diff --git a/Framework/YLErp.Core/DBModels/EodSwap.cs b/Framework/YLErp.Core/DBModels/EodSwap.cs index d268cd50..80f8fd30 100644 --- a/Framework/YLErp.Core/DBModels/EodSwap.cs +++ b/Framework/YLErp.Core/DBModels/EodSwap.cs @@ -220,4 +220,86 @@ namespace YLErp.DBModels /// public decimal MarginInterestLoss { get; set; } } + + /// + /// EQD-7084 新“框架合约”Tab 的新增字段及拆分后的估值口径。 + /// 该模型不映射数据库，仅由新查询接口计算返回。 + /// + public class EodSwapRiskNewFields + { + /// + /// 浮动收益端标的类型，仅供前端按债券/非债券选择期初价格精度使用， + /// 不参与任何收益或估值计算。 + /// + public string UnderlyingInstrumentType { get; set; } + + /// 浮动收益端多空方向。 + public string UnderlyingDirection { get; set; } + + /// 浮动收益端标的代码。 + public string UnderlyingCode { get; set; } + + /// 期初标的价格；债券按百分价格展示。 + public decimal? InitialPrice { get; set; } + + /// 名义数量，取合约名义本金。 + public decimal NotionalQuantity { get; set; } + + /// 合约起始日。 + public DateTime? ContractStartDate { get; set; } + + /// 合约到期日。 + public DateTime? ContractMaturityDate { get; set; } + + /// 利息端基准：FR007 或固定利率。 + public string InterestBenchmark { get; set; } + + /// 普通利息腿当前交易日适用利率合计。 + public decimal InterestRatePrice { get; set; } + + /// + /// 开平仓费用。日终腿已按我方收益方向归一：我方支付为负、我方收取为正； + /// 新 Tab 单独展示该金额，但估值中仍须计入一次。 + /// + public decimal OpeningClosingFee { get; set; } + + /// + /// 不含开平仓费用的浮动端待实现收益，来源为日终浮动腿的 PosiMtmPnL； + /// 不可再由旧口径的 PosiProfitSum 反推，避免把费用重新混入本列。 + /// + public decimal FloatingUnrealizedPnl { get; set; } + + /// + /// 排除初始/维持保证金腿后的普通利息端待实现收益。保证金利息保留在其独立两列， + /// 且只通过 MarginInterestAmount 参与估值，以满足“利息端仅展示利息端盈亏”的新口径。 + /// + public decimal OrdinaryInterestPnl { get; set; } + + /// + /// 保证金利息净额，仅供两种合约估值维持旧总额；前端不直接绑定该字段， + /// 以防它再次落入“合约利息端待实现收益”。 + /// + public decimal MarginInterestAmount { get; set; } + + /// 收取对手方保证金利息。 + public decimal MarginInterestGain { get; set; } + + /// 支付对手方保证金利息。 + public decimal MarginInterestLoss { get; set; } + + /// 到期轧差口径估值；仅 DividendPayDate=0 时有值，且包含期间付息/分红。 + public decimal? MaturityNettingValuation { get; set; } + + /// 期间支付派息口径估值；仅 DividendPayDate 非 0 时有值，不重复计入期间付息/分红。 + public decimal? PeriodPaymentValuation { get; set; } + } + + /// + /// EQD-7084 新“框架合约”Tab 响应。继承旧响应以保持原有列字段完全一致， + /// 新接口只额外序列化新增字段。 + /// + public class EodSwapRiskNewResponse : EodSwapResponse + { + public EodSwapRiskNewFields NewFields { get; set; } + } } diff --git a/Framework/YLErp.Core/DBModels/PushStatus.cs b/Framework/YLErp.Core/DBModels/PushStatus.cs new file mode 100644 index 00000000..547fd6cf --- /dev/null +++ b/Framework/YLErp.Core/DBModels/PushStatus.cs @@ -0,0 +1,50 @@ +using System.ComponentModel.DataAnnotations; +using System.ComponentModel.DataAnnotations.Schema; + +namespace YLErp.DBModels +{ + public enum PushStateEnum + { + 待推送 = 0, + 成功 = 1, + 失败 = 2 + } + + /// + /// 外发推送失败状态。只记录定位信息，不保存报文。 + /// + [Table("push_status")] + public class PushStatus + { + [Key] + [DatabaseGenerated(DatabaseGeneratedOption.Identity)] + public long id { get; set; } + + [Column("value_date")] + public DateTime ValueDate { get; set; } + + [Column("push_type")] + public int PushType { get; set; } + + [Column("record_id")] + public long RecordId { get; set; } + + [Column("state")] + public PushStateEnum State { get; set; } + + [Column("retry_count")] + public int RetryCount { get; set; } + + [Column("last_error")] + public string LastError { get; set; } + + [Column("push_time")] + public DateTime? PushTime { get; set; } + + [Column("create_time")] + public DateTime CreateTime { get; set; } + + [Column("update_time")] + public DateTime? UpdateTime { get; set; } + } +} diff --git a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【债券ETF】-清洁版.docx b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【债券ETF】-清洁版.docx index 030e6c1c..0db3fb36 100644 Binary files a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【债券ETF】-清洁版.docx and b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【债券ETF】-清洁版.docx differ diff --git a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx index f1f7c61e..5818a8a4 100644 Binary files a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx and b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx differ diff --git a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【债券ETF】-清洁版.docx b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【债券ETF】-清洁版.docx index c6da85b2..d1735609 100644 Binary files a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【债券ETF】-清洁版.docx and b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【债券ETF】-清洁版.docx differ diff --git a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【现券】-清洁版.docx b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【现券】-清洁版.docx index 19243728..3051e844 100644 Binary files a/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【现券】-清洁版.docx and b/Plugins/YLErp.Plugins.GuoLian/App_Docs/contract_template/国联民生-收益互换交易确认书-境内模板-【客户看空】-【现券】-清洁版.docx differ diff --git a/Plugins/YLErp.Plugins.GuoLian/App_Docs/settlement_template/nodma_01.xlsx b/Plugins/YLErp.Plugins.GuoLian/App_Docs/settlement_template/nodma_01.xlsx index 1b289c00..fd0cf135 100644 Binary files a/Plugins/YLErp.Plugins.GuoLian/App_Docs/settlement_template/nodma_01.xlsx and b/Plugins/YLErp.Plugins.GuoLian/App_Docs/settlement_template/nodma_01.xlsx differ diff --git a/Plugins/YLErp.Plugins.GuoLian/DocumentGenerator/TradeConfirmationGenerator.cs b/Plugins/YLErp.Plugins.GuoLian/DocumentGenerator/TradeConfirmationGenerator.cs index 9335d06f..d7d32888 100644 --- a/Plugins/YLErp.Plugins.GuoLian/DocumentGenerator/TradeConfirmationGenerator.cs +++ b/Plugins/YLErp.Plugins.GuoLian/DocumentGenerator/TradeConfirmationGenerator.cs @@ -245,6 +245,12 @@ namespace YLErp.Plugins.GuoLian.DocumentGenerator } dic["主协议编号"] = mainProtocolCode ?? ""; + // 主协议类型：仅 NAFMII 使用中国银行间市场协议，其余类型按 SAC 展示。 + var mainProtocolType = Context.GetClientMeta(client.id, "MainProtocolType")?.MetaValue; + var isNafmii = mainProtocolType == "1"; + dic["IsSac"] = !isNafmii; + dic["IsNafmii"] = isNafmii; + // 补充协议编号：优先取 client 表字段，为空时从 client_meta 表兜底 var supProtocolCode = client.SupProtocolCode; if (string.IsNullOrWhiteSpace(supProtocolCode)) @@ -563,7 +569,8 @@ namespace YLErp.Plugins.GuoLian.DocumentGenerator // 参考标的证券全称和参考标的名义份额（复用上方已声明的bond） dic["参考标的证券全称"] = underlying != null - ? (JsonHelper.Deserialize(underlying.ExJson)?.UnderlyingFullName ?? underlying.UnderlyingName) + // ? (JsonHelper.Deserialize(underlying.ExJson)?.UnderlyingFullName ?? underlying.UnderlyingName) + ? (underlying.UnderlyingName ?? "") : ""; dic["参考标的名义份额"] = swapPosition != null ? ((double)swapPosition.PosiQuantity).ToString("0.##") diff --git a/UnitTestProject/Modules/EodModule/BondPaymentListQueryBoundaryTest.cs b/UnitTestProject/Modules/EodModule/BondPaymentListQueryBoundaryTest.cs new file mode 100644 index 00000000..9d09352f --- /dev/null +++ b/UnitTestProject/Modules/EodModule/BondPaymentListQueryBoundaryTest.cs @@ -0,0 +1,47 @@ +using System; +using System.IO; + +namespace YLErp.Modules.EodModule +{ + [TestClass] + public class BondPaymentListQueryBoundaryTest + { + [TestMethod] + public void SearchList_OnlyQueriesBondPaymentTable() + { + var source = ReadBondPaymentServiceSource(); + var searchList = ExtractMethod(source, "public SearchListResult SearchList", "public BondPayment SaveBondPayment"); + + Assert.IsFalse( + searchList.Contains("ex_dividend_info", StringComparison.Ordinal), + "债券付息列表只能查询 bond_payment_info，不能把公司行为除权表拼入展示结果。"); + StringAssert.Contains(searchList, "DbContext.bondPayment"); + } + + private static string ExtractMethod(string source, string startMarker, string endMarker) + { + var start = source.IndexOf(startMarker, StringComparison.Ordinal); + Assert.IsTrue(start >= 0, $"Could not find method: {startMarker}"); + var end = source.IndexOf(endMarker, start + startMarker.Length, StringComparison.Ordinal); + Assert.IsTrue(end >= 0, $"Could not find method end: {endMarker}"); + return source.Substring(start, end - start); + } + + private static string ReadBondPaymentServiceSource() + { + var directory = new DirectoryInfo(AppContext.BaseDirectory); + while (directory != null) + { + var path = Path.Combine(directory.FullName, "YLErpDAL", "Modules", "EodModule", "BondPaymentService.cs"); + if (File.Exists(path)) + { + return File.ReadAllText(path); + } + directory = directory.Parent; + } + + Assert.Fail("Could not locate BondPaymentService.cs from the test output directory."); + return string.Empty; + } + } +} diff --git a/UnitTestProject/Modules/EodModule/DividendInfoEditGuardMessageTest.cs b/UnitTestProject/Modules/EodModule/DividendInfoEditGuardMessageTest.cs new file mode 100644 index 00000000..d0a6e001 --- /dev/null +++ b/UnitTestProject/Modules/EodModule/DividendInfoEditGuardMessageTest.cs @@ -0,0 +1,59 @@ +using System; +using System.IO; + +namespace YLErp.Modules.EodModule +{ + [TestClass] + public class DividendInfoEditGuardMessageTest + { + [TestMethod] + public void AddDividendInfos_ReportsTheReferencingTradeNumberWhenAnExecutedActionIsEdited() + { + var source = ReadDividendServiceSource(); + var addDividendInfos = ExtractMethod(source, "public bool AddDividendInfos", "public bool checkDividendInfoExecuteStatus"); + var controllerSource = ReadExDividendInfoControllerSource(); + var deleteDividend = ExtractMethod(controllerSource, "public JsonResult deleteDividend", "public JsonResult ImportDividendInfo"); + + Assert.IsTrue(addDividendInfos.Contains("不可修改，有交易【", StringComparison.Ordinal)); + Assert.IsTrue(addDividendInfos.Contains("使用了该条除权除息数据", StringComparison.Ordinal)); + Assert.IsTrue(deleteDividend.Contains("不可修改，有交易【", StringComparison.Ordinal)); + Assert.IsTrue(deleteDividend.Contains("使用了该条除权除息数据", StringComparison.Ordinal)); + } + + private static string ExtractMethod(string source, string startMarker, string endMarker) + { + var start = source.IndexOf(startMarker, StringComparison.Ordinal); + Assert.IsTrue(start >= 0, $"Could not find method: {startMarker}"); + var end = source.IndexOf(endMarker, start + startMarker.Length, StringComparison.Ordinal); + Assert.IsTrue(end >= 0, $"Could not find method end: {endMarker}"); + return source.Substring(start, end - start); + } + + private static string ReadDividendServiceSource() + { + return ReadSource("YLErpDAL", "Modules", "TradeModule", "DealModule", "DividendService.cs"); + } + + private static string ReadExDividendInfoControllerSource() + { + return ReadSource("YLErpWeb", "Controllers", "ex_dividend_infoController.cs"); + } + + private static string ReadSource(params string[] relativePath) + { + var directory = new DirectoryInfo(AppContext.BaseDirectory); + while (directory != null) + { + var path = Path.Combine(new[] { directory.FullName }.Concat(relativePath).ToArray()); + if (File.Exists(path)) + { + return File.ReadAllText(path); + } + directory = directory.Parent; + } + + Assert.Fail("Could not locate DividendService.cs from the test output directory."); + return string.Empty; + } + } +} diff --git a/UnitTestProject/Modules/EodModule/TrsContractKafkaPushServiceTest.cs b/UnitTestProject/Modules/EodModule/TrsContractKafkaPushServiceTest.cs new file mode 100644 index 00000000..88ffb133 --- /dev/null +++ b/UnitTestProject/Modules/EodModule/TrsContractKafkaPushServiceTest.cs @@ -0,0 +1,210 @@ +using YLErp.Abstract; +using YLErp.Helpers; +using YLErp.Modules.EodModule; + +namespace YLErp.Modules.EodModuleTests +{ + [TestClass] + public class TrsContractKafkaPushServiceTest + { + [TestMethod] + public void Push_空日快照_发送一条空消息并使用业务日期作为Key() + { + var valueDate = new DateTime(2026, 8, 24); + var producer = new RecordingKafkaProducer(); + var service = CreateService(producer, valueDate); + + service.Push(valueDate); + + Assert.AreEqual(1, producer.Messages.Count); + Assert.AreEqual("onederiv.trs.contract.v1", producer.Messages[0].Topic); + Assert.AreEqual("2026-08-24", producer.Messages[0].Key); + var payload = JsonHelper.Deserialize(producer.Messages[0].Message); + Assert.AreEqual("2026-08-24", payload.ValueDate); + Assert.AreEqual(0, payload.ContractCount); + Assert.AreEqual(0, payload.Contracts.Count); + } + + [TestMethod] + public void Push_区间内每天分别调用_每个日期各发送一条快照() + { + var valueDates = new[] + { + new DateTime(2026, 8, 20), + new DateTime(2026, 8, 21), + new DateTime(2026, 8, 24) + }; + var producer = new RecordingKafkaProducer(); + var service = new TestableTrsContractKafkaPushService(producer, valueDates.ToDictionary(x => x, CreateEmptySnapshot)); + + foreach (var valueDate in valueDates) + { + service.Push(valueDate); + } + + CollectionAssert.AreEqual( + new[] { "2026-08-20", "2026-08-21", "2026-08-24" }, + producer.Messages.Select(x => x.Key).ToArray()); + CollectionAssert.AreEqual( + new[] { "2026-08-20", "2026-08-21", "2026-08-24" }, + producer.Messages.Select(x => JsonHelper.Deserialize(x.Message).ValueDate).ToArray()); + } + + [TestMethod] + public void Push_首次失败后成功_停止重试且不记录最终失败() + { + var valueDate = new DateTime(2026, 8, 24); + var producer = new RecordingKafkaProducer { FailuresBeforeSuccess = 1 }; + var service = CreateService(producer, valueDate); + + service.Push(valueDate); + + Assert.AreEqual(2, producer.AttemptCount); + Assert.AreEqual(1, producer.Messages.Count); + Assert.AreEqual(0, service.FailureRecords.Count); + } + + [TestMethod] + public void Push_连续失败三次_记录最终失败和三次尝试() + { + var valueDate = new DateTime(2026, 8, 24); + var producer = new RecordingKafkaProducer { FailuresBeforeSuccess = int.MaxValue }; + var service = CreateService(producer, valueDate); + + service.Push(valueDate); + + Assert.AreEqual(3, producer.AttemptCount); + Assert.AreEqual(0, producer.Messages.Count); + Assert.AreEqual(1, service.FailureRecords.Count); + Assert.AreEqual(valueDate, service.FailureRecords[0].ValueDate); + Assert.AreEqual(3, service.FailureRecords[0].RetryCount); + Assert.IsInstanceOfType(service.FailureRecords[0].Exception, typeof(InvalidOperationException)); + } + + [TestMethod] + public void BuildContract_字段使用日终快照和约定来源() + { + var valueDate = new DateTime(2026, 8, 24); + var eodSwap = new eod_swap + { + id = 10, + ValueDate = valueDate, + SwapTradeId = 7, + SwapTradeNo = "TRS-001", + BookId = 3, + ClientId = 8, + NotionalValue = 1000000m, + dv01 = 12.34m, + InitMarginGain = 100m, + InitMarginLoss = 0m + }; + var trade = new trade + { + id = 7, + UnderlyingCode = "600000.SH", + UnderlyingAssetName = "浦发银行", + UnderlyingInstrumentType = "Stock", + StartDate = new DateTime(2026, 8, 1), + ExerciseDate = new DateTime(2027, 8, 1) + }; + var positions = new List + { + new() { SwapTradeId = 7, PositionId = 101, UnderlyingCode = "600000.SH", PositionType = 1 }, + new() { SwapTradeId = 7, PositionId = 102, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0123m, InterestDirection = 2 } + }; + var swapPositions = new Dictionary + { + [101] = new() { id = 101, category_tag = "互换利率" }, + [102] = new() { id = 102, category_tag = "互换利率" } + }; + + var item = TrsContractKafkaPushService.BuildContract( + eodSwap, + new Dictionary { [7] = trade }, + positions, + swapPositions); + + Assert.AreEqual("2026-08-24", item.TradeDate); + Assert.AreEqual(3, item.BookId); + Assert.AreEqual("TRS-001", item.SwapTradeNo); + Assert.AreEqual(8, item.ClientId); + Assert.AreEqual("600000.SH", item.UnderlyingCode); + Assert.AreEqual("浦发银行", item.UnderlyingName); + Assert.AreEqual("Stock", item.UnderlyingInstrumentType); + Assert.AreEqual(1000000m, item.NotionalValue); + Assert.AreEqual("2026-08-01", item.StartDate); + Assert.AreEqual("2027-08-01", item.MaturityDate); + Assert.AreEqual(12.34m, item.Dv01); + Assert.AreEqual(0.0123m, item.FixedRate); + Assert.AreEqual(2, item.InterestDirection); + Assert.AreEqual(1, item.FloatingDirection); + Assert.AreEqual(100m, item.InitMarginGain); + Assert.AreEqual(0m, item.InitMarginLoss); + } + + private static TestableTrsContractKafkaPushService CreateService(RecordingKafkaProducer producer, DateTime valueDate) + { + return new TestableTrsContractKafkaPushService( + producer, + new Dictionary { [valueDate] = CreateEmptySnapshot(valueDate) }); + } + + private static TrsContractSnapshot CreateEmptySnapshot(DateTime valueDate) + { + return new TrsContractSnapshot + { + SchemaVersion = "v1", + ValueDate = valueDate.ToString("yyyy-MM-dd"), + PushTime = "2026-08-24 12:00:00", + ContractCount = 0, + Contracts = new List() + }; + } + + private sealed class TestableTrsContractKafkaPushService : TrsContractKafkaPushService + { + private readonly IReadOnlyDictionary _snapshots; + + public List<(DateTime ValueDate, int RetryCount, Exception Exception)> FailureRecords { get; } = new(); + + public TestableTrsContractKafkaPushService(IKafkaProduce producer, IReadOnlyDictionary snapshots) + : base(new YLContext(), producer, "onederiv.trs.contract.v1") + { + _snapshots = snapshots; + } + + protected override TrsContractSnapshot BuildSnapshot(DateTime valueDate) + { + return _snapshots[valueDate]; + } + + protected override void RecordFailures(DateTime valueDate, int retryCount, Exception exception) + { + FailureRecords.Add((valueDate, retryCount, exception)); + } + } + + private sealed class RecordingKafkaProducer : IKafkaProduce + { + public int FailuresBeforeSuccess { get; set; } + public int AttemptCount { get; private set; } + public List<(string Topic, string Key, string Message)> Messages { get; } = new(); + + public void Produce(string topic, string message) + { + throw new NotSupportedException(); + } + + public void Produce(string topic, string key, string message) + { + AttemptCount++; + if (AttemptCount <= FailuresBeforeSuccess) + { + throw new InvalidOperationException("Kafka unavailable"); + } + + Messages.Add((topic, key, message)); + } + } + } +} diff --git a/UnitTestProject/Modules/SwapModule/CorporateActionEventLifecycleTest.cs b/UnitTestProject/Modules/SwapModule/CorporateActionEventLifecycleTest.cs index 7e202a38..67570ef6 100644 --- a/UnitTestProject/Modules/SwapModule/CorporateActionEventLifecycleTest.cs +++ b/UnitTestProject/Modules/SwapModule/CorporateActionEventLifecycleTest.cs @@ -1,6 +1,7 @@ using System; using System.Collections.Generic; using System.Linq; +using System.Reflection; using Newtonsoft.Json; using Microsoft.VisualStudio.TestTools.UnitTesting; using YLErp.DBModels; @@ -20,6 +21,7 @@ namespace YLErp.Modules.SwapModule public void RegistrationSnapshot_IsPending_AndKeepsBeforeFields() { var info = CreateAction(77, ConsGlobal.InstrumentType.Stock); + info.GiveShareAmount = 1m; var before = CreateEodPosition(9, info.UnderlyingCode, 1000m, 100m); var snapshot = SwapEodPositionService.BuildCorporateActionEventData( @@ -37,8 +39,9 @@ namespace YLErp.Modules.SwapModule Assert.IsFalse(snapshot.Applied); var reason = SwapEventService.BuildCorporateActionEventReason(snapshot); - StringAssert.Contains(reason, "BeforeQuantity=1000"); - StringAssert.Contains(reason, "AfterQuantity=0"); + StringAssert.Contains(reason, "股权登记日：2026-08-14 发生公司行为（送股）"); + StringAssert.Contains(reason, "调整前：名义本金：100000 期初标的价格：100 持仓数量：1000"); + StringAssert.Contains(reason, "调整后：名义本金：0 期初标的价格：0 持仓数量：0"); } [TestMethod] @@ -65,6 +68,23 @@ namespace YLErp.Modules.SwapModule Assert.IsFalse(SwapEodPositionService.IsCorporateActionInstrument(ConsGlobal.InstrumentType.TBonds)); } + [TestMethod] + public void CorporateActionReason_ShowsOneActionTypeOrActualCashDividend() + { + AssertActionDescription( + new CorporateActionEventData { ExDividendDate = RecordDate, RationedSharesAmount = 1m, GiveShareAmount = 1m, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m }, + "发生公司行为（配股）"); + AssertActionDescription( + new CorporateActionEventData { ExDividendDate = RecordDate, GiveShareAmount = 1m, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m }, + "发生公司行为（送股）"); + AssertActionDescription( + new CorporateActionEventData { ExDividendDate = RecordDate, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m }, + "发生公司行为（拆分）"); + AssertActionDescription( + new CorporateActionEventData { ExDividendDate = RecordDate, GiveCashAmount = 11m, CashFlowChange = 220000m }, + "发生公司行为（产生分红：220000）"); + } + [TestMethod] public void Rerun_DoesNotCreateDuplicateCorporateActionEvent() { @@ -113,7 +133,7 @@ namespace YLErp.Modules.SwapModule } [TestMethod] - public void OperationHistory_PreservesPendingCorporateActionForAudit() + public void OperationHistory_HidesPendingCorporateActionUntilItIsApplied() { var info = CreateAction(80, ConsGlobal.InstrumentType.Stock); var pendingData = SwapEodPositionService.BuildCorporateActionEventData( @@ -133,12 +153,17 @@ namespace YLErp.Modules.SwapModule new swap_event { id = 3, EventType = (int)SwapEventTypeEnum.互换, EventData = "{}" } }; - // 操作历史不再隐藏登记日待生效事件；Applied=false 是事件状态，不是展示过滤条件。 - Assert.AreEqual(3, events.Count); - Assert.IsTrue(SwapEventService.TryDeserializeCorporateActionEventData(events[0], out var pendingSnapshot)); - Assert.IsFalse(pendingSnapshot.Applied); - Assert.IsTrue(SwapEventService.TryDeserializeCorporateActionEventData(events[1], out var appliedSnapshot)); - Assert.IsTrue(appliedSnapshot.Applied); + var filter = typeof(SwapEventService).GetMethod( + "FilterOperationHistory", + BindingFlags.NonPublic | BindingFlags.Static); + Assert.IsNotNull(filter, "操作历史必须过滤登记日创建的待生效公司行为事件。"); + + var visibleEvents = (List)filter.Invoke(null, new object[] { events }); + + Assert.AreEqual(2, visibleEvents.Count); + Assert.IsFalse(visibleEvents.Any(x => x.id == 1)); + Assert.IsTrue(visibleEvents.Any(x => x.id == 2)); + Assert.IsTrue(visibleEvents.Any(x => x.id == 3)); } [TestMethod] @@ -283,6 +308,11 @@ namespace YLErp.Modules.SwapModule }; } + private static void AssertActionDescription(CorporateActionEventData data, string expected) + { + StringAssert.Contains(SwapEventService.BuildCorporateActionEventReason(data), expected); + } + private static eod_swap_position CreateEodPosition(long positionId, string code, decimal quantity, decimal price) { return new eod_swap_position diff --git a/UnitTestProject/Modules/SwapModule/SwapEodPositionRiskNewTabTest.cs b/UnitTestProject/Modules/SwapModule/SwapEodPositionRiskNewTabTest.cs new file mode 100644 index 00000000..97a1527d --- /dev/null +++ b/UnitTestProject/Modules/SwapModule/SwapEodPositionRiskNewTabTest.cs @@ -0,0 +1,178 @@ +using YLErp.DBModels; +using YLErp.DBModels.Enums; + +namespace YLErp.Modules.SwapModule; + +/// +/// EQD-7084 新“框架合约”Tab 的口径测试。 +/// 纯计算测试不依赖数据库，直接锁定 EodPnlCalculator 的新口径。 +/// +[TestClass] +public class SwapEodPositionRiskNewTabTest +{ + [TestMethod] + public void 新口径_普通利息排除保证金_浮动收益剔除费用并保留估值总额() + { + var floating = new[] + { + // EOD 归一后，费用已经按我方收益视角落库；支付费用为负数。 + FloatingLeg("600000", 1, 100m, 0m, -12m, "普通收益互换") + }; + var interests = new[] + { + InterestLeg(1, (int)InterestModeEnum.固定值, 80m, 0.02m, 0.02m), + InterestLeg(1, (int)InterestModeEnum.