Merge remote-tracking branch 'origin/glms/feature/1.4.2' into glms/feature/1.4.2-margin
This commit is contained in:
锦麟 王
@@ -29,4 +29,8 @@ public sealed class AccrualPolicy
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public AccrualPolicy(AccrualBoundary convention, bool isCompound, int resetPeriodDays, int annualDays, bool isAnnualized = false)
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=> (Convention, IsCompound, ResetPeriodDays, AnnualDays, IsAnnualized) = (convention, isCompound, resetPeriodDays, annualDays, isAnnualized);
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/// <summary>从 swap_position 构造 EOD 计息政策（算头算尾，重置周期取 interest_rest_days）。</summary>
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public static AccrualPolicy BuildEod(DBModels.swap_position position, int annualDays, bool isCompound)
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=> new(AccrualBoundary.Both, isCompound, position.interest_rest_days ?? 1, annualDays, position.IsAnnualized);
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}
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@@ -0,0 +1,132 @@
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using YLErp.Core.Interest;
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using YLErp.Derivatives.Interest;
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namespace YLErp.Modules.SwapModule.Accrual;
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/// <summary>
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/// 复利计息纯函数——EOD 单日 + intraday 多日。
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/// 复利特征：每个重置日把累计利息并入本金(basis = notional + accrued)。
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/// </summary>
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public static class CompoundInterestAccrual
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{
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private const int Precision = SwapInterest.FundingLegPrecision;
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/// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
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/// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
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/// remainingFraction 对齐 legacy 钳制到 [0,1]。</summary>
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public static decimal EodBasis(
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bool isResetDay, decimal notional, decimal priorAccrued, decimal remainingFraction, decimal priorNotional)
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=> isResetDay
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? notional + priorAccrued * Math.Max(0m, Math.Min(1m, remainingFraction))
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: priorNotional;
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/// <summary>
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/// 复利日终计息（替换 CalcDailyCompoundInterestByEod 的纯数学部分）。
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/// 重置日：basis = notional + priorAccrued × remainingFraction（利息并入本金）。
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/// 非重置日：basis = priorNotional（昨日终滚动计息基数）。
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/// </summary>
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public static InterestResult AccrueEod(
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decimal priorAccrued,
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decimal priorNotional,
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decimal notional,
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decimal unwindFraction,
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FundingLegRate rate,
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AccrualPolicy policy,
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bool isResetDay,
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decimal remainingFraction,
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DateTime eodDate,
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AccrualTrace? trace = null)
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{
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var basis = EodBasis(isResetDay, notional, priorAccrued, remainingFraction, priorNotional);
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var displayBasis = basis * unwindFraction;
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var allInRate = rate.AllInRate;
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trace?.EodContext(eodDate, isResetDay, unwindFraction, priorAccrued, priorNotional, notional, remainingFraction);
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var dayInterest = displayBasis * allInRate;
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var tdInterest = basis * allInRate;
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if (policy.IsAnnualized)
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{
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dayInterest /= policy.AnnualDays;
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tdInterest /= policy.AnnualDays;
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}
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var totalAccrued = priorAccrued * unwindFraction + dayInterest;
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var result = new InterestResult(
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SwapInterest.Round(totalAccrued, Precision),
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SwapInterest.Round(tdInterest, Precision));
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trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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/// <summary>
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/// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
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/// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
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/// </summary>
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public static InterestResult AccruePeriod(
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decimal notional,
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IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
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DateTime startDate,
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DateTime endDate,
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AccrualBoundary boundary,
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int annualDays,
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bool isAnnualized,
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decimal resetCarryInterest,
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decimal realizedInterest,
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decimal unwindFraction,
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out decimal finalBasis,
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AccrualTrace? trace = null)
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{
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decimal accrualBasis = notional;
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decimal accrued = 0m;
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trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
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for (int si = 0; si < segmentRates.Count; si++)
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{
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var isLastSegment = si == segmentRates.Count - 1;
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var segEnd = isLastSegment
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? endDate
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: segmentRates[si + 1].StartDate;
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// 重置日并本金
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accrualBasis = si == 0 ? notional : notional + accrued;
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// 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
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var usedCarry = false;
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if (isLastSegment && si > 0 && resetCarryInterest != 0m
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&& segmentRates[si].StartDate == endDate)
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{
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accrualBasis = notional + resetCarryInterest;
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usedCarry = true;
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}
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if (si > 0)
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trace?.Rollover(segmentRates[si].StartDate, usedCarry ? resetCarryInterest : accrued, accrualBasis);
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var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
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var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
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var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
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AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
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if (days <= 0) continue;
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var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
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var segInterest = accrualBasis * dailyRate * days;
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accrued += segInterest;
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trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
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}
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finalBasis = accrualBasis;
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if (realizedInterest != 0m)
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trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
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accrued -= realizedInterest * unwindFraction;
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var result = new InterestResult(
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SwapInterest.Round(accrued, Precision),
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SwapInterest.Round(accrued, Precision));
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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}
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@@ -1,239 +0,0 @@
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using YLErp.Core.Interest;
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using YLErp.Derivatives.Interest;
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namespace YLErp.Modules.SwapModule.Accrual;
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/// <summary>
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/// 融资腿计息编排层——纯数学部分（替换 SwapDealService 内 CalcDaily* 家族的纯计算）。
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///
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/// 命名规范（对齐 QuantLib / Strata）：
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/// - notional → 计息名义本金（不用 principal，swap leg 用 notional 是业界标准）
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/// - accrued → 累计应计利息
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/// - unwindFraction → 平仓比例（0~1）
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/// - realizedInterest → 历史已结利息（legacy: consumedInterest）
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/// - priorNotional → 昨日终滚动计息基数（legacy: TdInterestPrincipal / dynomicPrincipal）
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/// </summary>
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public static class FundingLegAccrual
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{
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private const int Precision = SwapInterest.FundingLegPrecision;
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/// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
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/// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
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/// remainingFraction 对齐 legacy 钳制到 [0,1]。</summary>
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public static decimal CompoundEodBasis(
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bool isResetDay, decimal notional, decimal priorAccrued, decimal remainingFraction, decimal priorNotional)
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=> isResetDay
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? notional + priorAccrued * Math.Max(0m, Math.Min(1m, remainingFraction))
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: priorNotional;
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/// <summary>
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/// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
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/// EOD 无差分：basis = priorNotional（昨日终滚动计息基数）。
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/// </summary>
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public static InterestResult AccrueSimpleEod(
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decimal priorAccrued,
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decimal priorNotional,
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decimal unwindFraction,
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FundingLegRate rate,
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AccrualPolicy policy,
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DateTime eodDate,
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AccrualTrace? trace = null)
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{
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var basis = priorNotional;
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var displayBasis = basis * unwindFraction;
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var allInRate = rate.AllInRate;
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var dayInterest = displayBasis * allInRate;
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var tdInterest = basis * allInRate;
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if (policy.IsAnnualized)
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{
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dayInterest /= policy.AnnualDays;
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tdInterest /= policy.AnnualDays;
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}
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var totalAccrued = priorAccrued + dayInterest;
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var result = new InterestResult(
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SwapInterest.Round(totalAccrued, Precision),
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SwapInterest.Round(tdInterest, Precision));
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trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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/// <summary>
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/// 复利日终计息（替换 CalcDailyCompoundInterestByEod 的纯数学部分）。
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/// 重置日：basis = notional + priorAccrued × remainingFraction（利息并入本金）。
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/// 非重置日：basis = priorNotional（昨日终滚动计息基数）。
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/// </summary>
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public static InterestResult AccrueCompoundEod(
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decimal priorAccrued,
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decimal priorNotional,
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decimal notional,
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decimal unwindFraction,
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FundingLegRate rate,
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AccrualPolicy policy,
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bool isResetDay,
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decimal remainingFraction,
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DateTime eodDate,
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AccrualTrace? trace = null)
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{
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var basis = CompoundEodBasis(isResetDay, notional, priorAccrued, remainingFraction, priorNotional);
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var displayBasis = basis * unwindFraction;
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var allInRate = rate.AllInRate;
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trace?.EodContext(eodDate, isResetDay, unwindFraction, priorAccrued, priorNotional, notional, remainingFraction);
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var dayInterest = displayBasis * allInRate;
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var tdInterest = basis * allInRate;
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if (policy.IsAnnualized)
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{
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dayInterest /= policy.AnnualDays;
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tdInterest /= policy.AnnualDays;
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}
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var totalAccrued = priorAccrued * unwindFraction + dayInterest;
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var result = new InterestResult(
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SwapInterest.Round(totalAccrued, Precision),
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SwapInterest.Round(tdInterest, Precision));
