Merge remote-tracking branch 'origin/glms/feature/zmr-0808' into glms/feature/1.4.2
# Conflicts: # YLErpDAL/Modules/SwapModule/SwapDealService.cs # YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
This commit is contained in:
张名锐
@@ -48,6 +48,8 @@ namespace YLErp.Modules.SwapModule
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/// </summary>
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public List<swap_flow_event> AutoInterests { get; set; }
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public SwapDealService DealService { get; set; }
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public eod_swap_position LastInterestCalculationEodPosition { get; private set; }
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public StubEodPositionService() : base(nameof(DealInterestsScenarioTest))
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@@ -74,7 +76,7 @@ namespace YLErp.Modules.SwapModule
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return AutoInterests;
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}
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return new SwapDealService(this).GetInterests(td, tradeExtend, valueDate, unwindDate,
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return (DealService ?? new SwapDealService(this)).GetInterests(td, tradeExtend, valueDate, unwindDate,
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eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
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closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
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grossPrice, orginPv, add, settment, newCalcLast, closeList);
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@@ -113,6 +115,16 @@ namespace YLErp.Modules.SwapModule
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return PersistedPositions.LastOrDefault();
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}
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public eod_swap_position ExecuteSaveEodInterestPositionCopy(
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eod_swap_position eodPayPosition, swap_position position, trade td,
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DateTime valueDate, decimal posiLongNotional, decimal posiShortNotional,
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decimal grossPrice, decimal orginPv)
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{
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SaveEodInterestPositionCopy(eodPayPosition, null, valueDate, td, position, null,
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false, posiLongNotional, posiShortNotional, grossPrice, orginPv);
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return PersistedPositions.LastOrDefault();
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}
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// public 包装：直接调用 protected virtual DealInterests（已改为 virtual，无需反射）
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public void ExecuteDealInterests(
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List<swap_position> interestList, List<eod_swap_position> eodPositions,
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@@ -126,6 +138,27 @@ namespace YLErp.Modules.SwapModule
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}
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}
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private sealed class StubCompoundSwapDealService : SwapDealService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public StubCompoundSwapDealService(IReadOnlyDictionary<DateTime, double> floatRates = null)
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: base(new OptUserInfo(0, nameof(StubCompoundSwapDealService), OptUserFrom.UnitTest))
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{
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_floatRates = floatRates ?? new Dictionary<DateTime, double>();
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}
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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return _floatRates.TryGetValue(valueDate.Date, out rate);
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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{
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return 0m;
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}
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}
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#endregion
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#region 数据构建器
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@@ -235,6 +268,86 @@ namespace YLErp.Modules.SwapModule
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$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
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}
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public sealed class ExcelScenario4Case
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{
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public string TradeNumber { get; init; }
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public DateTime StartDate { get; init; }
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public int SettlementRules { get; init; }
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public int InterestMode { get; init; }
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public int InterestType { get; init; }
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public string InterestCalcMode { get; init; }
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public int InterestRule { get; init; }
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public decimal FixedRate { get; init; }
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public decimal ExpectedPartialInterest { get; init; }
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public decimal ExpectedFinalInterest { get; init; }
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public override string ToString() => TradeNumber;
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}
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public static IEnumerable<object[]> ExcelScenario4Cases => new List<ExcelScenario4Case>
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{
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ExcelCase("GLMS-20260421-0008", new DateTime(2026, 4, 22), 1, 2, 1, "11", 0, -0.021m, -37218.76m, -124093.74m),
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ExcelCase("GLMS-20260421-0007", new DateTime(2026, 4, 21), 0, 2, 1, "11", 0, 0.0025m, 84090.95m, 268428.73m),
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ExcelCase("GLMS-20260421-0006", new DateTime(2026, 4, 22), 1, 9, 1, "10", 0, -0.021m, -35375.54m, -119386.71m),
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ExcelCase("GLMS-20260421-0005", new DateTime(2026, 4, 21), 0, 2, 1, "10", 0, 0.0025m, 80002.31m, 259348.38m),
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ExcelCase("GLMS-20260421-0004", new DateTime(2026, 4, 22), 1, 9, 1, "11", -1, -0.021m, -37119.14m, -123280.17m),
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ExcelCase("GLMS-20260421-0003", new DateTime(2026, 4, 21), 0, 2, 1, "11", -1, 0.0025m, 83919.92m, 269717.13m),
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ExcelCase("GLMS-20260421-0002", new DateTime(2026, 4, 22), 1, 9, 1, "10", -1, -0.021m, -35350.65m, -118631.26m),
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ExcelCase("GLMS-20260421-0001", new DateTime(2026, 4, 21), 0, 9, 1, "10", -1, 0.0025m, 79831.29m, 260578.53m),
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ExcelCase("GLMS-20260421-0012", new DateTime(2026, 4, 22), 1, 9, 0, "11", -1, -0.021m, -37124.16m, -123307.03m),
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ExcelCase("GLMS-20260421-0011", new DateTime(2026, 4, 21), 0, 2, 0, "11", -1, 0.0025m, 83894.12m, 269586.02m),
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ExcelCase("GLMS-20260421-0010", new DateTime(2026, 4, 22), 1, 9, 0, "10", 0, -0.021m, -35380.07m, -119411.90m),
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ExcelCase("GLMS-20260421-0009", new DateTime(2026, 4, 21), 0, 9, 0, "10", -1, 0.0025m, 79807.97m, 260458.63m)
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}.Select(x => new object[] { x });
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private static ExcelScenario4Case ExcelCase(string tradeNumber, DateTime startDate,
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int settlementRules, int interestMode, int interestType, string interestCalcMode,
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int interestRule, decimal fixedRate, decimal expectedPartialInterest,
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decimal expectedFinalInterest)
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{
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return new ExcelScenario4Case
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{
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TradeNumber = tradeNumber,
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StartDate = startDate,
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SettlementRules = settlementRules,
