feat(swap): 添加收益互换利息计算功能及Excel场景测试
- 新增ExecuteSaveEodInterestPositionCopy方法用于保存日终利息持仓副本 - 添加ExcelScenario4Case类和相关测试数据用于验证利息计算准确性 - 实现DI_EXCEL_SCENARIO4_PartialCloseAndFinalCloseMatchBlAndBn测试方法 - 优化SwapDealService中的利息计算逻辑和平仓处理 - 添加详细的注释说明利息计算的核心业务规则 - 完善SwapEodPositionService中的日终持仓处理逻辑 - 修复部分平仓和最终平仓时的利息金额计算问题
This commit is contained in:
张名锐
@@ -115,6 +115,16 @@ namespace YLErp.Modules.SwapModule
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return PersistedPositions.LastOrDefault();
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}
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public eod_swap_position ExecuteSaveEodInterestPositionCopy(
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eod_swap_position eodPayPosition, swap_position position, trade td,
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DateTime valueDate, decimal posiLongNotional, decimal posiShortNotional,
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decimal grossPrice, decimal orginPv)
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{
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SaveEodInterestPositionCopy(eodPayPosition, null, valueDate, td, position, null,
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false, posiLongNotional, posiShortNotional, grossPrice, orginPv);
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return PersistedPositions.LastOrDefault();
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}
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// public 包装：直接调用 protected virtual DealInterests（已改为 virtual，无需反射）
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public void ExecuteDealInterests(
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List<swap_position> interestList, List<eod_swap_position> eodPositions,
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@@ -258,6 +268,86 @@ namespace YLErp.Modules.SwapModule
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$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
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}
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public sealed class ExcelScenario4Case
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{
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public string TradeNumber { get; init; }
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public DateTime StartDate { get; init; }
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public int SettlementRules { get; init; }
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public int InterestMode { get; init; }
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public int InterestType { get; init; }
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public string InterestCalcMode { get; init; }
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public int InterestRule { get; init; }
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public decimal FixedRate { get; init; }
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public decimal ExpectedPartialInterest { get; init; }
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public decimal ExpectedFinalInterest { get; init; }
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public override string ToString() => TradeNumber;
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}
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public static IEnumerable<object[]> ExcelScenario4Cases => new List<ExcelScenario4Case>
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{
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ExcelCase("GLMS-20260421-0008", new DateTime(2026, 4, 22), 1, 2, 1, "11", 0, -0.021m, -37218.76m, -124093.74m),
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ExcelCase("GLMS-20260421-0007", new DateTime(2026, 4, 21), 0, 2, 1, "11", 0, 0.0025m, 84090.95m, 268428.73m),
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ExcelCase("GLMS-20260421-0006", new DateTime(2026, 4, 22), 1, 9, 1, "10", 0, -0.021m, -35375.54m, -119386.71m),
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ExcelCase("GLMS-20260421-0005", new DateTime(2026, 4, 21), 0, 2, 1, "10", 0, 0.0025m, 80002.31m, 259348.38m),
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ExcelCase("GLMS-20260421-0004", new DateTime(2026, 4, 22), 1, 9, 1, "11", -1, -0.021m, -37119.14m, -123280.17m),
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ExcelCase("GLMS-20260421-0003", new DateTime(2026, 4, 21), 0, 2, 1, "11", -1, 0.0025m, 83919.92m, 269717.13m),
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ExcelCase("GLMS-20260421-0002", new DateTime(2026, 4, 22), 1, 9, 1, "10", -1, -0.021m, -35350.65m, -118631.26m),
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ExcelCase("GLMS-20260421-0001", new DateTime(2026, 4, 21), 0, 9, 1, "10", -1, 0.0025m, 79831.29m, 260578.53m),
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ExcelCase("GLMS-20260421-0012", new DateTime(2026, 4, 22), 1, 9, 0, "11", -1, -0.021m, -37124.16m, -123307.03m),
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ExcelCase("GLMS-20260421-0011", new DateTime(2026, 4, 21), 0, 2, 0, "11", -1, 0.0025m, 83894.12m, 269586.02m),
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ExcelCase("GLMS-20260421-0010", new DateTime(2026, 4, 22), 1, 9, 0, "10", 0, -0.021m, -35380.07m, -119411.90m),