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trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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/// <summary>
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/// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
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/// 本金全程恒定，按重置日分段取利率。
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/// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
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/// </summary>
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public static InterestResult AccrueSimplePeriod(
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decimal priorAccrued,
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decimal notional,
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decimal unwindFraction,
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IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
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DateTime startDate,
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DateTime endDate,
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DateTime priorValueDate,
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AccrualBoundary boundary,
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int annualDays,
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bool isAnnualized,
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AccrualTrace? trace = null)
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{
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var displayBasis = notional * unwindFraction;
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decimal accrued = priorAccrued; // 缩放累计 → InterestAmount
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decimal accruedUnscaled = priorAccrued; // 未缩放累计 → TdInterestAmount
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trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
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var segStart = startDate;
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for (int si = 0; si < segmentRates.Count; si++)
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{
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var segEnd = si < segmentRates.Count - 1
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? segmentRates[si + 1].StartDate
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: endDate;
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var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
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if (effectiveStart > segEnd) { segStart = segEnd; continue; }
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// calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
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// 与旧逐日循环一致：if (!calcFirst && accrueDate == startDate) continue 是唯一的首日跳过。
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// 中间段的 segIncludeStart 被 days<=0 跳过后误置 false，此处按 startDate 判定而非继承标记。
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var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
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// calcLast 只影响 endDate 本身——只有真正的末段(si==Count-1)才算尾，
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// 不能用 segEnd==endDate 判断（interestPeriod=1 时中间段 segEnd 也可能==endDate）。
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var isLastSegment = si == segmentRates.Count - 1;
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var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
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var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
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if (days <= 0) { segStart = segEnd; continue; }
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var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
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var segInterest = displayBasis * dailyRate * days;
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accrued += segInterest;
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accruedUnscaled += notional * dailyRate * days;
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trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);
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segStart = segEnd;
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}
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var result = new InterestResult(
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SwapInterest.Round(accrued, Precision),
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SwapInterest.Round(accruedUnscaled, Precision));
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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/// <summary>
|
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/// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
|
||||
/// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
|
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/// </summary>
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||||
public static InterestResult AccrueCompoundPeriod(
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decimal notional,
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IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
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DateTime startDate,
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DateTime endDate,
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AccrualBoundary boundary,
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int annualDays,
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bool isAnnualized,
|
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decimal resetCarryInterest,
|
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decimal realizedInterest,
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decimal unwindFraction,
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||||
out decimal finalBasis,
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||||
AccrualTrace? trace = null)
|
||||
{
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||||
decimal accrualBasis = notional;
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||||
decimal accrued = 0m;
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||||
|
||||
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
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|
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for (int si = 0; si < segmentRates.Count; si++)
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||||
{
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||||
var isLastSegment = si == segmentRates.Count - 1;
|
||||
var segEnd = isLastSegment
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||||
? endDate
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: segmentRates[si + 1].StartDate;
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||||
|
||||
// 重置日并本金
|
||||
accrualBasis = si == 0 ? notional : notional + accrued;
|
||||
|
||||
// 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
|
||||
// 注意：必须同时判断 startDate==endDate——endDate 非重置日时最后一段起点 < endDate，不应触发。
|
||||
var usedCarry = false;
|
||||
if (isLastSegment && si > 0 && resetCarryInterest != 0m
|
||||
&& segmentRates[si].StartDate == endDate)
|
||||
{
|
||||
accrualBasis = notional + resetCarryInterest;
|
||||
usedCarry = true;
|
||||
}
|
||||
|
||||
// 复利每段起点：记录并本金瞬间（非首段 = 利息滚入计息基数）
|
||||
if (si > 0)
|
||||
trace?.Rollover(segmentRates[si].StartDate, usedCarry ? resetCarryInterest : accrued, accrualBasis);
|
||||
|
||||
// 半开区间：重置日归下一段（旧代码逐日循环中重置日先更新本金再算息）
|
||||
var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
|
||||
var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
|
||||
var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
|
||||
AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
|
||||
if (days <= 0) continue;
|
||||
|
||||
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
|
||||
var segInterest = accrualBasis * dailyRate * days;
|
||||
accrued += segInterest;
|
||||
trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
|
||||
}
|
||||
|
||||
finalBasis = accrualBasis;
|
||||
|
||||
// 扣除历史已结利息
|
||||
if (realizedInterest != 0m)
|
||||
trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
|
||||
accrued -= realizedInterest * unwindFraction;
|
||||
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(accrued, Precision),
|
||||
SwapInterest.Round(accrued, Precision));
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
}
|
||||
@@ -1,3 +1,5 @@
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
@@ -26,4 +28,10 @@ public readonly struct FundingLegRate
|
||||
/// <summary>构造浮动腿利率（all-in = 加点利差 + 指数定盘）。</summary>
|
||||
public static FundingLegRate Floating(decimal spread, decimal indexFixing)
|
||||
=> new(spread + indexFixing);
|
||||
|
||||
/// <summary>从 swap_position 构造：固定腿→Fixed(spread)，浮动腿→Floating(spread+fixing)。</summary>
|
||||
public static FundingLegRate Build(swap_position position, decimal spread, decimal effectiveFloat)
|
||||
=> string.IsNullOrEmpty(position.FloatRateUnderlyingCode)
|
||||
? Fixed(spread)
|
||||
: Floating(spread, effectiveFloat);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,106 @@
|
||||
using YLErp.Core.Interest;
|
||||
using YLErp.Derivatives.Interest;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
/// 单利计息纯函数——EOD 单日 + intraday 多日。
|
||||
/// 单利特征：本金全程恒定(无并本金)，按重置日分段取利率。
|
||||
/// </summary>
|
||||
public static class SimpleInterestAccrual
|
||||
{
|
||||
private const int Precision = SwapInterest.FundingLegPrecision;
|
||||
|
||||
/// <summary>
|
||||
/// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
|
||||
/// EOD 无差分：basis = priorNotional（昨日终滚动计息基数）。
|
||||
/// </summary>
|
||||
public static InterestResult AccrueEod(
|
||||
decimal priorAccrued,
|
||||
decimal priorNotional,
|
||||
decimal unwindFraction,
|
||||
FundingLegRate rate,
|
||||
AccrualPolicy policy,
|
||||
DateTime eodDate,
|
||||
AccrualTrace? trace = null)
|
||||
{
|
||||
var basis = priorNotional;
|
||||
var displayBasis = basis * unwindFraction;
|
||||
|
||||
var allInRate = rate.AllInRate;
|
||||
var dayInterest = displayBasis * allInRate;
|
||||
var tdInterest = basis * allInRate;
|
||||
if (policy.IsAnnualized)
|
||||
{
|
||||
dayInterest /= policy.AnnualDays;
|
||||
tdInterest /= policy.AnnualDays;
|
||||
}
|
||||
|
||||
var totalAccrued = priorAccrued + dayInterest;
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(totalAccrued, Precision),
|
||||
SwapInterest.Round(tdInterest, Precision));
|
||||
|
||||
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
|
||||
/// 本金全程恒定，按重置日分段取利率。
|
||||
/// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
|
||||
/// </summary>
|
||||
public static InterestResult AccruePeriod(
|
||||
decimal priorAccrued,
|
||||
decimal notional,
|
||||
decimal unwindFraction,
|
||||
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
DateTime priorValueDate,
|
||||
AccrualBoundary boundary,
|
||||
int annualDays,
|
||||
bool isAnnualized,
|
||||
AccrualTrace? trace = null)
|
||||
{
|
||||
var displayBasis = notional * unwindFraction;
|
||||
decimal accrued = priorAccrued; // 缩放累计 → InterestAmount
|
||||
decimal accruedUnscaled = priorAccrued; // 未缩放累计 → TdInterestAmount
|
||||
|
||||
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
|
||||
|
||||
var segStart = startDate;
|
||||
|
||||
for (int si = 0; si < segmentRates.Count; si++)
|
||||
{
|
||||
var segEnd = si < segmentRates.Count - 1
|
||||
? segmentRates[si + 1].StartDate
|
||||
: endDate;
|
||||
|
||||
var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
|
||||
if (effectiveStart > segEnd) { segStart = segEnd; continue; }
|
||||
|
||||
// calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
|
||||
var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
|
||||
var isLastSegment = si == segmentRates.Count - 1;
|
||||
var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
|
||||
var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
|
||||
if (days <= 0) { segStart = segEnd; continue; }
|
||||
|
||||
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
|
||||
var segInterest = displayBasis * dailyRate * days;
|
||||
accrued += segInterest;
|
||||
accruedUnscaled += notional * dailyRate * days;
|
||||
trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);
|
||||
|
||||
segStart = segEnd;
|
||||
}
|
||||
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(accrued, Precision),
|
||||
SwapInterest.Round(accruedUnscaled, Precision));
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,65 @@
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// 平仓比例(ClosePercent) 数学——占期初(A) / 占剩余(B) 两种口径的转换。
|
||||
/// 从 SwapDealService 提取为共享模块，两个 service 均可引用。
|
||||
/// </summary>
|
||||
public static class ClosePercentMath
|
||||
{
|
||||
/// <summary>
|
||||
/// 取上一日终的浮动端名义本金（orginPv 的来源）。
|
||||
/// 优先取浮动腿 PosiNotionalValue 之和，取不到用 eod_swap 多空绝对值之和，都没有用 currentNotional 兜底。
|
||||
/// </summary>
|
||||
public static decimal ResolveUnwindPreviousNotional(
|
||||
eod_swap lastEod,
|
||||
IEnumerable<eod_swap_position> lastEodPositions,
|
||||
decimal currentNotional)
|
||||
{
|
||||
var floatingPositions = lastEodPositions?.Where(x => x.PosiDirection > 0).ToList();
|
||||
decimal previousNotional;
|
||||
if (floatingPositions?.Count > 0)
|
||||
{
|
||||
previousNotional = floatingPositions.Sum(x => x.PosiNotionalValue);
|
||||
}
|
||||
else
|
||||
{
|
||||
previousNotional = lastEod == null
|
||||
? currentNotional
|
||||
: Math.Abs(lastEod.NotionalValueLong) + Math.Abs(lastEod.NotionalValueShort);
|
||||
}
|
||||
|
||||
return previousNotional == 0m && currentNotional != 0m
|
||||
? currentNotional
|
||||
: previousNotional;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// A(占期初) → B(占剩余)，用于把前端传入的占期初比例换算成后端计算用的占剩余比例。
|
||||
/// </summary>
|
||||
public static decimal ToRemainingClosePercent(decimal originalClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (posiNotionalValue <= 0) return originalClosePercent;
|
||||
var remaining = originalClosePercent * notionalValue / posiNotionalValue;
|
||||
return remaining > 1 ? 1 : remaining;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// B(占剩余) → A(占期初)，用于落库 / 事件列表展示还原。见 ToRemainingClosePercent。
|
||||
/// </summary>
|
||||
public static decimal ToOriginalClosePercent(decimal remainingClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (notionalValue <= 0) return remainingClosePercent;
|
||||
return remainingClosePercent * posiNotionalValue / notionalValue;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算 InitUnwind 默认占期初(A)平仓比例 = PosiNotionalValue / NotionalValue。
|
||||
/// 未平仓时 =1（平100%）；部分平仓后自动变为剩余比例。
|
||||
/// </summary>
|
||||
public static decimal CalcDefaultInitClosePercent(decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
return notionalValue > 0 ? posiNotionalValue / notionalValue : 1;
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,183 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule.ReturnLegs;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 互换日终盈亏/精度计算纯函数集合。
|
||||
/// 自 SwapEodPositionService 抽出，支持无库单测；同类内部调用无需前缀。
|
||||
/// </summary>
|
||||
public static class EodPnlCalculator
|
||||
{
|
||||
// 日终利息待实现需跨日累计，按表设计保留 12 位；已实现结算仍按金额两位处理。
|
||||
private const int EodInterestStoragePrecision = 12;
|
||||
|
||||
internal static decimal RoundMoney(decimal value)
|
||||
{
|
||||
return Math.Round(value, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
internal static decimal RoundEodInterest(decimal value)
|
||||
{
|
||||
return Math.Round(value, EodInterestStoragePrecision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 仅在写入 eod_swap_position 前统一快照精度。
|
||||
/// 浮动腿收益最终以金额两位展示和存储；利息腿的待实现、计息基数及利率保留 12 位，
|
||||
/// 使部分结算后的尾差可继续参与后续计息。
|
||||
/// </summary>
|
||||
internal static void NormalizeEodPositionForStorage(eod_swap_position position)
|
||||
{
|
||||
if (string.IsNullOrEmpty(position.UnderlyingCode))
|
||||
{
|
||||
// 利息腿没有标的代码：待实现字段保留高精度，已实现结算字段收敛到金额两位。
|
||||
position.InterestPrincipalFix = RoundEodInterest(position.InterestPrincipalFix);
|
||||
position.InterestRateDefault = RoundEodInterest(position.InterestRateDefault);
|
||||
position.InterestFeePending = RoundEodInterest(position.InterestFeePending);
|
||||
position.TdInterestPrincipal = RoundEodInterest(position.TdInterestPrincipal);
|
||||
position.TdInterestRate = RoundEodInterest(position.TdInterestRate);
|
||||
position.TdInterestIncome = RoundEodInterest(position.TdInterestIncome);
|
||||
position.TdInterestFee = RoundEodInterest(position.TdInterestFee);
|
||||
position.InterestIncomeSum = RoundEodInterest(position.InterestIncomeSum);
|
||||
position.InterestFeeSum = RoundEodInterest(position.InterestFeeSum);
|
||||
position.InterestProfitSum = RoundEodInterest(position.InterestProfitSum);
|
||||
position.FloatRate = RoundEodInterest(position.FloatRate);
|
||||
position.SwapPositionValue = RoundEodInterest(position.SwapPositionValue);
|
||||
position.TdCloseInterest = RoundMoney(position.TdCloseInterest);
|
||||
position.TdCloseInterestFee = RoundMoney(position.TdCloseInterestFee);
|
||||
position.RealizedInterest = RoundMoney(position.RealizedInterest);
|
||||
position.RealizedInterestFee = RoundMoney(position.RealizedInterestFee);
|
||||
}
|
||||
else
|
||||
{
|
||||
// 浮动腿有标的代码：其损益作为金额结果落库，统一按两位四舍五入。
|
||||
position.TdPosiDividend = RoundMoney(position.TdPosiDividend);
|
||||
position.PosiMtmPnL = RoundMoney(position.PosiMtmPnL);
|
||||
position.PosiDividendSum = RoundMoney(position.PosiDividendSum);
|
||||
position.PosiFeePending = RoundMoney(position.PosiFeePending);
|
||||
position.PosiProfitSum = RoundMoney(position.PosiProfitSum);
|
||||
position.TdCloseMtmPnl = RoundMoney(position.TdCloseMtmPnl);
|
||||
position.TdCloseDividend = RoundMoney(position.TdCloseDividend);
|
||||
position.TdCloseFee = RoundMoney(position.TdCloseFee);
|
||||
position.RealizedMtmPnL = RoundMoney(position.RealizedMtmPnL);
|
||||
position.RealizedDividend = RoundMoney(position.RealizedDividend);
|
||||
position.RealizedFee = RoundMoney(position.RealizedFee);
|
||||
position.SwapPositionValue = RoundMoney(position.SwapPositionValue);