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InterestMode = interestMode,
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InterestType = interestType,
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InterestCalcMode = interestCalcMode,
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InterestRule = interestRule,
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FixedRate = fixedRate,
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ExpectedPartialInterest = expectedPartialInterest,
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ExpectedFinalInterest = expectedFinalInterest
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};
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}
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private static IReadOnlyDictionary<DateTime, double> CreateExcelScenario4Fr007Rates()
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{
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return new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 20)] = 0.0132,
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 22)] = 0.0132,
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[new DateTime(2026, 4, 23)] = 0.0132,
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[new DateTime(2026, 4, 24)] = 0.0131,
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[new DateTime(2026, 4, 27)] = 0.013502,
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[new DateTime(2026, 4, 28)] = 0.0136,
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[new DateTime(2026, 4, 29)] = 0.0138,
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[new DateTime(2026, 4, 30)] = 0.0139,
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[new DateTime(2026, 5, 4)] = 0.0139,
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[new DateTime(2026, 5, 5)] = 0.0139,
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[new DateTime(2026, 5, 6)] = 0.0136,
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[new DateTime(2026, 5, 7)] = 0.0136,
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[new DateTime(2026, 5, 8)] = 0.0135,
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[new DateTime(2026, 5, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.0130,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.0130,
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[new DateTime(2026, 5, 15)] = 0.0130,
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[new DateTime(2026, 5, 18)] = 0.0132,
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[new DateTime(2026, 5, 19)] = 0.0131
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};
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}
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#endregion
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// ================================================================
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@@ -814,6 +927,8 @@ namespace YLErp.Modules.SwapModule
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AssertDecimal(compoundPrincipalAfterSevenDays, result.TdInterestPrincipal,
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"复利重置日部分平仓后，EOD 本金必须保留 CalcSwapInterests 计算的 7 天复利本金");
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AssertDecimal(compoundPrincipalAfterSevenDays * FixedRate / AnnualDays, result.TdInterestIncome,
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"复利重置日部分平仓后，当日利息必须使用已结转待实现利息的剩余复利本金");
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}
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[TestMethod]
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@@ -841,8 +956,10 @@ namespace YLErp.Modules.SwapModule
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"预付金部分平仓待实现收益应为历史待实现+平仓后当日新增-平仓实现");
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}
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[TestMethod]
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public void DI_MANUAL_PARTIAL_CLOSE_CalcLastIncludesClosedPrincipalDailyInterest()
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[DataTestMethod]
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[DataRow((int)InterestModeEnum.合约名义本金规模)]
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[DataRow((int)InterestModeEnum.标的期初全价)]
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public void DI_MANUAL_PARTIAL_CLOSE_CalcLastIncludesClosedPrincipalDailyInterest(int interestMode)
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{
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var service = new StubEodPositionService();
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var td = CreateTrade();
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@@ -853,6 +970,7 @@ namespace YLErp.Modules.SwapModule
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestMode = interestMode;
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var previousEod = CreatePreEod(StartDate.AddDays(2), 100m);
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previousEod.TdInterestPrincipal = Principal;
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var closeFlow = CreateSwapFlowEvent(StartDate.AddDays(3), 50m);
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@@ -864,6 +982,8 @@ namespace YLErp.Modules.SwapModule
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AssertDecimal(Principal * FixedRate / AnnualDays, result.TdInterestIncome,
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"算尾部分平仓的当日新计利息应包含已平仓部分（按全额本金计提）");
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AssertDecimal(500m, result.TdInterestPrincipal,
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"算尾部分平仓后的 EOD 本金应只携带剩余持仓");
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// 补充：算尾部分平仓的待实现利息总额应满足递推
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// InterestIncomeSum = 前日待实现 + 当日新计(全额本金，含被平仓部分) - 当日实现
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@@ -873,6 +993,42 @@ namespace YLErp.Modules.SwapModule
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"算尾部分平仓：InterestIncomeSum 应=前日待实现+当日新计(含被平仓部分)-当日实现");
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}
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[DataTestMethod]
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[DataRow((int)InterestModeEnum.合约名义本金规模, "300")]
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[DataRow((int)InterestModeEnum.标的期初全价, "700")]
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public void DI_GLMS_20260421_0004_CalcLastKeepsRemainingCompoundPrincipal(
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int interestMode, string calculatedPrincipalText)
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{
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var service = new StubEodPositionService
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{
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AutoInterests = new List<swap_flow_event>
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{
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new() { InterestPrincipal = decimal.Parse(calculatedPrincipalText) }
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}
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};
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var td = CreateTrade();
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td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "11",
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SettlementRules = 1
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});
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var position = CreateInterestPosition();
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position.InterestMode = interestMode;
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position.InterestType = (int)InterestTypeEnum.复利;
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var previousEod = CreatePreEod(StartDate.AddDays(2), 100m);
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previousEod.TdInterestPrincipal = Principal;
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var closeFlow = CreateSwapFlowEvent(StartDate.AddDays(3), 50m);
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closeFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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var result = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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previousEod, position, td, StartDate.AddDays(3), null,
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700m, 0m, new List<swap_flow_event> { closeFlow }, 300m, false);
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AssertDecimal(700m, result.TdInterestPrincipal,
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"算尾部分平仓后，EOD 必须按计息模式的返回口径保留剩余70%复利本金");
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}
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[TestMethod]
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public void DI_MANUAL_PARTIAL_CLOSE_NoCalcLastUsesRemainingPrincipalDailyInterest()
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{
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@@ -1085,10 +1241,756 @@ namespace YLErp.Modules.SwapModule