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ExcelCase("GLMS-20260421-0009", new DateTime(2026, 4, 21), 0, 9, 0, "10", -1, 0.0025m, 79807.97m, 260458.63m)
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}.Select(x => new object[] { x });
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private static ExcelScenario4Case ExcelCase(string tradeNumber, DateTime startDate,
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int settlementRules, int interestMode, int interestType, string interestCalcMode,
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int interestRule, decimal fixedRate, decimal expectedPartialInterest,
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decimal expectedFinalInterest)
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{
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return new ExcelScenario4Case
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{
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TradeNumber = tradeNumber,
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StartDate = startDate,
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SettlementRules = settlementRules,
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InterestMode = interestMode,
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InterestType = interestType,
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InterestCalcMode = interestCalcMode,
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InterestRule = interestRule,
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FixedRate = fixedRate,
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ExpectedPartialInterest = expectedPartialInterest,
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ExpectedFinalInterest = expectedFinalInterest
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};
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}
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private static IReadOnlyDictionary<DateTime, double> CreateExcelScenario4Fr007Rates()
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{
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return new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 20)] = 0.0132,
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 22)] = 0.0132,
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[new DateTime(2026, 4, 23)] = 0.0132,
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[new DateTime(2026, 4, 24)] = 0.0131,
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[new DateTime(2026, 4, 27)] = 0.013502,
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[new DateTime(2026, 4, 28)] = 0.0136,
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[new DateTime(2026, 4, 29)] = 0.0138,
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[new DateTime(2026, 4, 30)] = 0.0139,
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[new DateTime(2026, 5, 4)] = 0.0139,
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[new DateTime(2026, 5, 5)] = 0.0139,
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[new DateTime(2026, 5, 6)] = 0.0136,
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[new DateTime(2026, 5, 7)] = 0.0136,
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[new DateTime(2026, 5, 8)] = 0.0135,
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[new DateTime(2026, 5, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.0130,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.0130,
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[new DateTime(2026, 5, 15)] = 0.0130,
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[new DateTime(2026, 5, 18)] = 0.0132,
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[new DateTime(2026, 5, 19)] = 0.0131
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};
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}
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#endregion
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// ================================================================
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@@ -1753,6 +1843,154 @@ namespace YLErp.Modules.SwapModule
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/// [DI_MATURITY_SETTLEMENT_001] 到期日存在手动互换但未带齐待实现时不能清零；
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/// 当前事件按两位覆盖全部可结金额后，才可视为最终结算并清零。
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/// </summary>
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[DataTestMethod]
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[DynamicData(nameof(ExcelScenario4Cases), DynamicDataSourceType.Property)]
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public void DI_EXCEL_SCENARIO4_PartialCloseAndFinalCloseMatchBlAndBn(ExcelScenario4Case scenario)
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{
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// 本测试对应主流程文档 16.13 节。四个规模字段按以下恒等式变化：
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// 原始本金 303139117.80 = 本次平仓 90941735.34 + 收盘后剩余 212197382.46。
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const decimal originalNotional = 303139117.80m;
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const decimal partialClosePercent = 0.30m;
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const decimal partialNotional = 90941735.34m;
