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盘中单复利计算分开，复利不取上一次收盘，直接从新算

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吴方海
2026-06-02 11:25:59 +08:00
parent 30b6c6a429
commit 0fe5e9744d
1 changed files with 68 additions and 29 deletions
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YLErpDAL/Modules/SwapModule/SwapDealService.cs
+68 -29
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@@ -657,11 +657,11 @@ namespace YLErp.Modules.SwapModule
var floateRate = preEodPosition.FloatRate;
if (position.InterestType == (int)InterestTypeEnum.复利)
{
CalcDailyCompoundInterest(preEodPosition, endDate, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
CalcDailyCompoundInterest( endDate, position, closePosiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
}
else
{
CalcDailySimpleInterest(preEodPosition, endDate, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
CalcDailySimpleInterest(preEodPosition, endDate, position, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
}
interest.InterestAmount = Math.Round(InterestAmount, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
@@ -685,26 +685,73 @@ namespace YLErp.Modules.SwapModule
/// <param name="isAnnualized">是否年化</param>
/// <param name="annualDays">年化天数</param>
/// <returns></returns>
public void CalcDailyCompoundInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal principal, 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)
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, ref decimal InterestAmount, ref decimal TdInterestAmount)
{
// 复利：利息并入本金
CalcDailyInterest(preEodPosition, endDate, position, principal, posiPrincipal, flowEvent, annualDays, needPrice, floateRate, closePercent, orginPv, compoundInterest: true, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
var startDate = position.PosiStartDate;
decimal interestProfitSum = 0;
decimal TdInterestPrincipal = 0;
decimal interest = interestProfitSum * closePercent;
decimal tdinterest = interestProfitSum * closePercent;
int interestPeriod = position.interest_rest_days ?? 1;
// 复利：只能用要平仓的名义本金从头开始算
decimal dynomicPrincipal = principal;
decimal tdDynomicPrincipal = dynomicPrincipal;
var calcDays = (endDate - startDate).Days;
double floatRate = Convert.ToDouble(floateRate);
for (int i = 0; i <= calcDays; i++)
{
var accrueDate = startDate.AddDays(i);
if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾
if (accrueDate >= startDate)
{
if (i % interestPeriod == 0)
{
// 复利时：利息并入本金
dynomicPrincipal = principal + interest;
tdDynomicPrincipal = principal + interest;
// 获取新的浮动利率
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(accrueDate.AddDays(position.interest_rule ?? 0));
if (TryGetFloatRate(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
{
if (floatRate1 != 0) floatRate = floatRate1;
}
else
{
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fr007RateDate:yyyy年MM月dd日}的价格");
}
}
flowEvent.InterestPrincipal = tdDynomicPrincipal;
TdInterestPrincipal = tdDynomicPrincipal;
}
else
{
// 复利非重置日：利息不并入本金，不用closePercent缩放（principal已反映平仓比例）
flowEvent.InterestPrincipal = tdDynomicPrincipal;
TdInterestPrincipal = tdDynomicPrincipal;
}
flowEvent.FloatRate = Convert.ToDecimal(floatRate);
var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
var tdinterest1 = TdInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
if (position.IsAnnualized)
{
interest1 /= annualDays;
tdinterest1 /= annualDays;
}
interest += interest1;
tdinterest += tdinterest1;
}
}
InterestAmount = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
TdInterestAmount = Math.Round(tdinterest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
}
/// <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 principal, 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)
{
// 单利：利息不并入本金
CalcDailyInterest(preEodPosition, endDate, position, principal, posiPrincipal, flowEvent, annualDays, needPrice, floateRate, closePercent, orginPv, compoundInterest: false,calcFirst,calcLast, ref InterestAmount, ref TdInterestAmount);
}
/// <summary>
/// 通用日度利息计算方法（单利/复利共用）
/// </summary>
/// <param name="compoundInterest">是否复利：true=利息并入本金，false=单利</param>
private void CalcDailyInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool compoundInterest, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount)
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)
{
var startDate = position.PosiStartDate;
decimal interestProfitSum = preEodPosition.InterestProfitSum;
@@ -712,35 +759,27 @@ namespace YLErp.Modules.SwapModule
decimal interest = interestProfitSum * closePercent;
decimal tdinterest = interestProfitSum * closePercent;
int interestPeriod = position.interest_rest_days ?? 1;
decimal dynomicPrincipal = (preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv);
// 单利：可用上一日计息基数
decimal dynomicPrincipal = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
decimal tdDynomicPrincipal = dynomicPrincipal;
var calcDays = (endDate - startDate).Days;
double floatRate = Convert.ToDouble(floateRate);
for (int i = 0; i <= calcDays; i++)
{
var accrueDate = startDate.AddDays(i);
if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾
if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾
if (accrueDate > preEodPosition.ValueDate)
{
if (i % interestPeriod == 0)
{
// 复利时：利息并入本金
if (compoundInterest)
{
dynomicPrincipal = principal + interest;
tdDynomicPrincipal = principal + interest;
}
// 获取新的浮动利率
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(accrueDate.AddDays(position.interest_rule ?? 0));
if (TryGetFloatRate(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
{
if (floatRate1 != 0)
{
floatRate = floatRate1;
}
if (floatRate1 != 0) floatRate = floatRate1;
}
else
{