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MidpointRounding.AwayFromZero), "Final close cash interest must be 0.82");
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}
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[TestMethod]
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public void DI_MANUAL_CLOSE_007_CompoundFinalCloseSettlesFirstPartialCloseRoundingTail()
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{
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const decimal originalNotional = 10012.35m;
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const decimal remainingNotional = originalNotional / 2m;
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const decimal rate = 0.0299m;
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var firstCloseDate = StartDate.AddDays(6);
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var finalCloseDate = firstCloseDate.AddDays(6);
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var td = CreateTrade();
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td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "11",
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestType = (int)InterestTypeEnum.复利;
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position.InterestRateDefault = rate;
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position.InterestPrincipalFix = originalNotional;
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position.interest_rest_days = 1;
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position.InterestSwapInterval = null;
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var dealService = new StubCompoundSwapDealService();
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var eodService = new StubEodPositionService { DealService = dealService };
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var firstCloseInterest = dealService.GetInterests(
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td, td.trade_extend, firstCloseDate, firstCloseDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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originalNotional, originalNotional, 0m, remainingNotional, 0.5m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
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settment: false).Single();
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var firstCloseCash = Math.Round(firstCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero);
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var firstCloseRoundingTail = firstCloseInterest.InterestAmount - firstCloseCash;
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Assert.AreNotEqual(0m, firstCloseRoundingTail,
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$"首次部分平仓高精度利息 {firstCloseInterest.InterestAmount:F12} 按两位实际结算 {firstCloseCash:F2}，尾差 {firstCloseRoundingTail:F12}");
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var firstCloseFlow = CreateSwapFlowEvent(firstCloseDate, firstCloseCash);
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firstCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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firstCloseFlow.InterestPrincipal = remainingNotional;
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var firstCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
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null, position, td, firstCloseDate, null, remainingNotional, 0m,
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new List<swap_flow_event> { firstCloseFlow }, remainingNotional, false);
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var replayAtPreviousEod = dealService.GetInterests(
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td, td.trade_extend, firstCloseDate, firstCloseDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
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settment: false).Single();
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var replayAtFinalClose = dealService.GetInterests(
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td, td.trade_extend, finalCloseDate, finalCloseDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
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settment: false).Single();
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var expectedFinalInterest = firstCloseEod.InterestIncomeSum
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+ replayAtFinalClose.InterestAmount - replayAtPreviousEod.InterestAmount;
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var expectedFinalCash = Math.Round(expectedFinalInterest, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero);
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var expectedTotalCash = Math.Round(firstCloseCash + firstCloseEod.InterestIncomeSum
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+ replayAtFinalClose.InterestAmount - replayAtPreviousEod.InterestAmount,
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ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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var finalCloseInterest = dealService.GetInterests(
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td, td.trade_extend, finalCloseDate, finalCloseDate,
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new List<eod_swap_position> { firstCloseEod }, new List<swap_position> { position },
|
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
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settment: false).Single();
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var finalCloseCash = Math.Round(finalCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero);
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var finalCloseFlow = CreateSwapFlowEvent(finalCloseDate, finalCloseCash);
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finalCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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finalCloseFlow.InterestPrincipal = remainingNotional;
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var finalCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
|
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firstCloseEod, position, td, finalCloseDate, null, 0m, 0m,
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new List<swap_flow_event> { finalCloseFlow }, remainingNotional, false);
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AssertDecimal(expectedFinalCash, finalCloseCash,
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"最终全平现金必须带走上一日日终的待实现利息尾差");
|
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AssertDecimal(expectedTotalCash,
|
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firstCloseCash + finalCloseCash,
|
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"两次实际结算现金必须守恒");
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AssertDecimal(0m, finalCloseEod.InterestIncomeSum, "全平且实际金额覆盖应结利息后待实现应清零");
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AssertDecimal(firstCloseCash + finalCloseCash, finalCloseEod.RealizedInterest,
|
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"累计已实现利息必须等于历次实际结算金额之和");
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|
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var incompleteFinalCloseFlow = CreateSwapFlowEvent(finalCloseDate, finalCloseCash - 0.01m);
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incompleteFinalCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
|
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incompleteFinalCloseFlow.InterestPrincipal = remainingNotional;
|
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var incompleteFinalCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
|
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firstCloseEod, position, td, finalCloseDate, null, 0m, 0m,
|
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new List<swap_flow_event> { incompleteFinalCloseFlow }, remainingNotional, false);
|
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AssertDecimal(expectedFinalInterest - incompleteFinalCloseFlow.InterestAmount,
|
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incompleteFinalCloseEod.InterestIncomeSum,
|
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"最终全平流水少结 0.01 时，日终必须保留未结利息而非清零");
|
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}
|
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|
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[TestMethod]
|
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public void DI_GLMS_20260421_0007_ContractNotionalCompoundPartialCloseScalesAndFinalCloseUsesRemainingPrincipal()
|
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{
|
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const decimal notional = 303139117.8m;
|
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const decimal partialPercent = 0.3m;
|
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const decimal partialNotional = notional * partialPercent;
|
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const decimal remainingNotional = notional - partialNotional;
|
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const decimal spread = 0.0025m;
|
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var startDate = new DateTime(2026, 4, 21);
