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fix(swap): 统一处理【名义本金】数值精度舍入问题

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- 在多个位置添加 Math.Round 函数确保金额计算精度
- 新增 NormalizeNotionalValues 方法统一处理 UnwindData 中的名义本金舍入
- 修复交易平仓时 StockEqvNotional 扣减计算的精度问题
- 解决持仓数据 PosiNotionalValue 的精度舍入处理
- 修复前端页面显示格式化问题
- 添加单元测试验证名义本金舍入逻辑正确性
This commit is contained in:
张名锐
2026-07-22 13:05:49 +08:00
parent e7c6e432e1
commit 0755233ab6
7 changed files with 53 additions and 21 deletions
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YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+7 -6
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@@ -37,6 +37,7 @@ namespace YLErp.Modules.SwapModule
/// <summary>持久化 eod 持仓记录（生产: DbContext.Add；测试: 收集到列表）</summary>
protected virtual void PersistEodSwapPosition(eod_swap_position position)
{
position.PosiNotionalValue = Math.Round(position.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
if (position.id == 0)
{
DbContext.eod_swap_position.Add(position);
@@ -1949,9 +1950,9 @@ namespace YLErp.Modules.SwapModule
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
// 框架合约的方向约定：多头为正、空头为负；总名义本金取交易原始规模，
// 不能直接用多空腿相加，否则会把对冲方向误当成合约规模变化。
eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.SwapTradeId = td.id;
eod_Swap.SwapTradeNo = td.TradeNumber;
eod_Swap.ClientId = td.ClientId;
@@ -2026,9 +2027,9 @@ namespace YLErp.Modules.SwapModule
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).ToList();
var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);