|
||||
}
|
||||
position.RealizedPnl = RoundMoney(position.RealizedPnl);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 浮动腿累计已实现盈亏由盯市、分红和费用三个已实现组成项汇总。
|
||||
/// 各组成项已经按本方视角落库，此处不再额外转换方向。
|
||||
/// </summary>
|
||||
internal static void SetFloatingRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 汇总单条日终腿的我方已实现收益。
|
||||
/// 浮动腿及普通利息腿维持数据库记录的方向；初始/追加预付金腿的利息
|
||||
/// 则与保证金本金方向相反。这样“收取对手方保证金”产生的利息会作为
|
||||
/// 我方支付给对手方的成本计入，而不会错误增加框架合约已实现收益。
|
||||
/// 抽为静态纯函数以支持无库单测（marginTypes 等价于 ConsTrade.InterestMarginModels）。
|
||||
/// </summary>
|
||||
public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
|
||||
return position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee
|
||||
+ position.RealizedInterest * interestRatio
|
||||
+ position.RealizedInterestFee;
|
||||
}
|
||||
|
||||
/// <summary>填充框架合约的持仓腿汇总字段（多空名义本金/市值/浮动盈亏/dv01/平仓量）。
|
||||
/// SaveEodSwap 与 UpdateEodSwap 共用，消除 ~10 行重复。</summary>
|
||||
internal static void FillPositionLegSummary(eod_swap eod_Swap, List<eod_swap_position> positions)
|
||||
{
|
||||
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);
|
||||
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
|
||||
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
|
||||
}
|
||||
|
||||
/// <summary>利息腿 PnL 汇总（按方向比例 + 保证金翻转）。原 SaveEodSwap/UpdateEodSwap 各一段 ForEach。</summary>
|
||||
internal static decimal SumInterestPnL(List<eod_swap_position> interestPositions)
|
||||
{
|
||||
decimal interestPnL = 0;
|
||||
foreach (var x in interestPositions)
|
||||
interestPnL += x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
|
||||
return interestPnL;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
|
||||
/// 统一按"绝对金额 × 业务方向"重写。普通利息腿收取为正、支付为负；
|
||||
/// 预付金腿利息方向与保证金本金方向相反。随后重算 RealizedPnl。
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapReportInterestSignNormalizeTest）。
|
||||
/// 仅当 InterestDirection > 0 时执行（与原内联逻辑等价）。
|
||||
/// </summary>
|
||||
public static void NormalizeInterestSignForReport(eod_swap_position position)
|
||||
{
|
||||
if (position.InterestDirection <= 0) return;
|
||||
|
||||
if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
|
||||
{
|
||||
return;
|
||||
}
|
||||
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
position.TdCloseInterest = Math.Abs(position.TdCloseInterest) * interestRatio;
|
||||
position.RealizedInterest = Math.Abs(position.RealizedInterest) * interestRatio;
|
||||
// 兼容修复前已落库的利息腿：当时只累计了明细字段，未同步写入 RealizedPnl。
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利率。多条初始/追加预付金腿按本金绝对值加权，
|
||||
/// 不按收付方向轧差，避免相反方向本金抵消后放大利率。
|
||||
/// </summary>
|
||||
internal static decimal CalculateWeightedMarginRate(IEnumerable<swap_position> margins)
|
||||
{
|
||||
var marginList = margins.ToList();
|
||||
var totalWeight = marginList.Sum(x => Math.Abs(x.InterestPrincipalFix));
|
||||
return totalWeight == 0
|
||||
? 0
|
||||
: marginList.Sum(x => x.InterestRateDefault * Math.Abs(x.InterestPrincipalFix)) / totalWeight;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利息金额。InterestIncomeSum 已是各腿利息金额，
|
||||
/// 按收取为正、支付为负直接轧差求和，不做本金加权。
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapWeightedMarginInterestTest）。
|
||||
/// </summary>
|
||||
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins)
|
||||
{
|
||||
return margins.Sum(x =>
|
||||
x.InterestIncomeSum * DirectionRatio.ReceivePay(x.InterestDirection));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 固定利息腿的累计已实现盈亏 = 累计已实现利息 + 累计已实现利息费用。
|
||||
/// 4 处 SaveAutoEodInterestPosition/SaveEodInterestPosition 路径口径一致，
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapFixedLegRealizedPnlTest），
|
||||
/// 并消除复制粘贴带来的笔误风险（如 L1296 历史双分号）。
|
||||
/// </summary>
|
||||
public static void SetFixedLegRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -11,6 +11,6 @@ public sealed class ContractNotionalLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.合约名义本金规模;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(posiNotional * closePercent, posiNotional, closePercent);
|
||||
}
|
||||
|
||||
@@ -12,6 +12,6 @@ public sealed class FixedAmountLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.固定值;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(fix, fix, 1m);
|
||||
}
|
||||
|
||||
@@ -22,10 +22,8 @@ public interface IFundingLegStrategy
|
||||
/// </summary>
|
||||
/// <param name="fix">合约固定本金（固定值/预付金腿用；其余腿忽略）。</param>
|
||||
/// <param name="posiNotional">当前剩余名义本金（数量 × 全价）。</param>
|
||||
/// <param name="posiLong">多头剩余名义本金（多空存续腿用，当前界面已禁用）。</param>
|
||||
/// <param name="posiShort">空头剩余名义本金。</param>
|
||||
/// <param name="closePercent">平仓比例（占剩余，0~1）。</param>
|
||||
NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent);
|
||||
NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
|
||||
@@ -14,6 +14,6 @@ public sealed class UnderlyingEntryFullPriceLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.标的期初全价;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(posiNotional * closePercent, posiNotional, closePercent);
|
||||
}
|
||||
|
||||
@@ -4,14 +4,12 @@ using YLErp.Derivatives.Interest;
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>
|
||||
/// 保证金账户。管理保证金余额的变动（追加/释放/返还），并提供计息入口。
|
||||
/// 保证金账户。管理保证金余额的变动（追加/释放/返还），并提供计息入口（预留抽象，尚未接线）。
|
||||
///
|
||||
/// 保证金是独立的资金管理概念（初始保证金/维持保证金/保证金余额/追保），
|
||||
/// 与融资腿(funding leg)完全无关。现有代码把保证金塞进 InterestMode==5/6
|
||||
/// 当计息腿处理是错误的，本类是正确建模的起点。
|
||||
///
|
||||
/// 利息计算委托 SwapInterest 纯函数（余额×利率×天数/年化），
|
||||
/// 保证金账户只提供余额和计息入口，不自己实现计息算法。
|
||||
/// 保证金是独立的资金管理概念（初始保证金/维持保证金/保证金余额/追保），与融资腿(funding leg)无关。
|
||||
/// 生产保证金计息入口为 SwapDealService.CalcMarginInterest（仍以 InterestMode 5/6 标识）：
|
||||
/// EOD 用昨日终本金 preEod.TdInterestPrincipal（无差分）；盘中用 accrualBasis 差分（orginPv 经 PreviousBalance）。
|
||||
/// 本类尚未被生产代码实例化——其扁平"余额×利率×天数"模型无法表达盘中差分与多行分段，留作未来简化抽象。
|
||||
/// </summary>
|
||||
public sealed class MarginAccount
|
||||
{
|
||||
@@ -31,7 +29,8 @@ public sealed class MarginAccount
|
||||
|
||||
/// <summary>
|
||||
/// 按当前余额计算保证金利息。委托 SwapInterest.AccrueSimple。
|
||||
/// 保证金利息是券商对客户保证金存款付息（方向与融资腿相反）。
|
||||
/// 注意：当前未被生产代码调用——生产保证金计息入口为 SwapDealService.CalcMarginInterest
|
||||
/// （处理 EOD 昨日终本金与盘中差分；本方法的扁平余额模型不覆盖盘中差分口径）。
|
||||
/// </summary>
|
||||
/// <param name="rate">保证金利率（年化，如 0.03 = 3%）。</param>
|
||||
/// <param name="startDate">计息开始日。</param>
|
||||
|
||||
@@ -4,7 +4,7 @@ namespace YLErp.Modules.SwapModule.Margin;
|
||||
/// 保证金余额。现金、授信、担保等多种保证金形态的统一表达。
|
||||
///
|
||||
/// 保证金就是保证金——有余额、有利率、有利息，不存在"计息基数/Notional"概念。
|
||||
/// 余额随追加/释放/盈亏变动，利息由 SwapInterest 纯函数按 余额×利率×天数/年化 计算。
|
||||
/// 余额随追加/释放/盈亏变动，利息由计息层（SwapDealService.CalcMarginInterest）按 EOD 昨日终本金 / 盘中差分口径计算。
|
||||
/// </summary>
|
||||
public readonly struct MarginBalance
|
||||
{
|
||||
|
||||
@@ -41,4 +41,17 @@ public static class MarginModes
|
||||
|
||||
/// <summary>判断 mode 是否属于保证金（非 LINQ 场景用）。</summary>
|
||||
public static bool Contains(int interestMode) => All.Contains(interestMode);
|
||||
|
||||
/// <summary>固定值 + 保证金 mode 集合（固定值/初始预付金/追加预付金）。
|
||||
/// 用于 EOD 场景判断"计息基数取 InterestPrincipalFix 而非持仓名义本金"的腿。
|
||||
/// 替代 SwapEodPositionService 中 3 处内联 new List{固定值, 初始预付金, 追加预付金}。</summary>
|
||||
public static readonly IReadOnlyCollection<int> FixedAmountAndMargin = new HashSet<int>
|
||||
{
|
||||
(int)InterestModeEnum.固定值,
|
||||
(int)InterestModeEnum.初始预付金,
|
||||
(int)InterestModeEnum.追加预付金,
|
||||
};
|
||||
|
||||
/// <summary>判断 mode 是否为固定值或保证金。</summary>
|
||||
public static bool IsFixedAmountOrMargin(int interestMode) => FixedAmountAndMargin.Contains(interestMode);
|
||||
}
|
||||
|
||||
@@ -1,5 +1,6 @@
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.ReturnLegs;
|
||||
|
||||
@@ -19,4 +20,17 @@ public static class DirectionRatio
|
||||
/// <summary>收付方向因子。收取=+1, 支付=-1。</summary>
|
||||
public static int ReceivePay(int direction)
|
||||
=> direction == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
|
||||
/// <summary>利息腿 PnL 方向因子。收取=+1/支付=-1；保证金腿翻转（利息现金流与本金方向相反）。
|
||||
/// 原 7 处内联 `收取?1:-1; if(MarginModes) ratio=-ratio` 收口到此。</summary>
|
||||
public static int InterestLegPnl(int interestDirection, int interestMode)
|
||||
{
|
||||
var ratio = ReceivePay(interestDirection);
|
||||
return MarginModes.Contains(interestMode) ? -ratio : ratio;
|
||||
}
|
||||
|
||||
/// <summary>按收付方向选汇率类型。收取→Buy, 支付→Sell。
|
||||
/// 原 7 处内联 `收取 ? Buy : Sell` 收口到此。</summary>
|
||||
public static CurrencyRateType RateType(int direction)
|
||||
=> direction == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell;
|
||||
}
|
||||
|
||||
@@ -0,0 +1,21 @@
|
||||
namespace YLErp.Modules.SwapModule.ReturnLegs;
|
||||
|
||||
/// <summary>
|
||||
/// EOD 利息腿展示值计算——轻量单日公式（非 SwapDealService 的分段计息引擎）。
|
||||
/// </summary>
|
||||
public static class InterestIncomeCalc
|
||||
{
|
||||
/// <summary>日应计利息 = 本金 × (固定利率 + 浮动利差) ÷ 年化天数(若年化)。
|
||||
/// 原 3 处内联 `principal*(rate+float); if(annualized) /=annualDays` 收口到此。</summary>
|
||||
public static decimal DailyAccrual(decimal principal, decimal rate, decimal floatRate, bool isAnnualized, int annualDays)
|
||||
{
|
||||
var amount = principal * (rate + floatRate);
|
||||
return isAnnualized ? amount / annualDays : amount;
|
||||
}
|
||||
|
||||
/// <summary>已实现利息滚存。(prev + today×ratio, prevFee + todayFee)。
|
||||
/// 原 4 处内联 2 行赋值收口到此。</summary>
|
||||
public static (decimal Interest, decimal Fee) RollRealized(
|
||||
decimal prevInterest, decimal prevFee, decimal closeInterest, decimal closeInterestFee, int ratio)
|
||||
=> (prevInterest + closeInterest * ratio, prevFee + closeInterestFee);
|
||||
}
|
||||
@@ -19,4 +19,12 @@ public static class MtmCalc
|
||||
/// <param name="ratio">收取=1, 支付=-1。</param>
|
||||
public static decimal UnrealizedPnl(decimal price, decimal costGrossPrice, decimal qty, decimal contractSize, int shortRatio, int ratio)
|
||||
=> (price - costGrossPrice) * qty * contractSize * shortRatio * ratio;
|
||||
|
||||
/// <summary>浮动端总未实现盈亏 = 盯市盈亏 + 分红 + 待结费用。原 4 处内联收口到此。</summary>
|
||||
public static decimal ReturnLegProfitSum(decimal mtmPnl, decimal dividendSum, decimal feePending)
|
||||
=> mtmPnl + dividendSum + feePending;
|
||||
|
||||
/// <summary>加权均价混合：(昨日均价×昨日量 + 今日∑(量×均额)) / 总量。原 4 处内联收口到此。</summary>
|
||||
public static decimal BlendPrice(decimal prevPrice, decimal prevQty, decimal sumQtyTimesPrice, decimal totalQty)
|
||||
=> (prevPrice * prevQty + sumQtyTimesPrice) / totalQty;
|
||||
}
|
||||
|
||||
@@ -46,106 +46,17 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 原 private 改 protected virtual，使测试 stub 可整体 override，规避内部 new SwapEventService 连库。</summary>
|
||||
protected virtual long SaveSwapDeal(UnwindData unwindData, int eventType, int clientCashId, string eventResason = "", bool approve = false)
|
||||
{
|
||||
NormalizeNotionalValues(unwindData);
|
||||
UnwindNormalizer.NormalizeNotionalValues(unwindData);
|
||||
return SaveSwapDealInternal(unwindData, eventType, clientCashId, eventResason, approve);
|
||||
}
|
||||
|
||||
private static void NormalizeNotionalValues(UnwindData unwindData)
|
||||
{
|
||||
unwindData.NotionalValue = Math.Round(unwindData.NotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
unwindData.PosiNotionalValue = Math.Round(unwindData.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
unwindData.CloseNotionalValue = Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
private static bool NormalizeFullCloseRequest(UnwindData unwindData)
|
||||
{
|
||||
if (unwindData.CloseMethod != (int)CloseMethodEnum.全部平仓
|
||||
&& unwindData.ClosePercent < 1
|
||||
&& !(unwindData.PositionQty > 0 && unwindData.CloseQty >= unwindData.PositionQty)
|
||||
&& !(unwindData.PosiNotionalValue > 0 && unwindData.CloseNotionalValue >= unwindData.PosiNotionalValue))
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
var closeQty = unwindData.CloseQty;
|
||||
var closeNotionalValue = unwindData.CloseNotionalValue;
|
||||
unwindData.ClosePercent = 1;
|
||||
if (unwindData.PositionQty > 0) unwindData.CloseQty = unwindData.PositionQty;
|
||||
if (unwindData.PosiNotionalValue > 0) unwindData.CloseNotionalValue = unwindData.PosiNotionalValue;
|
||||
return closeQty != unwindData.CloseQty || closeNotionalValue != unwindData.CloseNotionalValue;
|
||||
}
|
||||
|
||||
private static void RecalculateNormalizedUnwindAmounts(UnwindData unwindData)
|
||||
{
|
||||
var floatLeg = unwindData.FlowEvents.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
|
||||
if (floatLeg == null || floatLeg.PosiGrossPrice == 0) return;
|
||||
|
||||
var input = new UnwindInput
|
||||
{
|
||||
Multiplier = ConsGlobal.InstrumentType.IsBond(floatLeg.UnderlyingInstrumentType) ? 100 : 1,
|
||||
PosiGrossPrice = floatLeg.PosiGrossPrice,
|
||||
TradingAmountAvg = floatLeg.TradingAmountAvg,
|
||||
CloseQty = unwindData.CloseQty,
|
||||
PositionQty = unwindData.PositionQty,
|
||||
ContractSize = floatLeg.ContractSize,
|
||||
CloseNotionalValue = unwindData.CloseNotionalValue,
|
||||
PayDirection = floatLeg.PayDirection,
|
||||
PositionType = floatLeg.PositionType,
|
||||
TradingFee = floatLeg.TradingFee.ToString(),
|
||||
TradingFeePending = floatLeg.TradingFeePending.ToString(),
|
||||
DividendIn = floatLeg.DividendIn.ToString()
|
||||
};
|
||||
foreach (var leg in unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
|
||||
{
|
||||
var target = MarginModes.Contains(leg.InterestMode)
|
||||
? input.MarginLegs
|
||||
: input.InterestLegs;
|
||||
target.Add(new LegInput { InterestClosePnL = leg.InterestClosePnL });
|
||||
}
|
||||
|
||||
var result = FrontendCalcReference.CalcUnwind(input);
|
||||
floatLeg.MarkClosePnl = result.MarkClosePnl;
|
||||
unwindData.SwapCloseAmount = result.SwapCloseAmount;
|
||||
unwindData.SwapRealizedPnL = result.SwapRealizedPnL;
|
||||
unwindData.SwapMarginRebatePnl = result.SwapMarginRebatePnl;
|
||||
}
|
||||
|
||||
private static bool IsFullCloseAfterDeduction(UnwindData unwindData, double remainingNotional, double remainingQuantity)
|
||||
{
|
||||
return unwindData.ClosePercent == 1 || (remainingNotional == 0 && remainingQuantity == 0);
|
||||
}
|
||||
|
||||
// 待实现利息会进入 decimal(30,12) 日终快照；精度常量统一引用 SwapInterest.FundingLegPrecision，消除重复定义。
|
||||
private const int InterestCalculationPrecision = SwapInterest.FundingLegPrecision;
|
||||
|
||||
/// <summary>
|
||||
/// 手工平仓、手工互换及收益结算的利息事件按金额两位落库。
|
||||
/// 自动平仓保留原有计算与落库口径，不适用本阶段的手工结算规则。
|
||||
/// </summary>
|
||||
private static bool NormalizeSettledInterestAmounts(IEnumerable<swap_flow_event> flowEvents, int eventType, string eventReason)
|
||||
{
|
||||
if ((eventType != (int)SwapEventTypeEnum.平仓 && eventType != (int)SwapEventTypeEnum.互换)
|
||||
|| eventReason == "系统操作_自动平仓")
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
foreach (var flowEvent in flowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
|
||||
{
|
||||
// 只处理利息腿；浮动腿损益在日终快照入口统一按两位落库。
|
||||
flowEvent.InterestPrincipal = Math.Round(flowEvent.InterestPrincipal, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestAmount = Math.Round(flowEvent.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.TdInterestAmount = Math.Round(flowEvent.TdInterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestClosePnL = Math.Round(flowEvent.InterestClosePnL, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestFee = Math.Round(flowEvent.InterestFee, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
// 客户现金在 SaveSwapDeal 之前创建，手工结算必须先收敛流水并重算汇总金额。
|
||||
private void NormalizeManualSettlementAmounts(UnwindData unwindData, int eventType, string eventReason)
|
||||
{
|
||||
if (!NormalizeSettledInterestAmounts(unwindData.FlowEvents, eventType, eventReason))
|
||||
if (!UnwindNormalizer.NormalizeSettledInterestAmounts(unwindData.FlowEvents, eventType, eventReason))
|
||||
{
|
||||
return;
|
||||
}
|
||||
@@ -372,7 +283,7 @@ namespace YLErp.Modules.SwapModule
|
||||
floatEvent.UnderlyingInstrumentType = position.UnderlyingInstrumentType;
|
||||
floatEvent.CloseFee = 0;
|
||||
floatEvent.BeforeCloseFee = oriPosition.PosiTradingFeePending;
|
||||
floatEvent.TradingFee = CalcInitTradingFee(oriPosition, unwindData);
|
||||
floatEvent.TradingFee = TradingFeeCalc.CalcInitTradingFee(oriPosition, unwindData);
|
||||
floatEvent.PosiTradingFeeUnit = oriPosition?.PosiTradingFeeUnit ?? 0;
|
||||
floatEvent.PosiFeeType = oriPosition?.PosiFeeType ?? 0;
|
||||
floatEvent.MarkClosePnl = 0;
|
||||
@@ -386,8 +297,8 @@ namespace YLErp.Modules.SwapModule
|
||||
floatEvent.PositionQty = 0;
|
||||
floatEvent.ContractSize = position.ContractSize;
|
||||
floatEvent.TradingAmount = floatEvent.Quantity * floatEvent.ContractSize;
|
||||
var ratio = position.PosiDirection == (int)SwapDirectionEnum.收取 ? -1m : 1m;
|
||||
floatEvent.TradingFeePending = CalcInitTradingFeePending(oriPosition, position, unwindData);
|
||||
var ratio = -DirectionRatio.ReceivePay(position.PosiDirection);
|
||||
floatEvent.TradingFeePending = TradingFeeCalc.CalcInitTradingFeePending(oriPosition, position, unwindData);
|
||||
floatEvent.DataState = (int)SwapFlowDateStateEnum.完成;
|
||||
floatEvent.InterestMode = position.InterestMode;
|
||||
floatEvent.ClientId = td.ClientId;
|
||||
@@ -397,37 +308,6 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
return unwindData;
|
||||
}
|
||||
private static decimal CalcInitTradingFee(swap_position oriPosition, UnwindData unwindData)
|
||||
{
|
||||
if (oriPosition == null || unwindData == null)
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
|
||||
if (oriPosition.PosiFeeType == 1)
|
||||
{
|
||||
return Math.Round(oriPosition.PosiTradingFeeUnit * unwindData.CloseQty, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
return Math.Round(oriPosition.PosiTradingFeeUnit / 100m * unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
private static decimal CalcInitTradingFeePending(swap_position oriPosition, swap_position position, UnwindData unwindData)
|
||||
{
|
||||
if (oriPosition == null || unwindData == null || oriPosition.PosiTradingFeeUnit == 0)
|
||||
{
|
||||
return position?.PosiTradingFeePending ?? 0;
|
||||
}
|
||||
|
||||
var closeBase = oriPosition.PosiFeeType == 1 ? unwindData.CloseQty : unwindData.CloseNotionalValue;
|
||||
var originalBase = oriPosition.PosiFeeType == 1 ? unwindData.NotionalQty : unwindData.NotionalValue;
|
||||
if (originalBase <= 0)
|
||||
{
|
||||
return position?.PosiTradingFeePending ?? 0;
