fix(swap): 修复债券结息价差盈亏计算逻辑

- 将价差盈亏计算从使用CloseNotionalValue改为使用PositionQty和ContractSize - 更新前端JavaScript代码中的计算公式，按持仓数量和合约乘数计算价差盈亏 - 在UnwindInput模型中添加PositionQty和ContractSize字段 - 修正后台计算服务中的数据映射逻辑 - 添加FC_009测试用例验证债券价差按数量计算的正确性 - 更新现有测试用例的输入参数以匹配新的计算方式
2026-07-17 10:58:31 +08:00
parent f37a5b997c
commit 415539704d
6 changed files with 74 additions and 17 deletions
@@ -156,9 +156,9 @@ namespace YLErp.Modules.SwapModule

        /// <summary>
        /// [FC_006] 结息-债券多头-全量结算（基线）
-        /// income 用 CloseNotionalValue 而非 CloseQty，无 longRatio
-        /// EntryPrice=1.02, TradingAmountAvg=105(×100形态), CloseNotionalValue=10000
-        /// MarkClosePnl = 10000×(105×0.01−1.02)×1 = 10000×0.03 = 300
+        /// income 使用持仓数量和合约乘数，无 longRatio
+        /// EntryPrice=1.02, TradingAmountAvg=105(×100形态), PositionQty=10000, ContractSize=1
+        /// MarkClosePnl = 10000×1×(105×0.01−1.02)×1 = 10000×0.03 = 300
        /// </summary>
        [TestMethod]
        public void FC_006_结息_债券多头_全量结算()
@@ -166,7 +166,9 @@ namespace YLErp.Modules.SwapModule
            var input = new UnwindInput
            {
                Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
-                CloseNotionalValue = 10000, // income 用名义本金
+                PositionQty = 10000,
+                ContractSize = 1,
+                CloseNotionalValue = 10200, // 与数量刻意不同，守卫 income 不再误用名义本金
                CloseQty = 0, // income 不用数量
                PayDirection = 1, PositionType = 1,
                TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
@@ -188,7 +190,8 @@ namespace YLErp.Modules.SwapModule
            var input = new UnwindInput
            {
                Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 110m,
-                CloseNotionalValue = 10000, CloseQty = 0,
+                PositionQty = 10000, ContractSize = 1,
+                CloseNotionalValue = 10200, CloseQty = 0,
                PayDirection = 1, PositionType = 1,
                TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
            };
@@ -209,7 +212,8 @@ namespace YLErp.Modules.SwapModule
            var input = new UnwindInput
            {
                Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
-                CloseNotionalValue = 10000, CloseQty = 0,
+                PositionQty = 10000, ContractSize = 1,
+                CloseNotionalValue = 10200, CloseQty = 0,
                PayDirection = 1, PositionType = 1,
                TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
            };
@@ -225,6 +229,35 @@ namespace YLErp.Modules.SwapModule
            Console.WriteLine($"FC_008: SwapRealizedPnL={result.SwapRealizedPnL}, SwapMarginRebatePnl={result.SwapMarginRebatePnl} ✅");
        }

