Merge branch 'glms/feature/dotnumber' into glms/feature/1.4.2
# Conflicts: # YLErpWeb/Views/SwapTrade2/TradeEdit.cshtml # YLErpWeb/wwwroot/Scripts/app/swaptrade/swapTradeEdit.js
This commit is contained in:
张名锐
@@ -32,11 +32,30 @@ namespace YLErp.Modules.SwapModule
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}
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private int GetStorageDeliveryPriceRound(string underlyingInstrumentType, string underlyingCode)
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{
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if (ConsGlobal.InstrumentType.IsBond(underlyingInstrumentType))
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{
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return ConsGlobal.PriceRound;
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}
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if (string.IsNullOrEmpty(underlyingCode))
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{
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return ConsGlobal.SwapDeliveryPriceRound;
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}
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return GetUnderlyingData(underlyingCode)?.IsBond() == true
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? ConsGlobal.PriceRound
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: ConsGlobal.SwapDeliveryPriceRound;
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}
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#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
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/// <summary>持久化 eod 持仓记录（生产: DbContext.Add；测试: 收集到列表）</summary>
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protected virtual void PersistEodSwapPosition(eod_swap_position position)
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{
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var storagePriceRound = GetStorageDeliveryPriceRound(position.UnderlyingInstrumentType, position.UnderlyingCode);
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position.PosiGrossPrice = Math.Round(position.PosiGrossPrice, storagePriceRound, MidpointRounding.AwayFromZero);
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position.UnderlyingPrice = Math.Round(position.UnderlyingPrice, storagePriceRound, MidpointRounding.AwayFromZero);
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position.PosiNotionalValue = Math.Round(position.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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if (position.id == 0)
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{
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DbContext.eod_swap_position.Add(position);
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@@ -156,34 +175,18 @@ namespace YLErp.Modules.SwapModule
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return UnderlyingCodePrice(code, settleDate, out vobp);
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}
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/// <summary>
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/// 获取用于互换浮动腿盯市的标的价格。
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///
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/// 普通债券类收益互换的新录入页面将全价按小数保存，例如页面录入 20% 后
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/// PosiGrossPrice 为 0.2；而历史交易中仍可能存在直接保存为 20 的展示态价格。
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/// 中债估值正常经 EodPriceQueryService 转换后应为小数价格，但手工维护的历史
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/// 行情可能仍以展示态进入该服务，例如 2000 经一次转换后得到 20。若将 20
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/// 与 0.2 直接相减，会把 20% 的价格差误算成 1,980,000 的浮动损益。
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///
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/// 因此仅当交易期初价已经是小数口径、且当前债券价明显仍处于展示态时，再做
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/// 一次展示态到存储态转换。期初价本身是历史展示态口径的存量交易保持原价格，
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/// 避免修改日终估值链路后改变其既有损益。
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/// </summary>
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private decimal GetSwapValuationPrice(string code, decimal posiGrossPrice, DateTime settleDate, out decimal vobp)
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/// <summary>获取用于互换浮动腿盯市的标的价格。</summary>
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private decimal GetSwapValuationPrice(string code, DateTime settleDate, out decimal vobp)
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{
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var price = GetUnderlyingPrice(code, settleDate, out vobp);
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var underlying = GetUnderlyingData(code);
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var usesStoragePrice = Math.Abs(posiGrossPrice) < 2m;
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var usesDisplayPrice = Math.Abs(price) >= 10m;
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if (underlying?.IsBond() == true && usesStoragePrice && usesDisplayPrice)
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if (underlying?.IsBond() == true)
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{
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var normalizedPrice = BondPriceConverter.ToStorage(price);
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Log.Error($"互换债券日终价格按展示态返回，已转换为存储态: UnderlyingCode={code}, ValueDate={settleDate:yyyy-MM-dd}, PosiGrossPrice={posiGrossPrice}, SourcePrice={price}, NormalizedPrice={normalizedPrice}");
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return normalizedPrice;
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return Math.Round(price, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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}
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return price;
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return Math.Round(price, ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
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}
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/// <summary>获取标的缓存数据（生产: DataCacheProvider；测试: 返回内存对象）</summary>
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@@ -1472,7 +1475,10 @@ namespace YLErp.Modules.SwapModule
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newEodPayPosition.ContractSize = eventFlow.ContractSize;
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newEodPayPosition.CountRatio = eventFlow.CountRatio;
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newEodPayPosition.PosiNetPrice = netPrice;
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newEodPayPosition.PosiGrossPrice = grossPrice;
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newEodPayPosition.PosiGrossPrice = Math.Round(
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grossPrice,
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GetStorageDeliveryPriceRound(eventFlow.UnderlyingInstrumentType, eventFlow.UnderlyingCode),
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MidpointRounding.AwayFromZero);
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newEodPayPosition.PosiNetFeePrice = netFeePrice;
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newEodPayPosition.PosiNetNoFeePrice = netNoFeePrice;
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newEodPayPosition.PosiQuantity = payQty;
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@@ -1557,7 +1563,7 @@ namespace YLErp.Modules.SwapModule
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int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
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int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
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curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
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var price = GetSwapValuationPrice(eod.UnderlyingCode, eod.PosiGrossPrice, dealDate, out decimal vobp);
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var price = GetSwapValuationPrice(eod.UnderlyingCode, dealDate, out decimal vobp);
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curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
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decimal tax = um.ValueAddedTax ?? 0;
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if (valueDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
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@@ -1649,7 +1655,7 @@ namespace YLErp.Modules.SwapModule
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var dealDate = curretEod.ValueDate;
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int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
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int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
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var price = GetSwapValuationPrice(eod.UnderlyingCode, eod.PosiGrossPrice, dealDate, out decimal vobp);
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var price = GetSwapValuationPrice(eod.UnderlyingCode, dealDate, out decimal vobp);