|
||||
}
|
||||
|
||||
return Math.Round(oriPosition.PosiTradingFeePending * closeBase / originalBase, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
/// <summary>
|
||||
/// 校验上日是否收盘
|
||||
/// </summary>
|
||||
@@ -465,56 +345,6 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <param name="tradeId"></param>
|
||||
/// <returns></returns>
|
||||
/// <exception cref="ServiceException"></exception>
|
||||
public UnwindData InitLongShortUnwind(int tradeId, SwapEventTypeEnum eventTypeEnum)
|
||||
{
|
||||
var td = DbContext.trade.Find(tradeId);
|
||||
if (td == null)
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
var positions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && x.IsInitial && !x.Invalid);
|
||||
List<int> eventTyps = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
|
||||
var dealDate = valuedateBLL.ValueDate <= td.ExerciseDate.Value ? valuedateBLL.ValueDate : td.ExerciseDate.Value;
|
||||
//CheckLastEod(dealDate, td.TradeDate.Value, tradeId); //去掉平仓收盘限制
|
||||
var tradeExtend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == tradeId);
|
||||
td.trade_extend = tradeExtend;
|
||||
var preDealDate = GetPreDealDate(tradeId, dealDate, eventTyps);
|
||||
double stockEqvNotional = td.StockEqvNotional;//剩余名义本金
|
||||
var hasProcess = HasTradeProcess();
|
||||
swap_flow_event floatEvent = new swap_flow_event();
|
||||
UnwindData unwindData = new UnwindData();
|
||||
if (((valuedateBLL.SystemDate.CloseReCheck == 1) || (valuedateBLL.SystemDate.CloseReApprove == 1 && hasProcess)) && (td.TradeStatus == ConsTrade.平仓待复核 || td.TradeStatus == ConsTrade.互换待复核))
|
||||
{
|
||||
var swapEvent = GetSwapEvent(tradeId, (int)eventTypeEnum);
|
||||
if (swapEvent == null)
|
||||
{
|
||||
throw new Exception("该笔交易状态为平仓待复核，未找到相关记录，请检查该笔交易是否有效");
|
||||
}
|
||||
unwindData = swapEvent.unwindData;
|
||||
}
|
||||
else
|
||||
{
|
||||
unwindData.StartDate = td.TradeDate.Value;
|
||||
if (preDealDate.HasValue)
|
||||
{
|
||||
unwindData.StartDate = preDealDate.Value;
|
||||
}
|
||||
unwindData.ValueDate = dealDate;
|
||||
unwindData.UnwindDate = dealDate;
|
||||
unwindData.PayDate = QdpCalendarHelper.GetNonHoliday(dealDate.AddDays(td.trade_extend.ExtendObj.SettlementRules));
|
||||
unwindData.SwapTradeId = tradeId;
|
||||
unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
|
||||
unwindData.NotionalQty = positions.Sum(s => s.PosiQuantity);
|
||||
unwindData.PosiNotionalValue = Convert.ToDecimal(stockEqvNotional);
|
||||
unwindData.PositionQty = 0;//平仓只做了结为0，互换用不上
|
||||
unwindData.AnnualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
|
||||
if (eventTypeEnum == SwapEventTypeEnum.平仓)
|
||||
{
|
||||
unwindData.FlowEvents = GetUnwindInterests(dealDate, unwindData.UnwindDate.Value, tradeId, 1, (int)SwapEventTypeEnum.平仓);
|
||||
}
|
||||
}
|
||||
return unwindData;
|
||||
}
|
||||
/// <summary>
|
||||
/// 平仓初始化
|
||||
/// </summary>
|
||||
@@ -663,8 +493,8 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <para>根因(多次部分平仓预付金返还错误)：预付金腿(初始/追加)的"当前剩余本金"存于实时持仓
|
||||
/// realPositions.InterestPrincipalFix，每次平仓由 UpdateInitalPosition 递减；而原始腿
|
||||
/// origPositions(IsInitial=1)的 InterestPrincipalFix 恒为初始值。GetInterests 算
|
||||
/// closePrincipal = Fix × closePercent 与预付金计息基数 orginPv(InitSwapDealInterest) 时都读
|
||||
/// position.InterestPrincipalFix，若沿用原始腿，会在多次部分平仓后仍返还/计算初始本金(如始终 99000)。</para>
|
||||
/// closePrincipal = Fix × closePercent 时读 position.InterestPrincipalFix，若沿用原始腿，
|
||||
/// 会在多次部分平仓后仍返还/计算初始本金(如始终 99000)。</para>
|
||||
/// <para>修复：迭代源仍用 origPositions(保留 orig.id → eod_swap_position.PositionId 的日终匹配，
|
||||
/// 全库实测 eod 均按 orig.id 归档；若换 realPositions 会破坏 preEod 匹配导致利息重算错误)，仅对预付金腿
|
||||
/// Clone 覆盖其本金值为实时腿的剩余本金。real 与 orig 通过 real.PositionId == orig.id 精确 1:1 关联。
|
||||
@@ -745,24 +575,7 @@ namespace YLErp.Modules.SwapModule
|
||||
eod_swap lastEod,
|
||||
IEnumerable<eod_swap_position> lastEodPositions,
|
||||
decimal currentNotional)
|
||||
{
|
||||
var floatingPositions = lastEodPositions?.Where(x => x.PosiDirection > 0).ToList();
|
||||
decimal previousNotional;
|
||||
if (floatingPositions?.Count > 0)
|
||||
{
|
||||
previousNotional = floatingPositions.Sum(x => x.PosiNotionalValue);
|
||||
}
|
||||
else
|
||||
{
|
||||
previousNotional = lastEod == null
|
||||
? currentNotional
|
||||
: Math.Abs(lastEod.NotionalValueLong) + Math.Abs(lastEod.NotionalValueShort);
|
||||
}
|
||||
|
||||
return previousNotional == 0m && currentNotional != 0m
|
||||
? currentNotional
|
||||
: previousNotional;
|
||||
}
|
||||
=> ClosePercentMath.ResolveUnwindPreviousNotional(lastEod, lastEodPositions, currentNotional);
|
||||
|
||||
/// <summary>
|
||||
/// 获取利息腿"已通过历史互换结出的累计利息"（用于复利重算时扣除，类比分红的 CalcConsumedDividend）。
|
||||
@@ -855,14 +668,22 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
// 融资腿(1/2/9): 走策略工厂
|
||||
var r = FundingLegStrategyFactory.Get(mode)
|
||||
.CalcNotional(position.InterestPrincipalFix, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue, closePrecent);
|
||||
.CalcNotional(position.InterestPrincipalFix, posiNotionalValue, closePrecent);
|
||||
closePrincipal = r.ClosePrincipal;
|
||||
posiPrincipal = r.PosiPrincipal;
|
||||
newClosePercent = r.ClosePercent;
|
||||
}
|
||||
// 根因位置：SwapEodPositionService.SaveAutoEodWithCloseInterestPosition 在平仓后收盘时传入
|
||||
// “收盘后剩余本金 + closePercent=1”，与盘中“平仓前本金 + 实际关闭比例”不是同一语义。
|
||||
// GetInterests 同时被盘中试算和 EOD 平仓后收盘调用：后者传入的
|
||||
// posiNotionalValue 是收盘后的剩余本金，closePosiNotionalValue 才是本次实际平掉的本金。
|
||||
// 例如平仓前 100、平掉 30、收盘后剩余 70 时，EOD 传入 posi=70、close=30、closePercent=1。
|
||||
// 模式2(合约名义本金规模)的本次结息本金必须始终是实际平仓额，因此无条件覆盖，
|
||||
// 否则会错误地用剩余 70 结算本次平掉的 30。模式9(标的期初全价)的部分平仓
|
||||
// 仍保留既有的剩余/复利动态本金承接逻辑；仅最终全平时 posi=0，才覆盖以避免结息本金为 0。
|
||||
if ((InterestModeEnum)position.InterestMode == InterestModeEnum.合约名义本金规模
|
||||
|| (InterestModeEnum)position.InterestMode == InterestModeEnum.标的期初全价
|
||||
&& posiNotionalValue == 0m)
|
||||
|| ((InterestModeEnum)position.InterestMode == InterestModeEnum.标的期初全价
|
||||
&& posiNotionalValue == 0m))
|
||||
{
|
||||
closePrincipal = closePosiNotionalValue;
|
||||
}
|
||||
@@ -876,7 +697,13 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone);
|
||||
|
||||
// 根据场景计算利息
|
||||
if (settment)
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
// 保证金腿(5/6)：专属计息，notional 直接取保证金余额，无融资腿差分公式与 orginPv 维度 hack
|
||||
interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate, closePrincipal, posiPrincipal,
|
||||
newClosePercent, annualDays, calcFirst, calcLast||newCalcLast, preEodPosition, eventType, add, settment, swap));
|
||||
}
|
||||
else if (settment)
|
||||
{
|
||||
// 收盘归档场景，使用 CalcEodInterest
|
||||
interests.Add(CalcEodInterest(td, valueDate, positionClone, rate, floatRate, closePrincipal, posiPrincipal, annualDays, calcFirst, calcLast, preEodPosition, eventType, add));
|
||||
@@ -934,32 +761,19 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 分母为 0（无持仓等异常场景）时原样返回，避免除零。
|
||||
/// </summary>
|
||||
public static decimal ToRemainingClosePercent(decimal originalClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (posiNotionalValue <= 0) return originalClosePercent;
|
||||
var remaining = originalClosePercent * notionalValue / posiNotionalValue;
|
||||
return remaining > 1 ? 1 : remaining;
|
||||
}
|
||||
=> ClosePercentMath.ToRemainingClosePercent(originalClosePercent, notionalValue, posiNotionalValue);
|
||||
|
||||
/// <summary>
|
||||
/// B(占剩余) → A(占期初)，用于落库 / 事件列表展示还原。见 ToRemainingClosePercent。
|
||||
/// </summary>
|
||||
public static decimal ToOriginalClosePercent(decimal remainingClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (notionalValue <= 0) return remainingClosePercent;
|
||||
return remainingClosePercent * posiNotionalValue / notionalValue;
|
||||
}
|
||||
=> ClosePercentMath.ToOriginalClosePercent(remainingClosePercent, notionalValue, posiNotionalValue);
|
||||
|
||||
/// <summary>
|
||||
/// 计算 InitUnwind 默认占期初(A)平仓比例 = "平掉剩余全部持仓"对应的占期初比例。
|
||||
/// 即：ClosePercent(A) = PosiNotionalValue / NotionalValue。
|
||||
/// 未平仓时 PosiNotionalValue==NotionalValue → 1（平100%）；
|
||||
/// 部分平仓后自动变为剩余比例（如已平 30% 则默认 0.7）。
|
||||
/// 与互换/提前终止 InitIncome 保持一致。抽出为纯函数以支持无库单测。
|
||||
/// 计算 InitUnwind 默认占期初(A)平仓比例 = PosiNotionalValue / NotionalValue。
|
||||
/// </summary>
|
||||
public static decimal CalcDefaultInitClosePercent(decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
return notionalValue > 0 ? posiNotionalValue / notionalValue : 1;
|
||||
}
|
||||
=> ClosePercentMath.CalcDefaultInitClosePercent(notionalValue, posiNotionalValue);
|
||||
|
||||
/// <summary>
|
||||
/// 读取"上一收盘日"浮动腿的待实现分红（eod_swap_position.PosiDividendSum），
|
||||
@@ -992,16 +806,34 @@ namespace YLErp.Modules.SwapModule
|
||||
/// </remarks>
|
||||
protected virtual decimal GetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate)
|
||||
{
|
||||
var lastEod = DbContext.eod_swap
|
||||
.Where(x => x.ValueDate < dealDate && x.SwapTradeId == tradeId)
|
||||
.OrderByDescending(o => o.ValueDate).FirstOrDefault();
|
||||
var preEodDate = lastEod == null ? dealDate.AddDays(-1) : lastEod.ValueDate;
|
||||
var preEod = new SwapEodPositionService(this)
|
||||
.GetPreEodPositions(tradeId, preEodDate)
|
||||
.FirstOrDefault(x => x.PositionId == positionId);
|
||||
var preEod = GetPreEodPositionByDate(tradeId, positionId, dealDate);
|
||||
return preEod == null ? 0m : preEod.PosiDividendSum;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 取 dealDate 对应"上一收盘日"持仓的累计分红快照。
|
||||
/// GLMS-20260105-0006：登记日当天手动平仓/互换时，当日 EOD 快照已含分红，应取到当日而非 T-1。
|
||||
/// 故由 ValueDate 严格小于 dealDate 改为 小于等于：当日 EOD 存在则读当日，否则回退上一收盘日（原口径不变）。
|
||||
/// </summary>
|
||||
protected virtual eod_swap_position GetPreEodPositionByDate(int tradeId, long positionId, DateTime dealDate)
|
||||
{
|
||||
var lastEod = QueryPreEodSwaps(tradeId)
|
||||
.Where(x => x.ValueDate <= dealDate)
|
||||
.OrderByDescending(o => o.ValueDate).FirstOrDefault();
|
||||
var preEodDate = lastEod == null ? dealDate.AddDays(-1) : lastEod.ValueDate;
|
||||
return QueryPreEodPosition(tradeId, positionId, preEodDate);
|
||||
}
|
||||
|
||||
/// <summary>可测性 seam：返回某交易的全部 eod_swap 行（不做日期过滤）。测试可 override 注入内存数据。</summary>
|
||||
protected virtual IQueryable<eod_swap> QueryPreEodSwaps(int tradeId)
|
||||
=> DbContext.eod_swap.Where(x => x.SwapTradeId == tradeId);
|
||||
|
||||
/// <summary>可测性 seam：取指定收盘日的持仓累计分红快照。测试可 override 注入内存数据。</summary>
|
||||
protected virtual eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate)
|
||||
=> new SwapEodPositionService(this)
|
||||
.GetPreEodPositions(tradeId, valueDate)
|
||||
.FirstOrDefault(x => x.PositionId == positionId);
|
||||
|
||||
/// <summary>
|
||||
/// 获取固定利率
|
||||
/// </summary>
|
||||
@@ -1088,12 +920,12 @@ namespace YLErp.Modules.SwapModule
|
||||
if (position.InterestType == (int)InterestTypeEnum.复利)
|
||||
{
|
||||
// 复利计算
|
||||
CalcDailyCompoundInterestByEod(preEod, valueDate, td.StartDate.Value, position, closePrincipal, posiPrincipal, interest, annualDays, false, eodFloatRate, 1m, posiPrincipal, ref interestAmount, ref tdInterestAmount);
|
||||
CalcDailyCompoundInterestByEod(preEod, valueDate, td.StartDate.Value, position, closePrincipal, posiPrincipal, interest, annualDays, eodFloatRate, 1m, ref interestAmount, ref tdInterestAmount);
|
||||
}
|
||||
else
|
||||
{
|
||||
// 单利计算
|
||||
CalcDailySimpleInterestByEod(preEod, valueDate, td.StartDate.Value, position, closePrincipal, posiPrincipal, interest, annualDays, false, eodFloatRate, 1m, posiPrincipal, ref interestAmount, ref tdInterestAmount);
|
||||
CalcDailySimpleInterestByEod(preEod, valueDate, td.StartDate.Value, position, closePrincipal, posiPrincipal, interest, annualDays, eodFloatRate, 1m, ref interestAmount, ref tdInterestAmount);
|
||||
}
|
||||
|
||||
}
|
||||
@@ -1101,7 +933,125 @@ namespace YLErp.Modules.SwapModule
|
||||
interest.InterestAmount = Math.Round(interestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.TdInterestAmount = Math.Round(tdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
// 计算InterestClosePnL（方向：收取=1为正，支付=-1为负）
|
||||
var interestRatio = position.InterestDirection == 1 ? 1m : -1m;
|
||||
var interestRatio = DirectionRatio.ReceivePay(position.InterestDirection);
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
|
||||
|
||||
if (add) UpdateDbOption(interest);
|
||||
return interest;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 保证金腿（InterestMode 5/6）专属计息——替代 CalcEodInterest/CalcUnwindInterest 对保证金的处理。
|
||||
///
|
||||
/// 保证金是纯固定利率单利：浮动利率(FR007)/分段利率/复利对其均为死分支（前端无入口、
|
||||
/// 确认书不含、FundingLegRate.Build 对空 FloatRateUnderlyingCode 恒返回 Fixed）。故本方法直接用
|
||||
/// SimpleInterestAccrual 纯函数计息，本金取保证金余额：
|
||||
/// EOD = 昨日终本金 preEod.TdInterestPrincipal（与旧 CalcDailySimpleInterestByEod 同源，无差分）
|
||||
/// 盘中 = accrualBasis（preEod.TdInterestPrincipal + posiPrincipal - orginPv）
|
||||
/// 盘中保留差分是必要的：posiPrincipal 是否经 ResolveInterestLegPositions 对齐到实时剩余是路径相关的
|
||||
/// （生产对齐 / 诊断测试用原始腿），单一本金变量无法覆盖两种状态，差分经 orginPv 自适应。orginPv 在
|
||||
/// 本方法内部按保证金维度计算（PreviousBalance），消除原 InitSwapDealInterest 的外部维度 hack
|
||||
/// （融资腿 orginPv=浮动端名义本金）。保留累计语义（priorAccrued + 增量），满足下游字段契约。
|
||||
/// </summary>
|
||||
/// <param name="settment">true=收盘归档(EOD)，false=盘中平仓/互换。</param>
|
||||
/// <param name="swap">互换事件（仅盘中生效，true 时利息归零，同 InitSwapDealInterest）。</param>
|
||||
public swap_flow_event CalcMarginInterest(
|
||||
trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate,
|
||||
decimal closePrincipal, decimal posiPrincipal, decimal closePercent,
|
||||
int annualDays, bool calcFirst, bool calcLast,
|
||||
eod_swap_position preEod, int eventType, bool add, bool settment, bool swap)
|
||||
{
|
||||
// 当日是否计息（算头算尾）——同 CalcEodInterest
|
||||
bool calcToday = true;
|
||||
if (!calcFirst && valueDate == td.StartDate.Value) calcToday = false;
|
||||
if (!calcLast && valueDate == td.ExerciseDate.Value) calcToday = false;
|
||||
if (valueDate < position.PosiStartDate) calcToday = false;
|
||||
|
||||
// 首日初始化 preEod——同 CalcEodInterest
|
||||
if (preEod.id == 0)
|
||||
{
|
||||
preEod.FloatRate = 0m;
|
||||
preEod.TdInterestPrincipal = posiPrincipal;
|
||||
preEod.PosiNotionalValue = posiPrincipal;
|
||||
}
|
||||
|
||||
// 字段映射（保证金 FloatRate 恒 0；方向 position.InterestDirection 已由 GetInterests 翻转）
|
||||
var interest = new swap_flow_event
|
||||
{
|
||||
SwapTradeId = td.id,
|
||||
SwapTradeNo = td.TradeNumber,
|
||||
EventType = eventType,
|
||||
EventReason = "交易",
|
||||
EventDate = valueDate,
|
||||
PositionId = position.id,
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestRate = rate,
|
||||
InterestPrincipal = closePrincipal,
|
||||
InterestSwapInterval = position.InterestSwapInterval,
|
||||
InterestMode = position.InterestMode,
|
||||
FloatRate = 0m,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成,
|
||||
ClientId = td.ClientId,
|
||||
UnwindDate = settment ? valueDate : endDate
|
||||
};
|
||||
|
||||
// 互换事件：利息归零（同 InitSwapDealInterest）
|
||||
if (swap && !settment)
|
||||
{
|
||||
interest.InterestAmount = 0m;
|
||||
interest.TdInterestAmount = 0m;
|
||||
interest.InterestClosePnL = 0m;
|
||||
if (add) UpdateDbOption(interest);
|
||||
return interest;
|
||||
}
|
||||
|
||||
decimal interestAmount = 0m;
|
||||
decimal tdInterestAmount = 0m;
|
||||
var legRate = FundingLegRate.Fixed(rate); // 保证金纯固定（无浮动）
|
||||
|
||||
if (calcToday)
|
||||
{
|
||||
if (settment)
|
||||
{
|
||||
// EOD：单日增量，累计 = 昨日累计 + 今日增量；notional = 昨日终本金（无差分）
|
||||
var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound: false);
|
||||
var r = SimpleInterestAccrual.AccrueEod(
|
||||
priorAccrued: preEod.InterestProfitSum,
|
||||
priorNotional: preEod.TdInterestPrincipal,
|
||||
unwindFraction: 1m,
|
||||
rate: legRate, policy: policy, eodDate: valueDate);
|
||||
interestAmount = r.Accrued;
|
||||
tdInterestAmount = r.AccruedToday;
|
||||
}
|
||||
else
|
||||
{
|
||||
// 盘中：accrualBasis 自适应"实时剩余本金"——posiPrincipal 已对齐(ResolveInterestLegPositions)
|
||||
// 时 = posiPrincipal；未对齐的原始腿经 orginPv(=PreviousBalance 昨日终) 修正回昨日终剩余。
|
||||
// 单一本金变量无法覆盖两种 position 状态，故保留差分（与 EOD 直接用 preEod.TdInterestPrincipal 不同）。
|
||||
// orginPv 在此内部按保证金维度计算，消除原 InitSwapDealInterest 的外部维度 hack。
|
||||
var orginPv = MarginCalc.PreviousBalance(preEod, posiPrincipal);
|
||||
var accrualBasis = preEod.TdInterestPrincipal + posiPrincipal - orginPv;
|
||||
var segmentRates = new List<(DateTime, decimal)> { (position.PosiStartDate, rate) };
|
||||
var r = SimpleInterestAccrual.AccruePeriod(
|
||||
priorAccrued: preEod.InterestProfitSum * closePercent,
|
||||
notional: accrualBasis,
|
||||
unwindFraction: closePercent,
|
||||
segmentRates: segmentRates,
|
||||
startDate: position.PosiStartDate,
|
||||
endDate: endDate,
|
||||
priorValueDate: preEod.ValueDate,
|
||||
boundary: AccrualBoundary.Of(calcFirst, calcLast),
|
||||
annualDays: annualDays,
|
||||
isAnnualized: position.IsAnnualized);
|
||||
interestAmount = r.Accrued;
|
||||
tdInterestAmount = r.AccruedToday;
|
||||
interest.InterestPrincipal = accrualBasis * closePercent; // 同 CalcDailySimpleInterest:1304
|
||||
}
|
||||
}
|
||||
|
||||
interest.InterestAmount = Math.Round(interestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.TdInterestAmount = Math.Round(tdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
var interestRatio = DirectionRatio.ReceivePay(position.InterestDirection);
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
|
||||
|
||||
if (add) UpdateDbOption(interest);
|
||||
@@ -1130,15 +1080,6 @@ namespace YLErp.Modules.SwapModule
|
||||
orginPv, calcFirst, calcLast, consumedInterest);
|
||||
}
|
||||
/// <summary>
|
||||
/// 保证金腿的 orginPv 维度重映射。
|
||||
///
|
||||
/// 保证金腿被迫走融资腿的差分公式(dynomicPrincipal = TdInterestPrincipal + posiPrincipal - orginPv)，
|
||||
/// 但 orginPv 对融资腿是"交易名义本金(千万~亿级)"，对保证金腿必须是"保证金本金"——
|
||||
/// 否则维度不匹配会算出巨负值。本方法把保证金场景的 orginPv 对齐到"上一日保证金本金"。
|
||||
///
|
||||
/// 待迁入 Margin 模块：保证金独立计息入口建好后，此方法移入 MarginAccount/MarginService。
|
||||
/// </summary>
|
||||
/// <summary>
|
||||
/// 写入保证金的资金记录：应付预付金(SwapMarginAmount)和预付金返息(SwapMarginRebatePnl)。
|
||||
/// 依赖实例方法 AddClientCash/AddClientCashInCashOut，暂留此处。
|
||||
/// </summary>
|
||||
@@ -1215,11 +1156,8 @@ namespace YLErp.Modules.SwapModule
|
||||
interest.ClientId = td.ClientId;
|
||||