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const decimal remainingNotional = 212197382.46m;
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var partialCloseDate = new DateTime(2026, 5, 11);
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var finalCloseDate = new DateTime(2026, 5, 19);
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var tradeId = 10000 + int.Parse(scenario.TradeNumber[^4..]);
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var td = new trade
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{
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id = tradeId,
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TradeNumber = scenario.TradeNumber,
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ClientId = 999998,
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TradeType = "收益互换",
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TradeDate = new DateTime(2026, 4, 21),
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StartDate = scenario.StartDate,
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ExerciseDate = finalCloseDate,
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TradeStatus = "确认成交",
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ValidState = "Valid",
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StructureType = "单标的",
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QuoteCurrency = "CNY",
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SettlementCurrency = "CNY",
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trade_extend = new trade_extend
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{
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TradeId = tradeId,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = scenario.InterestCalcMode,
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SettlementRules = scenario.SettlementRules
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})
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}
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};
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var position = new swap_position
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{
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id = tradeId * 10L + 1,
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SwapTradeId = tradeId,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = scenario.InterestMode,
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InterestRateDefault = scenario.FixedRate,
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InterestPrincipalFix = originalNotional,
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PosiStartDate = scenario.StartDate,
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PosiMatuirityDate = finalCloseDate,
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IsInitial = true,
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Invalid = false,
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InterestType = scenario.InterestType,
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IsAnnualized = true,
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interest_rest_days = 7,
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interest_rule = scenario.InterestRule,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = finalCloseDate, Rate = scenario.FixedRate, Settlement = 0 }
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})
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};
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var dealService = new StubCompoundSwapDealService(CreateExcelScenario4Fr007Rates());
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var eodService = new StubEodPositionService { DealService = dealService };
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// Excel 操作在 5/8 完成收盘；系统随后仍会生成 5/9、5/10 自动日终，
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// 5/11 平仓读取的是 5/10 快照。漏掉周末快照会让平仓后待实现少两天全额利息。
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var preCloseEodDates = Enumerable.Range(0,
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(partialCloseDate.AddDays(-1) - scenario.StartDate).Days + 1)
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.Select(day => scenario.StartDate.AddDays(day));
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eod_swap_position preCloseEod = null;
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foreach (var eodDate in preCloseEodDates)
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{
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preCloseEod = eodService.ExecuteSaveEodInterestPositionCopy(
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preCloseEod, position, td, eodDate, originalNotional, 0m, 1m,
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originalNotional);
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}
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// partialInterest 是页面平仓时的理论结果：
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// InterestPrincipal=本次关闭部分的计息本金，InterestAmount=本次应结利息，
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// TdInterestAmount=同一计算区间的全腿参考金额。BL 只核对实际要结的 InterestAmount。
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// 例如 0004：InterestPrincipal=90915227.13，InterestAmount=-37119.14。
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var partialInterest = dealService.GetInterests(