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var todayConsumedDividend = CalcConsumedDividend(curretEod, unwindEvents);
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var originNotional = (decimal)td.OriginalStockEqvNotional / swapPosition.PosiNetPrice;
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decimal totalPayment = CalcBondPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio);
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@@ -1771,7 +1777,10 @@ namespace YLErp.Modules.SwapModule
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posiQty = 0;
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}
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curretEod.PosiGrossPrice = (eod.PosiGrossPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountAvg)) / (eod.PosiQuantity + openQty);
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curretEod.PosiGrossPrice = Math.Round(curretEod.PosiGrossPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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curretEod.PosiGrossPrice = Math.Round(
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curretEod.PosiGrossPrice,
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GetStorageDeliveryPriceRound(curretEod.UnderlyingInstrumentType, curretEod.UnderlyingCode),
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MidpointRounding.AwayFromZero);
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curretEod.PosiNetPrice = (eod.PosiNetPrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountFeeAvg)) / (eod.PosiQuantity + openQty);
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curretEod.PosiNetPrice = Math.Round(curretEod.PosiNetPrice, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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curretEod.PosiNetNoFeePrice = (eod.PosiNetNoFeePrice * eod.PosiQuantity + openFlowEvents.Sum(a => a.Quantity * a.TradingAmountNetAvg)) / (eod.PosiQuantity + openQty);
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@@ -1835,7 +1844,7 @@ namespace YLErp.Modules.SwapModule
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curretEod.ContractSize = position.ContractSize;
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curretEod.CountRatio = position.CountRatio;
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curretEod.PosiTradingFee = position.PosiTradingFee;
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curretEod.UnderlyingPrice = GetSwapValuationPrice(position.UnderlyingCode, position.PosiGrossPrice, dealDate, out decimal vobp);
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curretEod.UnderlyingPrice = GetSwapValuationPrice(position.UnderlyingCode, dealDate, out decimal vobp);
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SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, position);
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curretEod.dv01 = Dv01Helper.CalcDv01(curretEod.UnderlyingCode, curretEod.PosiQuantity, curretEod.PosiDirection, curretEod.PositionType, vobp);
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//if (settleDate == td.TradeDate)
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@@ -1897,14 +1906,14 @@ namespace YLErp.Modules.SwapModule
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}
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if (data.IsBond())
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{
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return BondPrice(data, settleDate, out vobp);
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return Math.Round(BondPrice(data, settleDate, out vobp), ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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}
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var price = data.Price ?? 0;
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if (EodPriceQueryService.TryGetEodPrice(settleDate, code, out var eodPrice))
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{
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price = eodPrice.GetPrice(SettlementTypeEnum.ClosePrice);
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}
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return Convert.ToDecimal(price);
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return Math.Round(Convert.ToDecimal(price), ConsGlobal.SwapDeliveryPriceRound, MidpointRounding.AwayFromZero);
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}
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/// <summary>
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/// 获取债券收盘价格
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@@ -1949,9 +1958,9 @@ namespace YLErp.Modules.SwapModule
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var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
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// 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，
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// 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。
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eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
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eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
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eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.SwapTradeId = td.id;
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eod_Swap.SwapTradeNo = td.TradeNumber;
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eod_Swap.ClientId = td.ClientId;
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@@ -2026,9 +2035,9 @@ namespace YLErp.Modules.SwapModule
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var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).ToList();
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var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
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var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
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eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
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eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
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eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
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@@ -2318,24 +2327,23 @@ namespace YLErp.Modules.SwapModule
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item.PeriodPaymentValuation = item.FloatingUnrealizedPnl + item.position.InterestPnL;
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}
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// eod_swap 的保证金本金来自 trade_span；缺少 span 数据时会被保存为 0。
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// 本风险页改按日终保证金腿展示，且该页面保证金本金采用原始本金的 1/10 口径。
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// 利息仍使用原始本金累积值，不能同步缩放，否则会破坏保证金利息金额。
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// 本风险页改按日终保证金腿的实际本金展示。
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item.position.InitMarginGain = marginLegs
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.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金
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&& x.InterestDirection == (int)SwapDirectionEnum.收取)
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.Sum(x => Math.Abs(x.InterestPrincipalFix)) / 10m;
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.Sum(x => Math.Abs(x.InterestPrincipalFix));
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item.position.InitMarginLoss = marginLegs
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.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金
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&& x.InterestDirection == (int)SwapDirectionEnum.支付)
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.Sum(x => Math.Abs(x.InterestPrincipalFix)) / 10m;
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.Sum(x => Math.Abs(x.InterestPrincipalFix));
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item.position.PostionMarginGain = marginLegs
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.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金
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&& x.InterestDirection == (int)SwapDirectionEnum.收取)
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.Sum(x => Math.Abs(x.InterestPrincipalFix)) / 10m;
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.Sum(x => Math.Abs(x.InterestPrincipalFix));
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item.position.PostionMarginLoss = marginLegs
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.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金
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&& x.InterestDirection == (int)SwapDirectionEnum.支付)
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.Sum(x => Math.Abs(x.InterestPrincipalFix)) / 10m;
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.Sum(x => Math.Abs(x.InterestPrincipalFix));
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// 保证金本金方向与我方的利息现金流方向相反：原始“收取”保证金
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// 表示我方占用客户资金，应向客户支付利息；支付金额按负数展示。
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