interest.UnwindDate = endDate;
|
||||
|
||||
// 保证金腿的 orginPv 对齐到保证金本金维度，避免差分公式维度不匹配算出巨负值
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
orginPv = MarginCalc.PreviousBalance(preEodPosition, position.InterestPrincipalFix);
|
||||
}
|
||||
// 保证金腿已走 CalcMarginInterest（不经过本方法），orginPv 维度重映射不再需要；
|
||||
// orginPv 此处仅对融资腿生效（差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv）。
|
||||
|
||||
if (swap)
|
||||
{
|
||||
@@ -1232,7 +1170,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
decimal InterestAmount = 0;
|
||||
decimal TdInterestAmount = 0;
|
||||
var interestRatio = position.InterestDirection == 1 ? 1m : -1m;
|
||||
var interestRatio = DirectionRatio.ReceivePay(position.InterestDirection);
|
||||
var floateRate = preEodPosition.FloatRate;
|
||||
if (position.InterestType == (int)InterestTypeEnum.复利)
|
||||
{
|
||||
@@ -1263,8 +1201,8 @@ namespace YLErp.Modules.SwapModule
|
||||
// 把上日尚未实现的的利息 按本次平掉的这部分计息基数分给本次平仓 并在重置日并入计息基数
|
||||
// 它只在当前 endDate 恰好为重置日时使用，避免把同一笔历史利息重复资本化。
|
||||
var resetCarryInterest = preEodPosition.InterestIncomeSum * remainingPercent;
|
||||
CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue, interest, annualDays, needPrice,
|
||||
floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount,
|
||||
CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue, interest, annualDays,
|
||||
floateRate, closePrecent, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount,
|
||||
consumedInterest, resetCarryInterest);
|
||||
if (preEodPosition.id != 0 && closePrecent == 1m)
|
||||
{
|
||||
@@ -1291,7 +1229,7 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
// 计算截至本次平仓日的累计利息 amountAtEnd
|
||||
CalcDailyCompoundInterest(replayEndDate, position, closePosiNotionalValue,
|
||||
interestAtEnd, annualDays, needPrice, floateRate, closePrecent, orginPv,
|
||||
interestAtEnd, annualDays, floateRate, closePrecent,
|
||||
calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest);
|
||||
var interestAtPreviousEod = new swap_flow_event { InterestRate = rate };
|
||||
decimal amountAtPreviousEod = 0m;
|
||||
@@ -1300,7 +1238,7 @@ namespace YLErp.Modules.SwapModule
|
||||
// 因此此处按闭区间包含上一日终当天，避免算头不算尾时重复加入该日利息。
|
||||
// 计算截至上一日终累积的利息 amountAtPreviousEod
|
||||
CalcDailyCompoundInterest(preEodPosition.ValueDate, position, closePosiNotionalValue,
|
||||
interestAtPreviousEod, annualDays, needPrice, floateRate, closePrecent, orginPv,
|
||||
interestAtPreviousEod, annualDays, floateRate, closePrecent,
|
||||
calcFirst, true, ref amountAtPreviousEod, ref tdAmountAtPreviousEod, consumedInterest);
|
||||
// 例如 0004：5/18 待实现 -118631.261797，加 5/19 新增约 -4648.912760，
|
||||
// 得到最终应结 -123280.174557，按金额两位落为 Excel BN 的 -123280.17。
|
||||
@@ -1312,7 +1250,7 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
else
|
||||
{
|
||||
CalcDailySimpleInterest(preEodPosition, endDate, position, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
|
||||
CalcDailySimpleInterest(preEodPosition, endDate, position, posiNotionalValue, interest, annualDays, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
|
||||
}
|
||||
|
||||
interest.InterestAmount = Math.Round(InterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
@@ -1326,6 +1264,19 @@ namespace YLErp.Modules.SwapModule
|
||||
return interest;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 按 interest_rule 取 FR007 定盘价。无浮动标的时返回 fallback；取不到抛异常。
|
||||
/// EOD 单日取率 + BuildSegmentRates 多日取率共用此方法，FR007 定盘逻辑收口到一处。
|
||||
/// </summary>
|
||||
private decimal ResolveFloatRate(swap_position position, DateTime date, decimal fallback)
|
||||
{
|
||||
if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode)) return fallback;
|
||||
var fixingDate = IndexFixerBase.GetFixingDate(date, position.interest_rule);
|
||||
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
|
||||
return fixing != 0m ? fixing : fallback;
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 按重置周期切分利率段，每段记录 all-in 利率(spread+fixing)。返回 (分段列表, 末段浮动利率)。
|
||||
/// fetchAfterDate: 仅该日期之后的重置日才取 FR007（单利传 ValueDate，复利传 null 全程取）。
|
||||
@@ -1341,19 +1292,8 @@ namespace YLErp.Modules.SwapModule
|
||||
for (int i = 0; i <= calcDays; i += interestPeriod)
|
||||
{
|
||||
var resetDate = startDate.AddDays(i);
|
||||
if ((fetchAfterDate == null || resetDate > fetchAfterDate.Value)
|
||||
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
|
||||
{
|
||||
var fixingDate = IndexFixerBase.GetFixingDate(resetDate, position.interest_rule);
|
||||
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
|
||||
{
|
||||
if (fixing != 0m) currentFloat = fixing;
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
}
|
||||
if (fetchAfterDate == null || resetDate > fetchAfterDate.Value)
|
||||
currentFloat = ResolveFloatRate(position, resetDate, currentFloat);
|
||||
rates.Add((resetDate, spread + currentFloat));
|
||||
}
|
||||
return (rates, currentFloat);
|
||||
@@ -1371,7 +1311,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <param name="annualDays">年化天数</param>
|
||||
/// <returns></returns>
|
||||
public void CalcDailyCompoundInterest(DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent,
|
||||
int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast,
|
||||
int annualDays, decimal floateRate, decimal closePercent, bool calcFirst, bool calcLast,
|
||||
ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m)
|
||||
{
|
||||
var startDate = position.PosiStartDate;
|
||||
@@ -1384,7 +1324,7 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
// 纯函数复利计息：分段重置日并本金 + resetCarryInterest + 扣 consumedInterest
|
||||
var interestTrace = new AccrualTrace();
|
||||
var result = FundingLegAccrual.AccrueCompoundPeriod(
|
||||
var result = CompoundInterestAccrual.AccruePeriod(
|
||||
notional: principal,
|
||||
segmentRates: segmentRates,
|
||||
startDate: startDate,
|
||||
@@ -1410,12 +1350,12 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <summary>
|
||||
/// 计算单利 盘中（按重置天数分段，每段使用对应浮动利率）
|
||||
/// </summary>
|
||||
public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
|
||||
public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
|
||||
{
|
||||
var startDate = position.PosiStartDate;
|
||||
int interestPeriod = position.interest_rest_days ?? 1;
|
||||
|
||||
// orginPv 是路径相关参考本金（资金腿=上一日终浮动端名义本金；保证金腿=上一日终保证金余额）。
|
||||
// orginPv 是路径相关参考本金（资金腿=上一日终浮动端名义本金）。保证金腿已走 CalcMarginInterest，不经此方法。
|
||||
// 单利差分：accrualBasis 全程恒定 = 昨日终滚动基数 + 当日名义本金 - 参考本金。
|
||||
var accrualBasis = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
|
||||
|
||||
@@ -1426,7 +1366,7 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
// 纯函数计息：Accrued=缩放累计(InterestAmount)，AccruedToday=未缩放累计(TdInterestAmount)
|
||||
var interestTrace = new AccrualTrace();
|
||||
var result = FundingLegAccrual.AccrueSimplePeriod(
|
||||
var result = SimpleInterestAccrual.AccruePeriod(
|
||||
priorAccrued: preEodPosition.InterestProfitSum * closePercent,
|
||||
notional: accrualBasis,
|
||||
unwindFraction: closePercent,
|
||||
@@ -1460,26 +1400,14 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <param name="isAnnualized">是否年化</param>
|
||||
/// <param name="annualDays">年化天数</param>
|
||||
/// <returns></returns>
|
||||
public void CalcDailyCompoundInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, ref decimal InterestAmount, ref decimal TdInterestAmount)
|
||||
public void CalcDailyCompoundInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, ref decimal InterestAmount, ref decimal TdInterestAmount)
|
||||
{
|
||||
int interestPeriod = position.interest_rest_days ?? 1;
|
||||
var isResetDay = (endDate - tradeDate).Days % interestPeriod == 0;
|
||||
|
||||
// 重置日按 interest_rule 重新定盘浮动利率（GLMS-JIATT-20260805 根因——
|
||||
// 重置日=平仓日必须用新利率，否则沿用旧周期利率并污染后续 EOD）。非重置日沿用 floateRate。
|
||||
decimal effectiveFloat = floateRate;
|
||||
if (isResetDay && !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
|
||||
{
|
||||
var fixingDate = IndexFixerBase.GetFixingDate(endDate, position.interest_rule);
|
||||
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
|
||||
{
|
||||
if (fixing != 0m) effectiveFloat = fixing;
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
}
|
||||
var effectiveFloat = isResetDay ? ResolveFloatRate(position, endDate, floateRate) : floateRate;
|
||||
flowEvent.FloatRate = effectiveFloat;
|
||||
|
||||
// remainingFraction：重置日把上一日终待实现利息按本次平仓基数分摊（EOD 全量为 1）。
|
||||
@@ -1487,21 +1415,13 @@ namespace YLErp.Modules.SwapModule
|
||||
? Math.Max(0m, Math.Min(1m, principal / posiPrincipal))
|
||||
: 1m;
|
||||
|
||||
// 纯数学下沉至 FundingLegAccrual.AccrueCompoundEod（DDD 命名 + 末位生产精度 12 舍入）。
|
||||
var isFixedLeg = string.IsNullOrEmpty(position.FloatRateUnderlyingCode);
|
||||
var legRate = isFixedLeg
|
||||
? FundingLegRate.Fixed(flowEvent.InterestRate)
|
||||
: FundingLegRate.Floating(flowEvent.InterestRate, effectiveFloat);
|
||||
var accrualPolicy = new AccrualPolicy(
|
||||
convention: AccrualBoundary.Both,
|
||||
isCompound: true,
|
||||
resetPeriodDays: interestPeriod,
|
||||
annualDays: annualDays,
|
||||
isAnnualized: position.IsAnnualized);
|
||||
// 纯数学下沉至 CompoundInterestAccrual.AccrueEod（DDD 命名 + 末位生产精度 12 舍入）。
|
||||
var legRate = FundingLegRate.Build(position, flowEvent.InterestRate, effectiveFloat);
|
||||
var accrualPolicy = AccrualPolicy.BuildEod(position, annualDays, isCompound: true);
|
||||
|
||||
// 完整计息 trace：前后日期/基数/利率/重置标志全过程，经 SwapCalcTrace 常驻落盘（关键路径日志）。
|
||||
var interestTrace = new AccrualTrace();
|
||||
var result = FundingLegAccrual.AccrueCompoundEod(
|
||||
var result = CompoundInterestAccrual.AccrueEod(
|
||||
priorAccrued: preEodPosition.InterestProfitSum,
|
||||
priorNotional: preEodPosition.TdInterestPrincipal,
|
||||
notional: posiPrincipal,
|
||||
@@ -1516,7 +1436,7 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
// flowEvent.InterestPrincipal：当日计息基数(已按平仓比例缩放)——下游 EOD 用它播种次日 TdInterestPrincipal。
|
||||
// 复用 CompoundEodBasis 单一真相源（与 AccrueCompoundEod 内部同一公式）。
|
||||
flowEvent.InterestPrincipal = FundingLegAccrual.CompoundEodBasis(
|
||||
flowEvent.InterestPrincipal = CompoundInterestAccrual.EodBasis(
|
||||
isResetDay, posiPrincipal, preEodPosition.InterestProfitSum, remainingFraction,
|
||||
preEodPosition.TdInterestPrincipal) * closePercent;
|
||||
|
||||
@@ -1527,7 +1447,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <summary>
|
||||
/// 计算单利 收盘（按重置天数分段，每段使用对应浮动利率）
|
||||
/// </summary>
|
||||
public void CalcDailySimpleInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, ref decimal InterestAmount, ref decimal TdInterestAmount)
|
||||
public void CalcDailySimpleInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, ref decimal InterestAmount, ref decimal TdInterestAmount)
|
||||
{
|
||||
// 首次操作（preEod.id == 0）：计息基数按存量本金初始化——保留旧行为（含对 preEod 的就地修正）。
|
||||
if (preEodPosition.id == 0)
|
||||
@@ -1537,39 +1457,18 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
// 取率：重置日按 interest_rule 重新定盘浮动利率（GLMS-JIATT-20260805 根因——
|
||||
// 重置日=平仓日必须用新利率，否则沿用旧周期利率并污染后续 EOD）。
|
||||
decimal effectiveFloat = floateRate;
|
||||
int interestPeriod = position.interest_rest_days ?? 1;
|
||||
if ((endDate - tradeDate).Days % interestPeriod == 0
|
||||
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
|
||||
{
|
||||
var fixingDate = IndexFixerBase.GetFixingDate(endDate, position.interest_rule);
|
||||
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
|
||||
{
|
||||
if (fixing != 0m) effectiveFloat = fixing;
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
}
|
||||
var isResetDay = (endDate - tradeDate).Days % interestPeriod == 0;
|
||||
var effectiveFloat = isResetDay ? ResolveFloatRate(position, endDate, floateRate) : floateRate;
|
||||
|
||||
flowEvent.FloatRate = effectiveFloat;
|
||||
|
||||
// 纯数学下沉至 FundingLegAccrual（DDD 命名 + 末位生产精度 12 舍入），行为与上版逐字对齐。
|
||||
// 利率构成按腿型封装：固定腿 → FixedRate；浮动腿 → Spread + IndexFixing（沿用旧实现 InterestRate+浮动利率 的口径）。
|
||||
var isFixedLeg = string.IsNullOrEmpty(position.FloatRateUnderlyingCode);
|
||||
var legRate = isFixedLeg
|
||||
? FundingLegRate.Fixed(flowEvent.InterestRate)
|
||||
: FundingLegRate.Floating(flowEvent.InterestRate, effectiveFloat);
|
||||
var accrualPolicy = new AccrualPolicy(
|
||||
convention: AccrualBoundary.Both,
|
||||
isCompound: false,
|
||||
resetPeriodDays: position.interest_rest_days ?? 1,
|
||||
annualDays: annualDays,
|
||||
isAnnualized: position.IsAnnualized);
|
||||
// 纯数学下沉至 SimpleInterestAccrual（末位生产精度 12 舍入）。
|
||||
var legRate = FundingLegRate.Build(position, flowEvent.InterestRate, effectiveFloat);
|
||||
var accrualPolicy = AccrualPolicy.BuildEod(position, annualDays, isCompound: false);
|
||||
// 完整计息 trace：收集器由适配器创建，随后经 SwapCalcTrace 常驻落盘（关键路径日志，无条件）。
|
||||
var interestTrace = new AccrualTrace();
|
||||
var result = FundingLegAccrual.AccrueSimpleEod(
|
||||
var result = SimpleInterestAccrual.AccrueEod(
|
||||
priorAccrued: preEodPosition.InterestProfitSum,
|
||||
priorNotional: preEodPosition.TdInterestPrincipal,
|
||||
unwindFraction: closePercent,
|
||||
@@ -1594,16 +1493,16 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
NormalizeEventUnwindDate(unwindData);
|
||||
NormalizeNotionalValues(unwindData);
|
||||
UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
|
||||
UnwindNormalizer.NormalizeNotionalValues(unwindData);
|
||||
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.平仓, "系统操作_平仓");
|
||||
//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
|
||||
// 前端按"占期初(original)"语义传 ClosePercent(A)；后端全链路按"占剩余(remaining)"语义(B)消费。
|
||||
// 入口统一转换为 B，落库展示用的 A 由 SaveSwapDealInternal 还原。
|
||||
unwindData.ClosePercent = ToRemainingClosePercent(unwindData.ClosePercent, unwindData.NotionalValue, unwindData.PosiNotionalValue);
|
||||
if (NormalizeFullCloseRequest(unwindData))
|
||||
if (UnwindNormalizer.NormalizeFullCloseRequest(unwindData))
|
||||
{
|
||||
RecalculateNormalizedUnwindAmounts(unwindData);
|
||||
UnwindNormalizer.RecalculateNormalizedUnwindAmounts(unwindData);
|
||||
}
|
||||
ValidateFrontendPnL(unwindData, isIncome: false); // 只读校验告警，不阻断交易
|
||||
bool cofirm = false;
|
||||
@@ -1616,7 +1515,7 @@ namespace YLErp.Modules.SwapModule
|
||||
var eventId = SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
|
||||
var remainingStockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
var remainingTradeAmount = td.TradeAmount - Convert.ToDouble(unwindData.CloseQty);
|
||||
var isFullClose = IsFullCloseAfterDeduction(unwindData, remainingStockEqvNotional, remainingTradeAmount);
|
||||
var isFullClose = UnwindNormalizer.IsFullCloseAfterDeduction(unwindData, remainingStockEqvNotional, remainingTradeAmount);
|
||||
if (isFullClose)
|
||||
{
|
||||
td.TradeStatus = "已平仓";
|
||||
@@ -1978,84 +1877,6 @@ namespace YLErp.Modules.SwapModule
|
||||
unwindData.SwapRealizedPnL = Math.Round(unwindData.SwapRealizedPnL, 2, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
/// <summary>
|
||||
/// 多空组合平仓
|
||||
/// </summary>
|
||||
/// <param name="unwindData"></param>
|
||||
/// <exception cref="ServiceException"></exception>
|
||||
public void SwapLongShortUnwind(UnwindData unwindData)
|
||||
{
|
||||
var td = DbContext.trade.Find(unwindData.SwapTradeId);
|
||||
if (td == null)
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
NormalizeEventUnwindDate(unwindData);
|
||||
unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
|
||||
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.平仓, "系统操作_平仓");
|
||||
var trans = DbContext.Database.BeginTransaction();
|
||||
try
|
||||
{
|
||||
int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_平仓费, unwindData.ValueDate);
|
||||
RecordMarginCashFlow(td, unwindData);
|
||||
SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
|
||||
td.UnWindDate = unwindData.UnwindDate;
|
||||
td.StockEqvNotional = 0;
|
||||
td.TradeStatus = "已平仓";
|
||||
DbContext.SaveChanges();
|
||||
trans.Commit();
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
trans.Rollback();
|
||||
throw;
|
||||
}
|
||||
finally
|
||||
{
|
||||
trans.Dispose();
|
||||
}
|
||||
|
||||
}
|
||||
/// <summary>
|
||||
/// 多空组合互换
|
||||
/// </summary>
|
||||
/// <param name="swap_Deal"></param>
|
||||
/// <exception cref="ServiceException"></exception>
|
||||
public void SwapLongShort(UnwindData unwindData)
|
||||
{
|
||||
var td = DbContext.trade.Find(unwindData.SwapTradeId);
|
||||
if (td == null)
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
NormalizeEventUnwindDate(unwindData);
|
||||
unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
|
||||
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.互换, "系统操作_互换");
|
||||
var trans = DbContext.Database.BeginTransaction();
|
||||
try
|
||||
{
|
||||
int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_互换, unwindData.ValueDate);
|
||||
SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.互换, clientCashId, "系统操作_互换");
|
||||
td.UnWindDate = unwindData.UnwindDate;
|
||||
if (td.ExerciseDate <= unwindData.ValueDate)
|
||||
{
|
||||
td.Notional = 0;
|
||||
td.StockEqvNotional = 0;
|
||||
td.TradeStatus = "已到期";
|
||||
}
|
||||
DbContext.SaveChanges();
|
||||
trans.Commit();
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
trans.Rollback();
|
||||
throw;
|
||||
}
|
||||
finally
|
||||
{
|
||||
trans.Dispose();
|
||||
}
|
||||
}
|
||||
/// <summary>
|
||||
/// 互换
|
||||
/// </summary>
|
||||
/// <param name="swap_Deal"></param>
|
||||
@@ -2067,7 +1888,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
NormalizeEventUnwindDate(unwindData);
|
||||
UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
|
||||
ValidateIncomeValueDate(unwindData, td);
|
||||
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.互换, "系统操作_互换");
|
||||
//CheckLastEod(unwindData.ValueDate, td.StartDate.Value, unwindData.SwapTradeId); //去掉平仓收盘限制
|
||||
@@ -2105,8 +1926,8 @@ namespace YLErp.Modules.SwapModule
|
||||
throw new Exception("该笔交易状态为平仓待复核，未找到相关记录，请检查该笔交易是否有效");
|
||||
}
|
||||
swapEvent.unwindData = JsonConvert.DeserializeObject<UnwindData>(swapEvent.EventData);
|
||||
NormalizeEventUnwindDate(swapEvent.unwindData);
|
||||
NormalizeNotionalValues(swapEvent.unwindData);
|
||||
UnwindNormalizer.NormalizeEventUnwindDate(swapEvent.unwindData);
|
||||
UnwindNormalizer.NormalizeNotionalValues(swapEvent.unwindData);
|
||||
// Stored events keep display ratio A; approval calculations consume remaining ratio B.
