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Merge remote-tracking branch 'origin/hotfix/zs_v1.3_1016' into feature/zs_v1.3.3

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gongpei
2025-10-30 10:19:52 +08:00
parent b0676efea7 e891ce8faa
commit 50f53da2d1
21 changed files with 792 additions and 67 deletions
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YLErpDAL/Modules/SwapModule/SwapDealService.cs
+48 -13
View File
@@ -9,6 +9,7 @@ using OfficeOpenXml.Drawing.Controls;
using Org.BouncyCastle.Asn1.Ocsp;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Core.Modules;
using Qdp.Pricing.Library.Base.Utilities;
using System.Linq.Expressions;
using YLErp.BLL;
using YLErp.BLL.Eod;
@@ -71,6 +72,7 @@ namespace YLErp.Modules.SwapModule
}
else
{
unwindData.TradeStartDate = td.StartDate;
unwindData.CloseType = commodity ? 1 : 2;
unwindData.StartDate = td.TradeDate.Value;
if (preDealDate.HasValue)
@@ -400,7 +402,7 @@ namespace YLErp.Modules.SwapModule
}
else if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
{
_closePosiNotionalValue = _posiNotionalValue * closePrecent;
_closePosiNotionalValue = _posiNotionalValue * closePrecent;
_posiNotionalValue = _posiNotionalValue;
}
else if (position.InterestMode == (int)InterestModeEnum.追加预付金 || position.InterestMode == (int)InterestModeEnum.初始预付金)
@@ -433,7 +435,7 @@ namespace YLErp.Modules.SwapModule
position.FloatRate = Convert.ToDecimal(floatRate);
positionClone.FloatRate = position.FloatRate;
}
else if(!swap)
else if (!swap)
{
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{rateDate:yyyy年MM月dd日}的价格");
}
@@ -769,7 +771,7 @@ namespace YLErp.Modules.SwapModule
DealFloatPosition(unwindData);
var flowList = new List<swap_flow_event>(unwindData.FlowEvents);
var eventId = SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
if (unwindData.CloseMethod == (int)CloseMethodEnum.全部平仓|| unwindData.ClosePercent==1)
if (unwindData.CloseMethod == (int)CloseMethodEnum.全部平仓 || unwindData.ClosePercent == 1)
{
td.TradeStatus = "已平仓";
td.trade_extend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
@@ -812,7 +814,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="td"></param>
/// <param name="unwindPrice"></param>
/// <param name="unwindPriceFee"></param>
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty,decimal closeFee)
public void AuotoSwapUnwind(int tradeid, decimal unwindPrice, decimal unwindPriceFee, decimal unwindNetFee, decimal unwindNet, DateTime valueDate, decimal unwindQty, decimal closeFee)
{
unwindPriceFee = decimal.Parse(unwindPriceFee.ToString("F10"));
var td = DbContext.trade.Find(tradeid);
@@ -850,7 +852,7 @@ namespace YLErp.Modules.SwapModule
unwindData.CloseMethod = unwindQty == unwindData.PositionQty ? (int)CloseMethodEnum.全部平仓 : (int)CloseMethodEnum.部分平仓;
unwindData.ClosePercent = unwindData.PositionQty == 0 ? 0 : unwindPercent;
unwindData.CloseNotionalValue = position == null ? 0 : unwindQty * position.PosiGrossPrice * position.ContractSize;
unwindData.CloseNotionalValue = unwindPercent >= 1? unwindData.PosiNotionalValue: Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
unwindData.CloseNotionalValue = unwindPercent >= 1 ? unwindData.PosiNotionalValue : Math.Round(unwindData.CloseNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
unwindData.CloseQty = unwindQty;
if (position != null)
{
@@ -881,12 +883,13 @@ namespace YLErp.Modules.SwapModule
floatEvent.TradingFeePending = Math.Round(floatEvent.TradingFeePending, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.TradingFee = closeFee;
floatEvent.MarkClosePnl = (unwindPrice - position.PosiGrossPrice) * unwindQty * floatRatio * longRatio;