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td, td.trade_extend, partialCloseDate, partialCloseDate,
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new List<eod_swap_position> { preCloseEod }, new List<swap_position> { position },
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originalNotional, originalNotional, 0m, partialNotional, partialClosePercent,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
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settment: false).Single();
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AssertExcelMoney(scenario.ExpectedPartialInterest, partialInterest.InterestAmount,
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$"{scenario.TradeNumber} 5/11 部分平仓利息应匹配 Excel BL 列");
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// 流水代表“已经结算”的事实，必须按金额两位保存；更高精度的差额留在 EOD 待实现中。
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var partialCashInterest = Math.Round(partialInterest.InterestAmount,
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ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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var partialFlow = new swap_flow_event
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{
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SwapTradeId = tradeId,
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PositionId = position.id,
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EventType = (int)SwapFlowEventTypeEnum.平仓,
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EventDate = partialCloseDate,
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UnwindDate = partialCloseDate,
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InterestDirection = position.InterestDirection,
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InterestMode = position.InterestMode,
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InterestRate = partialInterest.InterestRate,
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FloatRate = partialInterest.FloatRate,
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InterestPrincipal = partialInterest.InterestPrincipal,
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InterestAmount = partialCashInterest,
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TdInterestAmount = Math.Round(partialInterest.TdInterestAmount,
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ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero),
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InterestClosePnL = partialCashInterest,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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// partialEod 是 5/11 收盘后的状态，不是流水副本。以 0004 为例：
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// TdCloseInterest=-37119.14，InterestIncomeSum=-86611.313284，
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// RealizedInterest=-37119.14，TdInterestPrincipal=212135529.974418。
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var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
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preCloseEod, position, td, partialCloseDate, null, remainingNotional, 0m,
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new List<swap_flow_event> { partialFlow }, partialNotional, false);
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// 5/11 部分平仓收盘后继续逐自然日归档到 5/18，保留剩余 70% 仓位的完整利息。
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var postCloseEodDates = Enumerable.Range(1, 7)
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.Select(day => partialCloseDate.AddDays(day));
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var finalPreEod = partialEod;
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foreach (var eodDate in postCloseEodDates)
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{
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finalPreEod = eodService.ExecuteSaveEodInterestPositionCopy(
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finalPreEod, position, td, eodDate, remainingNotional, 0m, 1m,
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remainingNotional);
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}
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// finalInterest 读取 5/18 的剩余仓位 EOD：历史待实现 + 5/19 是否算尾的新增利息。
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// 最终 closePercent=100%，因此 InterestAmount 必须带走此前部分平仓留下的全部尾差。
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var finalInterest = dealService.GetInterests(
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td, td.trade_extend, finalCloseDate, finalCloseDate,
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new List<eod_swap_position> { finalPreEod }, new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, remainingNotional,
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settment: false).Single();
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AssertExcelMoney(scenario.ExpectedFinalInterest, finalInterest.InterestAmount,
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$"{scenario.TradeNumber} 5/19 全部平仓利息应匹配 Excel BN 列");
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}
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private static void AssertExcelMoney(decimal expected, decimal actual, string message)
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{
