)SwapFlowEventTypeEnum.互换 || e.EventType == (int)SwapFlowEventTypeEnum.自动互换);
-            if (!hasSwapEvent && valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
+            // 分红与互换无关，只要持仓>0且起始日早于当前日，正常计算当日分红
+            if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
            {
                decimal tax = um.ValueAddedTax ?? 0;
                BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
                decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
-                // 考虑增值税
                curretEod.TdPosiDividend = Math.Round(payment / (1 + tax) * (1 - tax), 2);
            }
            curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
@@ -1466,16 +1479,12 @@ namespace YLErp.Modules.SwapModule
            curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl;
            curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
            var closeQty = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.平仓).ToList().Sum(s => s.Quantity);
-            // 当日浮动端平仓盈亏·分红
+            // 当日浮动端平仓盈亏·分红（仅来自平仓事件中已实现的分红）
            curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn);
            curretEod.RealizedDividend = curretEod.RealizedDividend + curretEod.TdCloseDividend;

-            // 浮动端待实现收益·分红（有互换事件时全量结算归0；否则用当前持仓从起始日重算）
-            if (hasSwapEvent)
-            {
-                curretEod.PosiDividendSum = 0;
-            }
-            else if (curretEod.PosiQuantity > 0)
+            // 分红与互换解耦：持仓>0时从起始日重算待实现分红，不再受互换事件影响
+            if (curretEod.PosiQuantity > 0)
            {
                decimal tax = um.ValueAddedTax ?? 0;
                BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
@@ -184,7 +184,7 @@ const vue = new Vue({
                let totalDividend = parseFloat(thisObj.deal.PositionQty) * resp.obj.totalInterest * ratio * floatRatio;
                let consumedDividend = parseFloat(resp.obj.consumedDividend ?? 0);
                // 互换是全量消费，consumedDividend>0 表示分红已被当天互换消费，归0
-                thisObj.floatPosition.DividendIn = Math.abs(consumedDividend) > 0 ? 0 : parseFloat(totalDividend.toFixed(2));
+                thisObj.floatPosition.DividendIn = Math.abs(consumedDividend) > 0 ? parseFloat((totalDividend - consumedDividend).toFixed(2)) : parseFloat(totalDividend.toFixed(2));
                thisObj.floatPosition.DividendPending = 0;
                thisObj.calcFloatClosePnl();
                thisObj.dataFormat();
@@ -283,7 +283,7 @@ const vue = new Vue({
                let totalDividend = parseFloat(thisObj.deal.CloseQty) * resp.obj.totalInterest * ratio * floatRatio;
                let consumedDividend = parseFloat(resp.obj.consumedDividend ?? 0);
                // 互换是全量消费，consumedDividend>0 表示分红已被当天互换消费，归0
-                thisObj.floatPosition.DividendIn = Math.abs(consumedDividend) > 0 ? 0 : parseFloat(totalDividend.toFixed(2));
+                thisObj.floatPosition.DividendIn = Math.abs(consumedDividend) > 0 ? parseFloat((totalDividend - consumedDividend).toFixed(2)) : parseFloat(totalDividend.toFixed(2));
                var posiQty = parseFloat(thisObj.floatPosition.Quantity) - parseFloat(thisObj.deal.CloseQty);
                thisObj.floatPosition.DividendPending = parseFloat((posiQty * resp.obj.totalInterest * ratio * floatRatio).toFixed(2));
                thisObj.calcFloatClosePnl();