floatEvent.MarkClosePnl = Math.Round(floatEvent.MarkClosePnl + ((floatEvent.TradingFeePending+ closeFee) * floatRatio * -1), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.MarkClosePnl = Math.Round(floatEvent.MarkClosePnl + ((floatEvent.TradingFeePending + closeFee) * floatRatio * -1) + floatEvent.DividendIn, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.TradingAmount = unwindPrice * floatEvent.Quantity * floatEvent.ContractSize;
floatEvent.TradingAmount = Math.Round(floatEvent.TradingAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
floatEvent.OptLog = "流水自动";
floatEvent.OptLog = "流水自动";
floatEvent.ClientId = td.ClientId;
floatEvent.SetOpt(UserInfo);
EnrichDividendIn(floatEvent, unwindQty, td);
}
unwindData.FlowEvents.Add(floatEvent);
var interestPositions = GetUnwindInterests(unwindData.ValueDate, unwindData.UnwindDate.Value, td.id, unwindPercent, (int)SwapEventTypeEnum.平仓);
@@ -896,14 +899,46 @@ namespace YLErp.Modules.SwapModule
});
foreach (var item in interestPositions)
{
item.TdInterestAmount=Math.Round(item.TdInterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
item.InterestAmount=Math.Round(item.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
item.TdInterestAmount = Math.Round(item.TdInterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
item.InterestAmount = Math.Round(item.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
item.InterestClosePnL = Math.Round(item.InterestClosePnL, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
}
unwindData.FlowEvents.AddRange(interestPositions);
CalcCloseAmount(unwindData);
DealUnwind(unwindData, td);
}
private void EnrichDividendIn(swap_flow_event flowEvent, decimal unwindQty, trade td)
{
if (flowEvent.UnwindDate == null)
{
throw new ArgumentNullException("平仓日期缺失");
}
var date = flowEvent.EventDate;
BondPaymentService servie = new BondPaymentService(UserInfo);
var payments = servie.GetBondPayments(flowEvent.UnderlyingCode, td.StartDate.Value, date);
int shortRatio = flowEvent.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
int directionRatio = flowEvent.PayDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
// + 付息日>上日日终且小于等于平仓日期的分红数据
var dividendIn = servie.CalcPayment(payments, unwindQty, shortRatio, directionRatio);
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(flowEvent.UnderlyingCode);
decimal tax = um.ValueAddedTax ?? 0;
dividendIn = dividendIn / (1 + tax) * (1 - tax);
flowEvent.DividendIn = Math.Round(dividendIn, 2, MidpointRounding.AwayFromZero);
}
public decimal GetUnderlyingTax(string code)
{
var data = DataCacheProvider.GetUnderlyingDataSource().GetData(code);
if (data == null)
{
return 0;
}
return data.ValueAddedTax ?? 0;
}
/// <summary>
/// 衡泰新增平仓事件
/// </summary>
@@ -1051,7 +1086,7 @@ namespace YLErp.Modules.SwapModule
return interests;
}
private void DealUnwind(UnwindData unwindData, trade td, string actionMsg = "系统操作_自动平仓")
private void DealUnwind(UnwindData unwindData, trade td, string actionMsg = "系统操作_自动平仓")
{
int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapRealizedPnL), ClientCashInCashOut.系统操作_平仓费, unwindData.ValueDate);
if (unwindData.SwapMarginAmount != 0)
@@ -1082,7 +1117,7 @@ namespace YLErp.Modules.SwapModule
td.TradeAmount -= Convert.ToDouble(unwindData.CloseQty);
td.Notional = td.TradeAmount;
td.OptDate = DateTime.Now;
td.OptId= UserId;
td.OptId = UserId;
td.OptName = UserName;
DbContext.SaveChanges();
}
@@ -1362,7 +1397,7 @@ namespace YLErp.Modules.SwapModule
decimal shortRatio = item.PositionType == (int)PositionTypeFlag.Long ? -1m : 1m;
item.TradingAmountFeeAvg = item.TradingAmountAvg + item.TradingFeePending / unwindData.CloseQty * shortRatio;
item.TradingAmountNetFeeAvg = item.TradingAmountNetAvg + item.TradingFeePending / unwindData.CloseQty * shortRatio;
item.TradingAmount= item.TradingAmountAvg * unwindData.CloseQty;
item.TradingAmount = item.TradingAmountAvg * unwindData.CloseQty;