|
||||
swapEvent.unwindData.ClosePercent = ToRemainingClosePercent(
|
||||
swapEvent.unwindData.ClosePercent,
|
||||
@@ -2121,9 +1942,9 @@ namespace YLErp.Modules.SwapModule
|
||||
swapEvent.unwindData.FlowEvents = flowList;
|
||||
if (eventType == (int)SwapEventTypeEnum.平仓)
|
||||
{
|
||||
if (NormalizeFullCloseRequest(swapEvent.unwindData))
|
||||
if (UnwindNormalizer.NormalizeFullCloseRequest(swapEvent.unwindData))
|
||||
{
|
||||
RecalculateNormalizedUnwindAmounts(swapEvent.unwindData);
|
||||
UnwindNormalizer.RecalculateNormalizedUnwindAmounts(swapEvent.unwindData);
|
||||
}
|
||||
}
|
||||
if (eventType == (int)SwapEventTypeEnum.互换)
|
||||
@@ -2152,7 +1973,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
var remainingStockEqvNotional = Math.Round(td.StockEqvNotional - Convert.ToDouble(swapEvent.unwindData.CloseNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
var remainingTradeAmount = td.TradeAmount - Convert.ToDouble(swapEvent.unwindData.CloseQty);
|
||||
var isFullClose = IsFullCloseAfterDeduction(swapEvent.unwindData, remainingStockEqvNotional, remainingTradeAmount);
|
||||
var isFullClose = UnwindNormalizer.IsFullCloseAfterDeduction(swapEvent.unwindData, remainingStockEqvNotional, remainingTradeAmount);
|
||||
if (isFullClose)
|
||||
{
|
||||
td.TradeStatus = "已平仓";
|
||||
@@ -2197,7 +2018,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
NormalizeEventUnwindDate(unwindData);
|
||||
UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
|
||||
if (eventType == (int)SwapEventTypeEnum.互换)
|
||||
{
|
||||
ValidateIncomeValueDate(unwindData, td);
|
||||
@@ -2211,9 +2032,9 @@ namespace YLErp.Modules.SwapModule
|
||||
unwindData.ClosePercent = ToRemainingClosePercent(unwindData.ClosePercent, unwindData.NotionalValue, unwindData.PosiNotionalValue);
|
||||
if (eventType == (int)SwapEventTypeEnum.平仓)
|
||||
{
|
||||
if (NormalizeFullCloseRequest(unwindData))
|
||||
if (UnwindNormalizer.NormalizeFullCloseRequest(unwindData))
|
||||
{
|
||||
RecalculateNormalizedUnwindAmounts(unwindData);
|
||||
UnwindNormalizer.RecalculateNormalizedUnwindAmounts(unwindData);
|
||||
}
|
||||
}
|
||||
string action = eventType == (int)SwapEventTypeEnum.互换 ? ClientCashInCashOut.系统操作_互换 : ClientCashInCashOut.系统操作_平仓费;
|
||||
@@ -2246,11 +2067,6 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
}
|
||||
|
||||
private static void NormalizeEventUnwindDate(UnwindData unwindData)
|
||||
{
|
||||
unwindData.UnwindDate = unwindData.ValueDate;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 保存平仓/互换事件
|
||||
/// </summary>
|
||||
@@ -2264,7 +2080,7 @@ namespace YLErp.Modules.SwapModule
|
||||
throw new ServiceException("未找到交易信息");
|
||||
}
|
||||
var flowList = new List<swap_flow_event>(unwindData.FlowEvents);
|
||||
NormalizeSettledInterestAmounts(flowList, eventType, eventResason);
|
||||
UnwindNormalizer.NormalizeSettledInterestAmounts(flowList, eventType, eventResason);
|
||||
unwindData.FlowEvents.Clear();
|
||||
// 落库展示用"占期初(original)"语义(A)；计算链（费用递减/全平判定）用"占剩余(remaining)"语义(B)。
|
||||
// 序列化前把 ClosePercent 还原为 A，序列化后立即还原回 B 供后续使用。
|
||||
|
||||
@@ -48,72 +48,13 @@ namespace YLErp.Modules.SwapModule
|
||||
: ConsGlobal.SwapDeliveryPriceRound;
|
||||
}
|
||||
|
||||
// 日终利息待实现需跨日累计，按表设计保留 12 位；已实现结算仍按金额两位处理。
|
||||
private const int EodInterestStoragePrecision = 12;
|
||||
|
||||
private static decimal RoundMoney(decimal value)
|
||||
{
|
||||
return Math.Round(value, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
private static decimal RoundEodInterest(decimal value)
|
||||
{
|
||||
return Math.Round(value, EodInterestStoragePrecision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 仅在写入 eod_swap_position 前统一快照精度。
|
||||
/// 浮动腿收益最终以金额两位展示和存储；利息腿的待实现、计息基数及利率保留 12 位，
|
||||
/// 使部分结算后的尾差可继续参与后续计息。
|
||||
/// </summary>
|
||||
private static void NormalizeEodPositionForStorage(eod_swap_position position)
|
||||
{
|
||||
if (string.IsNullOrEmpty(position.UnderlyingCode))
|
||||
{
|
||||
// 利息腿没有标的代码：待实现字段保留高精度，已实现结算字段收敛到金额两位。
|
||||
position.InterestPrincipalFix = RoundEodInterest(position.InterestPrincipalFix);
|
||||
position.InterestRateDefault = RoundEodInterest(position.InterestRateDefault);
|
||||
position.InterestFeePending = RoundEodInterest(position.InterestFeePending);
|
||||
position.TdInterestPrincipal = RoundEodInterest(position.TdInterestPrincipal);
|
||||
position.TdInterestRate = RoundEodInterest(position.TdInterestRate);
|
||||
position.TdInterestIncome = RoundEodInterest(position.TdInterestIncome);
|
||||
position.TdInterestFee = RoundEodInterest(position.TdInterestFee);
|
||||
position.InterestIncomeSum = RoundEodInterest(position.InterestIncomeSum);
|
||||
position.InterestFeeSum = RoundEodInterest(position.InterestFeeSum);
|
||||
position.InterestProfitSum = RoundEodInterest(position.InterestProfitSum);
|
||||
position.FloatRate = RoundEodInterest(position.FloatRate);
|
||||
position.SwapPositionValue = RoundEodInterest(position.SwapPositionValue);
|
||||
position.TdCloseInterest = RoundMoney(position.TdCloseInterest);
|
||||
position.TdCloseInterestFee = RoundMoney(position.TdCloseInterestFee);
|
||||
position.RealizedInterest = RoundMoney(position.RealizedInterest);
|
||||
position.RealizedInterestFee = RoundMoney(position.RealizedInterestFee);
|
||||
}
|
||||
else
|
||||
{
|
||||
// 浮动腿有标的代码：其损益作为金额结果落库，统一按两位四舍五入。
|
||||
position.TdPosiDividend = RoundMoney(position.TdPosiDividend);
|
||||
position.PosiMtmPnL = RoundMoney(position.PosiMtmPnL);
|
||||
position.PosiDividendSum = RoundMoney(position.PosiDividendSum);
|
||||
position.PosiFeePending = RoundMoney(position.PosiFeePending);
|
||||
position.PosiProfitSum = RoundMoney(position.PosiProfitSum);
|
||||
position.TdCloseMtmPnl = RoundMoney(position.TdCloseMtmPnl);
|
||||
position.TdCloseDividend = RoundMoney(position.TdCloseDividend);
|
||||
position.TdCloseFee = RoundMoney(position.TdCloseFee);
|
||||
position.RealizedMtmPnL = RoundMoney(position.RealizedMtmPnL);
|
||||
position.RealizedDividend = RoundMoney(position.RealizedDividend);
|
||||
position.RealizedFee = RoundMoney(position.RealizedFee);
|
||||
position.SwapPositionValue = RoundMoney(position.SwapPositionValue);
|
||||
}
|
||||
position.RealizedPnl = RoundMoney(position.RealizedPnl);
|
||||
}
|
||||
|
||||
#region 可测试化接缝（Seams）——override 这些虚方法可在测试中替换 DB/外部调用，生产代码行为不变
|
||||
|
||||
/// <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)
|
||||
{
|
||||
// 所有新增或更新的日终持仓都经过此入口，避免不同日终分支出现精度差异。
|
||||
NormalizeEodPositionForStorage(position);
|
||||
EodPnlCalculator.NormalizeEodPositionForStorage(position);
|
||||
var storagePriceRound = GetStorageDeliveryPriceRound(position.UnderlyingInstrumentType, position.UnderlyingCode);
|
||||
position.PosiGrossPrice = Math.Round(position.PosiGrossPrice, storagePriceRound, MidpointRounding.AwayFromZero);
|
||||
position.UnderlyingPrice = Math.Round(position.UnderlyingPrice, storagePriceRound, MidpointRounding.AwayFromZero);
|
||||
@@ -193,6 +134,12 @@ namespace YLErp.Modules.SwapModule
|
||||
return new SwapEventService(this).AddSwapEventDate(tradeDate, swapTradeId, eventType, data, clientCashId, save, reason);
|
||||
}
|
||||
|
||||
/// <summary>持久化互换流水事件（生产: DbContext.swap_flow_event.Add；测试: 收集到列表）</summary>
|
||||
protected virtual void PersistFlowEvent(swap_flow_event flowEvent)
|
||||
{
|
||||
DbContext.swap_flow_event.Add(flowEvent);
|
||||
}
|
||||
|
||||
/// <summary>在事务中执行（生产: BeginTransaction/Commit/Rollback；测试: 直接执行不包事务）</summary>
|
||||
protected virtual void ExecuteInTransaction(Action action)
|
||||
{
|
||||
@@ -662,7 +609,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal premiumTotal = 0;
|
||||
premiumInterests.ForEach(x =>
|
||||
{
|
||||
var ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1;
|
||||
var ratio = -DirectionRatio.ReceivePay(x.InterestDirection);
|
||||
premiumTotal += x.InterestClosePnL * ratio;
|
||||
});
|
||||
unwindData.SwapMarginRebatePnl = premiumTotal;
|
||||
@@ -670,7 +617,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal interestTotal = 0;
|
||||
interestLegs.ForEach(x =>
|
||||
{
|
||||
var ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
var ratio = DirectionRatio.ReceivePay(x.InterestDirection);
|
||||
interestTotal += x.InterestClosePnL * ratio;
|
||||
});
|
||||
unwindData.SwapCloseAmount = interestTotal ;
|
||||
@@ -797,24 +744,26 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
unwindData.ClientCashIds = clientCashIds;
|
||||
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
|
||||
// 走虚方法 AddSwapEvent（与 ComposePage:800 一致），让测试可 override 捕获事件；
|
||||
// 默认实现仍是 new SwapEventService(this).AddSwapEventDate，生产行为不变。
|
||||
var swapEvent = AddSwapEvent(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
|
||||
if (flowEvents!=null)
|
||||
{
|
||||
flowEvents.ForEach(x =>
|
||||
{
|
||||
x.EventId = swapEvent.id;
|
||||
DbContext.swap_flow_event.Add(x);
|
||||
PersistFlowEvent(x);
|
||||
});
|
||||
UpdateInitalPostion(flowEvents, td.id);
|
||||
}
|
||||
|
||||
|
||||
// 保存分红事件
|
||||
if (dividendEvents != null)
|
||||
{
|
||||
dividendEvents.ForEach(x =>
|
||||
{
|
||||
x.EventId = swapEvent.id;
|
||||
DbContext.swap_flow_event.Add(x);
|
||||
PersistFlowEvent(x);
|
||||
});
|
||||
UpdateInitalPostion(dividendEvents, td.id);
|
||||
}
|
||||
@@ -1041,11 +990,7 @@ namespace YLErp.Modules.SwapModule
|
||||
eodPayPosition.PosiMatuirityDate = td.ExerciseDate.Value;
|
||||
}
|
||||
var tradeExtend = td.trade_extend.ExtendObj;
|
||||
decimal ratio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
var ratio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
if (newEodPayPosition == null)
|
||||
{
|
||||
newEodPayPosition = new eod_swap_position();
|
||||
@@ -1085,18 +1030,16 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.TdCloseInterest = flowEvents.Sum(x => x.InterestAmount);
|
||||
newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
|
||||
//持仓内容-利息腿-损益统计(本方视角）
|
||||
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
intersetAcmount /= tradeExtend.AnnualDays;
|
||||
}
|
||||
var intersetAcmount = InterestIncomeCalc.DailyAccrual(
|
||||
newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
|
||||
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
|
||||
newEodPayPosition.TdInterestIncome = intersetAcmount;// 要算一下当天产生的利息
|
||||
var interestIncomeBeforeSettlement = eodPayPosition.InterestIncomeSum + newEodPayPosition.TdInterestIncome;
|
||||
var interestFeeBeforeSettlement = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee;
|
||||
var isMaturityFinalSettlement = valueDate.Date >= td.ExerciseDate.Value.Date
|
||||
&& flowEvents.Any()
|
||||
&& RoundMoney(interestIncomeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
&& RoundMoney(interestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee);
|
||||
&& EodPnlCalculator.RoundMoney(interestIncomeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
&& EodPnlCalculator.RoundMoney(interestFeeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterestFee);
|
||||
|
||||
if (isMaturityFinalSettlement)
|
||||
{
|
||||
@@ -1107,19 +1050,20 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
else
|
||||
{
|
||||
newEodPayPosition.InterestIncomeSum = RoundEodInterest(interestIncomeBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = RoundEodInterest(interestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
newEodPayPosition.InterestIncomeSum = EodPnlCalculator.RoundEodInterest(interestIncomeBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = EodPnlCalculator.RoundEodInterest(interestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
}
|
||||
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
|
||||
//持仓价值
|
||||
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
|
||||
|
||||
//累计已实现
|
||||
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
|
||||
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
|
||||
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
|
||||
newEodPayPosition.RealizedInterest = rolled.Interest;
|
||||
newEodPayPosition.RealizedInterestFee = rolled.Fee;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
|
||||
position.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
DirectionRatio.RateType(position.InterestDirection));
|
||||
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
PersistEodSwapPosition(newEodPayPosition);
|
||||
}
|
||||
@@ -1176,11 +1120,7 @@ namespace YLErp.Modules.SwapModule
|
||||
var tradeExtend = td.trade_extend.ExtendObj;
|
||||
decimal posiNotionalValue = posiLongNotional + posiShortNational;
|
||||
decimal closePercent = 1;
|
||||
decimal ratio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
var ratio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
if (eodPayPosition == null)
|
||||
{
|
||||
eodPayPosition = new eod_swap_position();
|
||||
@@ -1198,7 +1138,7 @@ namespace YLErp.Modules.SwapModule
|
||||
positions.Add(position);
|
||||
List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
|
||||
preEodPositions.Add(eodPayPosition);
|
||||
var interestModes = new List<int>() { (int)InterestModeEnum.固定值, (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
|
||||
var interestModes = MarginModes.FixedAmountAndMargin;
|
||||
if (interestModes.Contains(position.InterestMode))
|
||||
{
|
||||
orginPv = eodPayPosition.InterestPrincipalFix;
|
||||
@@ -1211,8 +1151,8 @@ namespace YLErp.Modules.SwapModule
|
||||
// 日终快照仍使用上面的高精度应结金额计算待实现尾差，避免把舍入差提前丢掉。
|
||||
interests.ForEach(x =>
|
||||
{
|
||||
x.InterestAmount = RoundMoney(x.InterestAmount);
|
||||
x.InterestClosePnL = RoundMoney(x.InterestClosePnL);
|
||||
x.InterestAmount = EodPnlCalculator.RoundMoney(x.InterestAmount);
|
||||
x.InterestClosePnL = EodPnlCalculator.RoundMoney(x.InterestClosePnL);
|
||||
});
|
||||
decimal settledInterestAmount = interests.Sum(x => x.InterestAmount);
|
||||
|
||||
@@ -1249,20 +1189,21 @@ namespace YLErp.Modules.SwapModule
|
||||
// 到期自动互换是最后一次自动结算：两位实际金额已落流水/资金，待实现不再滚入下一日。
|
||||
newEodPayPosition.InterestIncomeSum = isMaturityFinalAutoSettlement
|
||||
? 0
|
||||
: RoundEodInterest(interestAmountBeforeSettlement - settledInterestAmount);
|
||||
: EodPnlCalculator.RoundEodInterest(interestAmountBeforeSettlement - settledInterestAmount);
|
||||
newEodPayPosition.InterestFeeSum = isMaturityFinalAutoSettlement
|
||||
? 0
|
||||
: RoundEodInterest(eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee);
|
||||
: EodPnlCalculator.RoundEodInterest(eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee);
|
||||
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
|
||||
//持仓价值
|
||||
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
|
||||
|
||||
//累计已实现
|
||||
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
|
||||
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
|
||||
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
|
||||
newEodPayPosition.RealizedInterest = rolled.Interest;
|
||||
newEodPayPosition.RealizedInterestFee = rolled.Fee;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
|
||||
position.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
DirectionRatio.RateType(position.InterestDirection));
|
||||
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
PersistEodSwapPosition(newEodPayPosition);
|
||||
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
@@ -1293,14 +1234,15 @@ namespace YLErp.Modules.SwapModule
|
||||
var tradeExtend = td.trade_extend.ExtendObj;
|
||||
// oriPosiNotionalValue 是平仓前规模，posiNotionalValue 是收盘后剩余规模，closeNational 是本次关闭规模。
|
||||
// 例如 30% 平仓：303139117.80 = 212197382.46 + 90941735.34。
|
||||
// 注意：此处的 posiNotionalValue 与盘中 GetUnwindInterests 传给 GetInterests 的语义不同：
|
||||
// 盘中传平仓前的当前剩余本金，EOD 此处传平仓后的剩余本金；后面又以 closePercent=1
|
||||
// 调用共享计息器。因此策略的 "posiNotional × closePercent" 在本例会得到 212197382.46，
|
||||
// 而本次实际应结的平仓本金是 closeNational=90941735.34。该语义错位由
|
||||
// SwapDealService.GetInterests 的模式2无条件修正、模式9全平零值兜底分流处理，不能删除。
|
||||
decimal oriPosiNotionalValue = posiLongNotional + posiShortNational + closeNational;
|
||||
decimal posiNotionalValue = posiLongNotional + posiShortNational;
|
||||
// ratio 只负责把腿内原始金额转换为本方盈亏方向，不参与计息金额本身的计算。
|
||||
decimal ratio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
var ratio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
// 首次日终结算可能包含当日收盘，因此尚无先前的日终利息持仓。
|
||||
// 部分平仓仍要续接上一日日终：CalcUnwindInterest 会将 InterestProfitSum
|
||||
// 加入本次待实现，已实现字段也必须按日累计，不能从新建的临时对象重新开始。
|
||||
@@ -1334,7 +1276,7 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition = eodPayPosition.Clone();
|
||||
newEodPayPosition.id = 0;
|
||||
}
|
||||
var interestModes = new List<int>() { (int)InterestModeEnum.固定值, (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
|
||||