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var roundedActual = Math.Round(actual, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero);
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Assert.IsTrue(Math.Abs(expected - roundedActual) <= 0.01m,
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$"{message}。Expected={expected}, Actual={actual}, Rounded={roundedActual}, Diff={expected - roundedActual}");
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}
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[TestMethod]
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public void DI_MATURITY_SETTLEMENT_001_到期手动互换仅在结清后清零()
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{
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@@ -636,11 +636,14 @@ namespace YLErp.Modules.SwapModule
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List<eod_swap_position> lastEodPositions = new SwapEodPositionService(this).GetPreEodPositions(tradeId, _preSetteDate);//上一交易数据
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var posiLongNotionalValue = longPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
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var posiShortNotionalValue = shortPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
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var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue);
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var posiNotionalValue = stockEqvNotional * closePercent;//剩余名义本金
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var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional);
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var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue); // 当前平仓前的实时剩余本金
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var posiNotionalValue = stockEqvNotional * closePercent;// 本次平仓名义本金
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var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional); // 上一日终的浮动端本金
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var grossPrice = realPostitions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice;
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var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.UnwindDate == unwindDate && eventTypes.Contains(x.EventType) && x.DataState == (int)SwapFlowDateStateEnum.完成).ToList();
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var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId
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&& x.UnwindDate == unwindDate
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&& eventTypes.Contains(x.EventType)
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&& x.DataState == (int)SwapFlowDateStateEnum.完成).ToList();
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bool tdClose = closeList.Count > 0;
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interests = GetInterests(td, tradeExtend, valueDate, unwindDate, lastEodPositions, positions, stockEqvNotional, posiLongNotionalValue, posiShortNotionalValue, posiNotionalValue, closePercent, eventType, tdClose, false, grossPrice ?? 0, orginPv, true, false,false, closeList);
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return interests;
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@@ -826,6 +829,7 @@ namespace YLErp.Modules.SwapModule
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// 计算计息区间
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int interestPeriod = position.interest_rest_days ?? 1;
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// true 跳过 不计利息； false 正常利息
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bool swap = InitInterestDate(unwindDate, preDealDate, td, tdClose, out DateTime startDate, out DateTime endDate);
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// 计算名义本金
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@@ -898,9 +902,9 @@ namespace YLErp.Modules.SwapModule
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/// </summary>
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private (decimal close, decimal posi, decimal closePct) CalcNotionalByMode(swap_position position, decimal closePercent, decimal posiNotional, decimal posiLong, decimal posiShort)
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{
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decimal closePrincipal = posiNotional;
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decimal posiPrincipal = posiNotional;
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decimal newClosePercent = closePercent;
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decimal closePrincipal = posiNotional; // 平仓部分的名义本金
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decimal posiPrincipal = posiNotional; // 持仓部分的名义本金
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decimal newClosePercent = closePercent; // 调整后的平仓比例
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switch ((InterestModeEnum)position.InterestMode)
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{
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@@ -1201,10 +1205,10 @@ namespace YLErp.Modules.SwapModule
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if (swap)
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{
