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Date: Fri, 17 Jul 2026 10:58:31 +0800
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- 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
---
.../FrontendCalcCharacterizationTest.cs | 45 ++++++++++++++++---
YLErpDAL/Helpers/FrontendCalcReference.cs | 10 +++--
.../Modules/SwapModule/SwapDealService.cs | 4 +-
YLErpWeb/fe-tests/swapCalc.test.js | 22 +++++++--
.../Scripts/app/swaptrade/incomeSwapTrade.js | 6 ++-
.../wwwroot/Scripts/app/swaptrade/swapCalc.js | 4 +-
6 files changed, 74 insertions(+), 17 deletions(-)
diff --git a/UnitTestProject/Modules/SwapModule/FrontendCalcCharacterizationTest.cs b/UnitTestProject/Modules/SwapModule/FrontendCalcCharacterizationTest.cs
index 233b547a..59b7856f 100644
--- a/UnitTestProject/Modules/SwapModule/FrontendCalcCharacterizationTest.cs
+++ b/UnitTestProject/Modules/SwapModule/FrontendCalcCharacterizationTest.cs
@@ -156,9 +156,9 @@ namespace YLErp.Modules.SwapModule
///
/// [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
///
[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} ✅");
}
+ ///
+ /// [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。
+ ///
+ [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,
diff --git a/YLErpDAL/Helpers/FrontendCalcReference.cs b/YLErpDAL/Helpers/FrontendCalcReference.cs
index cd2585e8..7f9880af 100644
--- a/YLErpDAL/Helpers/FrontendCalcReference.cs
+++ b/YLErpDAL/Helpers/FrontendCalcReference.cs
@@ -89,7 +89,7 @@ namespace YLErp.Helpers
///
/// 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。
///
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）
diff --git a/YLErpDAL/Modules/SwapModule/SwapDealService.cs b/YLErpDAL/Modules/SwapModule/SwapDealService.cs
index 75f98fbd..bff18695 100644
--- a/YLErpDAL/Modules/SwapModule/SwapDealService.cs
+++ b/YLErpDAL/Modules/SwapModule/SwapDealService.cs
@@ -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;
diff --git a/YLErpWeb/fe-tests/swapCalc.test.js b/YLErpWeb/fe-tests/swapCalc.test.js
index 435bc4a8..25ff3deb 100644
--- a/YLErpWeb/fe-tests/swapCalc.test.js
+++ b/YLErpWeb/fe-tests/swapCalc.test.js
@@ -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');
+ });
});
diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js
index 568f2ecd..7afe1c9a 100644
--- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js
+++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js
@@ -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
diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/swapCalc.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/swapCalc.js
index 65a47daa..4e1c39c3 100644
--- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/swapCalc.js
+++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/swapCalc.js
@@ -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);