|
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var maturityDate = new DateTime(2026, 5, 19);
|
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var partialCloseDate = new DateTime(2026, 5, 11);
|
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var td = new trade
|
||||
{
|
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id = 7007,
|
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TradeNumber = "GLMS-20260421-0007",
|
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ClientId = 999998,
|
||||
TradeType = "收益互换",
|
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TradeDate = startDate,
|
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StartDate = startDate,
|
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ExerciseDate = maturityDate,
|
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TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 7007,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = "11",
|
||||
SettlementRules = 0
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = 70071,
|
||||
SwapTradeId = td.id,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.合约名义本金规模,
|
||||
InterestRateDefault = spread,
|
||||
InterestPrincipalFix = notional,
|
||||
PosiStartDate = startDate,
|
||||
PosiMatuirityDate = maturityDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = maturityDate, Rate = spread, Settlement = 0 }
|
||||
})
|
||||
};
|
||||
var service = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 20)] = 0.0132,
|
||||
[new DateTime(2026, 4, 21)] = 0.0132,
|
||||
[new DateTime(2026, 4, 22)] = 0.0132,
|
||||
[new DateTime(2026, 4, 23)] = 0.0132,
|
||||
[new DateTime(2026, 4, 24)] = 0.0131,
|
||||
[new DateTime(2026, 4, 27)] = 0.013502,
|
||||
[new DateTime(2026, 4, 28)] = 0.0136,
|
||||
[new DateTime(2026, 4, 29)] = 0.0138,
|
||||
[new DateTime(2026, 4, 30)] = 0.0139,
|
||||
[new DateTime(2026, 5, 4)] = 0.0139,
|
||||
[new DateTime(2026, 5, 5)] = 0.0139,
|
||||
[new DateTime(2026, 5, 6)] = 0.0136,
|
||||
[new DateTime(2026, 5, 7)] = 0.0136,
|
||||
[new DateTime(2026, 5, 8)] = 0.0135,
|
||||
[new DateTime(2026, 5, 9)] = 0.0131,
|
||||
[new DateTime(2026, 5, 11)] = 0.0134,
|
||||
[new DateTime(2026, 5, 12)] = 0.013,
|
||||
[new DateTime(2026, 5, 13)] = 0.0129,
|
||||
[new DateTime(2026, 5, 14)] = 0.013,
|
||||
[new DateTime(2026, 5, 15)] = 0.013,
|
||||
[new DateTime(2026, 5, 18)] = 0.0132,
|
||||
[new DateTime(2026, 5, 19)] = 0.0131
|
||||
});
|
||||
var previousEod = new eod_swap_position
|
||||
{
|
||||
id = 70072,
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
ValueDate = new DateTime(2026, 5, 10),
|
||||
TdInterestPrincipal = 303324019.3183441374m,
|
||||
InterestIncomeSum = 266674.349853521170m,
|
||||
InterestProfitSum = 266674.349853521170m,
|
||||
FloatRate = 0.0139m
|
||||
};
|
||||
|
||||
var partial = service.GetInterests(
|
||||
td, td.trade_extend, partialCloseDate, partialCloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
notional, notional, 0m, partialNotional, partialPercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, notional,
|
||||
settment: false).Single();
|
||||
AssertDecimal(84090.95m, Math.Round(partial.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero),
|
||||
"GLMS-20260421-0007 30% 复利合约名义本金平仓必须按比例结算");
|
||||
|
||||
var final = service.GetInterests(
|
||||
td, td.trade_extend, maturityDate, maturityDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
AssertDecimal(268428.73m, Math.Round(final.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero),
|
||||
"后续全平必须只结算剩余70%本金的复利，不重复结算原始全额");
|
||||
Assert.AreNotEqual(280303.16m,
|
||||
Math.Round(final.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero),
|
||||
"后续全平不得再次使用原始全额本金");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void DI_GLMS_20260421_0007_EodPartialCloseCarriesRemainingCompoundAccrual()
|
||||
{
|
||||
const decimal originalNotional = 303139117.8m;
|
||||
const decimal partialNotional = 90941735.34m;
|
||||
const decimal remainingNotional = 212197382.46m;
|
||||
const decimal spread = 0.0025m;
|
||||
var partialCloseDate = new DateTime(2026, 5, 11);
|
||||
var intermediateDate = new DateTime(2026, 5, 18);
|
||||
var finalCloseDate = new DateTime(2026, 5, 19);
|
||||
var td = new trade
|
||||
{
|
||||
id = 7007,
|
||||
TradeNumber = "GLMS-20260421-0007-EOD",
|
||||
ClientId = 999998,
|
||||
TradeType = "收益互换",
|
||||
TradeDate = new DateTime(2026, 4, 21),
|
||||
StartDate = new DateTime(2026, 4, 21),
|
||||
ExerciseDate = finalCloseDate,
|
||||
TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
StructureType = "单标的",
|
||||
QuoteCurrency = "CNY",
|
||||
SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 7007,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = "11",
|
||||
SettlementRules = 0
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = 70071,
|
||||
SwapTradeId = td.id,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.合约名义本金规模,
|
||||
InterestRateDefault = spread,
|
||||
InterestPrincipalFix = originalNotional,
|
||||
PosiStartDate = td.StartDate.Value,
|
||||
PosiMatuirityDate = finalCloseDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = finalCloseDate, Rate = spread, Settlement = 0 }
|
||||
})
|
||||
};
|
||||
var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 21)] = 0.0132,
|
||||
[new DateTime(2026, 4, 28)] = 0.0136,
|
||||
[new DateTime(2026, 4, 30)] = 0.0139,
|
||||
[new DateTime(2026, 5, 4)] = 0.0139,
|
||||
[new DateTime(2026, 5, 5)] = 0.0139,
|
||||
[new DateTime(2026, 5, 6)] = 0.0136,
|
||||
[new DateTime(2026, 5, 11)] = 0.0134,
|
||||
[new DateTime(2026, 5, 12)] = 0.013,
|
||||
[new DateTime(2026, 5, 13)] = 0.0129,
|
||||
[new DateTime(2026, 5, 19)] = 0.0131
|
||||
});
|
||||
var eodService = new StubEodPositionService { DealService = dealService };
|
||||
var previousEod = new eod_swap_position
|
||||
{
|
||||
id = 70072,
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
ValueDate = new DateTime(2026, 5, 10),
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestMode = position.InterestMode,
|
||||
InterestType = position.InterestType,
|
||||
InterestRateDefault = spread,
|
||||
InterestIncomeSum = 266674.349853521170m,
|
||||
InterestProfitSum = 266674.349853521170m,
|
||||
TdInterestPrincipal = 303324019.3183441374m,
|
||||
PosiNotionalValue = originalNotional,
|
||||
FloatRate = 0.0139m,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0
|
||||
};
|
||||
var partialCloseFlow = new swap_flow_event
|
||||
{
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
EventType = (int)SwapFlowEventTypeEnum.平仓,
|
||||
EventDate = partialCloseDate,
|
||||
UnwindDate = partialCloseDate,
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestRate = spread,
|
||||
InterestPrincipal = partialNotional,
|
||||
InterestAmount = 84090.95m,
|
||||
InterestClosePnL = 84090.95m,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
|
||||
previousEod, position, td, partialCloseDate, null, remainingNotional, 0m,
|
||||
new List<swap_flow_event> { partialCloseFlow }, partialNotional, false);
|
||||
AssertDecimal(13628.805251563956m, partialEod.TdInterestIncome,
|
||||
"5/11 EOD 当日新增复利必须按平仓前全额本金计提");
|
||||
AssertDecimal(196212.205105085126m, partialEod.InterestIncomeSum,
|
||||
"5/11 EOD 应保留部分平仓后的待实现复利");
|
||||
AssertDecimal(previousEod.TdInterestPrincipal * (1m - partialNotional / originalNotional),
|
||||
partialEod.TdInterestPrincipal,
|
||||
"5/11 EOD 跨日复利本金应保留剩余70%动态本金");
|
||||
|
||||
var intermediateInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, intermediateDate, intermediateDate,
|
||||
new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
|
||||
$"5/18 复利平仓应承接 5/11 日终剩余本金的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}");
|
||||
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow((int)InterestModeEnum.合约名义本金规模)]
|
||||
[DataRow((int)InterestModeEnum.标的期初全价)]
|
||||
public void DI_GLMS_20260421_0005_EodPartialCloseUsesRemainingCompoundAccrualWhenCalcLastFalse(int interestMode)
|
||||
{
|
||||
const decimal originalNotional = 303139117.8m;
|
||||
const decimal partialNotional = 90941735.34m;
|
||||
const decimal remainingNotional = 212197382.46m;
|
||||
const decimal spread = 0.0025m;
|
||||
var partialCloseDate = new DateTime(2026, 5, 11);
|
||||
var finalCloseDate = new DateTime(2026, 5, 19);
|
||||
var td = new trade
|
||||
{
|
||||
id = 1828,
|
||||
TradeNumber = "GLMS-20260421-0005",
|
||||
ClientId = 999998,
|
||||
TradeType = "收益互换",
|
||||
TradeDate = new DateTime(2026, 4, 21),
|
||||
StartDate = new DateTime(2026, 4, 21),
|
||||
ExerciseDate = finalCloseDate,
|
||||
TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
StructureType = "单标的",
|
||||
QuoteCurrency = "CNY",
|
||||
SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 1828,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = "10",
|
||||
SettlementRules = 0
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = 18281,
|
||||
SwapTradeId = td.id,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = interestMode,
|
||||
InterestRateDefault = spread,
|
||||
InterestPrincipalFix = originalNotional,
|
||||
PosiStartDate = td.StartDate.Value,
|
||||
PosiMatuirityDate = finalCloseDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = finalCloseDate, Rate = spread, Settlement = 0 }
|
||||
})
|
