Jaymr/zszq-trs
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

#EQD-5994 国联民生-【风险管理】TRS合约DV计算统计

Browse Source
This commit is contained in:
吴方海
2026-06-23 10:48:51 +08:00
parent a00fe3ccaa
commit 3520f24253
12 changed files with 470 additions and 22 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+5
View File
@@ -3,6 +3,7 @@ using Newtonsoft.Json;
using System.Linq.Expressions;
using YLErp.DBModels.Consts;
using YLErp.DBModels.Enums;
using YLErp.Helpers;
using YLErp.Model;
using YLErp.Model.Enum;
using YLErp.Models;
@@ -1291,6 +1292,7 @@ namespace YLErp.Modules.SwapModule
//浮动端估值用信息
newEodPayPosition.UnderlyingPrice = UnderlyingCodePrice(newEodPayPosition.UnderlyingCode, eventFlow.EventDate, out decimal vobp);
newEodPayPosition.dv01 = Dv01Helper.CalcDv01(newEodPayPosition.UnderlyingCode, newEodPayPosition.PosiQuantity, newEodPayPosition.PosiDirection, newEodPayPosition.PositionType, vobp);
newEodPayPosition.UnderlyingMarketValue = newEodPayPosition.UnderlyingPrice * newEodPayPosition.PosiQuantity * newEodPayPosition.ContractSize * shortRatio;
//当日已实现
newEodPayPosition.TdCloseQty = closeQty;
@@ -1361,6 +1363,7 @@ namespace YLErp.Modules.SwapModule
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
decimal tax = um.ValueAddedTax ?? 0;
BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
if (valueDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
@@ -1442,6 +1445,7 @@ namespace YLErp.Modules.SwapModule
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition);
curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
curretEod.UnderlyingPrice = price;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
@@ -1614,6 +1618,7 @@ namespace YLErp.Modules.SwapModule
curretEod.PosiTradingFee = position.PosiTradingFee;
curretEod.UnderlyingPrice = UnderlyingCodePrice(position.UnderlyingCode, dealDate, out decimal vobp);
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, position);
curretEod.dv01 = Dv01Helper.CalcDv01(curretEod.UnderlyingCode, curretEod.PosiQuantity, curretEod.PosiDirection, curretEod.PositionType, vobp);
//if (settleDate == td.TradeDate)
//{
// curretEod.UnderlyingPrice = curretEod.PosiGrossPrice;