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fix(swap): 修复债券结息价差盈亏计算逻辑

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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
This commit is contained in:
张名锐
2026-07-17 10:58:31 +08:00
parent f37a5b997c
commit 415539704d
6 changed files with 74 additions and 17 deletions
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YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js
+4 -2
View File
@@ -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
YLErpWeb/wwwroot/Scripts/app/swaptrade/swapCalc.js
+3 -1
View File
@@ -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);