var interestModes = MarginModes.FixedAmountAndMargin;
|
||||
if (interestModes.Contains(position.InterestMode))
|
||||
{
|
||||
orginPv = eodPayPosition.InterestPrincipalFix;
|
||||
@@ -1360,6 +1302,8 @@ namespace YLErp.Modules.SwapModule
|
||||
List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
|
||||
preEodPositions.Add(eodPayPosition);
|
||||
var calcLast = tradeExtend?.InterestCalcMode?.EndsWith("1") ?? true;
|
||||
// 此处 closePercent=1 表示 EOD 计算本次事件时走全额结息；它不是 closeNational / oriPosiNotionalValue。
|
||||
// 与上方“收盘后剩余本金”同时传入会触发共享计息器的模式2/9本金修正，见 GetInterests。
|
||||
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true, settment: false, newCalcLast: autoSwap || calcLast);
|
||||
// TdInterestAmount：计息器返回的全腿当日/累计参考值，用于拆出 EOD 的当日新增。
|
||||
// interestAmountBeforeSettlement：本次事件发生前理论应结的高精度利息。
|
||||
@@ -1370,11 +1314,11 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal autoSettledInterestAmount = 0m;
|
||||
if (autoSwap && interests.Count > 0)
|
||||
{
|
||||
autoSettledInterestAmount = RoundMoney(interestAmountBeforeSettlement - manualSettledInterestAmount);
|
||||
autoSettledInterestAmount = EodPnlCalculator.RoundMoney(interestAmountBeforeSettlement - manualSettledInterestAmount);
|
||||
var autoInterest = interests[0];
|
||||
autoInterest.InterestAmount = autoSettledInterestAmount;
|
||||
autoInterest.InterestClosePnL = autoSettledInterestAmount
|
||||
* (autoInterest.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m);
|
||||
* DirectionRatio.ReceivePay(autoInterest.InterestDirection);
|
||||
}
|
||||
newEodPayPosition.ValueDate = valueDate;
|
||||
newEodPayPosition.PositionId = position.id;
|
||||
@@ -1420,11 +1364,9 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.TdCloseInterest = manualSettledInterestAmount + autoSettledInterestAmount;
|
||||
// intersetAcmount 是收盘后本金的一天应计展示值。算尾部分平仓时，下面的复利分支会改用
|
||||
// 平仓前全额本金重算当天新增，但跨日携带的 TdInterestPrincipal 仍只能是剩余本金。
|
||||
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
intersetAcmount /= tradeExtend.AnnualDays;
|
||||
}
|
||||
var intersetAcmount = InterestIncomeCalc.DailyAccrual(
|
||||
newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
|
||||
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
|
||||
newEodPayPosition.TdInterestIncome = autoSwap
|
||||
? intersetAcmount
|
||||
: !hasPreviousEod
|
||||
@@ -1474,12 +1416,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var accrualPrincipal = calcLast
|
||||
? fullPrincipal
|
||||
: newEodPayPosition.TdInterestPrincipal;
|
||||
newEodPayPosition.TdInterestIncome = accrualPrincipal
|
||||
* (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
newEodPayPosition.TdInterestIncome /= tradeExtend.AnnualDays;
|
||||
}
|
||||
newEodPayPosition.TdInterestIncome = InterestIncomeCalc.DailyAccrual(
|
||||
accrualPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
|
||||
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
|
||||
}
|
||||
if (!autoSwap
|
||||
&& closePercent > 0m && closePercent < 1m
|
||||
@@ -1505,13 +1444,13 @@ namespace YLErp.Modules.SwapModule
|
||||
// InterestIncomeSum 是收盘后仍未结算的尾差/剩余利息。
|
||||
// 部分平仓：扣款前待实现 - TdCloseInterest；最终全平且两位金额已覆盖时直接清零。
|
||||
newEodPayPosition.InterestIncomeSum = closePercent == 1
|
||||
&& RoundMoney(pendingInterestBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
&& EodPnlCalculator.RoundMoney(pendingInterestBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
? 0m
|
||||
: RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
: EodPnlCalculator.RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = closePercent == 1
|
||||
&& RoundMoney(pendingInterestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee)
|
||||
&& EodPnlCalculator.RoundMoney(pendingInterestFeeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterestFee)
|
||||
? 0m
|
||||
: RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
: EodPnlCalculator.RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
//持仓内容-利息腿-损益统计(本方视角）
|
||||
// InterestProfitSum 是利息腿待实现总额，包含利息和费用；无费用时等于 InterestIncomeSum。
|
||||
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
|
||||
@@ -1525,11 +1464,12 @@ namespace YLErp.Modules.SwapModule
|
||||
//累计已实现
|
||||
// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
|
||||
// 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
|
||||
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
|
||||
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
|
||||
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
|
||||
newEodPayPosition.RealizedInterest = rolled.Interest;
|
||||
newEodPayPosition.RealizedInterestFee = rolled.Fee;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
|
||||
position.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
DirectionRatio.RateType(position.InterestDirection));
|
||||
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
Log.Info($"即将插入数据库的 newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
PersistEodSwapPosition(newEodPayPosition);
|
||||
@@ -1549,7 +1489,7 @@ namespace YLErp.Modules.SwapModule
|
||||
Log.Info($"eodPayPosition is {JsonHelper.Serialize(eodPayPosition, false)},newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
List<IntervalModel> intervals = position.SwapIntervalList;
|
||||
var tradeExtend = td.trade_extend.ExtendObj;
|
||||
var interestModes = new List<int>() { (int)InterestModeEnum.固定值, (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
|
||||
var interestModes = MarginModes.FixedAmountAndMargin;
|
||||
if (eodPayPosition == null)
|
||||
{
|
||||
//if (position.PosiStartDate > valueDate)
|
||||
@@ -1604,11 +1544,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
closePercent = 1;
|
||||
}
|
||||
decimal ratio = eodPayPosition.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
var ratio = DirectionRatio.InterestLegPnl(eodPayPosition.InterestDirection, position.InterestMode);
|
||||
List<swap_position> positions = new List<swap_position>
|
||||
{
|
||||
position
|
||||
@@ -1647,11 +1583,12 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
|
||||
|
||||
//累计已实现
|
||||
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
|
||||
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
|
||||
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
|
||||
newEodPayPosition.RealizedInterest = rolled.Interest;
|
||||
newEodPayPosition.RealizedInterestFee = rolled.Fee;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
|
||||
eodPayPosition.InterestDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
DirectionRatio.RateType(eodPayPosition.InterestDirection));
|
||||
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
PersistEodSwapPosition(newEodPayPosition);
|
||||
@@ -1692,7 +1629,7 @@ namespace YLErp.Modules.SwapModule
|
||||
bool open)
|
||||
{
|
||||
payQty = Math.Abs(payQty);
|
||||
int ratio = eventFlow.PayDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;//收取为正，支付为负
|
||||
int ratio = DirectionRatio.ReceivePay(eventFlow.PayDirection);//收取为正，支付为负
|
||||
int shortRatio = DirectionRatio.LongShort(newEodPayPosition.PositionType);
|
||||
newEodPayPosition.ValueDate = eventFlow.PayDate.Value;
|
||||
newEodPayPosition.PositionId = eventFlow.PositionId;
|
||||
@@ -1740,7 +1677,7 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.TdPosiDividend = Math.Round(dividendIn * ratio, 2);
|
||||
newEodPayPosition.PosiMtmPnL = MtmCalc.UnrealizedPnl(newEodPayPosition.UnderlyingPrice, newEodPayPosition.PosiGrossPrice, newEodPayPosition.PosiQuantity, newEodPayPosition.ContractSize, shortRatio, (int)ratio);
|
||||
newEodPayPosition.PosiDividendSum = Math.Round(newEodPayPosition.TdPosiDividend - newEodPayPosition.TdCloseDividend, 2);
|
||||
newEodPayPosition.PosiProfitSum = newEodPayPosition.PosiMtmPnL + newEodPayPosition.PosiDividendSum + newEodPayPosition.PosiFeePending;
|
||||
newEodPayPosition.PosiProfitSum = MtmCalc.ReturnLegProfitSum(newEodPayPosition.PosiMtmPnL, newEodPayPosition.PosiDividendSum, newEodPayPosition.PosiFeePending);
|
||||
|
||||
//持仓价值
|
||||
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum);
|
||||
@@ -1748,7 +1685,7 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.RealizedFee = closeFee;
|
||||
newEodPayPosition.RealizedMtmPnL = newEodPayPosition.TdCloseMtmPnl;
|
||||
newEodPayPosition.RealizedDividend = newEodPayPosition.TdCloseDividend;
|
||||
SetFloatingRealizedPnl(newEodPayPosition);
|
||||
EodPnlCalculator.SetFloatingRealizedPnl(newEodPayPosition);
|
||||
|
||||
newEodPayPosition.PosiStatus = payQty == 0 ? 1 : 0;
|
||||
UpdateDbOption(newEodPayPosition);
|
||||
@@ -1792,7 +1729,7 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
var dealDate = curretEod.ValueDate;
|
||||
int shortRatio = DirectionRatio.LongShort(eod.PositionType);
|
||||
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
int directionRatio = DirectionRatio.ReceivePay(eod.PosiDirection);
|
||||
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
|
||||
var price = GetSwapValuationPrice(eod.UnderlyingCode, dealDate, out decimal vobp);
|
||||
curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
|
||||
@@ -1813,7 +1750,7 @@ namespace YLErp.Modules.SwapModule
|
||||
curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
|
||||
//curretEod.TdPosiDividend = 0;
|
||||
//curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
|
||||
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
|
||||
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
|
||||
curretEod.TdCloseFee = 0;
|
||||
curretEod.TdCloseQty = 0;
|
||||
curretEod.TdCloseMtmPnl = 0;
|
||||
@@ -1822,9 +1759,9 @@ namespace YLErp.Modules.SwapModule
|
||||
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
|
||||
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
|
||||
curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
|
||||
SetFloatingRealizedPnl(curretEod);
|
||||
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
|
||||
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
|
||||
, seekPreday: true, currencyRateType: curretEod.PosiDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
, seekPreday: true, currencyRateType: DirectionRatio.RateType(curretEod.PosiDirection));
|
||||
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
//持仓价值
|
||||
curretEod.SwapPositionValue = PositionValueCalc.Calc(curretEod.InterestProfitSum, curretEod.PosiProfitSum);
|
||||
@@ -1837,17 +1774,6 @@ namespace YLErp.Modules.SwapModule
|
||||
return curretEod;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 浮动腿累计已实现盈亏由盯市、分红和费用三个已实现组成项汇总。
|
||||
/// 各组成项已经按本方视角落库，此处不再额外转换方向。
|
||||
/// </summary>
|
||||
private static void SetFloatingRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 更新虚拟交易费用
|
||||
/// </summary>
|
||||
@@ -1884,7 +1810,7 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
var dealDate = curretEod.ValueDate;
|
||||
int shortRatio = DirectionRatio.LongShort(eod.PositionType);
|
||||
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
int directionRatio = DirectionRatio.ReceivePay(eod.PosiDirection);
|
||||
var price = GetSwapValuationPrice(eod.UnderlyingCode, dealDate, out decimal vobp);
|
||||
var todayConsumedDividend = CalcConsumedDividend(curretEod, unwindEvents);
|
||||
var originNotional = (decimal)td.OriginalStockEqvNotional / swapPosition.PosiNetPrice;
|
||||
@@ -1923,16 +1849,16 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
curretEod.PosiDividendSum = 0;
|
||||
}
|
||||
SetFloatingRealizedPnl(curretEod);
|
||||
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
|
||||
curretEod.SwapPositionValue -= curretEod.TdCloseDividend;
|
||||
|
||||
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
|
||||
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
|
||||
if (curretEod.PosiStatus == 1)
|
||||
{
|
||||
curretEod.PosiNotionalValue = 0;
|
||||
}
|
||||
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
|
||||
, seekPreday: true, currencyRateType: curretEod.PosiDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
, seekPreday: true, currencyRateType: DirectionRatio.RateType(curretEod.PosiDirection));
|
||||
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
//持仓价值
|
||||
curretEod.SwapPositionValue = PositionValueCalc.Calc(curretEod.InterestProfitSum, curretEod.PosiProfitSum);
|
||||
@@ -1972,7 +1898,7 @@ namespace YLErp.Modules.SwapModule
|
||||
return;
|
||||
}
|
||||
int shortRatio = DirectionRatio.LongShort(eod.PositionType);
|
||||
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
int directionRatio = DirectionRatio.ReceivePay(eod.PosiDirection);
|
||||
var unwindFlowEvents = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.平仓).ToList();
|
||||
var openFlowEvents = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.开仓).ToList();
|
||||
decimal unwindQty = unwindFlowEvents.Sum(s => s.Quantity);
|
||||
@@ -2005,16 +1931,16 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
posiQty = 0;
|
||||
}
|
||||
curretEod.PosiGrossPrice = (eod.PosiGrossPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg)) / (eod.PosiQuantity + openQty);
|
||||
curretEod.PosiGrossPrice = MtmCalc.BlendPrice(eod.PosiGrossPrice, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg), eod.PosiQuantity + openQty);
|
||||
curretEod.PosiGrossPrice = Math.Round(
|
||||
curretEod.PosiGrossPrice,
|
||||
GetStorageDeliveryPriceRound(curretEod.UnderlyingInstrumentType, curretEod.UnderlyingCode),
|
||||
MidpointRounding.AwayFromZero);
|
||||
curretEod.PosiNetPrice = (eod.PosiNetPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountFeeAvg)) / (eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetPrice = MtmCalc.BlendPrice(eod.PosiNetPrice, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * a.TradingAmountFeeAvg), eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetPrice = Math.Round(curretEod.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||||
curretEod.PosiNetNoFeePrice = (eod.PosiNetNoFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetAvg)) / (eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetNoFeePrice = MtmCalc.BlendPrice(eod.PosiNetNoFeePrice ?? 0m, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * (a.TradingAmountNetAvg ?? 0m)), eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetNoFeePrice = Math.Round(curretEod.PosiNetNoFeePrice ?? 0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||||
curretEod.PosiNetFeePrice = (eod.PosiNetFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetFeeAvg)) / (eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetFeePrice = MtmCalc.BlendPrice(eod.PosiNetFeePrice ?? 0m, eod.PosiQuantity, openFlowEvents.Sum(a => a.Quantity * (a.TradingAmountNetFeeAvg ?? 0m)), eod.PosiQuantity + openQty);
|
||||
curretEod.PosiNetFeePrice = Math.Round(curretEod.PosiNetFeePrice ?? 0, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
curretEod.PosiNotionalValue = curretEod.PosiGrossPrice * curretEod.PosiQuantity * curretEod.ContractSize;
|
||||
@@ -2053,7 +1979,7 @@ namespace YLErp.Modules.SwapModule
|
||||
curretEod.PositionId = position.id;
|
||||
curretEod.ClientId = td.ClientId;
|
||||
int shortRatio = DirectionRatio.LongShort(position.PositionType);
|
||||
int directionRatio = position.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
|
||||
int directionRatio = DirectionRatio.ReceivePay(position.PosiDirection);
|
||||
curretEod.PositionType = position.PositionType;
|
||||
var eod = new eod_swap_position()
|
||||
{
|
||||
@@ -2099,11 +2025,11 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
curretEod.UnderlyingMarketValue = MtmCalc.MarketValue(curretEod.UnderlyingPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio);
|
||||
curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
|
||||
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
|
||||
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
|
||||
curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
|
||||
curretEod.RealizedDividend = curretEod.TdCloseDividend;
|
||||
curretEod.RealizedFee = curretEod.TdCloseFee;
|
||||
SetFloatingRealizedPnl(curretEod);
|
||||
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
|
||||
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
|
||||
if (curretEod.PosiStatus == 1)
|
||||
{
|
||||
@@ -2112,7 +2038,7 @@ namespace YLErp.Modules.SwapModule
|
||||
//持仓价值
|
||||
curretEod.SwapPositionValue = PositionValueCalc.Calc(curretEod.InterestProfitSum, curretEod.PosiProfitSum);
|
||||
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
|
||||
, seekPreday: true, currencyRateType: curretEod.PosiDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
|
||||
, seekPreday: true, currencyRateType: DirectionRatio.RateType(curretEod.PosiDirection));
|
||||
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