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interest.InterestAmount = 0; // 利息金额
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interest.TdInterestAmount = 0; // 当日新增利息
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interest.InterestAmount = 0;
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interest.TdInterestAmount = 0;
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interest.InterestAmount = 0;
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interest.InterestClosePnL = 0;
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interest.InterestClosePnL = 0; // 利息端平仓盈亏
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}
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else
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{
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@@ -1218,21 +1222,28 @@ namespace YLErp.Modules.SwapModule
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var daysFromPreEod = preEodPosition.id != 0
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? (endDate - preEodPosition.ValueDate).Days
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: 0;
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// 不算尾 + 当日即新周期首日 + 未到重置日 ==> 说明这一天应归入下一个计息周期 当天无需单独计息
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if (!calcLast && daysFromPreEod == 1 && daysFromStart % (position.interest_rest_days ?? 1) != 0)
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{
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interest.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePrecent;
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interest.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePrecent; // 计息基数
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interest.FloatRate = preEodPosition.FloatRate;
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InterestAmount = preEodPosition.InterestIncomeSum * closePrecent;
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum;
|
||||
InterestAmount = preEodPosition.InterestIncomeSum * closePrecent; // 利息金额 = 待实现 * 平仓比例
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum; // 当日新增利息
|
||||
interest.InterestAmount = Math.Round(InterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.TdInterestAmount = Math.Round(TdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio; // 利息端平仓盈亏 = 利息金额 * 方向
|
||||
return interest;
|
||||
}
|
||||
// remainingPercent 只用于把上一日待实现分配给本次计算对应的本金。
|
||||
// 按照利息腿的实际 计息基数 重新计算一个历史待实现利息的 平仓比例。不替代全局的平仓比例
|
||||
// 部分平仓计算关闭 30% 时取 30%；最终全平剩余仓位时取 100%。
|
||||
var remainingPercent = preEodPosition.TdInterestPrincipal > 0m
|
||||
? closePosiNotionalValue / preEodPosition.TdInterestPrincipal
|
||||
: 1m;
|
||||
remainingPercent = Math.Max(0m, Math.Min(1m, remainingPercent));
|
||||
// resetCarryInterest 是重置日并入复利本金的历史待实现，不是当天新增利息。
|
||||
// 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,
|
||||
@@ -1240,12 +1251,17 @@ namespace YLErp.Modules.SwapModule
|
||||
if (preEodPosition.id != 0 && closePrecent == 1m)
|
||||
{
|
||||
// 最终全平只重放上一日终之后的新增利息；历史部分平仓的两位结算尾差已在日终待实现中。
|
||||
// InterestAmount 是本次最终应结金额；TdInterestAmount 是不按关闭比例缩放的参考累计值。
|
||||
// 二者在全平时都以上一日 InterestIncomeSum 为起点，保证之前攒下的尾差最后一次带走。
|
||||
var interestAtEnd = new swap_flow_event { InterestRate = rate };
|
||||
decimal amountAtEnd = 0m;
|
||||
decimal tdAmountAtEnd = 0m;
|
||||
// InitInterestDate 在最终日不算尾时会先把 endDate 回拨一天；
|
||||
// 历史差分的 amountAtEnd 需补回该日，但计算器仍使用交易 calcLast，
|
||||
// 并将重放日期限制在合约到期日，避免提前全平或超期重复计息。
|
||||
// 如果算尾 重放日 = 正常到期日
|
||||
// 不算尾 且未超过到期日 重放日 = endDate+1 (补齐不算尾那天漏计的利息)
|
||||
// 加1天超过到期日 截断到到期日
|
||||
var replayEndDate = endDate;
|
||||
if (!calcLast && endDate < valueDate)
|
||||
{
|
||||
@@ -1255,6 +1271,7 @@ namespace YLErp.Modules.SwapModule
|
||||
replayEndDate = td.ExerciseDate.Value;
|
||||
}
|
||||
}
|
||||
// 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,
|
||||
calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest);
|
||||
@@ -1263,9 +1280,14 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal tdAmountAtPreviousEod = 0m;
|
||||
// 最终日重放仍遵守交易的 calcLast；上一日终是历史截点而非合约尾日，
|
||||
// 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,
|
||||
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。
|
||||
// 上一日终已保存的待实现利息 + 截至平仓日累计利息 - 截至上一日终累计利息
|
||||
// 这样只带走“上一日终以后新增的利息”，同时保留历史部分平仓时因两位金额结算留下的尾差，最终全平一次性结清。
|
||||
InterestAmount = preEodPosition.InterestIncomeSum + amountAtEnd - amountAtPreviousEod;
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum + tdAmountAtEnd - tdAmountAtPreviousEod;
|
||||
}
|
||||
@@ -1332,6 +1354,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
if (i % interestPeriod == 0)
|
||||
{
|
||||
// 每个重置节点 计息基数 = 前日本金 + 本期利息
|
||||
// resetCarryInterest 是上一日终待实现按本次平仓比例分摊后的存量，
|
||||
// 只能在 endDate 恰好是当前复利重置日时并入本金。历史重置点必须使用
|
||||
// 重放到当时的 interest，否则会把上一日终存量反复注入历史本金，
|
||||
|
||||
@@ -1269,8 +1269,13 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 自动互换用,当日无互换，当日有平仓
|
||||
/// 将平仓/自动互换的盘中利息结果写成当日日终利息腿。
|
||||
/// 字段完整口径和逐日示例见《收益互换日终收盘总流程与当前代码审查》7.2、16.7、16.13 节。
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// 关键状态链：上日待实现 + 当日新增 - 当日结息 = 当日待实现；
|
||||
/// 上日累计已实现 + 当日结息（按收付方向）= 当日累计已实现。
|
||||
/// </remarks>
|
||||
/// <param name="eodPayPosition">上一日日终持仓</param>
|
||||
/// <param name="newEodPayPosition">当前收盘日日终持仓 不可能为空</param>
|
||||
/// <param name="position">利息腿信息</param>
|
||||