+        /// <summary>
+        /// [FC_009] 结息-债券支付端：价差盈亏必须按数量计算，不能按期初名义本金计算。
+        /// 纯价差 = 30000000×1×(80%−98%)×(−1) = 5400000；加分红-45000后合计5355000。
+        /// </summary>
+        [TestMethod]
+        public void FC_009_结息_债券价差按数量计算()
+        {
+            var input = new UnwindInput
+            {
+                Multiplier = 100,
+                PosiGrossPrice = 0.98m,
+                TradingAmountAvg = 80m,
+                PositionQty = 30000000m,
+                ContractSize = 1m,
+                CloseNotionalValue = 29400000m,
+                CloseQty = 0m,
+                PayDirection = 2,
+                PositionType = 1,
+                TradingFee = "0",
+                TradingFeePending = "0",
+                DividendIn = "-45000"
+            };
+
+            var result = FrontendCalcReference.CalcIncome(input);
+
+            AssertDecimalEqual(5400000m, result.MarkClosePnl, 0.01m, "income MarkClosePnl按数量计算");
+            AssertDecimalEqual(5355000m, result.FloatPnlSum, 0.01m, "income FloatPnlSum包含分红");
+        }
+
        private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tolerance, string message = "")
        {
            Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
@@ -89,7 +89,7 @@ namespace YLErp.Helpers
        /// <summary>
        /// 计算结息页（income）的盯市盈亏与汇总。
        /// 对应 incomeSwapTrade.js:128-178。
-        /// 差异：用 CloseNotionalValue（非 CloseQty）作量纲，无 longRatio，无 Math.round/10000。
+        /// 差异：用剩余持仓数量和合约乘数作量纲，无 longRatio，无 Math.round/10000。
        /// </summary>
        public static UnwindResult CalcIncome(UnwindInput input)
        {
@@ -102,9 +102,9 @@ namespace YLErp.Helpers
            decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
            decimal dividendIn = ParseOrZero(input.DividendIn);

-            // MarkClosePnl = CloseNotionalValue × (TradingAmountAvg × scale − EntryPrice) × floatRatio
+            // MarkClosePnl = PositionQty × ContractSize × (TradingAmountAvg × scale − EntryPrice) × floatRatio
            // （无 longRatio、无 Math.round/10000）
-            decimal markClosePnl = input.CloseNotionalValue * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
+            decimal markClosePnl = input.PositionQty * input.ContractSize * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
            markClosePnl = StockEqvNotional(markClosePnl);