}
}
}
@@ -1378,7 +1413,7 @@ namespace YLErp.Modules.SwapModule
if (!string.IsNullOrEmpty(position.UnderlyingCode))
{
position.PosiQuantity -= unwindData.CloseQty;
position.PosiNotionalValue = unwindData.PosiNotionalValue- unwindData.CloseNotionalValue;
position.PosiNotionalValue = unwindData.PosiNotionalValue - unwindData.CloseNotionalValue;
position.PosiTradingFee -= position.PosiTradingFee * unwindData.ClosePercent;
position.PosiTradingFeePending -= position.PosiTradingFeePending * unwindData.ClosePercent;
}
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+58 -31
View File
@@ -137,7 +137,7 @@ namespace YLErp.Modules.SwapModule
}
var flowEvents = new List<swap_flow_event>();
Expression<Func<swap_flow_event, bool>> eventExpression = x => x.SwapTradeId == td.id && x.DataState == (int)SwapFlowDateStateEnum.完成;
eventExpression = eventExpression.And(x => x.EventDate == settleDate );
eventExpression = eventExpression.And(x => x.EventDate == settleDate);
//if (settleDate == td.TradeDate)
//{
// eventExpression = eventExpression.And(x => x.EventDate == settleDate);
@@ -443,7 +443,7 @@ namespace YLErp.Modules.SwapModule
decimal allPosiNotionalValue = 0;
decimal longNotionalValue = realPositions.Where(s => s.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);//剩余多头名义本金规模
decimal shortNotionalValue = realPositions.Where(s => s.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);//剩余空头名义本金规模
foreach (var eventGroup in eventQuery.GroupBy(g => g.PositionId))//持仓标的腿合成持仓
{
var eventList = eventGroup.ToList();
@@ -562,7 +562,7 @@ namespace YLErp.Modules.SwapModule
unwindData.CloseNotionalValue = tdCloseNotionalValue;
swapEvent.EventData = JsonHelper.Serialize(unwindData);
DbContext.SaveChanges();
SaveEodSwap(td, tradeDate,preSettleDate);
SaveEodSwap(td, tradeDate, preSettleDate);
DbContext.SaveChanges();
trans?.Commit();
}
@@ -717,7 +717,7 @@ namespace YLErp.Modules.SwapModule
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, true, grossPrice, orginPv, true);
decimal InterestAmount = interests.Sum(x => x.InterestAmount);
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
newEodPayPosition.ValueDate = valueDate;
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
@@ -750,7 +750,7 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.InterestFeeSum = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee;
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
//持仓价值
newEodPayPosition.SwapPositionValue = newEodPayPosition.InterestProfitSum + newEodPayPosition.PosiProfitSum;
newEodPayPosition.SwapPositionValue = newEodPayPosition.InterestProfitSum + newEodPayPosition.PosiProfitSum;
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
@@ -824,7 +824,7 @@ namespace YLErp.Modules.SwapModule
preEodPositions.Add(eodPayPosition);
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true);
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
newEodPayPosition.ValueDate = valueDate;
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
@@ -970,7 +970,7 @@ namespace YLErp.Modules.SwapModule
}
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNational, posiShortNational, posiNotionalValue, closePercent, 0, false, needPrice, grossPrice, orginPv);
UpdateDbOption(newEodPayPosition);
newEodPayPosition.PosiStatus = 0;
newEodPayPosition.Invalid = false;
newEodPayPosition.ValueDate = valueDate;
@@ -1137,11 +1137,21 @@ namespace YLErp.Modules.SwapModule
{
return curretEod;
}
var dealDate = curretEod.ValueDate;
var dealDate = curretEod.ValueDate;
int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
decimal tax = um.ValueAddedTax ?? 0;
BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
if (valueDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
{
decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
