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盘中平仓利息修复

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This commit is contained in:
吴方海
2026-05-27 18:24:05 +08:00
parent aa14bbd516
commit 3d06e59908
2 changed files with 16 additions and 12 deletions
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UnitTestProject/Modules/SwapModule/GetInterestsUnitTest.cs
+1 -1
View File
@@ -609,7 +609,7 @@ namespace YLErp.Modules.SwapModule
ExpectedInterest(1, FixedRate, 0.001m, Principal * 0.5m))
};
var eodInterest = CalcEod("10", new DateTime(2026, 4, 30), eodPositions);
var expectedEod = ExpectedInterest(1, FixedRate, 0.001m, Principal * 0.5m);
var expectedEod = ExpectedInterest(2, FixedRate, 0.001m, Principal * 0.5m);
Assert.AreEqual(expectedEod, eodInterest.InterestAmount);
}
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+15 -11
View File
@@ -406,7 +406,7 @@ namespace YLErp.Modules.SwapModule
else
{
// 盘中互换场景，使用 CalcUnwindInterest
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal, closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv));
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal, closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst, calcLast));
}
}
return interests;
@@ -557,7 +557,7 @@ namespace YLErp.Modules.SwapModule
/// <summary>
/// 计算盘中利息（平仓/互换）
/// </summary>
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool swap, decimal orginPv)
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool swap, decimal orginPv, bool calcFirst, bool calcLast)
{
if (preEod.id == 0)
{
@@ -567,7 +567,7 @@ namespace YLErp.Modules.SwapModule
preEod.ValueDate = td.TradeDate.Value;
}
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, swap, posiPrincipal, closePrincipal, closePercent, annualDays, eventType, preEod, false, orginPv);
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, swap, posiPrincipal, closePrincipal, closePercent, annualDays, eventType, preEod, false, orginPv, calcFirst, calcLast);
}
/// <summary>
/// 初始化利息腿信息
@@ -598,7 +598,9 @@ namespace YLErp.Modules.SwapModule
int eventType,
eod_swap_position preEodPosition,
bool needPrice,
decimal orginPv
decimal orginPv,
bool calcFirst,
bool calcLast
)
{
decimal interestProfitSum = preEodPosition.InterestProfitSum;
@@ -633,11 +635,11 @@ 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, ref InterestAmount, ref TdInterestAmount);
CalcDailyCompoundInterest(preEodPosition, endDate, position, closePosiNotionalValue, posiNotionalValue, 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, ref InterestAmount, ref TdInterestAmount);
CalcDailySimpleInterest(preEodPosition, endDate, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
}
interest.InterestAmount = Math.Round(InterestAmount, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
@@ -661,26 +663,26 @@ 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, ref decimal InterestAmount, ref decimal TdInterestAmount)
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)
{
// 复利：利息并入本金
CalcDailyInterest(preEodPosition, endDate, position, principal, posiPrincipal, flowEvent, annualDays, needPrice, floateRate, closePercent, orginPv, compoundInterest: true, ref InterestAmount, ref TdInterestAmount);
CalcDailyInterest(preEodPosition, endDate, position, principal, posiPrincipal, flowEvent, annualDays, needPrice, floateRate, closePercent, orginPv, compoundInterest: true, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
}
/// <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, ref decimal InterestAmount, ref decimal TdInterestAmount)
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, ref InterestAmount, ref TdInterestAmount);
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, ref decimal InterestAmount, ref decimal TdInterestAmount)
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)
{
var startDate = position.PosiStartDate;
decimal interestProfitSum = preEodPosition.InterestProfitSum;
@@ -695,6 +697,8 @@ namespace YLErp.Modules.SwapModule
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 > preEodPosition.ValueDate)
{
if (i % interestPeriod == 0)