初始预付金, 20m, 0.01m, 0.01m) + }; + + var fields = InvokeCalculation( + floating, + interests, + structureType: "普通收益互换", + notionalValue: 1_000m, + startDate: new DateTime(2026, 1, 1), + maturityDate: new DateTime(2026, 12, 31), + periodAmount: 5m, + dividendPayDate: 0); + + Assert.AreEqual(100m, GetDecimal(fields, "FloatingUnrealizedPnl"), 0.0001m, + "新浮动端待实现收益应排除 PosiFeePending：PosiProfitSum(88) - PosiFeePending(-12) = 100"); + Assert.AreEqual(-12m, GetDecimal(fields, "OpeningClosingFee"), 0.0001m, + "开平仓费用直接使用 EOD 已归一的 PosiFeePending"); + Assert.AreEqual(80m, GetDecimal(fields, "OrdinaryInterestPnl"), 0.0001m, + "利息端待实现收益应排除初始/维持保证金腿"); + Assert.AreEqual(-20m, GetDecimal(fields, "MarginInterestAmount"), 0.0001m, + "保证金利息仍应按保证金腿方向计入估值"); + Assert.AreEqual(153m, GetDecimal(fields, "MaturityNettingValuation"), 0.0001m, + "估值应保持旧口径：100 - 12 + 80 - 20 + 5 = 153；费用只计一次"); + } + + [TestMethod] + public void 新口径_当前利率合计使用普通利息腿TdInterestRate_并识别FR007() + { + var fr007Leg = InterestLeg(2, (int)InterestModeEnum.合约名义本金规模, 20m, 0.03m, 0.018m); + fr007Leg.FloatRateUnderlyingCode = "FR007"; + fr007Leg.FloatRate = 0.015m; + var fields = InvokeCalculation( + new[] { FloatingLeg("600001", 2, 100m, 0m, 0m, "普通收益互换") }, + new[] + { + InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m), + fr007Leg + }, + structureType: "普通收益互换", + notionalValue: 100m, + startDate: new DateTime(2026, 2, 1), + maturityDate: new DateTime(2026, 8, 1), + periodAmount: 0m, + dividendPayDate: 1); + + Assert.AreEqual(0.0305m, GetDecimal(fields, "InterestRatePrice"), 0.0000001m, + "利率端价格应为普通利息腿当前 TdInterestRate 合计，而非默认利差合计"); + Assert.AreEqual("FR007", GetString(fields, "InterestBenchmark")); + } + + [TestMethod] + public void 新口径_普通利息腿无FR007时基准为固定利率() + { + var fields = InvokeCalculation( + new[] { FloatingLeg("600002", 1, 100m, 0m, 0m, "普通收益互换") }, + new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m) }, + structureType: "普通收益互换", + notionalValue: 100m, + startDate: new DateTime(2026, 2, 1), + maturityDate: new DateTime(2026, 8, 1), + periodAmount: 0m, + dividendPayDate: 1); + + Assert.AreEqual("固定利率", GetString(fields, "InterestBenchmark")); + } + + [TestMethod] + public void 新口径_债券期初价格按风险页约定放大百分价格_并保留合同字段() + { + var fields = InvokeCalculation( + new[] { FloatingLeg("110000", 1, 99.12m, 0m, 0m, "普通债券类收益互换", "Bond") }, + new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 1m, 0.01m, 0.01m) }, + structureType: "普通债券类收益互换", + notionalValue: 9_900m, + startDate: new DateTime(2026, 3, 1), + maturityDate: new DateTime(2027, 3, 1), + periodAmount: 0m, + dividendPayDate: 1); + + Assert.AreEqual(99.12m, GetDecimal(fields, "InitialPrice"), 0.0001m, + "债券日终 PosiGrossPrice 已由 SetPosiPrice 按风险页口径缩放，新接口不能再次乘 100"); + Assert.AreEqual(9_900m, GetDecimal(fields, "NotionalQuantity"), 0.0001m); + Assert.AreEqual("多头", GetString(fields, "UnderlyingDirection")); + Assert.AreEqual("110000", GetString(fields, "UnderlyingCode")); + Assert.AreEqual("Bond", GetString(fields, "UnderlyingInstrumentType")); + Assert.AreEqual(new DateTime(2026, 3, 1), GetDate(fields, "ContractStartDate")); + Assert.AreEqual(new DateTime(2027, 3, 1), GetDate(fields, "ContractMaturityDate")); + } + + private static object InvokeCalculation( + IEnumerable floating, + IEnumerable interests, + string structureType, + decimal notionalValue, + DateTime startDate, + DateTime maturityDate, + decimal periodAmount, + int dividendPayDate) + { + return EodPnlCalculator.CalculateEodSwapRiskNewFields( + floating, + interests, + structureType, + notionalValue, + startDate, + maturityDate, + periodAmount, + dividendPayDate); + } + + private static decimal GetDecimal(object fields, string name) + => Convert.ToDecimal(fields.GetType().GetProperty(name)!.GetValue(fields)); + + private static string GetString(object fields, string name) + => (string)fields.GetType().GetProperty(name)!.GetValue(fields)!; + + private static DateTime GetDate(object fields, string name) + => (DateTime)fields.GetType().GetProperty(name)!.GetValue(fields)!; + + private static eod_swap_position FloatingLeg( + string code, + int positionType, + decimal mtm, + decimal dividend, + decimal fee, + string structureType, + string instrumentType = null) + => new() + { + UnderlyingCode = code, + UnderlyingInstrumentType = instrumentType ?? structureType, + PositionType = positionType, + PosiGrossPrice = mtm, + PosiMtmPnL = mtm, + PosiDividendSum = dividend, + PosiFeePending = fee, + PosiProfitSum = mtm + dividend + fee, + PosiNotionalValue = 100m + }; + + private static eod_swap_position InterestLeg( + int direction, + int mode, + decimal profit, + decimal defaultRate, + decimal currentRate) + => new() + { + InterestDirection = direction, + InterestMode = mode, + InterestProfitSum = profit, + InterestRateDefault = defaultRate, + TdInterestRate = currentRate + }; +} diff --git a/YLErpDAL/Abstract/IKafkaProduce.cs b/YLErpDAL/Abstract/IKafkaProduce.cs index d95e6ddc..a0a78943 100644 --- a/YLErpDAL/Abstract/IKafkaProduce.cs +++ b/YLErpDAL/Abstract/IKafkaProduce.cs @@ -9,5 +9,7 @@ namespace YLErp.Abstract public interface IKafkaProduce { void Produce(string topic, string message); + + void Produce(string topic, string key, string message); } } diff --git a/YLErpDAL/DataBase/YLContext.cs b/YLErpDAL/DataBase/YLContext.cs index dbffc149..1c828a21 100644 --- a/YLErpDAL/DataBase/YLContext.cs +++ b/YLErpDAL/DataBase/YLContext.cs @@ -354,6 +354,7 @@ namespace YLErp.BLL public DbSet eod_swap_position { get; set; } public DbSet swap_event { get; set; } public DbSet eod_swap { get; set; } + public DbSet push_status { get; set; } public DbSet trade_obervation { get; set; } public DbSet SystemLogs { get; set; } diff --git a/YLErpDAL/Helpers/KafkaProduceHelper.cs b/YLErpDAL/Helpers/KafkaProduceHelper.cs index b01955fd..4c5789a3 100644 --- a/YLErpDAL/Helpers/KafkaProduceHelper.cs +++ b/YLErpDAL/Helpers/KafkaProduceHelper.cs @@ -63,19 +63,29 @@ namespace YLErp.Helpers public void Produce(string topic,string message) { - var kafkaMessage = new Message - { - Key=null, - Value = message - }; try { - _producer.ProduceAsync(topic, kafkaMessage).GetAwaiter().GetResult(); + ProduceCore(topic, null, message); } catch (Exception ex) { _logger.Error($"Topic:{topic} send failed",ex); } } + + public void Produce(string topic, string key, string message) + { + ProduceCore(topic, key, message); + } + + private void ProduceCore(string topic, string key, string message) + { + var kafkaMessage = new Message + { + Key = key, + Value = message + }; + _producer.ProduceAsync(topic, kafkaMessage).GetAwaiter().GetResult(); + } } } diff --git a/YLErpDAL/Model/KafkaConfig.cs b/YLErpDAL/Model/KafkaConfig.cs index 341ba482..5cd9cf36 100644 --- a/YLErpDAL/Model/KafkaConfig.cs +++ b/YLErpDAL/Model/KafkaConfig.cs @@ -60,7 +60,7 @@ namespace YLErp.Model /// /// TRS合约数据推送topic（对外，如onebp等） /// - public string ContractTopic { get; set; } = "onederi.trs.onebp.contract.v1"; + public string ContractTopic { get; set; } = "onederiv.trs.contract.v1"; } } diff --git a/YLErpDAL/Modules/EodModule/BondPaymentService.cs b/YLErpDAL/Modules/EodModule/BondPaymentService.cs index 19366db5..5b6f03ce 100644 --- a/YLErpDAL/Modules/EodModule/BondPaymentService.cs +++ b/YLErpDAL/Modules/EodModule/BondPaymentService.cs @@ -59,43 +59,7 @@ namespace YLErp.Modules.EodModule create_time = source.create_time, update_time = source.update_time }; - // 不再依赖 bond-sync 镜像：Stock/Fund 公司行为直接作为展示行返回。 - // 展示金额按“每 10 份派现金额”换算为 GiveCashAmount / 10；EOD 计算仍使用 - // GetBondPayments 的内部单位口径，不受此处展示换算影响。 - var corporateQuery = from un in queryUn - join dividend in DbContext.ex_dividend_info.AsNoTracking() - on un.UnderlyingCode equals dividend.UnderlyingCode - where dividend.ValidStatus - && dividend.EffectiveDate.HasValue - && dividend.EffectiveDate.Value >= valueDtStart - && dividend.EffectiveDate.Value < valueDtEnd - && dividend.GiveCashAmount != 0 - && (string.IsNullOrEmpty(req.UnderlyingCode) - || dividend.UnderlyingCode.Contains(req.UnderlyingCode)) - && (un.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock - || un.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Fund) - && (string.IsNullOrEmpty(req.DataSource) - || "公司行为除权表".Contains(req.DataSource)) - select new BondPaymentDto - { - id = -dividend.id, - channel_source = "公司行为除权表", - MarketName = un.MarketName, - security_id = un.UnderlyingCode, - symbol = un.UnderlyingName, - coupon_rate = null, - payment_date = dividend.EffectiveDate, - payment_interest = dividend.GiveCashAmount / 10m, - payment_parvalue = null, - paying_price = dividend.GiveCashAmount / 10m, - create_time = dividend.OptDate, - update_time = dividend.OptDate - }; - // EF Core 无法翻译两个对 BondPaymentDto 继承属性赋值集合不完全一致的投影 - // 直接 Concat；分别执行后在内存合并，不改变两组查询的筛选口径。 - var rows = query.ToList(); - rows.AddRange(corporateQuery.ToList()); - var result = rows.AsQueryable().ToSearchList(req); + var result = query.ToSearchList(req); return result; } diff --git a/YLErpDAL/Modules/EodModule/SettlementModule/EodTaskRunner.cs b/YLErpDAL/Modules/EodModule/SettlementModule/EodTaskRunner.cs index eb3da751..0a9e65fe 100644 --- a/YLErpDAL/Modules/EodModule/SettlementModule/EodTaskRunner.cs +++ b/YLErpDAL/Modules/EodModule/SettlementModule/EodTaskRunner.cs @@ -10,6 +10,12 @@ using YLErp.Modules.SystemModule; using YLErp.Modules.TradeDalModule; using YLErp.Modules.TradeModule.DealModule; +using Microsoft.Extensions.DependencyInjection; +using Microsoft.Extensions.Options; +using YieldChain.Commons; +using YLErp.Abstract; +using YLErp.Model; + namespace YLErp.Modules.EodModule.SettlementModule { /// @@ -445,12 +451,35 @@ where {nameof(t.TaskStartTime)}>'{startDateStr}' and {nameof(t.TaskState)}={(int } ClientBalanceUtility.saveClientRiskMonitor(eodTask.ValueDate); new EodFileService(this.OptUser).GenerateFileAfterEod(eodTask.ValueDate); + PushTrsContractSnapshot(eodTask.ValueDate); //执行下一日 eodTask.ValueDate = eodTask.ValueDate.AddDays(1); eodTask.TaskEndTime = DateTime.Now; } } + private void PushTrsContractSnapshot(DateTime valueDate) + { + try + { + var provider = YLServiceLocator.ServiceProvider; + var kafkaProduce = provider?.GetService(); + var kafkaOptions = provider?.GetService>(); + if (kafkaProduce == null || kafkaOptions?.Value == null) + { + LogFactory.GetLogger("TRS合约日终Kafka推送").Error("Kafka service or configuration is unavailable"); + return; + } + + using var pushDbContext = DbContextFactory.GetYLDbContext(); + new TrsContractKafkaPushService(pushDbContext, kafkaProduce, kafkaOptions.Value.ContractTopic).Push(valueDate); + } + catch (Exception ex) + { + LogFactory.GetLogger("TRS合约日终Kafka推送").Error($"TRS contract snapshot task failed, valueDate:{valueDate:yyyy-MM-dd}", ex); + } + } + /// /// 查找第一个可用的任务 /// diff --git a/YLErpDAL/Modules/EodModule/TrsContractKafkaPushService.cs b/YLErpDAL/Modules/EodModule/TrsContractKafkaPushService.cs new file mode 100644 index 00000000..0efc85e1 --- /dev/null +++ b/YLErpDAL/Modules/EodModule/TrsContractKafkaPushService.cs @@ -0,0 +1,233 @@ +using YLErp.Abstract; +using YLErp.BLL; +using YLErp.DBModels; +using YLErp.Helpers; + +namespace YLErp.Modules.EodModule +{ + /// + /// 收盘后按交易日推送 TRS 合约全量快照。 + /// + public class TrsContractKafkaPushService + { + private const string DateFormat = "yyyy-MM-dd"; + private const string DateTimeFormat = "yyyy-MM-dd HH:mm:ss"; + private const string InterestCategory = "互换利率"; + private const int TrsContractPushType = 1; + private const int MaxAttempts = 3; + + private readonly YLContext _dbContext; + private readonly IKafkaProduce _kafkaProduce; + private readonly string _topic; + private readonly IYcLogger _logger; + + public TrsContractKafkaPushService(YLContext dbContext, IKafkaProduce kafkaProduce, string topic) + { + _dbContext = dbContext ?? throw new ArgumentNullException(nameof(dbContext)); + _kafkaProduce = kafkaProduce ?? throw new ArgumentNullException(nameof(kafkaProduce)); + _topic = string.IsNullOrWhiteSpace(topic) ? throw new ArgumentException("Kafka topic is empty", nameof(topic)) : topic; + _logger = LogFactory.GetLogger(nameof(TrsContractKafkaPushService)); + } + + public void Push(DateTime valueDate) + { + valueDate = valueDate.Date; + + TrsContractSnapshot snapshot; + string payload; + try + { + snapshot = BuildSnapshot(valueDate); + payload = JsonHelper.Serialize(snapshot, true, true); + } + catch (Exception ex) + { + _logger.Error($"TRS contract snapshot build failed, valueDate:{valueDate:yyyy-MM-dd}", ex); + RecordFailures(valueDate, 0, ex); + return; + } + + var key = valueDate.ToString(DateFormat); + Exception lastException = null; + for (var attempt = 1; attempt <= MaxAttempts; attempt++) + { + try + { + _kafkaProduce.Produce(_topic, key, payload); + _logger.Info($"TRS contract snapshot sent, valueDate:{key}, topic:{_topic}, count:{snapshot.ContractCount}, attempt:{attempt}"); + return; + } + catch (Exception ex) + { + lastException = ex; + _logger.Error($"TRS contract snapshot send failed, valueDate:{key}, topic:{_topic}, attempt:{attempt}", ex); + } + } + + _logger.Error($"TRS contract snapshot send exhausted retries, valueDate:{key}, topic:{_topic}, attempts:{MaxAttempts}"); + RecordFailures(valueDate, MaxAttempts, lastException); + } + + protected virtual void RecordFailures(DateTime valueDate, int retryCount, Exception exception) + { + try + { + var recordIds = _dbContext.eod_swap + .Where(x => x.ValueDate == valueDate) + .Select(x => x.id) + .ToList(); + if (recordIds.Count == 0) + { + recordIds.Add(0); + } + + var now = DateTime.Now; + var statuses = _dbContext.push_status + .Where(x => x.ValueDate == valueDate + && x.PushType == TrsContractPushType + && recordIds.Contains(x.RecordId)) + .ToList(); + var error = exception?.ToString(); + if (error?.Length > 2000) + { + error = error.Substring(0, 2000); + } + + foreach (var recordId in recordIds) + { + var status = statuses.FirstOrDefault(x => x.RecordId == recordId); + if (status == null) + { + status = new PushStatus + { + ValueDate = valueDate, + PushType = TrsContractPushType, + RecordId = recordId, + CreateTime = now + }; + _dbContext.push_status.Add(status); + } + + status.State = PushStateEnum.失败; + status.RetryCount = retryCount; + status.LastError = error; + status.PushTime = now; + status.UpdateTime = now; + } + + _dbContext.SaveChanges(); + } + catch (Exception ex) + { + _logger.Error($"TRS contract push failure status save failed, valueDate:{valueDate:yyyy-MM-dd}", ex); + } + } + + protected virtual TrsContractSnapshot BuildSnapshot(DateTime valueDate) + { + var eodSwaps = _dbContext.eod_swap + .Where(x => x.ValueDate == valueDate) + .AsNoTracking() + .ToList(); + var tradeIds = eodSwaps.Select(x => x.SwapTradeId).Distinct().ToList(); + var trades = _dbContext.trade + .Where(x => tradeIds.Contains(x.id)) + .AsNoTracking() + .ToDictionary(x => x.id); + var eodPositions = _dbContext.eod_swap_position + .Where(x => x.ValueDate == valueDate && tradeIds.Contains(x.SwapTradeId) && !x.Invalid) + .AsNoTracking() + .ToList(); + var positionIds = eodPositions.Select(x => x.PositionId).Distinct().ToList(); + var swapPositions = _dbContext.swap_position + .Where(x => positionIds.Contains(x.id) && !x.Invalid && x.category_tag == InterestCategory) + .AsNoTracking() + .ToDictionary(x => x.id); + + var contracts = eodSwaps.Select(eodSwap => BuildContract(eodSwap, trades, eodPositions, swapPositions)).ToList(); + return new TrsContractSnapshot + { + SchemaVersion = "v1", + ValueDate = valueDate.ToString(DateFormat), + PushTime = DateTime.Now.ToString(DateTimeFormat), + ContractCount = contracts.Count, + Contracts = contracts + }; + } + + internal static TrsContractSnapshotItem BuildContract( + eod_swap eodSwap, + IReadOnlyDictionary trades, + IReadOnlyCollection eodPositions, + IReadOnlyDictionary swapPositions) + { + if (!trades.TryGetValue(eodSwap.SwapTradeId, out var trade)) + { + throw new InvalidOperationException($"TRS trade not found, swapTradeId:{eodSwap.SwapTradeId}"); + } + + var positions = eodPositions.Where(x => x.SwapTradeId == eodSwap.SwapTradeId).ToList(); + var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode) && swapPositions.ContainsKey(x.PositionId)).ToList(); + var interest = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode) + && ConsTrade.InterestModels.Contains(x.InterestMode) + && swapPositions.TryGetValue(x.PositionId, out var swapPosition) + && swapPosition.category_tag == InterestCategory).ToList(); + + if (floating.Count != 1 || interest.Count != 1) + { + throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{interest.Count}"); + } + + var interestLeg = interest[0]; + var floatingLeg = floating[0]; + return new TrsContractSnapshotItem + { + TradeDate = eodSwap.ValueDate.ToString(DateFormat), + BookId = eodSwap.BookId, + SwapTradeNo = eodSwap.SwapTradeNo, + ClientId = eodSwap.ClientId, + UnderlyingCode = trade.UnderlyingCode, + UnderlyingName = trade.UnderlyingAssetName, + UnderlyingInstrumentType = trade.UnderlyingInstrumentType, + NotionalValue = eodSwap.NotionalValue, + Dv01 = eodSwap.dv01 ?? 0, + StartDate = trade.StartDate?.ToString(DateFormat), + MaturityDate = trade.ExerciseDate?.ToString(DateFormat), + FixedRate = interestLeg.InterestRateDefault, + InterestDirection = interestLeg.InterestDirection, + FloatingDirection = floatingLeg.PositionType, + InitMarginGain = eodSwap.InitMarginGain, + InitMarginLoss = eodSwap.InitMarginLoss + }; + } + } + + public class TrsContractSnapshot + { + public string SchemaVersion { get; set; } + public string ValueDate { get; set; } + public string PushTime { get; set; } + public int ContractCount { get; set; } + public List Contracts { get; set; } + } + + public class TrsContractSnapshotItem + { + public string TradeDate { get; set; } + public int BookId { get; set; } + public string SwapTradeNo { get; set; } + public int ClientId { get; set; } + public string UnderlyingCode { get; set; } + public string UnderlyingName { get; set; } + public string UnderlyingInstrumentType { get; set; } + public decimal NotionalValue { get; set; } + public decimal Dv01 { get; set; } + public string StartDate { get; set; } + public string MaturityDate { get; set; } + public decimal FixedRate { get; set; } + public int InterestDirection { get; set; } + public int FloatingDirection { get; set; } + public decimal InitMarginGain { get; set; } + public decimal InitMarginLoss { get; set; } + } +} diff --git a/YLErpDAL/Modules/SwapModule/EodPnlCalculator.cs b/YLErpDAL/Modules/SwapModule/EodPnlCalculator.cs index 62a831af..2caee13f 100644 --- a/YLErpDAL/Modules/SwapModule/EodPnlCalculator.cs +++ b/YLErpDAL/Modules/SwapModule/EodPnlCalculator.cs @@ -1,8 +1,10 @@ using System; using System.Collections.Generic; +using System.Linq; using YLErp; using YLErp.DBModels; using YLErp.DBModels.Enums; +using YLErp.Modules.SwapModule.Margin; using YLErp.Modules.SwapModule.ReturnLegs; namespace YLErp.Modules.SwapModule @@ -180,5 +182,101 @@ namespace YLErp.Modules.SwapModule { position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee; } + + /// + /// 计算 EQD-7084 新“框架合约”Tab 的纯展示口径。 + /// 浮动腿盯市收益、开平仓费用和普通利息分别计算；保证金腿的利息 + /// 仅作为估值组成项保留一次，不混入新 Tab 的普通利息列。 + /// + public static EodSwapRiskNewFields CalculateEodSwapRiskNewFields( + IEnumerable floatingLegs, + IEnumerable interestLegs, + string structureType, + decimal notionalValue, + DateTime? startDate, + DateTime? maturityDate, + decimal periodAmount, + int dividendPayDate) + { + // 日终明细以 UnderlyingCode 是否存在区分浮动腿和利息腿；调用方即使传入混合集合， + // 这里也会重新过滤，避免保证金/利息数据被带入浮动端新口径。 + var floating = (floatingLegs ?? Enumerable.Empty()) + .Where(x => x != null && !string.IsNullOrEmpty(x.UnderlyingCode)) + .ToList(); + var interests = (interestLegs ?? Enumerable.Empty()) + .Where(x => x != null && string.IsNullOrEmpty(x.UnderlyingCode)) + .ToList(); + // MarginModes 覆盖初始/维持保证金相关腿。它们的利息不属于需求中的“利息端待实现收益”， + // 但必须单独保留，以使两个合约估值与旧口径总额保持一致。 + var ordinaryInterests = interests.Where(x => !MarginModes.Contains(x.InterestMode)).ToList(); + var marginInterests = interests.Where(x => MarginModes.Contains(x.InterestMode)).ToList(); + var firstFloating = floating.FirstOrDefault(); + + // PosiGrossPrice 已是 EOD 归档口径的期初全价；债券价格不可在报表接口再次乘 100。 + var initialPrice = firstFloating?.PosiGrossPrice; + // PosiFeePending 是日终归一后的我方损益方向：支付费用为负、收取费用为正。 + // 本列独立展示它，下面的 valuation 再加回一次，不能因展示拆列而改变合约估值。 + var openingClosingFee = floating.Sum(x => x.PosiFeePending); + // PosiMtmPnL 已排除分红和费用，避免从 PosiProfitSum 重复拆分历史费用。 + var floatingUnrealizedPnl = floating.Sum(x => x.PosiMtmPnL); + var ordinaryInterestPnl = ordinaryInterests.Sum(x => + x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode)); + var marginInterestAmount = marginInterests.Sum(x => + x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode)); + + // 新口径估值 = 去费用浮动收益 + 开平仓费用 + 普通利息 + 保证金利息。 + // “浮动端待实现收益”列不包含费用，而合约估值仍沿用旧总额，故费用只能在此加一次。 + var valuation = floatingUnrealizedPnl + + openingClosingFee + + ordinaryInterestPnl + + marginInterestAmount; + var result = new EodSwapRiskNewFields + { + UnderlyingInstrumentType = firstFloating?.UnderlyingInstrumentType, + UnderlyingDirection = string.Join(",", floating + .Select(x => x.PositionType == (int)PositionTypeFlag.Long ? "多头" + : x.PositionType == (int)PositionTypeFlag.Short ? "空头" : "") + .Where(x => !string.IsNullOrEmpty(x)) + .Distinct()), + UnderlyingCode = string.Join(",", floating + .Select(x => x.UnderlyingCode) + .Where(x => !string.IsNullOrEmpty(x)) + .Distinct()), + InitialPrice = initialPrice, + NotionalQuantity = notionalValue, + ContractStartDate = startDate, + ContractMaturityDate = maturityDate, + // 只要普通利息腿存在 FR007，即按需求显示 FR007；保证金腿不影响该展示基准。 + InterestBenchmark = ordinaryInterests.Any(x => + !string.IsNullOrWhiteSpace(x.FloatRateUnderlyingCode) + && x.FloatRateUnderlyingCode.IndexOf("FR007", StringComparison.OrdinalIgnoreCase) >= 0) + ? "FR007" : "固定利率", + // 使用日终当日实际适用的 TdInterestRate 合计，而非合同初始利率或利差字段。 + InterestRatePrice = ordinaryInterests.Sum(x => x.TdInterestRate), + OpeningClosingFee = openingClosingFee, + FloatingUnrealizedPnl = floatingUnrealizedPnl, + OrdinaryInterestPnl = ordinaryInterestPnl, + MarginInterestAmount = marginInterestAmount, + MarginInterestGain = marginInterests + .Where(x => x.InterestDirection == (int)SwapDirectionEnum.支付) + .Sum(x => Math.Abs(x.InterestIncomeSum)), + MarginInterestLoss = marginInterests + .Where(x => x.InterestDirection == (int)SwapDirectionEnum.收取) + .Sum(x => -Math.Abs(x.InterestIncomeSum)) + }; + + // DividendPayDate=0 表示到期才与本金轧差，期间付息/分红需要加进该口径； + // 其余支付方式则由现金支付承担期间金额，估值字段不再包含 periodAmount。 + if (dividendPayDate == 0) + { + result.MaturityNettingValuation = valuation + periodAmount; + } + else + { + result.PeriodPaymentValuation = valuation; + } + + return result; + } } } diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index f9fb7204..85b17685 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -439,7 +439,7 @@ namespace YLErp.Modules.SwapModule /// /// 获取公司行为公式使用的收盘价。 /// EffectiveDate 是真正切换持仓基线的日期，但除权系数的收盘价仍属于登记日 - /// ExDividendDate；不能在 8 月 17 日 EOD 误取 8 月 17 日收盘价重算 8 月 14 日 + /// ExDividendDate；不能在 除权日 EOD 误取 除权日收盘价重算 登记日 /// 登记日形成的系数。测试实现可以返回快照中的回退值，生产实现从登记日行情读取。 /// protected virtual decimal GetFundCorporateActionClosePrice( @@ -516,18 +516,22 @@ namespace YLErp.Modules.SwapModule // 公司行为只取 settleDate 当天的有效单行；同一标的出现多条记录必须中止本次收盘， // 否则 ToDictionary 会抛重复键，无法证明哪一条系数应生效。 var corporateActionInfos = FindCorporateActionInfos(settleDate) ?? new List(); + // 除权日信息 var exDividendInfos = corporateActionInfos .Where(x => x != null && x.ValidStatus && x.EffectiveDate.HasValue && x.EffectiveDate.Value.Date == settleDate.Date) .ToList(); + // 登记日信息 var registrationInfos = corporateActionInfos .Where(x => x != null && x.ValidStatus && x.ExDividendDate.HasValue && x.ExDividendDate.Value.Date == settleDate.Date) .ToList(); + + // 公司行为去重 - 除权日 var duplicateDividend = exDividendInfos .GroupBy(x => x.UnderlyingCode, StringComparer.OrdinalIgnoreCase) .FirstOrDefault(x => x.Count() > 1); @@ -535,7 +539,8 @@ namespace YLErp.Modules.SwapModule { throw new InvalidOperationException($"标的【{duplicateDividend.Key}】在【{settleDate:yyyy-MM-dd}】存在多条有效除权记录"); } - // 公司行为去重 - 拦截 + + // 公司行为去重 - 登记日 var duplicateRegistration = registrationInfos .GroupBy(x => x.UnderlyingCode, StringComparer.OrdinalIgnoreCase) .FirstOrDefault(x => x.Count() > 1); @@ -545,6 +550,8 @@ namespace YLErp.Modules.SwapModule // 有多条有效记录时，系统无法证明应采用哪一条派现金额，必须中止收盘。 throw new InvalidOperationException($"标的【{duplicateRegistration.Key}】在【{settleDate:yyyy-MM-dd}】存在多条有效登记日记录"); } + + // 根据标的代码 创建map var exDividendByCode = exDividendInfos.ToDictionary( x => x.UnderlyingCode, x => x, @@ -588,21 +595,21 @@ namespace YLErp.Modules.SwapModule var flowEvents = FindFlowEvents(td.id, settleDate); var preDealDate = GetPreDealDate(td.id, settleDate, eventTyps);//上一次平仓/互换/自动互换处理日期 List autoInterests = new List();//自动互换利息腿信息 + // 处理浮动腿前先准备当日开盘基线：登记日 EOD 仍保存 // 1000 份/100 元，除权日收盘时先把上一 EOD 的基线转换为 // 2000 份/50 元，再处理当日平仓 300 份，最终才会得到 1700 份/50 元。 - // 不能等 DealFloatPositions 处理完平仓后再把 700 份乘 2，否则会错误得到 - // 1400 份；也不能直接修改数据库里的上一 EOD，否则登记日报表会被污染。 - - // 重置基线 + // 不能等 DealFloatPositions 处理完平仓后再把 700 份乘 2， + // 否则会错误得到 1400 份；也不能直接修改数据库里的上一 EOD，否则登记日报表会被污染。 + // 重置基线 - 除权日 var openingEodPositions = PrepareFundOpeningEodPositions( - eodPositions, + eodPositions, // 上一日终持仓 exDividendByCode, settleDate); // 构建公司行为前eod持仓 var corporateActionBeforePositions = BuildCorporateActionBeforePositions( - eodPositions, + eodPositions, // 上一日终持仓 posiList); // 交易首日恰逢 EffectiveDate 时，在内存克隆上生成除权后的开盘基线,应用生效日公司行为。 @@ -613,18 +620,19 @@ namespace YLErp.Modules.SwapModule // 处理浮动腿归档 var curEodPosis = DealFloatPositions( - floatPositionsForCompose, - realPosiList, - openingEodPositions, - todyEodPositions, - settleDate, - td, - preSettleDate, - flowEvents); + floatPositionsForCompose, // 初始腿 + realPosiList, // 实时腿 + openingEodPositions, // 开盘基线 + todyEodPositions, // 当日终持仓 + settleDate, // 收盘日期 + td, // 交易 + preSettleDate, // 上一交易日 + flowEvents); // 流水事件 // 现金分红不在登记日直接累加；Copy/Update EOD 通过 CalcBondPayment // 读取 EffectiveDate 命中的 ex_dividend_info，并生成 TdPosiDividend。 // 这样登记日快照不提前变化，且公司行为分红与债券付息共用同一待实现余额。 + // 公司行为事件 RecordCorporateActionEvents( td, curEodPosis, @@ -632,8 +640,9 @@ namespace YLErp.Modules.SwapModule registrationInfos, exDividendInfos, settleDate); - // 登记日 EOD 仍保存除权前快照，但下一交易日开盘读取的实时浮动腿需要 - // 先切换到生效后的 Q/P。该更新基于当日 EOD 恢复后再套系数，重收盘不会重复放大。 + // 登记日 EOD 仍保存除权前快照， + // 但下一交易日开盘读取的实时浮动腿需要先切换到生效后的 Q/P。 + // 该更新基于当日 EOD 恢复后再套系数，重收盘不会重复放大。 UpdateRealtimeCorporateActionPositions(td, curEodPosis, registrationInfos, exDividendInfos, settleDate); var posiLongNotional = curEodPosis.Where(s => s.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue); var posiShortNotional = curEodPosis.Where(s => s.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue); @@ -668,8 +677,8 @@ namespace YLErp.Modules.SwapModule /// /// 把上一实际 EOD 复制成“当日开盘基线”，并在需要时套用当日生效的 Stock/Fund 公司行为。 /// 原始上一 EOD 只读保留在数据库中，确保登记日 EOD 报表仍展示除权前 Q/P。 - /// 例如 1000 份/100 元、10 送 10 的记录在 8 月 14 日 EOD 仍是 1000/100； - /// 8 月 17 日处理当日流水前，内存基线先转为 2000/50，再平仓 300 份得到 1700/50。 + /// 例如 1000 份/100 元、10 送 10 的记录在 登记日 EOD 仍是 1000/100； + /// 除权日处理当日流水前，内存基线先转为 2000/50，再平仓 300 份得到 1700/50。 /// protected List PrepareFundOpeningEodPositions( IReadOnlyCollection previousEodPositions, @@ -729,6 +738,7 @@ namespace YLErp.Modules.SwapModule var dividendTaxRate = 0m; foreach (var position in positions) { + // 不是浮动腿 或者 不是 Fund Stock类型的标的 或者 没有除权信息 或者 除权日不是结算日 - 跳过 if (position.PosiDirection <= 0 || !IsTrsCorporateActionInstrument(position.UnderlyingInstrumentType) || string.IsNullOrWhiteSpace(position.UnderlyingCode) @@ -739,7 +749,7 @@ namespace YLErp.Modules.SwapModule continue; } - // 获取除权参考价 + // 获取除权参考价 - 登记日收盘价 var corporateActionClosePrice = GetFundCorporateActionClosePrice( dividendInfo, position.UnderlyingPrice); @@ -773,8 +783,11 @@ namespace YLErp.Modules.SwapModule position.PosiNetFeePrice = adjusted.NetFeePrice; position.PosiNetNoFeePrice = adjusted.NetNoFeePrice; + // 多空方向 var shortRatio = DirectionRatio.LongShort(position.PositionType); + // 收付方向 var directionRatio = DirectionRatio.ReceivePay(position.PosiDirection); + // 处理价格的正负号（收支方向） position.PosiNotionalValue = Math.Round( position.PosiGrossPrice * position.PosiQuantity * position.ContractSize, ConsGlobal.MoneyRound, @@ -900,8 +913,9 @@ namespace YLErp.Modules.SwapModule return; } - // 登记日收盘后即切换实时 BOD。EffectiveDate 只用于确认这条记录仍是未来生效的 - // 公司行为；无论登记日与生效日之间有一个还是多个非交易日，都不能漏掉这次切换。 + // 登记日收盘后即切换实时 BOD。 + // EffectiveDate 只用于确认这条记录仍是未来生效的公司行为； + // 无论登记日与生效日之间有一个还是多个非交易日，都不能漏掉这次切换。 var pendingInfos = (registrationInfos ?? Array.Empty()) .Where(x => x.EffectiveDate.HasValue && x.EffectiveDate.Value.Date > settleDate.Date) .ToList(); @@ -912,6 +926,7 @@ namespace YLErp.Modules.SwapModule && IsTrsCorporateActionInstrument(x.UnderlyingInstrumentType) && !string.IsNullOrWhiteSpace(x.UnderlyingCode))) { + // 实时腿 var realtime = DbContext.swap_position.FirstOrDefault(x => x.SwapTradeId == td.id && !x.Invalid && !x.IsInitial @@ -920,7 +935,8 @@ namespace YLErp.Modules.SwapModule { continue; } - + + // 对每条当日 EOD 浮动腿，按标的代码在 pendingInfos 中找匹配的公司行为。 var pending = pendingInfos.FirstOrDefault(x => string.Equals( x.UnderlyingCode, eod.UnderlyingCode, StringComparison.OrdinalIgnoreCase)); if (pending != null) @@ -966,6 +982,7 @@ namespace YLErp.Modules.SwapModule return; } + // 登记日信息合并除权日信息 var infos = (registrationInfos ?? Array.Empty()) .Concat(effectiveInfos ?? Array.Empty()) .Where(x => x != null && x.ValidStatus && !string.IsNullOrWhiteSpace(x.UnderlyingCode)) @@ -983,6 +1000,7 @@ namespace YLErp.Modules.SwapModule return; } + // 跟据交易id查当前交易关联事件 var existingEvents = FindCorporateActionEvents(td.id); foreach (var current in currentPositions.Where(x => x != null && x.PosiDirection > 0 && IsTrsCorporateActionInstrument(x.UnderlyingInstrumentType))) @@ -1004,16 +1022,18 @@ namespace YLErp.Modules.SwapModule && x.Data.ExDividendInfoId == info.id && x.Data.PositionId == current.PositionId) .ToList(); + // 寻找applied = false的（登记日记录的） var eventData = matchingEvents.FirstOrDefault(x => !x.Data.Applied) ?? matchingEvents.FirstOrDefault(); - var previous = previousPositions?.FirstOrDefault(x => x != null && x.PositionId == current.PositionId); + var previous = previousPositions?.FirstOrDefault(x => x != null + && x.PositionId == current.PositionId); // 登记日 false 除权日 true var isEffective = info.EffectiveDate.HasValue && info.EffectiveDate.Value.Date <= settleDate.Date && effectiveInfos != null && effectiveInfos.Any(x => x.id == info.id); - // 如果没有匹配到事件或事件未生效，则创建新事件。 + // 如果没有匹配到事件或今天不是除权日 但找到的事件的applied=true(异常事件/重收盘)，则创建新事件。 if (eventData == null || (!isEffective && eventData.Data.Applied)) { // 创建新事件 @@ -1184,6 +1204,7 @@ namespace YLErp.Modules.SwapModule decimal dividendTaxRate, int grossPriceRound) { + // 计算除权系数 - adjustCashDividendPrice = false （现金分红模式） var factors = DividendService.CalculateCorporateActionFactors( dividendInfo, closePrice, @@ -3370,6 +3391,91 @@ namespace YLErp.Modules.SwapModule return retListResult; } + + /// + /// 查询 EQD-7084 新“框架合约”字段。 + /// 旧查询负责筛选、排序、分页及旧字段计算；新字段只基于当前页对应的日终腿补充计算， + /// 避免改变旧接口的返回口径。 + /// + public SearchListResult SearchEodSwapNewList(EodSwapQueryRequest req) + { + // 新 Tab 与旧 Tab 共享同一套权限、筛选、排序和分页边界；先复用旧查询， + // 再只替换需求明确调整的展示字段，避免新接口悄然改变旧口径或查询范围。 + var oldResult = SearchEodSwapList(req); + var oldRows = oldResult.rows?.ToList() ?? new List(); + var tradeIds = oldRows.Select(x => x.position.SwapTradeId).Distinct().ToList(); + var valueDates = oldRows.Select(x => x.position.ValueDate).Distinct().ToList(); + + if (tradeIds.Count == 0) + { + return new SearchListResult(oldResult, + Enumerable.Empty()); + } + + // 当前页的交易、日终明细和扩展信息各批量读取一次，随后在内存按“交易 + 日终日”配对。 + // 不在 rows.Select 内查询数据库，避免分页结果产生 N+1 查询。 + var trades = DbContext.trade + .Where(x => tradeIds.Contains(x.id)) + .Select(x => new { x.id, x.StartDate, x.ExerciseDate }) + .ToDictionary(x => x.id); + var eodPositionDetails = DbContext.eod_swap_position + .Where(x => tradeIds.Contains(x.SwapTradeId) + && valueDates.Contains(x.ValueDate) + && !x.Invalid) + .ToList(); + var tradeExtends = DbContext.trade_extend + .Where(x => tradeIds.Contains(x.TradeId)) + .ToList(); + + var rows = oldRows.Select(item => + { + // 同一交易可出现在多个日终日；必须同时匹配 ValueDate，不能把其他日期的腿混入本行。 + var details = eodPositionDetails + .Where(x => x.SwapTradeId == item.position.SwapTradeId + && x.ValueDate == item.position.ValueDate) + .ToList(); + var floatingLegs = details.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList(); + var interestLegs = details.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList(); + var tradeExtend = tradeExtends.FirstOrDefault(x => x.TradeId == item.position.SwapTradeId); + // 缺少扩展信息时按“期间支付”处理，和旧接口的默认值保持一致。 + var dividendPayDate = tradeExtend?.ExtendObj?.DividendPayDate ?? 1; + trades.TryGetValue(item.position.SwapTradeId, out var tradeInfo); + + return new EodSwapRiskNewResponse + { + position = item.position, + TradeDate = item.TradeDate, + SwapTradeNo = item.SwapTradeNo, + ClientName = item.ClientName, + StructureType = item.StructureType, + AssetBookName = item.AssetBookName, + ClientId = item.ClientId, + SwapTradeTypeStr = item.SwapTradeTypeStr, + UnderlyingType = item.UnderlyingType, + PeriodAmount = item.PeriodAmount, + FloatingUnrealizedPnl = item.FloatingUnrealizedPnl, + InterestPaymentMethod = item.InterestPaymentMethod, + MaturityNettingValuation = item.MaturityNettingValuation, + PeriodPaymentValuation = item.PeriodPaymentValuation, + MarginInterestGain = item.MarginInterestGain, + MarginInterestLoss = item.MarginInterestLoss, + // 所有 EQD-7084 差异集中在 NewFields；上方复制的旧字段用于保留原报表的 + // 基本信息、DV、期间金额及已实现收益，前端再将六个差异列绑定到 NewFields。 + NewFields = CalculateEodSwapRiskNewFields( + floatingLegs, + interestLegs, + item.StructureType, + item.position.NotionalValue, + tradeInfo?.StartDate, + tradeInfo?.ExerciseDate, + item.PeriodAmount, + dividendPayDate) + }; + }).ToList(); + + return new SearchListResult(oldResult, rows); + } + /// /// 获取互换交易日终持仓数据 /// @@ -3448,6 +3554,29 @@ namespace YLErp.Modules.SwapModule return retListResult; } + /// + /// 计算 EQD-7084 新“框架合约”Tab 的字段口径。 + /// 纯函数只依赖日终浮动腿、利息腿和交易级展示参数，供查询接口及无库单测共用。 + /// + public static EodSwapRiskNewFields CalculateEodSwapRiskNewFields( + IEnumerable floatingLegs, + IEnumerable interestLegs, + string structureType, + decimal notionalValue, + DateTime? startDate, + DateTime? ExerciseDate, + decimal periodAmount, + int dividendPayDate) + => EodPnlCalculator.CalculateEodSwapRiskNewFields( + floatingLegs, + interestLegs, + structureType, + notionalValue, + startDate, + ExerciseDate, + periodAmount, + dividendPayDate); + /// /// 互换持仓明细查询 /// @@ -3590,7 +3719,7 @@ namespace YLErp.Modules.SwapModule else if (isEtf) { item.PeriodAmount = null; - item.DividendAmount = pendingDividend; + item.DividendAmount = -pendingDividend; // 每日估值报告是客户视角 取值与日终持仓风险相反 } else { @@ -3634,9 +3763,10 @@ namespace YLErp.Modules.SwapModule { item.FloatRateAbs = item.position.PosiNotionalValue == 0 ? 0 : item.InterestAmount / item.position.PosiNotionalValue; } - // 交易录入的债券类收益互换价格以小数保存，展示时转为百分比价格； - // 普通收益互换录入的是数量/原始数值，不做乘 100 转换。 - SetPosiPrice(item.position, item.StructureType == "普通债券类收益互换"); + // 是否 ×100 由标的资产类型决定（债券价格以小数保存，展示时转为百分比价格）， + // 与存储层 GetStorageDeliveryPriceRound / GetSwapValuationPrice 的 IsBond 口径一致， + // 不依赖簿记结构类型 StructureType。 + SetPosiPrice(item.position); } return retListResult; } @@ -3681,10 +3811,10 @@ namespace YLErp.Modules.SwapModule position.SwapPositionValue = -position.SwapPositionValue; position.PosiDividendSum = -position.PosiDividendSum; } - private void SetPosiPrice(eod_swap_position position, bool? useBondPriceScale = null) + private void SetPosiPrice(eod_swap_position position) { var um = DataCacheProvider.GetUnderlyingDataSource().GetData(position.UnderlyingCode); - if (useBondPriceScale ?? (um != null && um.IsBond())) + if (um != null && um.IsBond()) { position.PosiNetPrice *= 100; position.UnderlyingPrice *= 100; diff --git a/YLErpDAL/Modules/SwapModule/SwapEventService.cs b/YLErpDAL/Modules/SwapModule/SwapEventService.cs index 711bc06f..6ecc5433 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEventService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEventService.cs @@ -207,8 +207,8 @@ namespace YLErp.Modules.SwapModule return events; } /// - /// 获取交易操作历史。登记日创建但尚未到 EffectiveDate 的公司行为事件也保留， - /// 由 EventData.Applied=false 表示“待生效”，保证审计日志完整可追溯。 + /// 获取交易操作历史。登记日创建的待生效公司行为仍保留在审计数据中， + /// 但在 EffectiveDate 将其更新为 Applied=true 前不对操作历史展示。 /// /// 交易id /// @@ -218,7 +218,30 @@ namespace YLErp.Modules.SwapModule .Where(x => x.SwapTradeId == tradeId) .OrderByDescending(o => o.id) .ToList(); - return list; + return FilterOperationHistory(list); + } + + /// + /// 过滤尚未生效的公司行为事件。非公司行为、已生效事件和无法识别的历史事件均保留， + /// 避免过滤条件误伤既有操作记录。 + /// + private static List FilterOperationHistory(IEnumerable events) + { + if (events == null) + { + return new List(); + } + + return events + .Where(x => !IsPendingCorporateActionEvent(x)) + .ToList(); + } + + private static bool IsPendingCorporateActionEvent(swap_event swapEvent) + { + return swapEvent?.EventType == (int)SwapEventTypeEnum.公司行为 + && TryDeserializeCorporateActionEventData(swapEvent, out var data) + && !data.Applied; } /// @@ -247,8 +270,8 @@ namespace YLErp.Modules.SwapModule } /// - /// 公司行为说明使用稳定的键值格式，完整保留调整前后名义本金、价格、数量、 - /// 待实现分红和现金流变化，操作历史无需重新计算即可核对。 + /// 公司行为说明仅展示调整前后的名义本金、期初标的价格和持仓数量， + /// 便于操作历史直接比对持仓基线。 /// public static string BuildCorporateActionEventReason(CorporateActionEventData data) { @@ -257,37 +280,38 @@ namespace YLErp.Modules.SwapModule return "公司行为快照为空"; } - // 使用 InvariantCulture 固定小数与日期格式，说明文本不随服务器区域设置变化。 + // 使用 InvariantCulture 固定小数和日期格式，说明文本不随服务器区域设置变化。 string D(decimal value) => value.ToString(CultureInfo.InvariantCulture); string Date(DateTime? value) => value.HasValue ? value.Value.ToString("yyyy-MM-dd", CultureInfo.InvariantCulture) : ""; - - return string.Join("; ", new[] + string ActionDescription() { - $"公司行为[{data.UnderlyingCode}]", - $"ExDividendDate={Date(data.ExDividendDate)}", - $"EffectiveDate={Date(data.EffectiveDate)}", - $"ExDividendInfoId={data.ExDividendInfoId}", - $"PositionId={data.PositionId}", - $"GiveCashAmount={D(data.GiveCashAmount)}", - $"GiveShareAmount={D(data.GiveShareAmount)}", - $"Split={(data.Split.HasValue ? D(data.Split.Value) : "")}", - $"RationedSharesAmount={D(data.RationedSharesAmount)}", - $"RationedSharesPrice={D(data.RationedSharesPrice)}", - "调整前", - $"BeforeNotional={D(data.BeforeNotional)}", - $"BeforePrice={D(data.BeforePrice)}", - $"BeforeQuantity={D(data.BeforeQuantity)}", - $"BeforePendingDividend={D(data.BeforePendingDividend)}", - "调整后", - $"AfterNotional={D(data.AfterNotional)}", - $"AfterPrice={D(data.AfterPrice)}", - $"AfterQuantity={D(data.AfterQuantity)}", - $"AfterPendingDividend={D(data.AfterPendingDividend)}", - $"CashFlowChange={D(data.CashFlowChange)}", - $"Applied={data.Applied}" - }); + if (data.RationedSharesAmount != 0m) + { + return "配股"; + } + if (data.GiveShareAmount != 0m) + { + return "送股"; + } + if (data.Split.HasValue && data.Split.Value != 1m) + { + return "拆分"; + } + if (data.GiveCashAmount != 0m) + { + // return $"产生分红：{D(data.CashFlowChange)}"; + return $"产生分红"; + } + return "公司行为"; + } + + return $"股权登记日：{Date(data.ExDividendDate)} 发生公司行为（{ActionDescription()}）" + + Environment.NewLine + + $"调整前：名义本金：{D(data.BeforeNotional)} 期初标的价格：{D(data.BeforePrice)} 持仓数量：{D(data.BeforeQuantity)}" + + Environment.NewLine + + $"调整后：名义本金：{D(data.AfterNotional)} 期初标的价格：{D(data.AfterPrice)} 持仓数量：{D(data.AfterQuantity)}"; } public void DeleteEvent(int tradeId) diff --git a/YLErpDAL/Modules/TradeModule/DealModule/DividendService.cs b/YLErpDAL/Modules/TradeModule/DealModule/DividendService.cs index 8b026f5d..1deac603 100644 --- a/YLErpDAL/Modules/TradeModule/DealModule/DividendService.cs +++ b/YLErpDAL/Modules/TradeModule/DealModule/DividendService.cs @@ -773,9 +773,9 @@ namespace YLErp.Modules.TradeModule.DealModule bool adjustCashDividendPrice = true) { // 价格调整模式除权参考价 = - // 收盘价 * 10 - 【每股派息 * 10 * （1-分红税率）】 + 配股数 * 配股价 - // - ----------------------------------------------------- - // （10 + 送股数 + 配股数） * 拆股倍数 + // 登记日收盘价 * 10 - 【每股派息 * 10 * （1-分红税率）】 + 配股数 * 配股价 + // --------------------------------------------------------------- + // （10 + 送股数 + 配股数） * 拆股倍数 // 场内链路默认继续把现金派息计入除权参考价； // TRS Stock/Fund 现金模式显式关闭该项 ：“【】” 号内数据。 var cashPriceAdjustment = adjustCashDividendPrice @@ -784,8 +784,8 @@ namespace YLErp.Modules.TradeModule.DealModule // 拆股倍数 var splitFactor = GetSplitFactor(info); // 除权参考价（TRS） ： - // 收盘价 * 10 + 配股数 * 配股价 - // ------------------------------ + // 登记日收盘价 * 10 + 配股数 * 配股价 + // ------------------------------------- // （10 + 送股数 + 配股数） * 拆股倍数 var exDividendPrice = ((closePrice * 10m - cashPriceAdjustment + info.RationedSharesAmount * info.RationedSharesPrice) @@ -1159,9 +1159,10 @@ namespace YLErp.Modules.TradeModule.DealModule } else { - if (checkDividendInfoExecuteStatus(dividend)) + var executingTradeNumber = GetDividendInfoExecutingTradeNumber(dividend); + if (!string.IsNullOrWhiteSpace(executingTradeNumber)) { - errMsg = $"{dividend.UnderlyingCode} {dividend.ExDividendDate?.ToString("yyyy-MM-dd")}除权信息保存失败,该信息已被执行,不允许修改!"; + errMsg = $"不可修改，有交易【{executingTradeNumber}】使用了该条除权除息数据"; return false; } var conflictingDividend = FindExDividendByBusinessKey(underlying.id, itemDate, dividend.id); @@ -1223,6 +1224,14 @@ namespace YLErp.Modules.TradeModule.DealModule /// /// public bool checkDividendInfoExecuteStatus(ex_dividend_info info) + { + return !string.IsNullOrWhiteSpace(GetDividendInfoExecutingTradeNumber(info)); + } + + /// + /// 返回仍在引用已执行公司行为的交易编号；无引用时返回空字符串。 + /// + public string GetDividendInfoExecutingTradeNumber(ex_dividend_info info) { // TRS 公司行为以 EffectiveDate 为真正生效边界。登记日创建待生效事件不应锁定 // 维护；只有交易已经完成 EffectiveDate（例如收盘到 7 月 30 日，而真实除权日为 @@ -1230,34 +1239,37 @@ namespace YLErp.Modules.TradeModule.DealModule if (info?.EffectiveDate.HasValue == true) { var effectiveDate = info.EffectiveDate.Value.Date; - var trsTradeIds = DbContext.trade + var trsTrades = DbContext.trade .Where(x => x.ValidState != ConsGlobal.InValid && x.TradeType == "收益互换" && x.UnderlyingCode == info.UnderlyingCode && x.TradeDate <= effectiveDate && x.ExerciseDate >= effectiveDate) - .Select(x => x.id) + .Select(x => new { x.id, x.TradeNumber }) .ToList(); - if (trsTradeIds.Count > 0) + if (trsTrades.Count > 0) { // 是否仍被交易引用以当前有效 EOD 为准。公司行为事件本身是不可篡改 // 历史，交易回退后仍会保留；若仅凭 Applied 事件锁定，回退到登记日前 // 也无法纠错。生效日及以后还有有效 EOD 才表示当前仍已执行。 - var hasAppliedEod = DbContext.eod_swap_position.Any(x => + var trsTradeIds = trsTrades.Select(x => x.id).ToList(); + var appliedTradeId = DbContext.eod_swap_position.Where(x => trsTradeIds.Contains(x.SwapTradeId) && !x.Invalid && x.UnderlyingCode == info.UnderlyingCode - && x.ValueDate >= effectiveDate); - if (hasAppliedEod) + && x.ValueDate >= effectiveDate) + .Select(x => x.SwapTradeId) + .FirstOrDefault(); + if (appliedTradeId > 0) { - return true; + return trsTrades.First(x => x.id == appliedTradeId).TradeNumber; } // EffectiveDate 已存在时，当前有效 EOD 是唯一执行状态来源。 // 回退会清理生效日及之后的 EOD，但不会删除 eodStatus 或不可篡改的 // 公司行为审计事件；此处不能继续落入旧的登记日 eodStatus 判断， // 否则交易已回退仍会被错误判定为“已执行”而无法修改。 - return false; + return string.Empty; } } @@ -1268,20 +1280,22 @@ namespace YLErp.Modules.TradeModule.DealModule var tradeQuery = from t in DbContext.trade.Where(O => O.UnderlyingCode == info.UnderlyingCode && O.TradeDate <= info.ExDividendDate && O.ExerciseDate >= info.ExDividendDate && O.DividendDate >= O.TradeDate) join et in DbContext.eod_trade.Where(O => ConsTrade.LiveTradeStatusList.Contains(O.TradeStatus)) on new { t.id, ValueDate = t.TradeDate.Value } equals new { id = et.TradeId, et.ValueDate } - select et.id; - if (tradeQuery.Any()) + select t.TradeNumber; + var executingTradeNumber = tradeQuery.FirstOrDefault(); + if (!string.IsNullOrWhiteSpace(executingTradeNumber)) { - return true; + return executingTradeNumber; } //查询篮子标的对应交易是否执行过收盘操作; var umList = DataCacheProvider.GetUnderlyingDataSource().AsQueryable(O => O.CommodityCode == "篮子标的" && O.SubData != null && O.SubData.Contains(info.UnderlyingCode)).Select(O => O.UnderlyingCode).ToArray(); tradeQuery = from t in DbContext.trade.Where(O => umList.Contains(O.UnderlyingCode) && O.TradeDate <= info.ExDividendDate && O.ExerciseDate >= info.ExDividendDate && O.DividendDate >= O.TradeDate) join et in DbContext.eod_trade.Where(O => ConsTrade.LiveTradeStatusList.Contains(O.TradeStatus)) on new { t.id, ValueDate = t.TradeDate.Value } equals new { id = et.TradeId, et.ValueDate } - select et.id; - if (tradeQuery.Any()) + select t.TradeNumber; + executingTradeNumber = tradeQuery.FirstOrDefault(); + if (!string.IsNullOrWhiteSpace(executingTradeNumber)) { - return true; + return executingTradeNumber; } //查询多标的对应交易是否执行过收盘操作; tradeQuery = from ts in DbContext.trade_swap_detail.Where(O => O.UnderlyingCode == info.UnderlyingCode) @@ -1289,13 +1303,14 @@ namespace YLErp.Modules.TradeModule.DealModule on ts.TradeId equals t.id join et in DbContext.eod_trade.Where(O => ConsTrade.LiveTradeStatusList.Contains(O.TradeStatus)) on new { t.id, ValueDate = t.TradeDate.Value } equals new { id = et.TradeId, et.ValueDate } - select et.id; - if (tradeQuery.Any()) + select t.TradeNumber; + executingTradeNumber = tradeQuery.FirstOrDefault(); + if (!string.IsNullOrWhiteSpace(executingTradeNumber)) { - return true; + return executingTradeNumber; } } - return false; + return string.Empty; } public List QueryDividendTrade(DividendTradeReq req) diff --git a/YLErpDAL/Modules/TradeModule/DocGenerateModule/SwapSettlementBillRowBuilder.cs b/YLErpDAL/Modules/TradeModule/DocGenerateModule/SwapSettlementBillRowBuilder.cs index 2f49e8e9..45a8497e 100644 --- a/YLErpDAL/Modules/TradeModule/DocGenerateModule/SwapSettlementBillRowBuilder.cs +++ b/YLErpDAL/Modules/TradeModule/DocGenerateModule/SwapSettlementBillRowBuilder.cs @@ -70,8 +70,7 @@ public static class SwapSettlementBillRowBuilder ?? throw new ServiceException("结算单缺少支付日"); // 将同一事件的普通利息与预付金利息分开；预付金本金仅统计结算日前已生效的腿。 - var floatingPosition = positions.FirstOrDefault(x => x.PositionType > 0) - ?? positions.FirstOrDefault(x => !ConsTrade.InterestMarginModels.Contains(x.InterestMode)); + var settlementPosition = positions.FirstOrDefault(x => x.id == input.CloseFlow.PositionId); var interestEvents = eventFlows .Where(x => ConsTrade.InterestModels.Contains(x.InterestMode)) .ToList(); @@ -91,10 +90,12 @@ public static class SwapSettlementBillRowBuilder var periodAmount = -input.CloseFlow.DividendIn; var initialMargin = SumMargin(effectiveMargins, InterestModeEnum.初始预付金); var additionalMargin = SumMargin(effectiveMargins, InterestModeEnum.追加预付金); + var marginBackAmount = marginEvents.Sum(x => x.InterestPrincipal); - // 净额结算按实际轧差项求和；到期结算在净额基础上返还或收取期初、追加预付金。 - var netSettlementAmount = interestAmount + floatingAmount + fee + marginInterest - + (input.IncludePeriodPaymentInNetting ? periodAmount : 0m); + // 沿用原结算单口径：全部事件利息、浮动盈亏和预付金返还本金参与净额结算。 + var netSettlementAmount = -eventFlows.Sum(x => x.InterestClosePnL) + - input.CloseFlow.FloatPnlSum + + marginBackAmount; var maturitySettlementAmount = netSettlementAmount + initialMargin + additionalMargin; var floatRateAbs = input.CloseNotionalValue == 0m ? 0m @@ -119,17 +120,17 @@ public static class SwapSettlementBillRowBuilder InterestRate = interestEvents.Sum(x => x.InterestRate).ToString("0.00%"), PosiNotionalValue = input.CloseNotionalValue.ToString("0.00"), Quantity = input.CloseFlow.Quantity.ToString("0.00"), - DividendIn = isCashBond ? periodAmount.ToString("0.00") : string.Empty, + DividendIn = periodAmount.ToString("0.00"), PeriodDividend = isEtf ? periodAmount.ToString("0.00") : string.Empty, - PosiNetPrice = ((floatingPosition?.PosiGrossPrice ?? 0m) * 100m).ToString("0.00000000"), + PosiNetPrice = ((settlementPosition?.PosiGrossPrice ?? 0m) * 100m).ToString("0.00000000"), InitYtm = isCashBond && input.Trade.InitYtm.HasValue ? input.Trade.InitYtm.Value.ToString("0.####%") : string.Empty, ClosePrice = (input.CloseFlow.TradingAmountAvg * 100m).ToString("0.00000000"), - ExitYtm = isCashBond && input.ExitYtm.HasValue + ExitYtm = input.ExitYtm.HasValue ? input.ExitYtm.Value.ToString("0.0000") : string.Empty, - RateDays = Math.Max(0, (eventDate - startDate).Days + 1).ToString(), + RateDays = Math.Max(0, (eventDate - startDate).Days).ToString(), FloatRateAbs = floatRateAbs.ToString("0.0000%"), FloatRate = floatRateAbs.ToString("0.0000%"), InterestAmount = interestAmount.ToString("0.00"), diff --git a/YLErpWeb/Controllers/SwapTrade2Controller.cs b/YLErpWeb/Controllers/SwapTrade2Controller.cs index cabfaec8..ef6cfdeb 100644 --- a/YLErpWeb/Controllers/SwapTrade2Controller.cs +++ b/YLErpWeb/Controllers/SwapTrade2Controller.cs @@ -978,6 +978,23 @@ namespace YLErp.Web.Controllers var retListResult = service.SearchEodSwapList(req); return Json(retListResult); } + + /// + /// 日终持仓-互换新框架合约查询。 + /// 先与旧框架合约接口执行相同的账簿、资产单元和客户权限收敛， + /// 再返回 EQD-7084 拆分后的展示字段；不能直接绕过这些条件调用服务层。 + /// + /// + /// + public JsonResult EodSwapRiskNewQuery(EodSwapQueryRequest req) + { + req.BookIds = AssetUnitModel.IntersectAssetUnits(req.AssetIdGroupList, req.BookIds).ToList(); + req.UserAssets = CurUser.GetAssetUnitIds(); + req.UserClients = CurUser.GetClientIdsByCurUser(); + var service = new SwapEodPositionService(CurUser); + var retListResult = service.SearchEodSwapNewList(req); + return Json(retListResult); + } #endregion #region 结算报告 /// diff --git a/YLErpWeb/Controllers/ex_dividend_infoController.cs b/YLErpWeb/Controllers/ex_dividend_infoController.cs index e8db3bb8..c731fc17 100644 --- a/YLErpWeb/Controllers/ex_dividend_infoController.cs +++ b/YLErpWeb/Controllers/ex_dividend_infoController.cs @@ -105,9 +105,11 @@ namespace YLErp.Web.Controllers { return JsonError("未找到有效的除权除息信息"); } - if (new DividendService(CurUser).checkDividendInfoExecuteStatus(r)) + var dividendService = new DividendService(CurUser); + var executingTradeNumber = dividendService.GetDividendInfoExecutingTradeNumber(r); + if (!string.IsNullOrWhiteSpace(executingTradeNumber)) { - return JsonError("该条除权信息已被执行,不允许删除!"); + return JsonError($"不可修改，有交易【{executingTradeNumber}】使用了该条除权除息数据"); } else { diff --git a/YLErpWeb/Controllers/underlying_managerController.cs b/YLErpWeb/Controllers/underlying_managerController.cs index 60dda498..69ba8b66 100644 --- a/YLErpWeb/Controllers/underlying_managerController.cs +++ b/YLErpWeb/Controllers/underlying_managerController.cs @@ -473,7 +473,14 @@ namespace YLErp.Web.Controllers { return JsonError("资产类型 必须填写"); } - + + // 重点功能：基金及基金专户的基金管理人必须填写，后端校验避免绕过页面校验。 + model.InvestAdvisorName = model.InvestAdvisorName?.Trim(); + if (model.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Fund && string.IsNullOrEmpty(model.InvestAdvisorName)) + { + return JsonError("基金管理人 必须填写"); + } + model.EtfSubType = model.EtfSubType?.Trim(); if (model.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Fund && string.IsNullOrEmpty(model.EtfSubType)) { diff --git a/YLErpWeb/Views/SwapTrade2/EodPositionRisks.cshtml b/YLErpWeb/Views/SwapTrade2/EodPositionRisks.cshtml index aded5bf8..3a8a7e9f 100644 --- a/YLErpWeb/Views/SwapTrade2/EodPositionRisks.cshtml +++ b/YLErpWeb/Views/SwapTrade2/EodPositionRisks.cshtml @@ -46,7 +46,12 @@ 日终持仓
  • - 框架合约 + @* index=2 固定保留历史报表与导出配置，供新旧口径并行核对。 *@ + 框架合约（旧口径） +
    • +
  • + @* index=3 才使用 EQD-7084 新查询与拆分字段，不能复用旧 Tab 的列配置。 *@ + 框架合约
    • diff --git a/YLErpWeb/Views/underlying_manager/underlying_managerEdit.cshtml b/YLErpWeb/Views/underlying_manager/underlying_managerEdit.cshtml index 67e3501d..44bce52a 100644 --- a/YLErpWeb/Views/underlying_manager/underlying_managerEdit.cshtml +++ b/YLErpWeb/Views/underlying_manager/underlying_managerEdit.cshtml @@ -327,10 +327,10 @@ - @* 仅基金及基金专户维护基金管理人 *@ + @* 重点功能：仅基金及基金专户维护基金管理人，且该字段必填 *@
    - + *
    @* 重点功能：ETF 子类由系统字典维护，使用 Fund 类控制显隐，并固定放在表单最后 *@ diff --git a/YLErpWeb/appsettings.dev.json b/YLErpWeb/appsettings.dev.json index ecceba98..3e268d15 100644 --- a/YLErpWeb/appsettings.dev.json +++ b/YLErpWeb/appsettings.dev.json @@ -34,6 +34,7 @@ "CompressionType": 0, // 消息压缩方式，可以是 None(0)、Gzip(1)、Snappy(2)、Lz4(3)、Zstd(4) 中的一种, "MessageTimeoutMs": 3000, // 控制生产者等待消息确认的时间，单位是毫秒 "ClientRateTopic": "ylClientRateTopic", //客户互换费率生产topic + "ContractTopic": "onederiv.trs.contract.v1", //TRS合约日终推送topic "HedgingAccountTopic": "ylHedgingAccountTopic", //对冲账户生产topic "ReqAccountCapitalTopic": "ReqAccountCapital", //账户资金请求topic "OnRspAccountCapitalTopic": "OnRspAccountCapital", //账户资金请求返回topic diff --git a/YLErpWeb/appsettings.local.json b/YLErpWeb/appsettings.local.json index a42f229b..e2956912 100644 --- a/YLErpWeb/appsettings.local.json +++ b/YLErpWeb/appsettings.local.json @@ -34,6 +34,7 @@ "CompressionType": 0, // 消息压缩方式，可以是 None(0)、Gzip(1)、Snappy(2)、Lz4(3)、Zstd(4) 中的一种, "MessageTimeoutMs": 3000, // 控制生产者等待消息确认的时间，单位是毫秒 "ClientRateTopic": "ylClientRateTopic", //客户互换费率生产topic + "ContractTopic": "onederiv.trs.contract.v1", //TRS合约日终推送topic "HedgingAccountTopic": "ylHedgingAccountTopic", //对冲账户生产topic "ReqAccountCapitalTopic": "ReqAccountCapital", //账户资金请求topic "OnRspAccountCapitalTopic": "OnRspAccountCapital", //账户资金请求返回topic diff --git a/YLErpWeb/appsettings.prod.json b/YLErpWeb/appsettings.prod.json index 3df07b7a..a7264a53 100644 --- a/YLErpWeb/appsettings.prod.json +++ b/YLErpWeb/appsettings.prod.json @@ -36,6 +36,7 @@ "CompressionType": 0, // 消息压缩方式，可以是 None(0)、Gzip(1)、Snappy(2)、Lz4(3)、Zstd(4) 中的一种, "MessageTimeoutMs": 3000, // 控制生产者等待消息确认的时间，单位是毫秒 "ClientRateTopic": "ylClientRateTopic", //客户互换费率生产topic + "ContractTopic": "onederiv.trs.contract.v1", //TRS合约日终推送topic "HedgingAccountTopic": "ylHedgingAccountTopic", //对冲账户生产topic "AccountCapitalTopicGroupId": "YiLian_OnRspAccountCapitalConsumer", //账户资金消费组 "ReqAccountCapitalTopic": "ReqAccountCapital", //账户资金请求topic diff --git a/YLErpWeb/appsettings.uat.json b/YLErpWeb/appsettings.uat.json index 87232cdd..fb6d933c 100644 --- a/YLErpWeb/appsettings.uat.json +++ b/YLErpWeb/appsettings.uat.json @@ -36,6 +36,7 @@ "CompressionType": 0, // 消息压缩方式，可以是 None(0)、Gzip(1)、Snappy(2)、Lz4(3)、Zstd(4) 中的一种, "MessageTimeoutMs": 3000, // 控制生产者等待消息确认的时间，单位是毫秒 "ClientRateTopic": "ylClientRateTopic", //客户互换费率生产topic + "ContractTopic": "onederiv.trs.contract.v1", //TRS合约日终推送topic "HedgingAccountTopic": "ylHedgingAccountTopic", //对冲账户生产topic "AccountCapitalTopicGroupId": "YiLian_OnRspAccountCapitalConsumer", //账户资金消费组 "ReqAccountCapitalTopic": "ReqAccountCapital", //账户资金请求topic diff --git a/YLErpWeb/fe-tests/eodPositionRisks.test.js b/YLErpWeb/fe-tests/eodPositionRisks.test.js index 908528da..c26ee1b9 100644 --- a/YLErpWeb/fe-tests/eodPositionRisks.test.js +++ b/YLErpWeb/fe-tests/eodPositionRisks.test.js @@ -4,7 +4,8 @@ const vm = require('vm'); function loadEodPositionRiskHelpers() { const filePath = path.join(__dirname, '../wwwroot/Scripts/app/swaptrade/EodPositionRisks.js'); - const code = fs.readFileSync(filePath, 'utf8') + '\nmodule.exports = { TradeDirectionFormat };'; + const source = fs.readFileSync(filePath, 'utf8'); + const code = source + '\nmodule.exports = { TradeDirectionFormat, colModelGridEodSwap, colModelGridEodSwapNew, eodSwapGroupConfig, eodSwapRiskNewGroupConfig };'; const sandbox = { module: { exports: {} }, exports: {}, @@ -13,14 +14,25 @@ function loadEodPositionRiskHelpers() { numberFormat() { return function () { }; } + }, + otcformat: { + trading: { + notional() { return ''; }, + StockEqvNotional() { return ''; }, + tradePrice() { return ''; } + } + }, + swapPricePrecision: { + format() { return ''; } } }; vm.runInNewContext(code, sandbox, { filename: filePath }); - return sandbox.module.exports; + return { helpers: sandbox.module.exports, source }; } -const { TradeDirectionFormat } = loadEodPositionRiskHelpers(); +const loaded = loadEodPositionRiskHelpers(); +const { TradeDirectionFormat, colModelGridEodSwap, colModelGridEodSwapNew, eodSwapGroupConfig, eodSwapRiskNewGroupConfig } = loaded.helpers; describe('互换日终持仓交易方向', () => { test.each([ @@ -37,3 +49,54 @@ describe('互换日终持仓交易方向', () => { expect(TradeDirectionFormat(1, {}, { eodPosition: { PosiDirection: 0, PositionType: 1 } })).toBe(''); }); }); + +describe('EQD-7084 新框架合约前端接线', () => { + test('新列模型保留旧列并追加九个字段，六个展示列绑定 NewFields', () => { + const oldColumns = colModelGridEodSwap(); + const newColumns = colModelGridEodSwapNew(); + const oldNames = oldColumns.map(column => column.name); + const newNames = newColumns.map(column => column.name); + const replacements = { + FloatingUnrealizedPnl: 'NewFields.FloatingUnrealizedPnl', + 'position.InterestPnL': 'NewFields.OrdinaryInterestPnl', + MarginInterestGain: 'NewFields.MarginInterestGain', + MarginInterestLoss: 'NewFields.MarginInterestLoss', + MaturityNettingValuation: 'NewFields.MaturityNettingValuation', + PeriodPaymentValuation: 'NewFields.PeriodPaymentValuation' + }; + const newFields = [ + 'NewFields.UnderlyingDirection', + 'NewFields.UnderlyingCode', + 'NewFields.InitialPrice', + 'NewFields.NotionalQuantity', + 'NewFields.ContractStartDate', + 