|
||||
UpdateDbOption(curretEod);
|
||||
curretEod.Invalid = false;
|
||||
@@ -2187,8 +2113,6 @@ 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 = 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;
|
||||
@@ -2196,23 +2120,8 @@ namespace YLErp.Modules.SwapModule
|
||||
eod_Swap.BookId = td.AssetId;
|
||||
eod_Swap.ValueDate = settleDate;
|
||||
eod_Swap.StructureType = td.StructureType;
|
||||
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);
|
||||
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
|
||||
decimal interestPnL = 0;
|
||||
// 利息腿按我方视角归集。保证金腿的利息现金流方向与普通利息腿相反，
|
||||
// 因此保证金腿需要额外反转符号，确保 InterestPnL 表示我方的合约利率端收益。
|
||||
interestPositions.ForEach(x =>
|
||||
{
|
||||
decimal ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;//收取为正，支付为负
|
||||
if (MarginModes.Contains(x.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
interestPnL += x.InterestProfitSum * ratio;
|
||||
});
|
||||
eod_Swap.InterestPnL = interestPnL;
|
||||
EodPnlCalculator.FillPositionLegSummary(eod_Swap, positions);
|
||||
eod_Swap.InterestPnL = EodPnlCalculator.SumInterestPnL(interestPositions);
|
||||
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
|
||||
// 保证金腿的利息现金流方向与保证金本金方向相反。
|
||||
// 不能直接汇总 RealizedPnl，否则“收取客户保证金”的腿会把应支付给客户的
|
||||
@@ -2265,33 +2174,15 @@ namespace YLErp.Modules.SwapModule
|
||||
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 = 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);
|
||||
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
|
||||
interestPositions.ForEach(x =>
|
||||
{
|
||||
decimal ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;//收取为正，支付为负
|
||||
if (MarginModes.Contains(x.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
eod_Swap.InterestPnL += x.InterestProfitSum * ratio;
|
||||
});
|
||||
EodPnlCalculator.FillPositionLegSummary(eod_Swap, positions);
|
||||
eod_Swap.InterestPnL += EodPnlCalculator.SumInterestPnL(interestPositions);
|
||||
eodSwapPositions.ForEach(x =>
|
||||
{
|
||||
decimal ratio = x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;//收取为正，支付为负
|
||||
if (MarginModes.Contains(x.InterestMode))
|
||||
{
|
||||
ratio = -ratio;
|
||||
}
|
||||
var ratio = DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
|
||||
eod_Swap.TdRealizedPnL += x.TdCloseMtmPnl + x.TdCloseDividend + x.TdCloseFee + x.TdCloseInterest * ratio + x.TdCloseInterestFee;
|
||||
});
|
||||
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
|
||||
eod_Swap.RealizedPnL = eodSwapPositions.Sum(CalculateSwapRealizedPnl);
|
||||
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
|
||||
var tradeInitMarginObj = DbContext.trade_initial_margin.FirstOrDefault(x => x.TradeId == td.id);
|
||||
var initMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金 && x.HappenDate == settleDate).ToList();
|
||||
var addMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金 && x.HappenDate == settleDate).ToList();
|
||||
@@ -2310,20 +2201,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 我方支付给对手方的成本计入，而不会错误增加框架合约已实现收益。
|
||||
/// 抽为静态纯函数以支持无库单测（marginTypes 等价于 ConsTrade.InterestMarginModels）。
|
||||
/// </summary>
|
||||
public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
var interestRatio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
interestRatio = -interestRatio;
|
||||
}
|
||||
|
||||
return position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee
|
||||
+ position.RealizedInterest * interestRatio
|
||||
+ position.RealizedInterestFee;
|
||||
}
|
||||
public static decimal CalculateSwapRealizedPnl(eod_swap_position position) => EodPnlCalculator.CalculateSwapRealizedPnl(position);
|
||||
|
||||
/// <summary>
|
||||
/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
|
||||
@@ -2332,24 +2210,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapReportInterestSignNormalizeTest）。
|
||||
/// 仅当 InterestDirection > 0 时执行（与原内联逻辑等价）。
|
||||
/// </summary>
|
||||
public static void NormalizeInterestSignForReport(eod_swap_position position)
|
||||
{
|
||||
if (position.InterestDirection <= 0) return;
|
||||
|
||||
var interestRatio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;
|
||||
if (MarginModes.Contains(position.InterestMode))
|
||||
{
|
||||
interestRatio = -interestRatio;
|
||||
}
|
||||
else if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
|
||||
{
|
||||
return;
|
||||
}
|
||||
position.TdCloseInterest = Math.Abs(position.TdCloseInterest) * interestRatio;
|
||||
position.RealizedInterest = Math.Abs(position.RealizedInterest) * interestRatio;
|
||||
// 兼容修复前已落库的利息腿：当时只累计了明细字段，未同步写入 RealizedPnl。
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
public static void NormalizeInterestSignForReport(eod_swap_position position) => EodPnlCalculator.NormalizeInterestSignForReport(position);
|
||||
|
||||
/// <summary>
|
||||
/// 获取多空组合 平仓详细
|
||||
@@ -2838,11 +2699,11 @@ namespace YLErp.Modules.SwapModule
|
||||
var floatRateInterest = eodInterests.Where(x => !string.IsNullOrEmpty(x.FloatRateUnderlyingCode)).FirstOrDefault();
|
||||
item.position.FloatRateUnderlyingCode = floatRateInterest?.FloatRateUnderlyingCode;
|
||||
item.position.FloatRate = floatRateInterest?.FloatRate ?? 0;
|
||||
item.OpenMarginAmount = initialMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
|
||||
item.OpenMarginRate = CalculateWeightedMarginRate(tradeMargins);
|
||||
item.AdditionalMarginAmount = additionalMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
|
||||
item.OpenMarginAmount = initialMargins.Sum(s => s.InterestPrincipalFix * DirectionRatio.ReceivePay(s.InterestDirection));
|
||||
item.OpenMarginRate = EodPnlCalculator.CalculateWeightedMarginRate(tradeMargins);
|
||||
item.AdditionalMarginAmount = additionalMargins.Sum(s => s.InterestPrincipalFix * DirectionRatio.ReceivePay(s.InterestDirection));
|
||||
item.MarginInterestAmount = CalculateWeightedMarginInterest(eodMargins);
|
||||
item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1));
|
||||
item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (-DirectionRatio.ReceivePay(s.InterestDirection)));
|
||||
item.InterestRate = eodInterests.Sum(s => s.InterestRateDefault);
|
||||
// 到期轧差才把期间付息/分红并入净额结算；派息日支付已在现金流层独立结算，不能重复计入估值。
|
||||
var nettingDividend = (tradeExtend?.ExtendObj?.DividendPayDate ?? 1) == 0 ? pendingDividend : 0m;
|
||||
@@ -2864,29 +2725,12 @@ namespace YLErp.Modules.SwapModule
|
||||
return retListResult;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利率。多条初始/追加预付金腿按本金绝对值加权，
|
||||
/// 不按收付方向轧差，避免相反方向本金抵消后放大利率。
|
||||
/// </summary>
|
||||
private static decimal CalculateWeightedMarginRate(IEnumerable<swap_position> margins)
|
||||
{
|
||||
var marginList = margins.ToList();
|
||||
var totalWeight = marginList.Sum(x => Math.Abs(x.InterestPrincipalFix));
|
||||
return totalWeight == 0
|
||||
? 0
|
||||
: marginList.Sum(x => x.InterestRateDefault * Math.Abs(x.InterestPrincipalFix)) / totalWeight;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利息金额。InterestIncomeSum 已是各腿利息金额，
|
||||
/// 按收取为正、支付为负直接轧差求和，不做本金加权。
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapWeightedMarginInterestTest）。
|
||||
/// </summary>
|
||||
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins)
|
||||
{
|
||||
return margins.Sum(x =>
|
||||
x.InterestIncomeSum * (x.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
|
||||
}
|
||||
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins) => EodPnlCalculator.CalculateWeightedMarginInterest(margins);
|
||||
|
||||
/// <summary>
|
||||
/// 固定利息腿的累计已实现盈亏 = 累计已实现利息 + 累计已实现利息费用。
|
||||
@@ -2894,10 +2738,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapFixedLegRealizedPnlTest），
|
||||
/// 并消除复制粘贴带来的笔误风险（如 L1296 历史双分号）。
|
||||
/// </summary>
|
||||
public static void SetFixedLegRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
public static void SetFixedLegRealizedPnl(eod_swap_position position) => EodPnlCalculator.SetFixedLegRealizedPnl(position);
|
||||
/// <summary>
|
||||
/// 将数据库中以公司/交易簿记方向保存的日终字段转换为客户视角。
|
||||
/// 该转换必须在拆分浮动收益、费用和期间付息/分红之前完成，
|
||||
|
||||
@@ -0,0 +1,43 @@
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Consts;
|
||||
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// 平仓手续费计算——纯 static，无 this 依赖。
|
||||
/// 从 SwapDealService 提取，零行为变更。
|
||||
/// </summary>
|
||||
public static class TradingFeeCalc
|
||||
{
|
||||
public static decimal CalcInitTradingFee(swap_position oriPosition, UnwindData unwindData)
|
||||
{
|
||||
if (oriPosition == null || unwindData == null)
|
||||
{
|
||||
return 0;
|
||||
}
|
||||
|
||||
if (oriPosition.PosiFeeType == 1)
|
||||
{
|
||||
return Math.Round(oriPosition.PosiTradingFeeUnit * unwindData.CloseQty, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
return Math.Round(oriPosition.PosiTradingFeeUnit / 100m * unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
public static decimal CalcInitTradingFeePending(swap_position oriPosition, swap_position position, UnwindData unwindData)
|
||||
{
|
||||
if (oriPosition == null || unwindData == null || oriPosition.PosiTradingFeeUnit == 0)
|
||||
{
|
||||
return position?.PosiTradingFeePending ?? 0;
|
||||
}
|
||||
|
||||
var closeBase = oriPosition.PosiFeeType == 1 ? unwindData.CloseQty : unwindData.CloseNotionalValue;
|
||||
var originalBase = oriPosition.PosiFeeType == 1 ? unwindData.NotionalQty : unwindData.NotionalValue;
|
||||
if (originalBase <= 0)
|
||||
{
|
||||
return position?.PosiTradingFeePending ?? 0;
|
||||
}
|
||||
|
||||
return Math.Round(oriPosition.PosiTradingFeePending * closeBase / originalBase, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,104 @@
|
||||
using YLErp.Helpers;
|
||||
using YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// 平仓数据(UnwindData)规范化——纯 static，无 this 依赖。
|
||||
/// 从 SwapDealService 提取，零行为变更。
|
||||
/// </summary>
|
||||
internal static class UnwindNormalizer
|
||||
{
|
||||
internal static void NormalizeNotionalValues(UnwindData unwindData)
|
||||
{
|
||||
unwindData.NotionalValue = Math.Round(unwindData.NotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
unwindData.PosiNotionalValue = Math.Round(unwindData.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
unwindData.CloseNotionalValue = Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
internal static bool NormalizeFullCloseRequest(UnwindData unwindData)
|
||||
{
|
||||
if (unwindData.CloseMethod != (int)CloseMethodEnum.全部平仓
|
||||
&& unwindData.ClosePercent < 1
|
||||
&& !(unwindData.PositionQty > 0 && unwindData.CloseQty >= unwindData.PositionQty)
|
||||
&& !(unwindData.PosiNotionalValue > 0 && unwindData.CloseNotionalValue >= unwindData.PosiNotionalValue))
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
var closeQty = unwindData.CloseQty;
|
||||
var closeNotionalValue = unwindData.CloseNotionalValue;
|
||||
unwindData.ClosePercent = 1;
|
||||
if (unwindData.PositionQty > 0) unwindData.CloseQty = unwindData.PositionQty;
|
||||
if (unwindData.PosiNotionalValue > 0) unwindData.CloseNotionalValue = unwindData.PosiNotionalValue;
|
||||
return closeQty != unwindData.CloseQty || closeNotionalValue != unwindData.CloseNotionalValue;
|
||||
}
|
||||
|
||||
internal static void RecalculateNormalizedUnwindAmounts(UnwindData unwindData)
|
||||
{
|
||||
var floatLeg = unwindData.FlowEvents.FirstOrDefault(x => !string.IsNullOrEmpty(x.UnderlyingCode));
|
||||
if (floatLeg == null || floatLeg.PosiGrossPrice == 0) return;
|
||||
|
||||
var input = new UnwindInput
|
||||
{
|
||||
Multiplier = ConsGlobal.InstrumentType.IsBond(floatLeg.UnderlyingInstrumentType) ? 100 : 1,
|
||||
PosiGrossPrice = floatLeg.PosiGrossPrice,
|
||||
TradingAmountAvg = floatLeg.TradingAmountAvg,
|
||||
CloseQty = unwindData.CloseQty,
|
||||
PositionQty = unwindData.PositionQty,
|
||||
ContractSize = floatLeg.ContractSize,
|
||||
CloseNotionalValue = unwindData.CloseNotionalValue,
|
||||
PayDirection = floatLeg.PayDirection,
|
||||
PositionType = floatLeg.PositionType,
|
||||
TradingFee = floatLeg.TradingFee.ToString(),
|
||||
TradingFeePending = floatLeg.TradingFeePending.ToString(),
|
||||
DividendIn = floatLeg.DividendIn.ToString()
|
||||
};
|
||||
foreach (var leg in unwindData.FlowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
|
||||
{
|
||||
var target = MarginModes.Contains(leg.InterestMode)
|
||||
? input.MarginLegs
|
||||
: input.InterestLegs;
|
||||
target.Add(new LegInput { InterestClosePnL = leg.InterestClosePnL });
|
||||
}
|
||||
|
||||
var result = FrontendCalcReference.CalcUnwind(input);
|
||||
floatLeg.MarkClosePnl = result.MarkClosePnl;
|
||||
unwindData.SwapCloseAmount = result.SwapCloseAmount;
|
||||
unwindData.SwapRealizedPnL = result.SwapRealizedPnL;
|
||||
unwindData.SwapMarginRebatePnl = result.SwapMarginRebatePnl;
|
||||
}
|
||||
|
||||
internal static bool IsFullCloseAfterDeduction(UnwindData unwindData, double remainingNotional, double remainingQuantity)
|
||||
{
|
||||
return unwindData.ClosePercent == 1 || (remainingNotional == 0 && remainingQuantity == 0);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 手工平仓、手工互换及收益结算的利息事件按金额两位落库。
|
||||
/// 自动平仓保留原有计算与落库口径，不适用本阶段的手工结算规则。
|
||||
/// </summary>
|
||||
internal static bool NormalizeSettledInterestAmounts(IEnumerable<swap_flow_event> flowEvents, int eventType, string eventReason)
|
||||
{
|
||||
if ((eventType != (int)SwapEventTypeEnum.平仓 && eventType != (int)SwapEventTypeEnum.互换)
|
||||
|| eventReason == "系统操作_自动平仓")
|
||||
{
|
||||
return false;
|
||||
}
|
||||
|
||||
foreach (var flowEvent in flowEvents.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)))
|
||||
{
|
||||
flowEvent.InterestPrincipal = Math.Round(flowEvent.InterestPrincipal, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestAmount = Math.Round(flowEvent.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.TdInterestAmount = Math.Round(flowEvent.TdInterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestClosePnL = Math.Round(flowEvent.InterestClosePnL, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
flowEvent.InterestFee = Math.Round(flowEvent.InterestFee, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
internal static void NormalizeEventUnwindDate(UnwindData unwindData)
|
||||
{
|
||||
unwindData.UnwindDate = unwindData.ValueDate;
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,66 @@
|
||||
# 任务 4：盘中复利从 EOD 续接（而非 PosiStartDate 全程重放）
|
||||
|
||||
## 状态：待立项（高风险，需专项验证）
|
||||
|
||||
## 现状
|
||||
|
||||
`CalcDailyCompoundInterest` 从 `position.PosiStartDate` 全程重放到 `endDate`，每个重置日把累计利息并入本金（复利），最后扣 `consumedInterest * closePercent`。
|
||||
|
||||
**调用链**：`InitSwapDealInterest` → `CalcDailyCompoundInterest(endDate, PosiStartDate→endDate 全程重放)`
|
||||
|
||||
**问题**：交易存续期长（数月~数年）时，每次盘中平仓都从起息日重放，计算量随天数线性增长。
|
||||
|
||||
## 提议
|
||||
|
||||
改为从上一日终快照（`preEodPosition`）续接：
|
||||
- 起点 = `preEodPosition.ValueDate + 1`
|
||||
- 初始本金 = `preEodPosition.TdInterestPrincipal`（已含历史滚入利息）
|
||||
- 只算 `ValueDate+1` 到 `endDate` 的增量利息
|
||||
|
||||
## 风险分析（为什么不能直接改）
|
||||
|
||||
### 风险 1：并本金起点不同导致终值不等
|
||||
|
||||
| | 全程重放（当前） | EOD 续接（提议） |
|
||||
|---|---|---|
|
||||
| 起点 | `principal`（原始平仓名义本金） | `preEod.TdInterestPrincipal`（已滚利息） |
|
||||
| 滚法 | 每段 `basis = principal + accrued` | 每段 `basis = preEod.TdInterestPrincipal + segmentAccrued` |
|
||||
|
||||
两段路径在**中间重置日的四舍五入路径不同**（精度 12 的 Round 作用在不同的中间值上），终值**不一定逐分相等**。
|
||||
|
||||
### 风险 2：consumedInterest 语义翻转
|
||||
|
||||
- 全程重放：总利息 - consumedInterest × closePercent = 增量
|
||||
- EOD 续接：直接算增量，**不需要**扣 consumedInterest
|
||||
|
||||
如果 EOD 快照的 `InterestIncomeSum` 与 consumedInterest 口径不完全一致，直接去掉扣减会引入误差。
|
||||
|
||||
### 风险 3：resetCarryInterest 耦合
|
||||
|
||||
当前逻辑：`resetCarryInterest`（上一日终待实现 × remainingPercent）只在 `endDate` 恰好是重置日时并入本金。EOD 续接模式下，重置日的判定、remainingPercent 的计算、carry 的注入时机都不同。
|
||||
|
||||
### 风险 4：全平重放逻辑（lines 1293-1304）
|
||||
|
||||
`InitSwapDealInterest` 在 `closePrecent == 1m` 时做 **两次** `CalcDailyCompoundInterest` 重放（截至平仓日 + 截至上一日终），取差值。EOD 续接模式下这段逻辑需要完全重新设计。
|
||||
|
||||
## 验证方案（立项前提）
|
||||
|
||||
1. 构造测试用例：同一笔复利交易，跨越 ≥2 个重置周期，有 preEod 快照
|
||||
2. 用**旧全程重放**算出 `(InterestAmount, TdInterestAmount, finalBasis)`
|
||||
3. 用**新 EOD 续接**算出同样三个值
|
||||
4. 断言差额 < 0.01（到分）
|
||||
5. 覆盖场景：
|
||||
- 部分平仓（closePercent < 1）
|
||||
- 全平（closePercent == 1）
|
||||
- 平仓日 = 重置日
|
||||
- 平仓日 ≠ 重置日
|
||||
- 有/无 consumedInterest
|
||||
- 有/无 resetCarryInterest
|
||||
|
||||
## 建议排期
|
||||
|
||||
单独 sprint 处理，不混入日常重构。改动范围：
|
||||
- `CompoundInterestAccrual.AccruePeriod` 新增 `startBasis` 参数（或新方法 `AccrueFromEod`）
|
||||
- `CalcDailyCompoundInterest` wrapper 改为传 `preEod.TdInterestPrincipal` 作为起点
|
||||
- `InitSwapDealInterest` 全平重放逻辑简化（不再需要两次重放取差值）
|
||||
- `consumedInterest` 扣减逻辑移除或调整
|
||||
Reference in New Issue
Block a user