            decimal floatPnlSum = decimal.Parse(
@@ -156,7 +156,9 @@ namespace YLErp.Helpers
        public decimal PosiGrossPrice;    // EntryDirtyPrice（期初全价不含费）
        public decimal TradingAmountAvg;  // 用户可改的期末标的价格（界面×multiplier形态）
        public decimal CloseQty;          // 平仓数量
-        public decimal CloseNotionalValue;// 平仓名义本金（income 用）
+        public decimal PositionQty;       // 结息时的剩余持仓数量
+        public decimal ContractSize = 1m; // 合约乘数
+        public decimal CloseNotionalValue;// 平仓名义本金
        public int PayDirection;          // 1=收取，-1=支付
        public int PositionType;          // 1=多头，2=空头
        public string TradingFee;         // 交易费用（前端是字符串）
@@ -163,6 +163,8 @@ namespace YLErp.Modules.SwapModule
                    PosiGrossPrice = floatLeg.PosiGrossPrice,           // EntryDirtyPrice
                    TradingAmountAvg = floatLeg.TradingAmountAvg,       // ExitDirtyPrice（界面×multiplier形态）
                    CloseQty = unwindData.CloseQty,
+                    PositionQty = unwindData.PositionQty,
+                    ContractSize = floatLeg.ContractSize,
                    CloseNotionalValue = unwindData.CloseNotionalValue,
                    PayDirection = floatLeg.PayDirection,
                    PositionType = floatLeg.PositionType,
@@ -445,7 +447,7 @@ namespace YLErp.Modules.SwapModule
                unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
                unwindData.NotionalQty = positions.Where(x => x.IsInitial).Sum(s => s.PosiQuantity);
                unwindData.PosiNotionalValue = Convert.ToDecimal(td.StockEqvNotional);
-                unwindData.PositionQty = Convert.ToDecimal(td.TradeAmount);
+                unwindData.PositionQty = position != null ? position.PosiQuantity : Convert.ToDecimal(td.TradeAmount);
                unwindData.AnnualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
                unwindData.ClosePercent = unwindData.PosiNotionalValue / unwindData.NotionalValue;
                unwindData.CloseNotionalValue = unwindData.PosiNotionalValue;
@@ -222,7 +222,8 @@ describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准',
    test('FC_006 结息 债券多头 全量', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
-            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
+            positionQty: 10000, contractSize: 1,
+            closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 300, 'income MarkClosePnl');
@@ -233,7 +234,8 @@ describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准',
    test('FC_007 结息 改标的价格', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 110,
-            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
+            positionQty: 10000, contractSize: 1,
+            closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 800, '改价格后 income MarkClosePnl');
@@ -243,7 +245,8 @@ describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准',
    test('FC_008 结息 含利息腿与预付金腿 总额', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
-            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
+            positionQty: 10000, contractSize: 1,
+            closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0',
            interestLegs: [{ interestClosePnL: 100 }],
            marginLegs: [{ interestClosePnL: 50 }]
@@ -251,4 +254,17 @@ describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准',
        expectClose(r.SwapRealizedPnL, 450, '含利息+预付金 SwapRealizedPnL');
        expectClose(r.SwapMarginRebatePnl, 50, 'SwapMarginRebatePnl');
    });
+
+    // FC_009 真实回归：债券结息价差按数量计算，不能误用期初名义本金
+    test('FC_009 结息 债券价差按数量计算', () => {
+        const r = SwapCalc.calcIncome({
+            multiplier: 100, posiGrossPrice: 0.98, tradingAmountAvg: 80,
+            positionQty: 30000000, contractSize: 1,
+            closeNotionalValue: 29400000, closeQty: 0,
+            payDirection: 2, positionType: 1,
+            tradingFee: '0', tradingFeePending: '0', dividendIn: '-45000'
+        });
+        expectClose(r.MarkClosePnl, 5400000, 'income MarkClosePnl按数量计算');
+        expectClose(r.FloatPnlSum, 5355000, 'income FloatPnlSum包含分红');
+    });
 });
@@ -177,8 +177,10 @@ const vue = new Vue({
            let TradingFeePending = thisObj.floatPosition.TradingFeePending == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFeePending);
            let DividendIn = thisObj.floatPosition.DividendIn == "" ? 0 : parseFloat(thisObj.floatPosition.DividendIn ?? 0);
            let scale = thisObj.getPriceScale();
-            //thisObj.floatPosition.MarkClosePnl = thisObj.deal.CloseNotionalValue * (thisObj.floatPosition.TradingAmountAvg * scale - thisObj.initPosiNetPrice) * floatRatio;
-            thisObj.floatPosition.MarkClosePnl = thisObj.deal.CloseNotionalValue * (thisObj.floatPosition.TradingAmountAvg * scale - thisObj.initPosiGrossPrice) * floatRatio;
+            // 债券全价是单位价格，价差盈亏应按持仓数量×合约乘数计算；
+            // CloseNotionalValue 是期初全价折算后的名义本金，直接乘价差会重复包含期初价格。
+            let positionAmount = parseFloat(thisObj.floatPosition.Quantity) * parseFloat(thisObj.floatPosition.ContractSize || 1);
+            thisObj.floatPosition.MarkClosePnl = positionAmount * (thisObj.floatPosition.TradingAmountAvg * scale - thisObj.initPosiGrossPrice) * floatRatio;
            thisObj.floatPosition.MarkClosePnl = otcformat.trading.StockEqvNotional(thisObj.floatPosition.MarkClosePnl);//MarkClosePnl 纯盯市不要计算交易费用和分红
            // 守卫: 浮动盈亏合计必须保留 2 位小数 → 对应历史 bug 3c5f25a5(原代码缺精度保留)
            // 数值由 swapCalc.calcFloatPnlSum 计算, 此处 .toFixed(2) 仅保留字符串类型以兼容下游
@@ -167,8 +167,10 @@
        var tradingFeePending = parseOrZero(input.tradingFeePending);
        var dividendIn = parseOrZero(input.dividendIn);

+        var contractSize = input.contractSize === undefined || input.contractSize === null
+            ? 1 : Number(input.contractSize);
        var markClosePnl = roundHalfAwayFromZero(
-            input.closeNotionalValue * (input.tradingAmountAvg * scale - entryPrice) * floatRatio, 2);
+            input.positionQty * contractSize * (input.tradingAmountAvg * scale - entryPrice) * floatRatio, 2);

        var floatPnlSum = roundHalfAwayFromZero(markClosePnl + tradingFee + tradingFeePending + dividendIn, 2);