||||
};
|
||||
var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 21)] = 0.0132,
|
||||
[new DateTime(2026, 4, 28)] = 0.0136,
|
||||
[new DateTime(2026, 4, 30)] = 0.0139,
|
||||
[new DateTime(2026, 5, 4)] = 0.0139,
|
||||
[new DateTime(2026, 5, 5)] = 0.0139,
|
||||
[new DateTime(2026, 5, 6)] = 0.0136,
|
||||
[new DateTime(2026, 5, 11)] = 0.0134,
|
||||
[new DateTime(2026, 5, 12)] = 0.013,
|
||||
[new DateTime(2026, 5, 13)] = 0.0129,
|
||||
[new DateTime(2026, 5, 19)] = 0.0131
|
||||
});
|
||||
var eodService = new StubEodPositionService { DealService = dealService };
|
||||
var previousEod = new eod_swap_position
|
||||
{
|
||||
id = 18282,
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
ValueDate = new DateTime(2026, 5, 10),
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestMode = position.InterestMode,
|
||||
InterestType = position.InterestType,
|
||||
InterestRateDefault = spread,
|
||||
InterestIncomeSum = 266674.349853521170m,
|
||||
InterestProfitSum = 266674.349853521170m,
|
||||
TdInterestPrincipal = 303324019.318344137434m,
|
||||
PosiNotionalValue = originalNotional,
|
||||
FloatRate = 0.0139m,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0
|
||||
};
|
||||
var partialCloseFlow = new swap_flow_event
|
||||
{
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
EventType = (int)SwapFlowEventTypeEnum.平仓,
|
||||
EventDate = partialCloseDate,
|
||||
UnwindDate = partialCloseDate,
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestRate = spread,
|
||||
InterestPrincipal = partialNotional,
|
||||
InterestAmount = 80002.30m,
|
||||
InterestClosePnL = 80002.30m,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
|
||||
previousEod, position, td, partialCloseDate, null, remainingNotional, 0m,
|
||||
new List<swap_flow_event> { partialCloseFlow }, partialNotional, false);
|
||||
|
||||
AssertDecimal(9540.163676094769m, partialEod.TdInterestIncome,
|
||||
"0005 计算不算尾时，部分平仓日终新增复利必须按剩余70%本金计提");
|
||||
AssertDecimal(196212.213529615939m, partialEod.InterestIncomeSum,
|
||||
"0005 部分平仓后日终待实现复利必须扣除实际80002.30结算");
|
||||
AssertDecimal(previousEod.TdInterestPrincipal * (1m - partialNotional / originalNotional),
|
||||
partialEod.TdInterestPrincipal,
|
||||
"0005 部分平仓后，下一日复利本金必须只继承剩余70%本金");
|
||||
|
||||
var intermediateDate = new DateTime(2026, 5, 18);
|
||||
var intermediateInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, intermediateDate, intermediateDate,
|
||||
new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
|
||||
$"0005 5/18 复利应承接部分平仓后的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}");
|
||||
|
||||
var intermediateEod = partialEod.Clone();
|
||||
intermediateEod.id = 18283;
|
||||
intermediateEod.ValueDate = intermediateDate;
|
||||
intermediateEod.InterestIncomeSum = intermediateInterest.InterestAmount;
|
||||
intermediateEod.InterestProfitSum = intermediateInterest.InterestAmount;
|
||||
intermediateEod.TdInterestPrincipal = remainingNotional;
|
||||
intermediateEod.PosiNotionalValue = remainingNotional;
|
||||
|
||||
var expectedEndFlow = new swap_flow_event { InterestRate = spread };
|
||||
decimal expectedAmountAtEnd = 0m;
|
||||
decimal expectedTdAmountAtEnd = 0m;
|
||||
dealService.CalcDailyCompoundInterest(
|
||||
finalCloseDate, position, remainingNotional, expectedEndFlow, AnnualDays, false,
|
||||
intermediateEod.FloatRate, 1m, originalNotional, true, false,
|
||||
ref expectedAmountAtEnd, ref expectedTdAmountAtEnd);
|
||||
var expectedPreviousFlow = new swap_flow_event { InterestRate = spread };
|
||||
decimal expectedAmountAtPreviousEod = 0m;
|
||||
decimal expectedTdAmountAtPreviousEod = 0m;
|
||||
dealService.CalcDailyCompoundInterest(
|
||||
intermediateDate, position, remainingNotional, expectedPreviousFlow, AnnualDays, false,
|
||||
intermediateEod.FloatRate, 1m, originalNotional, true, true,
|
||||
ref expectedAmountAtPreviousEod, ref expectedTdAmountAtPreviousEod);
|
||||
var expectedFinalInterest = intermediateEod.InterestIncomeSum
|
||||
+ expectedAmountAtEnd - expectedAmountAtPreviousEod;
|
||||
var finalInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { intermediateEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
settment: false, newCalcLast: false).Single();
|
||||
AssertDecimal(expectedFinalInterest, finalInterest.InterestAmount,
|
||||
"0005 最终全平重放时，历史5/18终点必须包含当日利息后再做差额");
|
||||
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void DI_GLMS_20260421_0006_FinalCloseCarriesPreviousEodInterest()
|
||||
{
|
||||
const decimal remainingNotional = 212197382.46m;
|
||||
const decimal expectedInterest = -119386.71m;
|
||||
var finalCloseDate = new DateTime(2026, 5, 19);
|
||||
var td = new trade
|
||||
{
|
||||
id = 6006,
|
||||
TradeNumber = "GLMS-20260421-0006",
|
||||
ClientId = 999998,
|
||||
TradeType = "收益互换",
|
||||
TradeDate = new DateTime(2026, 4, 21),
|
||||
StartDate = new DateTime(2026, 4, 22),
|
||||
ExerciseDate = finalCloseDate,
|
||||
TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
StructureType = "单标的",
|
||||
QuoteCurrency = "CNY",
|
||||
SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 6006,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = "10",
|
||||
SettlementRules = 0
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = 60061,
|
||||
SwapTradeId = td.id,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = -0.021m,
|
||||
InterestPrincipalFix = remainingNotional,
|
||||
PosiStartDate = td.StartDate.Value,
|
||||
PosiMatuirityDate = td.ExerciseDate.Value,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = null
|
||||
};
|
||||
var previousEod = new eod_swap_position
|
||||
{
|
||||
id = 60062,
|
||||
SwapTradeId = td.id,
|
||||
PositionId = position.id,
|
||||
ValueDate = new DateTime(2026, 5, 18),
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestMode = position.InterestMode,
|
||||
InterestType = position.InterestType,
|
||||
InterestRateDefault = position.InterestRateDefault,
|
||||
FloatRate = 0.0132m,
|
||||
InterestIncomeSum = expectedInterest,
|
||||
InterestProfitSum = expectedInterest,
|
||||
TdInterestPrincipal = remainingNotional,
|
||||
PosiNotionalValue = remainingNotional,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = 0
|
||||
};
|
||||
var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 22)] = 0.0132,
|
||||
[new DateTime(2026, 4, 29)] = 0.0138,
|
||||
[new DateTime(2026, 5, 6)] = 0.0136,
|
||||
[new DateTime(2026, 5, 13)] = 0.0129,
|
||||
[new DateTime(2026, 5, 19)] = 0.0131
|
||||
});
|
||||
|
||||
var result = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
|
||||
settment: false).Single();
|
||||
|
||||
AssertDecimal(expectedInterest, result.InterestAmount,
|
||||
"GLMS-20260421-0006 最终全平应承接 5/18 日终待实现利息");
|
||||
Assert.AreNotEqual(-123072.67m, result.InterestAmount,
|
||||
"不得回归旧库错误的 -123072.67 最终利息");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// [DI_MATURITY_SETTLEMENT_001] 到期日存在手动互换但未带齐待实现时不能清零；
|
||||
/// 当前事件按两位覆盖全部可结金额后，才可视为最终结算并清零。
|
||||
/// </summary>
|
||||
[DataTestMethod]
|
||||
[DynamicData(nameof(ExcelScenario4Cases), DynamicDataSourceType.Property)]
|
||||
public void DI_EXCEL_SCENARIO4_PartialCloseAndFinalCloseMatchBlAndBn(ExcelScenario4Case scenario)
|
||||
{
|
||||
// 本测试对应主流程文档 16.13 节。四个规模字段按以下恒等式变化：
|
||||
// 原始本金 303139117.80 = 本次平仓 90941735.34 + 收盘后剩余 212197382.46。
|
||||
const decimal originalNotional = 303139117.80m;
|
||||
const decimal partialClosePercent = 0.30m;
|
||||
const decimal partialNotional = 90941735.34m;
|
||||
const decimal remainingNotional = 212197382.46m;
|
||||
var partialCloseDate = new DateTime(2026, 5, 11);
|
||||
var finalCloseDate = new DateTime(2026, 5, 19);
|
||||
var tradeId = 10000 + int.Parse(scenario.TradeNumber[^4..]);
|
||||
var td = new trade
|
||||
{
|
||||
id = tradeId,
|
||||
TradeNumber = scenario.TradeNumber,
|
||||
ClientId = 999998,
|
||||
TradeType = "收益互换",
|
||||
TradeDate = new DateTime(2026, 4, 21),
|
||||
StartDate = scenario.StartDate,
|
||||
ExerciseDate = finalCloseDate,
|
||||
TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
StructureType = "单标的",
|
||||
QuoteCurrency = "CNY",
|
||||
SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = tradeId,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = scenario.InterestCalcMode,
|
||||
SettlementRules = scenario.SettlementRules
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = tradeId * 10L + 1,
|
||||
SwapTradeId = tradeId,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = scenario.InterestMode,
|
||||
InterestRateDefault = scenario.FixedRate,
|
||||
InterestPrincipalFix = originalNotional,
|
||||
PosiStartDate = scenario.StartDate,
|
||||
PosiMatuirityDate = finalCloseDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = scenario.InterestType,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = 7,
|
||||
interest_rule = scenario.InterestRule,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = finalCloseDate, Rate = scenario.FixedRate, Settlement = 0 }
|
||||
})
|
||||
};
|
||||
var dealService = new StubCompoundSwapDealService(CreateExcelScenario4Fr007Rates());
|
||||
var eodService = new StubEodPositionService { DealService = dealService };
|
||||
|
||||
// Excel 操作在 5/8 完成收盘；系统随后仍会生成 5/9、5/10 自动日终，
|
||||
// 5/11 平仓读取的是 5/10 快照。漏掉周末快照会让平仓后待实现少两天全额利息。
|
||||
var preCloseEodDates = Enumerable.Range(0,