@@ -1285,8 +1290,11 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
Log.Info($"eodPayPosition is {JsonHelper.Serialize(eodPayPosition, false)},newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
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。
|
||||
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 (marginTypes.Contains(position.InterestMode))
|
||||
{
|
||||
@@ -1296,6 +1304,8 @@ namespace YLErp.Modules.SwapModule
|
||||
// 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。
|
||||
var hasPreviousEod = eodPayPosition != null && eodPayPosition.id != 0;
|
||||
// InterestIncomeSum 是尚未结算的高精度利息；RealizedInterest 是生命周期累计已结利息。
|
||||
// 二者不能相互替代，也不能在部分平仓后重新从 0 开始。
|
||||
var lastInterestIncomeSum = eodPayPosition?.InterestIncomeSum ?? 0m;
|
||||
var lastInterestFeeSum = eodPayPosition?.InterestFeeSum ?? 0m;
|
||||
var lastRealizedInterest = eodPayPosition?.RealizedInterest ?? 0m;
|
||||
@@ -1332,6 +1342,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
orginPv = posiNotionalValue;
|
||||
}
|
||||
// closePercent 描述本次关闭占平仓前仓位的比例；上例为 90941735.34 / 303139117.80 = 30%。
|
||||
decimal closePercent = oriPosiNotionalValue == 0 ? 0 : closeNational / oriPosiNotionalValue;
|
||||
var eventType = autoSwap ? (int)SwapEventTypeEnum.自动互换 : (int)SwapEventTypeEnum.平仓;
|
||||
bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
|
||||
@@ -1349,6 +1360,9 @@ namespace YLErp.Modules.SwapModule
|
||||
preEodPositions.Add(eodPayPosition);
|
||||
var calcLast = tradeExtend?.InterestCalcMode?.EndsWith("1") ?? true;
|
||||
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。
|
||||
// manualSettledInterestAmount：swap_flow_event 实际落库的手工结息，金额已按分处理。
|
||||
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
|
||||
decimal interestAmountBeforeSettlement = interests.Sum(x => x.InterestAmount);
|
||||
decimal manualSettledInterestAmount = flowEvents.Sum(x => x.InterestAmount);
|
||||
@@ -1382,6 +1396,8 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.interest_rest_days = position.interest_rest_days;
|
||||
newEodPayPosition.interest_rule = position.interest_rule;
|
||||
//利息端估值用信息
|
||||
// TdInterestPrincipal 是“下一日继续计息的收盘后本金”，不是原始合同规模，也不是本次平仓本金。
|
||||
// 模式9单利直接取剩余名义本金；复利还要保留重置时已经并入本金的待实现利息。
|
||||
newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode)
|
||||
? position.InterestPrincipalFix
|
||||
: position.InterestMode == (int)InterestModeEnum.标的期初全价
|
||||
@@ -1399,7 +1415,10 @@ namespace YLErp.Modules.SwapModule
|
||||
//当日已实现，平仓时已处理
|
||||
newEodPayPosition.TdInterestFee = flowEvents.Sum(s => s.InterestFee);
|
||||
newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
|
||||
// TdCloseInterest 只表示当天真正结算出去的金额；部分平仓未结部分继续留在 InterestIncomeSum。
|
||||
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)
|
||||
{
|
||||
@@ -1424,6 +1443,7 @@ namespace YLErp.Modules.SwapModule
|
||||
// 模式2（合约名义本金规模）和模式9（标的期初全价）都以名义本金
|
||||
// 作为复利基数；算尾用平仓前全额当日利息再扣实际结算，
|
||||
// 不算尾只计剩余本金，避免已平部分利息进入后续复利。
|
||||
// fullPrincipal 是平仓前动态复利本金，仅用于判断平仓日应按全额还是剩余额计息。
|
||||
var fullPrincipal = lastTdInterestPrincipal > 0m
|
||||
? lastTdInterestPrincipal
|
||||
: oriPosiNotionalValue;
|
||||
@@ -1438,7 +1458,9 @@ namespace YLErp.Modules.SwapModule
|
||||
if (calcLast
|
||||
&& position.InterestMode == (int)InterestModeEnum.合约名义本金规模)
|
||||
{
|
||||
// 模式2的 InterestPrincipal 是已平部分，不是跨日剩余本金。
|
||||
// 模式2的 InterestPrincipal 是已平部分，需反推平仓前全额后再取剩余；
|
||||
// 模式9已直接返回剩余动态本金，再反推会把 30% 平仓后的本金放大 7/3 倍。
|
||||
// 例如模式9的 212135529.97 已是剩余本金，错误反推会变成 494982903.27。
|
||||
newEodPayPosition.TdInterestPrincipal *= (1m - closePercent) / closePercent;
|
||||
}
|
||||
else if (usesFullPreviousEodPrincipal)
|
||||
@@ -1472,11 +1494,15 @@ namespace YLErp.Modules.SwapModule
|
||||
$",TdCloseInterest is {newEodPayPosition.TdCloseInterest}");
|
||||
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
|
||||
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
|
||||
// pendingInterestBeforeSettlement 是“扣款前待实现”。普通平仓按上日待实现 + 当日新增；
|
||||
// 自动互换的 interestAmountBeforeSettlement 已经是完整理论应结，不能再加一次上日值。
|
||||
var pendingInterestBeforeSettlement = autoSwap
|
||||
? interestAmountBeforeSettlement
|
||||
: lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
|
||||
var pendingInterestFeeBeforeSettlement = eodPayPosition.InterestFeeSum
|
||||
+ newEodPayPosition.TdInterestFee;
|
||||
// InterestIncomeSum 是收盘后仍未结算的尾差/剩余利息。
|
||||
// 部分平仓：扣款前待实现 - TdCloseInterest；最终全平且两位金额已覆盖时直接清零。
|
||||
newEodPayPosition.InterestIncomeSum = closePercent == 1
|
||||
&& RoundMoney(pendingInterestBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
? 0m
|
||||
@@ -1486,6 +1512,7 @@ namespace YLErp.Modules.SwapModule
|
||||
? 0m
|
||||
: RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
//持仓内容-利息腿-损益统计(本方视角）
|
||||
// InterestProfitSum 是利息腿待实现总额，包含利息和费用；无费用时等于 InterestIncomeSum。
|
||||
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
|
||||
//持仓价值
|
||||
newEodPayPosition.SwapPositionValue = newEodPayPosition.InterestProfitSum * ratio + newEodPayPosition.PosiProfitSum;
|
||||
@@ -1495,6 +1522,8 @@ namespace YLErp.Modules.SwapModule
|
||||
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
|
||||
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
|
||||
//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;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
|
||||
Reference in New Issue
Block a user