// 考虑增值税
curretEod.TdPosiDividend = payment / (1 + tax) * (1 - tax);
}
curretEod.PosiDividendSum = eod.PosiQuantity > 0 ? (eod.PosiDividendSum + curretEod.TdPosiDividend) : 0;
curretEod.PosiQuantity = eod.PosiQuantity;
if (curretEod.PosiStatus == 1)
{
curretEod.PosiNotionalValue = 0;
@@ -1149,12 +1159,13 @@ namespace YLErp.Modules.SwapModule
curretEod.UnderlyingPrice = price;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
curretEod.TdPosiDividend = 0;
curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum+ curretEod.PosiFeePending;
//curretEod.TdPosiDividend = 0;
//curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
curretEod.TdCloseFee = 0;
curretEod.TdCloseQty = 0;
curretEod.TdCloseMtmPnl = 0;
// 需要计算平仓盈亏分红
curretEod.TdCloseDividend = 0;
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
@@ -1197,6 +1208,7 @@ namespace YLErp.Modules.SwapModule
if (curretEod == null)
{
curretEod = eod.Clone();
curretEod.TdPosiDividend = 0;
curretEod.id = 0;
curretEod.ValueDate = valueDate;
}
@@ -1206,7 +1218,7 @@ namespace YLErp.Modules.SwapModule
{
return curretEod;
}
var dealDate = curretEod.ValueDate;
var dealDate = curretEod.ValueDate;
int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
@@ -1214,13 +1226,28 @@ namespace YLErp.Modules.SwapModule
curretEod.UnderlyingPrice = price;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
curretEod.TdPosiDividend = 0;
if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
{
decimal tax = um.ValueAddedTax ?? 0;
BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
// 考虑增值税
curretEod.TdPosiDividend = payment / (1 + tax) * (1 - tax);
}
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl;
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
var closeQty = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.平仓).ToList().Sum(s => s.Quantity);
// 当日浮动端平仓盈亏·分红 = 平仓数量/昨天剩余平仓数量 * 昨日浮动端待实现收益·分红
curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn);
curretEod.RealizedDividend = curretEod.RealizedDividend + curretEod.TdCloseDividend;
// 浮动端待实现收益·分红 = 昨日 + 当日浮动端分红 - 当日浮动端平仓盈亏·分红
curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend - curretEod.TdCloseDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
if (curretEod.PosiStatus == 1)
{
curretEod.PosiNotionalValue = 0;
@@ -1295,13 +1322,13 @@ namespace YLErp.Modules.SwapModule
curretEod.PosiNetFeePrice = Math.Round(curretEod.PosiNetFeePrice ?? 0, 10, MidpointRounding.AwayFromZero);
}
curretEod.PosiNotionalValue = curretEod.PosiGrossPrice * curretEod.PosiQuantity * curretEod.ContractSize;
curretEod.PosiNotionalValue= Math.Round(curretEod.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
curretEod.PosiNotionalValue = Math.Round(curretEod.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
curretEod.TdPosiDividend = unwindEvents.Sum(x => x.DividendIn) * directionRatio;
curretEod.TdCloseFee = unwindFlowEvents.Sum(x => x.TradingFee+x.TradingFeePending);
curretEod.TdCloseFee = unwindFlowEvents.Sum(x => x.TradingFee + x.TradingFeePending);
curretEod.TdCloseQty = unwindQty;
curretEod.TdCloseMtmPnl = unwindEvents.Sum(x => x.MarkClosePnl);
}
if (curretEod.PosiQuantity==0)
if (curretEod.PosiQuantity == 0)
{
curretEod.PosiFeePending = 0;
}
@@ -1322,7 +1349,7 @@ namespace YLErp.Modules.SwapModule
{
return curretEod;
}
var dealDate = settleDate;
var dealDate = settleDate;
curretEod.ValueDate = settleDate;
curretEod.PosiStartDate = position.PosiStartDate;
curretEod.PosiMatuirityDate = td.ExerciseDate.Value;
@@ -1432,11 +1459,11 @@ namespace YLErp.Modules.SwapModule
/// </summary>
/// <param name="td">互换交易</param>
/// <param name="settleDate">收盘日</param>
private void SaveEodSwap(trade td, DateTime settleDate,DateTime preSettleDate)
private void SaveEodSwap(trade td, DateTime settleDate, DateTime preSettleDate)