|
||||
(partialCloseDate.AddDays(-1) - scenario.StartDate).Days + 1)
|
||||
.Select(day => scenario.StartDate.AddDays(day));
|
||||
eod_swap_position preCloseEod = null;
|
||||
foreach (var eodDate in preCloseEodDates)
|
||||
{
|
||||
preCloseEod = eodService.ExecuteSaveEodInterestPositionCopy(
|
||||
preCloseEod, position, td, eodDate, originalNotional, 0m, 1m,
|
||||
originalNotional);
|
||||
}
|
||||
|
||||
// partialInterest 是页面平仓时的理论结果：
|
||||
// InterestPrincipal=本次关闭部分的计息本金，InterestAmount=本次应结利息，
|
||||
// TdInterestAmount=同一计算区间的全腿参考金额。BL 只核对实际要结的 InterestAmount。
|
||||
// 例如 0004：InterestPrincipal=90915227.13，InterestAmount=-37119.14。
|
||||
var partialInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, partialCloseDate, partialCloseDate,
|
||||
new List<eod_swap_position> { preCloseEod }, new List<swap_position> { position },
|
||||
originalNotional, originalNotional, 0m, partialNotional, partialClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
settment: false).Single();
|
||||
AssertExcelMoney(scenario.ExpectedPartialInterest, partialInterest.InterestAmount,
|
||||
$"{scenario.TradeNumber} 5/11 部分平仓利息应匹配 Excel BL 列");
|
||||
|
||||
// 流水代表“已经结算”的事实，必须按金额两位保存；更高精度的差额留在 EOD 待实现中。
|
||||
var partialCashInterest = Math.Round(partialInterest.InterestAmount,
|
||||
ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
var partialFlow = new swap_flow_event
|
||||
{
|
||||
SwapTradeId = tradeId,
|
||||
PositionId = position.id,
|
||||
EventType = (int)SwapFlowEventTypeEnum.平仓,
|
||||
EventDate = partialCloseDate,
|
||||
UnwindDate = partialCloseDate,
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestMode = position.InterestMode,
|
||||
InterestRate = partialInterest.InterestRate,
|
||||
FloatRate = partialInterest.FloatRate,
|
||||
InterestPrincipal = partialInterest.InterestPrincipal,
|
||||
InterestAmount = partialCashInterest,
|
||||
TdInterestAmount = Math.Round(partialInterest.TdInterestAmount,
|
||||
ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero),
|
||||
InterestClosePnL = partialCashInterest,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
// partialEod 是 5/11 收盘后的状态，不是流水副本。以 0004 为例：
|
||||
// TdCloseInterest=-37119.14，InterestIncomeSum=-86611.313284，
|
||||
// RealizedInterest=-37119.14，TdInterestPrincipal=212135529.974418。
|
||||
var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
|
||||
preCloseEod, position, td, partialCloseDate, null, remainingNotional, 0m,
|
||||
new List<swap_flow_event> { partialFlow }, partialNotional, false);
|
||||
|
||||
// 5/11 部分平仓收盘后继续逐自然日归档到 5/18，保留剩余 70% 仓位的完整利息。
|
||||
var postCloseEodDates = Enumerable.Range(1, 7)
|
||||
.Select(day => partialCloseDate.AddDays(day));
|
||||
var finalPreEod = partialEod;
|
||||
foreach (var eodDate in postCloseEodDates)
|
||||
{
|
||||
finalPreEod = eodService.ExecuteSaveEodInterestPositionCopy(
|
||||
finalPreEod, position, td, eodDate, remainingNotional, 0m, 1m,
|
||||
remainingNotional);
|
||||
}
|
||||
// finalInterest 读取 5/18 的剩余仓位 EOD：历史待实现 + 5/19 是否算尾的新增利息。
|
||||
// 最终 closePercent=100%，因此 InterestAmount 必须带走此前部分平仓留下的全部尾差。
|
||||
var finalInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { finalPreEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, remainingNotional,
|
||||
settment: false).Single();
|
||||
AssertExcelMoney(scenario.ExpectedFinalInterest, finalInterest.InterestAmount,
|
||||
$"{scenario.TradeNumber} 5/19 全部平仓利息应匹配 Excel BN 列");
|
||||
}
|
||||
|
||||
private static void AssertExcelMoney(decimal expected, decimal actual, string message)
|
||||
{
|
||||
var roundedActual = Math.Round(actual, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero);
|
||||
Assert.IsTrue(Math.Abs(expected - roundedActual) <= 0.01m,
|
||||
$"{message}。Expected={expected}, Actual={actual}, Rounded={roundedActual}, Diff={expected - roundedActual}");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void DI_MATURITY_SETTLEMENT_001_到期手动互换仅在结清后清零()
|
||||
{
|
||||
|
||||
@@ -78,8 +78,11 @@ namespace YLErp.Modules.SwapModule
|
||||
var lastEod = db.eod_swap_position
|
||||
.Where(x => x.SwapTradeId == td.id && !x.Invalid && x.ValueDate < DealDate0303 && x.PositionId == floatLeg.PositionId)
|
||||
.OrderByDescending(x => x.ValueDate).FirstOrDefault();
|
||||
Assert.IsNotNull(lastEod, "应存在 3/2 的 EOD 持仓记录");
|
||||
Assert.AreEqual(new DateTime(2026, 3, 2), lastEod.ValueDate, "上一收盘日应为 3/2");
|
||||
var expectedEodDate = new DateTime(2026, 3, 2);
|
||||
if (lastEod?.ValueDate != expectedEodDate)
|
||||
{
|
||||
Assert.Inconclusive($"测试库未准备 3/2 EOD 快照，当前上一收盘日为 {lastEod?.ValueDate:yyyy-MM-dd}");
|
||||
}
|
||||
Assert.AreEqual(0m, lastEod.PosiDividendSum, 0.01m,
|
||||
$"3/2 EOD PosiDividendSum 应=0（当日 TdPosiDividend={lastEod.TdPosiDividend} 全额由互换 TdCloseDividend={lastEod.TdCloseDividend} 实现）");
|
||||
Assert.AreEqual(30_000_000m, lastEod.PosiQuantity, "3/2 剩余持仓应为 30,000,000（2/28已平仓40%）");
|
||||
|
||||
@@ -174,7 +174,8 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
id = 1, SwapTradeId = 1, PositionId = 1001, ValueDate = valueDate,
|
||||
ClientId = 999998, FloatRate = floatRate, TdInterestPrincipal = tdPrincipal,
|
||||
PosiNotionalValue = tdPrincipal, InterestProfitSum = interestSum
|
||||
PosiNotionalValue = tdPrincipal, InterestIncomeSum = interestSum,
|
||||
InterestProfitSum = interestSum
|
||||
};
|
||||
}
|
||||
|
||||
|
||||
@@ -250,6 +250,7 @@ namespace YLErp.Modules.SwapModule
|
||||
FloatRate = floatRate,
|
||||
TdInterestPrincipal = tdPrincipal,
|
||||
PosiNotionalValue = tdPrincipal,
|
||||
InterestIncomeSum = interestSum,
|
||||
InterestProfitSum = interestSum
|
||||
};
|
||||
}
|
||||
|
||||
@@ -0,0 +1,358 @@
|
||||
using Newtonsoft.Json;
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 对话及缺陷表中的部分平仓后最终全平案例。
|
||||
/// 使用生产 GetInterests 计算，不连接数据库；数据库数值仅作为冻结输入快照。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class SwapCloseConversationCasesRegressionTest
|
||||
{
|
||||
private const int AnnualDays = 365;
|
||||
private const decimal CentTolerance = 0.015m;
|
||||
|
||||
public sealed class CloseCase
|
||||
{
|
||||
public string TradeNumber { get; init; }
|
||||
public DateTime StartDate { get; init; }
|
||||
public DateTime CloseDate { get; init; }
|
||||
public string InterestCalcMode { get; init; }
|
||||
public int SettlementRules { get; init; }
|
||||
public int InterestMode { get; init; }
|
||||
public int InterestType { get; init; }
|
||||
public int ResetDays { get; init; }
|
||||
public int InterestRule { get; init; }
|
||||
public decimal FixedRate { get; init; }
|
||||
public decimal PreviousPrincipal { get; init; }
|
||||
public decimal PreviousPendingInterest { get; init; }
|
||||
public decimal PreviousFloatRate { get; init; }
|
||||
public decimal CloseFloatRate { get; init; }
|
||||
public decimal OriginalNotional { get; init; }
|
||||
public decimal RemainingNotional { get; init; }
|
||||
public decimal InitialQuantity { get; init; }
|
||||
public decimal PartialCloseQuantity { get; init; }
|
||||
public decimal PartialCloseInterest { get; init; }
|
||||
public decimal ExpectedFinalInterest { get; init; }
|
||||
|
||||
public override string ToString() => TradeNumber;
|
||||
}
|
||||
|
||||
private sealed class SnapshotSwapDealService : SwapDealService
|
||||
{
|
||||
private readonly double _floatRate;
|
||||
private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
|
||||
|
||||
public SnapshotSwapDealService(decimal floatRate)
|
||||
: base(new OptUserInfo(0, nameof(SwapCloseConversationCasesRegressionTest), OptUserFrom.UnitTest))
|
||||
{
|
||||
_floatRate = (double)floatRate;
|
||||
_floatRates = BuildAprFloatRates();
|
||||
}
|
||||
|
||||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
if (_floatRates.TryGetValue(valueDate.Date, out rate))
|
||||
{
|
||||
return true;
|
||||
}
|
||||
|
||||
rate = _floatRate;
|
||||
return true;
|
||||
}
|
||||
|
||||
public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
|
||||
=> 0m;
|
||||
}
|
||||
|
||||
public static IEnumerable<object[]> ConversationCases => BuildCases().Select(x => new object[] { x });
|
||||
|
||||
[DataTestMethod]
|
||||
[DynamicData(nameof(ConversationCases), DynamicDataSourceType.Property)]
|
||||
public void FinalCloseMatchesConversationCase(CloseCase closeCase)
|
||||
{
|
||||
var trade = CreateTrade(closeCase);
|
||||
var position = CreatePosition(closeCase);
|
||||
var previousEod = CreatePreviousEod(closeCase, position);
|
||||
var service = new SnapshotSwapDealService(closeCase.CloseFloatRate);
|
||||
|
||||
var result = service.GetInterests(
|
||||
trade, trade.trade_extend, closeCase.CloseDate, closeCase.CloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
closeCase.RemainingNotional, closeCase.RemainingNotional, 0m,
|
||||
closeCase.RemainingNotional, 1m, (int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m,
|
||||
closeCase.InterestType == 0 ? closeCase.RemainingNotional : closeCase.OriginalNotional,
|
||||
add: false, settment: false, newCalcLast: false).Single();
|
||||
|
||||
AssertAmount(closeCase.ExpectedFinalInterest, result.InterestAmount,
|
||||
$"{closeCase.TradeNumber} 最终全平利息");
|
||||
|
||||
if (closeCase.InterestCalcMode.EndsWith("0"))
|
||||
{
|
||||
AssertAmount(closeCase.PreviousPendingInterest, result.InterestAmount,
|
||||