'NewFields.ContractMaturityDate', + 'NewFields.InterestBenchmark', + 'NewFields.InterestRatePrice', + 'NewFields.OpeningClosingFee' + ]; + + expect(newColumns).toHaveLength(oldColumns.length + 9); + Object.entries(replacements).forEach(([oldName, newName]) => { + expect(newNames).toContain(newName); + expect(newNames).not.toContain(oldName); + expect(newColumns.find(column => column.name === newName).label) + .toBe(oldColumns.find(column => column.name === oldName).label); + }); + oldNames + .filter(oldName => !Object.prototype.hasOwnProperty.call(replacements, oldName)) + .forEach(oldName => expect(newNames).toContain(oldName)); + newFields.forEach(field => expect(newNames).toContain(field)); + }); + + test('index=2 保留旧 endpoint/config，index=3 使用独立 endpoint/config 且界面不启用分组', () => { + expect(loaded.source).toContain("queryurl = '/swaptrade2/EodSwapRiskQuery';"); + expect(loaded.source).toContain("cloumnTargetName = \"eodSwapList\";"); + expect(loaded.source).toContain("queryurl = '/swaptrade2/EodSwapRiskNewQuery';"); + expect(loaded.source).toContain("cloumnTargetName = \"eodSwapRiskNewList\";"); + expect(loaded.source).toContain('eodSwapRiskNewExportColumnNames'); + expect(loaded.source).not.toMatch(/main\.initCollapsibleGroupHeaders\s*\(/); + expect(eodSwapGroupConfig).not.toBe(eodSwapRiskNewGroupConfig); + expect(eodSwapRiskNewGroupConfig.some(group => group.columns.includes('NewFields.InitialPrice'))).toBe(true); + }); +}); diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js index 8d799ab1..3afcd0aa 100644 --- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js +++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js @@ -1,6 +1,7 @@ var queryurl = '/swaptrade2/EodPositionRiskQuery'; var cloumnTargetName = "eodSwapPositionList"; var eodSwapExportColumnNames = []; +var eodSwapRiskNewExportColumnNames = []; $(function () { var PostData = {}; $("#DateValueDate").datepicker({ @@ -24,6 +25,18 @@ $(function () { }).map(function (col) { return col.name; }); + } else if (page.tabIndex == 3) { + // 新旧口径并行：独立 endpoint、列设置 key 与标准导出列，避免用户在新 Tab 调列后影响旧报表。 + queryurl = '/swaptrade2/EodSwapRiskNewQuery'; + $("#myTab li:first").removeClass("active"); + $("#myTab li:eq(2)").addClass("active"); + cloumnTargetName = "eodSwapRiskNewList"; + colModelGrid = colModelGridEodSwapNew(); + eodSwapRiskNewExportColumnNames = colModelGrid.filter(function (col) { + return !col.optionHide; + }).map(function (col) { + return col.name; + }); } PostData.ValueDate = $("#DateValueDate").val(); var grid = jQuery('#listGrid').jqGrid({ @@ -44,7 +57,8 @@ $(function () { pagerpos: 'left', rowNum: 25, rowList: [25, 50, 100, 200, 10000], - footerrow: page.tabIndex == 2, + // 两个框架合约 Tab 都需要承载后端返回的 DV 汇总；普通日终持仓维持原行为。 + footerrow: page.tabIndex == 2 || page.tabIndex == 3, loadComplete: gridComplete, onPaging: onJqgridPaging, grouping: true @@ -687,6 +701,58 @@ function colModelGridEodSwap() { return colModelGrid; } +// EQD-7084 新框架合约：复用旧列定义，只替换新口径字段并追加新增列。 +function colModelGridEodSwapNew() { + var colModelGrid = colModelGridEodSwap().map(function (col) { + return Object.assign({}, col); + }); + + // 替换后仍保留旧字段 index：后端沿用旧查询处理排序，NewFields 只是显示用的计算字段。 + function replaceColumn(oldName, newName) { + var column = colModelGrid.find(function (col) { return col.name === oldName; }); + if (column) { + column.name = newName; + // 新字段在服务端计算，沿用旧列的数据库排序字段，保持分页/排序请求有效。 + column.index = oldName; + } + } + + function newColumn(name, label, formatter, index) { + return { + name: name, + label: label, + index: index || name, + width: 150, + align: 'center', + formatter: formatter, + sortable: false + }; + } + + // 插入点必须在原“名义本金”前，使新需求字段与旧字段的业务阅读顺序、标准导出顺序一致。 + var contractInfoIndex = colModelGrid.findIndex(function (col) { + return col.name === 'position.NotionalValue'; + }); + colModelGrid.splice(contractInfoIndex, 0, + newColumn('NewFields.UnderlyingDirection', '标的多空（浮动端）'), + newColumn('NewFields.UnderlyingCode', '标的代码'), + newColumn('NewFields.InitialPrice', '期初价格', InitialPriceFormat), + newColumn('NewFields.NotionalQuantity', '名义数量', otcformat.trading.notional), + newColumn('NewFields.ContractStartDate', '合约起始日', 'date'), + newColumn('NewFields.ContractMaturityDate', '合约到期日', 'date'), + newColumn('NewFields.InterestBenchmark', '利息端基准'), + newColumn('NewFields.InterestRatePrice', '利率端价格', PercentFormat), + newColumn('NewFields.OpeningClosingFee', '开平仓费用', StockEqvNotionalFormat)); + + replaceColumn('FloatingUnrealizedPnl', 'NewFields.FloatingUnrealizedPnl'); + replaceColumn('position.InterestPnL', 'NewFields.OrdinaryInterestPnl'); + replaceColumn('MarginInterestGain', 'NewFields.MarginInterestGain'); + replaceColumn('MarginInterestLoss', 'NewFields.MarginInterestLoss'); + replaceColumn('MaturityNettingValuation', 'NewFields.MaturityNettingValuation'); + replaceColumn('PeriodPaymentValuation', 'NewFields.PeriodPaymentValuation'); + return colModelGrid; +} + //框架合约分组配置（对应需求《估值模块V1》2.2 字段定义） //columns 使用 colModel.name；组内列在 colModel 中必须连续 var eodSwapGroupConfig = [ @@ -699,14 +765,27 @@ var eodSwapGroupConfig = [ { title: '估值与实现收益', columns: ['position.dv01', 'InterestPaymentMethod', 'MaturityNettingValuation', 'PeriodPaymentValuation', 'position.RealizedPnL'] } ]; +// 新 Tab 页面不渲染可折叠分组表头（产品已要求取消界面分组）； +// 此配置只服务“导出标准格式”，因此必须与旧 Tab 分开维护而不能删除。 +var eodSwapRiskNewGroupConfig = [ + { title: '基本信息', columns: ['position.ValueDate', 'AssetBookName', 'ClientName', 'SwapTradeNo', 'StructureType', 'SwapTradeTypeStr', 'UnderlyingType'] }, + { title: '新增字段', columns: ['NewFields.UnderlyingDirection', 'NewFields.UnderlyingCode', 'NewFields.InitialPrice', 'NewFields.NotionalQuantity', 'NewFields.ContractStartDate', 'NewFields.ContractMaturityDate', 'NewFields.InterestBenchmark', 'NewFields.InterestRatePrice', 'NewFields.OpeningClosingFee'] }, + { title: '名义本金', columns: ['position.NotionalValue', 'position.NotionalValueLong', 'position.NotionalValueShort'] }, + { title: '标的市值', columns: ['position.MarketValueLong', 'position.MarketValueShort'] }, + { title: '浮动端', columns: ['NewFields.FloatingUnrealizedPnl', 'PeriodAmount'] }, + { title: '利息端', columns: ['NewFields.OrdinaryInterestPnl'] }, + { title: '保证金', columns: ['position.InitMarginGain', 'position.PostionMarginGain', 'position.InitMarginLoss', 'position.PostionMarginLoss', 'NewFields.MarginInterestGain', 'NewFields.MarginInterestLoss'] }, + { title: '估值与实现收益', columns: ['position.dv01', 'InterestPaymentMethod', 'NewFields.MaturityNettingValuation', 'NewFields.PeriodPaymentValuation', 'position.RealizedPnL'] } +]; + function gridComplete() { var jgrid = $(this); if (arguments[0].Sum) { jgrid.footerData("set", { 'position.dv01': arguments[0].Sum["DV"] }); } - //框架合约Tab：列设置应用完成后补充期间付息提示。 - if (page.tabIndex == 2) { + // 两个框架合约 Tab 均保留 DV footer 与列设置；界面使用普通单层表头。 + if (page.tabIndex == 2 || page.tabIndex == 3) { var defer = main.setcolumnChooser(jgrid, cloumnTargetName); $.when(defer).done(function () { jgrid.jqGrid('setLabel', 'PeriodAmount', null, null, { @@ -734,13 +813,21 @@ function starttradeView(id) { function exportVisibleColumns() { var jgrid = jQuery('#listGrid'); var dateStr = $("#DateValueDate").val() || ''; - var tabName = page.tabIndex == 2 ? '框架合约' : '日终持仓'; + var tabName = page.tabIndex == 2 + ? '框架合约（旧口径）' + : page.tabIndex == 3 ? '框架合约' : '日终持仓'; var fileName = '日终持仓风险_互换_' + tabName + (dateStr ? '_' + dateStr : ''); - if (page.tabIndex != 2) { + if (page.tabIndex != 2 && page.tabIndex != 3) { main.exportVisibleColumnsToExcel(jgrid, fileName, null); return; } + // 虽然新 Tab 不展示分组表头，标准格式导出仍按需求输出分组标题和固定列顺序。 + var groupConfig = page.tabIndex == 3 ? eodSwapRiskNewGroupConfig : eodSwapGroupConfig; + var standardColumnNames = page.tabIndex == 3 + ? eodSwapRiskNewExportColumnNames + : eodSwapExportColumnNames; + layer.open({ type: 1, title: '选择导出方式', @@ -753,7 +840,7 @@ function exportVisibleColumns() { '', success: function (layero, index) { layero.find('.js-export-eod-swap-standard').on('click', function () { - exportEodSwapRows(jgrid, fileName, eodSwapGroupConfig, eodSwapExportColumnNames); + exportEodSwapRows(jgrid, fileName, groupConfig, standardColumnNames); layer.close(index); }); layero.find('.js-export-eod-swap-visible').on('click', function () { @@ -810,6 +897,13 @@ function RealizedPnlFormat(cellValue, options, rowObject) { function StockEqvNotionalFormat(cellValue, options, rowObject) { return otcformat.trading.StockEqvNotional(cellValue); } +function InitialPriceFormat(cellValue, options, rowObject) { + // 类型来自 NewFields（不再是旧 eodPosition 嵌套对象），以便债券按全价精度、非债券按普通价格精度展示。 + var instrumentType = rowObject + && rowObject.NewFields + && rowObject.NewFields.UnderlyingInstrumentType; + return swapPricePrecision.format(cellValue, instrumentType, 'grossPrice'); +} function NullableStockEqvNotionalFormat(cellValue, options, rowObject) { if (cellValue === null || cellValue === undefined || cellValue === '') { return ''; diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js index aeb53d83..fdfc7b01 100644 --- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js +++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/incomeSwapTrade.js @@ -46,7 +46,9 @@ const vue = new Vue({ } }, created() { - this.multiplier = this.deal.StructureType == '普通债券类收益互换' ? 100 : 1; + // 是否 ×100 由浮动腿标的资产类型决定（债券价格以小数保存，展示时转为百分比）， + // 与存储层 SetPosiPrice/GetStorageDeliveryPriceRound 的 IsBond 口径一致，不依赖簿记结构类型。 + this.multiplier = this.IsBond(swapInstrumentType) ? 100 : 1; this.initDeal(); this.setValueDate(); }, diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js index 346174c4..72ff7698 100644 --- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js +++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/unwindSwapTrade.js @@ -64,7 +64,7 @@ const vue = new Vue({ marginList: [], initPosiNetPrice: 0, multiplier: 1, - // EQD-6953 簿记模板=普通债券类收益互换 时启用 期末交割全价↔结算收益率(ExitYtm) 互算 + // EQD-6953 浮动腿标的为债券时启用 期末交割全价↔结算收益率(ExitYtm) 互算 isBondTRS: false, // 平仓比例展示/输入均为"占期初(original)"语义(A)：默认与每次重开都基于原始名义本金。 // oriClosePercent = 剩余名义本金/期初名义本金 = 最多可平比例（不能平超过剩余持仓）。 @@ -77,13 +77,15 @@ const vue = new Vue({ minStartDate() { return this.deal.StartDate; }, - // EQD-6953：簿记模板为普通债券类收益互换 且 浮动腿标的为债券 时，才展示 源/AUTO/REV 标识并允许互算 + // EQD-6953：浮动腿标的为债券时，才展示 源/AUTO/REV 标识并允许互算 isBondUnwindLeg() { return this.isBondTRS && !!this.floatPosition && this.IsBond(this.floatPosition.UnderlyingInstrumentType); } }, created() { - this.isBondTRS = this.deal.StructureType == '普通债券类收益互换'; + // 是否债券收益互换由浮动腿标的资产类型决定（×100 展示口径与存储层 SetPosiPrice 的 IsBond 一致）， + // 不依赖簿记结构类型 StructureType。 + this.isBondTRS = this.IsBond(swapInstrumentType); this.multiplier = this.isBondTRS ? 100 : 1; this.initDeal(); this.setValueDate(this.deal.ValueDate); diff --git a/YLErpWeb/wwwroot/Scripts/app/underlying/underlyingedit.js b/YLErpWeb/wwwroot/Scripts/app/underlying/underlyingedit.js index a5a2724d..dd80db28 100644 --- a/YLErpWeb/wwwroot/Scripts/app/underlying/underlyingedit.js +++ b/YLErpWeb/wwwroot/Scripts/app/underlying/underlyingedit.js @@ -135,6 +135,12 @@ function saveData() { return main.alert("资产品种类型 必须填写!"); } + // 重点功能：基金及基金专户必须填写基金管理人，空格内容也视为未填写。 + if (data.UnderlyingInstrumentType === "Fund" && + (!data.InvestAdvisorName || !data.InvestAdvisorName.trim())) { + return main.alert("基金管理人 必须填写!"); + } + // 重点功能：ETF 子类只对基金及基金专户显示并必填，先在前端阻止无效提交。 if (data.UnderlyingInstrumentType === "Fund" && !data.EtfSubType) { return main.alert("ETF 子类 必须填写!");