{
var eod_Swaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= preSettleDate && x.ValueDate<= settleDate).ToList();
var eod_Swap = eod_Swaps.FirstOrDefault(x => x.ValueDate == settleDate);
var preEodSwap= eod_Swaps.FirstOrDefault(x => x.ValueDate == preSettleDate);
var eod_Swaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= preSettleDate && x.ValueDate <= settleDate).ToList();
var eod_Swap = eod_Swaps.FirstOrDefault(x => x.ValueDate == settleDate);
var preEodSwap = eod_Swaps.FirstOrDefault(x => x.ValueDate == preSettleDate);
if (eod_Swap == null)
{
eod_Swap = new eod_swap();
@@ -1894,14 +1921,14 @@ namespace YLErp.Modules.SwapModule
{
eventDate = QdpCalendarHelper.GetNonHoliday(eventDate.AddDays(tradeExtend.ExtendObj.SettlementRules));
}
item.DayCount = (eventDate - item.position.PosiStartDate).Days+1;
item.DayCount = (eventDate - item.position.PosiStartDate).Days + 1;
//item.position.PosiProfitSum += item.position.VTradingFee-item.position.PosiFeePending;
SetClientEodPosition(item.position);
//item.position.PosiProfitSum += item.TradingFee;
var posiProfitSum= item.position.PosiProfitSum;
var posiProfitSum = item.position.PosiProfitSum;
//item.position.PosiProfitSum 不需要加交易费用
item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending-item.position.PosiDividendSum;
item.NetSettmentAmount = item.position.PosiProfitSum+ item.position.PosiDividendSum+ item.position.PosiFeePending;
item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending - item.position.PosiDividendSum;
item.NetSettmentAmount = item.position.PosiProfitSum + item.position.PosiDividendSum + item.position.PosiFeePending;
item.PeriodAmount = item.position.PosiDividendSum;
var margins = positions.Where(x => x.SwapTradeId == item.position.SwapTradeId);
var interests = eodPositions.Where(x => x.SwapTradeId == item.position.SwapTradeId && x.ValueDate == item.position.ValueDate);
@@ -1909,14 +1936,14 @@ namespace YLErp.Modules.SwapModule
var eodInterests = interests.Where(x => !marginTypes.Contains(x.InterestMode));
var floatRateInterest = eodInterests.Where(x => !string.IsNullOrEmpty(x.FloatRateUnderlyingCode)).FirstOrDefault();
item.position.FloatRateUnderlyingCode = floatRateInterest?.FloatRateUnderlyingCode;
item.position.FloatRate= floatRateInterest?.FloatRate??0;
item.position.FloatRate = floatRateInterest?.FloatRate ?? 0;
item.OpenMarginAmount = margins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
item.OpenMarginRate = margins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
item.MarginInterestAmount = eodMargins.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1));
item.InterestRate = eodInterests.Sum(s => s.InterestRateDefault);
item.NetSettmentAmount += item.InterestAmount + item.MarginInterestAmount + eodMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
item.NetSettmentAmount = Math.Round(item.NetSettmentAmount, ConsGlobal.MoneyRound,MidpointRounding.AwayFromZero);
item.NetSettmentAmount = Math.Round(item.NetSettmentAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
if (item.position.PosiNotionalValue != 0 && item.position.PosiNetPrice != 0)
{
item.FloatRateAbs = item.position.PosiNotionalValue == 0 ? 0 : item.InterestAmount / item.position.PosiNotionalValue;
@@ -1962,7 +1989,7 @@ namespace YLErp.Modules.SwapModule
return;
}
}
/// <summary>
/// 获取客户互换持仓信息
/// </summary>
@@ -1987,7 +2014,7 @@ namespace YLErp.Modules.SwapModule
foreach (var item in eodSwaps)
{
var tradeOrigin = trades.First(x => x.id == item.SwapTradeId);
var realizedPnL = item.RealizedMtmPnL + item.RealizedInterest;
var realizedPnL = item.RealizedMtmPnL + item.RealizedInterest;
var tdExtend = tradeExtends.First(x => x.TradeId == item.SwapTradeId);
eod_position model = new eod_position()
{