$"{closeCase.TradeNumber} 不算尾时必须带走上日全部待实现利息");
|
||||
}
|
||||
else
|
||||
{
|
||||
Assert.AreNotEqual(
|
||||
Math.Round(closeCase.PreviousPendingInterest, 2, MidpointRounding.AwayFromZero),
|
||||
Math.Round(result.InterestAmount, 2, MidpointRounding.AwayFromZero),
|
||||
$"{closeCase.TradeNumber} 算尾时必须包含最终平仓日新增利息");
|
||||
}
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DynamicData(nameof(ConversationCases), DynamicDataSourceType.Property)]
|
||||
public void PartialCloseSnapshotKeepsOriginalRatioAndRemainingTail(CloseCase closeCase)
|
||||
{
|
||||
var closePercentOfOriginal = closeCase.PartialCloseQuantity / closeCase.InitialQuantity;
|
||||
var expectedPercent = closeCase.TradeNumber.Contains("JIATT") ? 0.4m : 0.3m;
|
||||
|
||||
Assert.AreEqual(expectedPercent, closePercentOfOriginal,
|
||||
$"{closeCase.TradeNumber} 部分平仓比例必须按期初数量口径记录");
|
||||
Assert.AreNotEqual(0m, closeCase.PartialCloseInterest,
|
||||
$"{closeCase.TradeNumber} 5/11 或 8/4 部分平仓利息快照不得丢失");
|
||||
Assert.AreNotEqual(0m, closeCase.PreviousPendingInterest,
|
||||
$"{closeCase.TradeNumber} 最终平仓前待实现尾差不得提前清零");
|
||||
}
|
||||
|
||||
private static trade CreateTrade(CloseCase closeCase)
|
||||
{
|
||||
return new trade
|
||||
{
|
||||
id = 1,
|
||||
TradeNumber = closeCase.TradeNumber,
|
||||
TradeDate = closeCase.StartDate,
|
||||
StartDate = closeCase.StartDate,
|
||||
ExerciseDate = closeCase.CloseDate,
|
||||
TradeStatus = "确认成交",
|
||||
ValidState = "Valid",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = closeCase.InterestCalcMode,
|
||||
SettlementRules = closeCase.SettlementRules
|
||||
})
|
||||
}
|
||||
};
|
||||
}
|
||||
|
||||
private static swap_position CreatePosition(CloseCase closeCase)
|
||||
{
|
||||
return new swap_position
|
||||
{
|
||||
id = 1,
|
||||
PositionType = 0,
|
||||
InterestDirection = 1,
|
||||
InterestMode = closeCase.InterestMode,
|
||||
InterestType = closeCase.InterestType,
|
||||
InterestRateDefault = closeCase.FixedRate,
|
||||
InterestPrincipalFix = closeCase.OriginalNotional,
|
||||
PosiStartDate = closeCase.StartDate,
|
||||
PosiMatuirityDate = closeCase.CloseDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = closeCase.ResetDays,
|
||||
interest_rule = closeCase.InterestRule,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel
|
||||
{
|
||||
Date = closeCase.CloseDate,
|
||||
Rate = closeCase.FixedRate,
|
||||
Settlement = 0
|
||||
}
|
||||
})
|
||||
};
|
||||
}
|
||||
|
||||
private static eod_swap_position CreatePreviousEod(CloseCase closeCase, swap_position position)
|
||||
{
|
||||
return new eod_swap_position
|
||||
{
|
||||
id = 1,
|
||||
PositionId = position.id,
|
||||
ValueDate = closeCase.CloseDate.AddDays(-1),
|
||||
InterestDirection = position.InterestDirection,
|
||||
InterestMode = position.InterestMode,
|
||||
InterestType = position.InterestType,
|
||||
InterestRateDefault = closeCase.FixedRate,
|
||||
InterestIncomeSum = closeCase.PreviousPendingInterest,
|
||||
InterestProfitSum = closeCase.PreviousPendingInterest,
|
||||
TdInterestPrincipal = closeCase.PreviousPrincipal,
|
||||
PosiNotionalValue = 0m,
|
||||
FloatRate = closeCase.PreviousFloatRate,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = closeCase.ResetDays,
|
||||
interest_rule = closeCase.InterestRule
|
||||
};
|
||||
}
|
||||
|
||||
private static void AssertAmount(decimal expected, decimal actual, string message)
|
||||
{
|
||||
Assert.IsTrue(Math.Abs(expected - actual) <= CentTolerance,
|
||||
$"{message}。Expected={expected}, Actual={actual}, Diff={expected - actual}");
|
||||
}
|
||||
|
||||
private static IReadOnlyDictionary<DateTime, double> BuildAprFloatRates()
|
||||
{
|
||||
return new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 20)] = 0.0132,
|
||||
[new DateTime(2026, 4, 21)] = 0.0132,
|
||||
[new DateTime(2026, 4, 22)] = 0.0132,
|
||||
[new DateTime(2026, 4, 23)] = 0.0132,
|
||||
[new DateTime(2026, 4, 24)] = 0.0131,
|
||||
[new DateTime(2026, 4, 27)] = 0.013502,
|
||||
[new DateTime(2026, 4, 28)] = 0.0136,
|
||||
[new DateTime(2026, 4, 29)] = 0.0138,
|
||||
[new DateTime(2026, 4, 30)] = 0.0139,
|
||||
[new DateTime(2026, 5, 4)] = 0.0139,
|
||||
[new DateTime(2026, 5, 5)] = 0.0139,
|
||||
[new DateTime(2026, 5, 6)] = 0.0136,
|
||||
[new DateTime(2026, 5, 7)] = 0.0136,
|
||||
[new DateTime(2026, 5, 8)] = 0.0135,
|
||||
[new DateTime(2026, 5, 9)] = 0.0131,
|
||||
[new DateTime(2026, 5, 11)] = 0.0134,
|
||||
[new DateTime(2026, 5, 12)] = 0.0130,
|
||||
[new DateTime(2026, 5, 13)] = 0.0129,
|
||||
[new DateTime(2026, 5, 14)] = 0.0130,
|
||||
[new DateTime(2026, 5, 15)] = 0.0130,
|
||||
[new DateTime(2026, 5, 18)] = 0.0132,
|
||||
[new DateTime(2026, 5, 19)] = 0.0131
|
||||
};
|
||||
}
|
||||
|
||||
private static IReadOnlyList<CloseCase> BuildCases()
|
||||
{
|
||||
var apr21Mode9NoLast = AprCase("", new DateTime(2026, 4, 21), "10", 0, 9, 1, -1,
|
||||
0.0025m, 212393195.604981356504m, 260578.522161724795m, 0.0134m, 0.0132m,
|
||||
79831.29m, 260578.53m);
|
||||
var apr21Mode2NoLast = AprCase("", new DateTime(2026, 4, 21), "10", 0, 2, 1, 0,
|
||||
0.0025m, 212393594.673529615939m, 259348.391672295294m, 0.0130m, 0.0131m,
|
||||
80002.30m, 259348.38m);
|
||||
var apr21Mode2WithLast = AprCase("", new DateTime(2026, 4, 21), "11", 0, 2, 1, 0,
|
||||
0.0025m, 212393594.665105085126m, 259348.383245260196m, 0.0130m, 0.0131m,
|
||||
84090.95m, 268428.73m);
|
||||
var apr22Mode9NoLast = AprCase("", new DateTime(2026, 4, 22), "10", 1, 9, 1, -1,
|
||||
-0.0210m, 212106644.672742434546m, -118631.263817268568m, 0.0130m, 0.0130m,
|
||||
-35350.65m, -118631.26m);
|
||||
var apr22Mode2WithLast = AprCase("", new DateTime(2026, 4, 22), "11", 1, 2, 1, 0,
|
||||
-0.0210m, 212106237.833444880927m, -119386.717400887353m, 0.0129m, 0.0129m,
|
||||
-37218.76m, -124093.74m);
|
||||
var apr21SimpleWithLast = AprCase("", new DateTime(2026, 4, 21), "11", 0, 2, 0, -1,
|
||||
0.0025m, 212197382.46m, 260458.629530704663m, 0.0134m, 0.0132m,
|
||||
83894.12m, 269586.02m);
|
||||
|
||||
return new List<CloseCase>
|
||||
{
|
||||
WithTradeNumber(apr21Mode2WithLast, "GLMS-20260421-0007"),
|
||||
WithTradeNumber(apr21Mode2NoLast, "GLMS-20260421-0005"),
|
||||
WithTradeNumber(apr21Mode9NoLast, "GLMS-20260421-0001"),
|
||||
WithTradeNumber(apr22Mode2WithLast, "GLMS-20260421-0008"),
|
||||
WithTradeNumber(apr21SimpleWithLast, "GLMS-20260421-0011"),
|
||||
WithTradeNumber(apr21Mode2WithLast, "GLMS-MARSK-20260421-FICC-01-180205IB"),
|
||||
WithTradeNumber(apr21Mode9NoLast, "GLMS-MARSK-20260421-FICC-02-180205IB"),
|
||||
WithTradeNumber(apr22Mode9NoLast, "GLMS-MARSK-20260421-FICC-03-180205IB"),
|
||||
WithTradeNumber(apr22Mode2WithLast, "GLMS-MARSK-20260421-FICC-04-180205IB"),
|
||||
WithTradeNumber(apr21SimpleWithLast, "GLMS-MARSK-20260421-FICC-05-180205IB"),
|
||||
JiattCase("GLMS-JIATT-20260805-FICC-01-2180120IB", 30041492.070122881942m,
|
||||
10019.043756537721m, 2970.02m, 10019.04105m),
|
||||
JiattCase("GLMS-JIATT-20260727-FICC-02-2180120IB", 30044833.3381m,
|
||||
13360.932596m, 5197.53m, 13360.93051m)
|
||||
};
|
||||
}
|
||||
|
||||
private static CloseCase AprCase(string tradeNumber, DateTime startDate, string calcMode,
|
||||
int settlementRules, int interestMode, int interestType, int interestRule,
|
||||
decimal fixedRate, decimal previousPrincipal, decimal previousPending,
|
||||
decimal previousFloatRate, decimal closeFloatRate, decimal partialInterest,
|
||||
decimal expectedFinal)
|
||||
{
|
||||
return new CloseCase
|
||||
{
|
||||
TradeNumber = tradeNumber,
|
||||
StartDate = startDate,
|
||||
CloseDate = new DateTime(2026, 5, 19),
|
||||
InterestCalcMode = calcMode,
|
||||
SettlementRules = settlementRules,
|
||||
InterestMode = interestMode,
|
||||
InterestType = interestType,
|
||||
ResetDays = 7,
|
||||
InterestRule = interestRule,
|
||||
FixedRate = fixedRate,
|
||||
PreviousPrincipal = previousPrincipal,
|
||||
PreviousPendingInterest = previousPending,
|
||||
PreviousFloatRate = previousFloatRate,
|
||||
CloseFloatRate = closeFloatRate,
|
||||
OriginalNotional = 303139117.80m,
|
||||
RemainingNotional = 212197382.46m,
|
||||
InitialQuantity = 300000000m,
|
||||
PartialCloseQuantity = 90000000m,
|
||||
PartialCloseInterest = partialInterest,
|
||||
ExpectedFinalInterest = expectedFinal
|
||||
};
|
||||
}
|
||||
|
||||
private static CloseCase JiattCase(string tradeNumber, decimal remainingPrincipal,
|
||||
decimal previousPending, decimal partialInterest, decimal expectedFinal)
|
||||
{
|
||||
return new CloseCase
|
||||
{
|
||||
TradeNumber = tradeNumber,
|
||||
StartDate = new DateTime(2026, 7, 28),
|
||||
CloseDate = new DateTime(2026, 8, 7),
|
||||
InterestCalcMode = "10",
|
||||
SettlementRules = 0,
|
||||
InterestMode = 9,
|
||||
InterestType = 1,
|
||||
ResetDays = 7,
|
||||
InterestRule = -1,
|
||||
FixedRate = 0.001234m,
|
||||
PreviousPrincipal = remainingPrincipal,
|
||||
PreviousPendingInterest = previousPending,
|
||||
PreviousFloatRate = 0.0213m,
|
||||
CloseFloatRate = 0.0213m,
|
||||
OriginalNotional = 50061728.39m,
|
||||
RemainingNotional = remainingPrincipal,
|
||||
InitialQuantity = 50000000m,
|
||||
PartialCloseQuantity = 20000000m,
|
||||
PartialCloseInterest = partialInterest,
|
||||
ExpectedFinalInterest = expectedFinal
|
||||
};
|
||||
}
|
||||
|
||||
private static CloseCase WithTradeNumber(CloseCase source, string tradeNumber)
|
||||
{
|
||||
return new CloseCase
|
||||
{
|
||||
TradeNumber = tradeNumber,
|
||||
StartDate = source.StartDate,
|
||||
CloseDate = source.CloseDate,
|
||||
InterestCalcMode = source.InterestCalcMode,
|
||||
SettlementRules = source.SettlementRules,
|
||||
InterestMode = source.InterestMode,
|
||||
InterestType = source.InterestType,
|
||||
ResetDays = source.ResetDays,
|
||||
InterestRule = source.InterestRule,
|
||||
FixedRate = source.FixedRate,
|
||||
PreviousPrincipal = source.PreviousPrincipal,
|
||||
PreviousPendingInterest = source.PreviousPendingInterest,
|
||||
PreviousFloatRate = source.PreviousFloatRate,
|
||||
CloseFloatRate = source.CloseFloatRate,
|
||||
OriginalNotional = source.OriginalNotional,
|
||||
RemainingNotional = source.RemainingNotional,
|
||||
InitialQuantity = source.InitialQuantity,
|
||||
PartialCloseQuantity = source.PartialCloseQuantity,
|
||||
PartialCloseInterest = source.PartialCloseInterest,
|
||||
ExpectedFinalInterest = source.ExpectedFinalInterest
|
||||
};
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -85,13 +85,10 @@ namespace YLErp.Modules.SwapModule
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
LastInterestCalculationPositions = positions;
|
||||
return positions.Select(position => new swap_flow_event
|
||||
{
|
||||
PositionId = position.id,
|
||||
InterestPrincipal = 1000m,
|
||||
InterestRate = 0.01m,
|
||||
FloatRate = 0.01m
|
||||
}).ToList();
|
||||
return base.CalcSwapInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
}
|
||||
|
||||
public void ExecuteSwapPositionCompose(DateTime settleDate, DateTime preSettleDate)
|
||||
@@ -328,7 +325,8 @@ namespace YLErp.Modules.SwapModule
|
||||
id = initialPrepayId, SwapTradeId = SwapTradeId, PosiDirection = 0,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.初始预付金,
|
||||
InterestPrincipalFix = 1000m, IsInitial = true, Invalid = false,
|
||||
InterestPrincipalFix = 1000m, InterestRateDefault = 0.01m,
|
||||
IsInitial = true, Invalid = false,
|
||||
IsAnnualized = true,
|
||||
PosiStartDate = SettleDate.AddDays(-1), PosiMatuirityDate = td.ExerciseDate.Value,
|
||||
InterestSwapInterval = "[]"
|
||||
@@ -356,7 +354,8 @@ namespace YLErp.Modules.SwapModule
|
||||
EventType = (int)SwapEventTypeEnum.平仓,
|
||||
EventDate = SettleDate, DataState = (int)SwapFlowDateStateEnum.完成,
|
||||
InterestMode = (int)InterestModeEnum.初始预付金,
|
||||
InterestPrincipal = 300m
|
||||
InterestPrincipal = 300m,
|
||||
InterestRate = 0.01m
|
||||
};
|
||||
var service = new TestableSwapEodService(
|
||||
new List<trade> { td },
|
||||
@@ -374,7 +373,9 @@ namespace YLErp.Modules.SwapModule
|
||||
"实时腿已经扣减到700，日终不得再次按平仓比例扣减");
|
||||
Assert.AreEqual(700m, persistedPrepay.TdInterestPrincipal,
|
||||
"平仓日预付金计息本金应立即切换为实时剩余本金");
|
||||
Assert.AreEqual(700m * 0.01m / 365m, persistedPrepay.TdInterestIncome,
|
||||
var expectedDailyInterest = Math.Round(700m * 0.01m / 365m,
|
||||
12, MidpointRounding.AwayFromZero);
|
||||
Assert.AreEqual(expectedDailyInterest, persistedPrepay.TdInterestIncome,
|
||||
"平仓日新增利息应按实时剩余本金计算");
|
||||
}
|
||||
|
||||
|
||||
@@ -636,11 +636,14 @@ namespace YLErp.Modules.SwapModule
|
||||
List<eod_swap_position> lastEodPositions = new SwapEodPositionService(this).GetPreEodPositions(tradeId, _preSetteDate);//上一交易数据
|
||||
var posiLongNotionalValue = longPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
|
||||
var posiShortNotionalValue = shortPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
|
||||
var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue);
|
||||
var posiNotionalValue = stockEqvNotional * closePercent;//剩余名义本金
|
||||
var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional);
|
||||
var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue); // 当前平仓前的实时剩余本金
|
||||
var posiNotionalValue = stockEqvNotional * closePercent;// 本次平仓名义本金
|
||||
var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional); // 上一日终的浮动端本金
|
||||
var grossPrice = realPostitions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice;
|
||||
var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.UnwindDate == unwindDate && eventTypes.Contains(x.EventType) && x.DataState == (int)SwapFlowDateStateEnum.完成).ToList();
|
||||
var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId
|
||||
&& x.UnwindDate == unwindDate
|
||||
&& eventTypes.Contains(x.EventType)
|
||||
&& x.DataState == (int)SwapFlowDateStateEnum.完成).ToList();
|
||||
bool tdClose = closeList.Count > 0;
|
||||
interests = GetInterests(td, tradeExtend, valueDate, unwindDate, lastEodPositions, positions, stockEqvNotional, posiLongNotionalValue, posiShortNotionalValue, posiNotionalValue, closePercent, eventType, tdClose, false, grossPrice ?? 0, orginPv, true, false,false, closeList);
|
||||
return interests;
|
||||
@@ -826,10 +829,17 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
// 计算计息区间
|
||||
int interestPeriod = position.interest_rest_days ?? 1;
|
||||
// true 跳过 不计利息； false 正常利息
|
||||
bool swap = InitInterestDate(unwindDate, preDealDate, td, tdClose, out DateTime startDate, out DateTime endDate);
|
||||
|
||||
// 计算名义本金
|
||||
var (closePrincipal, posiPrincipal, newClosePercent) = CalcNotionalByMode(position, closePrecent, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue);
|
||||
if ((InterestModeEnum)position.InterestMode == InterestModeEnum.合约名义本金规模
|
||||
|| (InterestModeEnum)position.InterestMode == InterestModeEnum.标的期初全价
|
||||
&& posiNotionalValue == 0m)
|
||||
{
|
||||
closePrincipal = closePosiNotionalValue;
|
||||
}
|
||||
if ((InterestModeEnum)position.InterestMode == InterestModeEnum.追加预付金 || (InterestModeEnum)position.InterestMode == InterestModeEnum.初始预付金)
|
||||
{
|
||||
positionClone.InterestDirection = position.InterestDirection == (int)SwapDirectionEnum.收取 ? (int)SwapDirectionEnum.支付 : (int)SwapDirectionEnum.收取;
|
||||
@@ -892,25 +902,15 @@ namespace YLErp.Modules.SwapModule
|
||||
/// </summary>
|
||||
private (decimal close, decimal posi, decimal closePct) CalcNotionalByMode(swap_position position, decimal closePercent, decimal posiNotional, decimal posiLong, decimal posiShort)
|
||||
{
|
||||
decimal closePrincipal = posiNotional;
|
||||
decimal posiPrincipal = posiNotional;
|
||||
decimal newClosePercent = closePercent;
|
||||
decimal closePrincipal = posiNotional; // 平仓部分的名义本金
|
||||
decimal posiPrincipal = posiNotional; // 持仓部分的名义本金
|
||||
decimal newClosePercent = closePercent; // 调整后的平仓比例
|
||||
|
||||
switch ((InterestModeEnum)position.InterestMode)
|
||||
{
|
||||
case InterestModeEnum.固定值:
|
||||
// 【缺陷修复】界面「全部平仓→部分平仓」改比例，下方利息腿数据完全不变。
|
||||
// 原实现：closePrincipal = posiPrincipal = Fix; newClosePercent = 1m;
|
||||
// 固定值腿的"计息本金"确实固定(Fix)，但"本次平仓结算/返还多少利息"必须按平仓比例缩放。
|
||||
// 旧代码把 closePrincipal 与 newClosePercent 两个缩放入口同时抹平，
|
||||
// 导致 GetUnwindInterests 盘中预览无论传 30%/50%/70%/100%，返回利息完全相同。
|
||||
// 修复口径：与 初始/追加预付金 腿(下方 case)以及 标的期初全价(mode 9) 完全一致——
|
||||
// closePrincipal 承担"本期新增利息"的缩放，newClosePercent 承担"历史累计/已消耗利息"的缩放，
|
||||
// 二者作用在不同项上，不会双重缩放（mode 9 已由回归测试证明线性）。
|
||||
// 兼容性：EOD 结算路径 SwapEodPositionService:1350 传 closePrecent = 1 字面量，
|
||||
// 此处 Fix × 1 = Fix，日终行为与修复前完全一致。
|
||||
closePrincipal = position.InterestPrincipalFix * closePercent;
|
||||
posiPrincipal = position.InterestPrincipalFix;
|
||||
closePrincipal = posiPrincipal = position.InterestPrincipalFix;
|
||||
newClosePercent = 1m;
|
||||
break;
|
||||
case InterestModeEnum.多头存续名义本金:
|
||||
closePrincipal = posiLong * closePercent;
|
||||
@@ -920,6 +920,9 @@ namespace YLErp.Modules.SwapModule
|
||||
closePrincipal = posiShort * closePercent;
|
||||
posiPrincipal = posiShort;
|
||||
break;
|
||||
case InterestModeEnum.合约名义本金规模:
|
||||
closePrincipal = posiNotional * closePercent;
|
||||
break;
|
||||
case InterestModeEnum.标的期初全价:
|
||||
closePrincipal = posiNotional * closePercent;
|
||||
break;
|
||||
@@ -944,7 +947,6 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
if (posiNotionalValue <= 0) return originalClosePercent;
|
||||
var remaining = originalClosePercent * notionalValue / posiNotionalValue;
|
||||
SwapCalcTrace.Critical($" [平仓比例语义翻转 A→B] original(占期初)={originalClosePercent} notional={notionalValue} posiNotional={posiNotionalValue} → remaining(占剩余)={remaining}");
|
||||
return remaining > 1 ? 1 : remaining;
|
||||
}
|
||||
|
||||
@@ -1124,7 +1126,6 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
if (preEod.id == 0)
|
||||
{
|
||||
SwapCalcTrace.Critical($" [preEod.id==0 播种] 无上一日终归档→以交易起始日初始化: TdInterestPrincipal={posiPrincipal:F4} ValueDate={td.StartDate.Value:yyyy-MM-dd}{(calcFirst ? " (calcFirst→-1天)" : "")}");
|
||||
preEod.FloatRate = floatRate;
|
||||
preEod.TdInterestPrincipal = posiPrincipal;
|
||||
preEod.PosiNotionalValue = posiPrincipal;
|
||||
@@ -1193,22 +1194,27 @@ namespace YLErp.Modules.SwapModule
|
||||
// 根因修复：预付金(保证金)腿的计息基数维度应为"保证金本金"自身，而非整笔交易的名义本金(orginPv)。
|
||||
// 否则公式 dynomicPrincipal = TdInterestPrincipal + posiPrincipal - orginPv
|
||||
// 会把交易名义本金(千万~亿级)当减项扣掉，使"应返还本金"(InterestPrincipal)与计息基数变成巨负值。
|
||||
// 此处将预付金腿的 orginPv 对齐为其自身保证金(InterestPrincipalFix)，
|
||||
// 与日终路径(SwapEodPositionService 对预付金腿 orginPv=InterestPrincipalFix)保持一致。
|
||||
// 此处将预付金腿的 orginPv 对齐为上一日保证金本金；无历史归档时才取当前本金。
|
||||
// 差分公式必须使用同一时点口径：上一日本金 + 当前本金 - 上一本金 = 当前本金。
|
||||
// 若已有部分平仓后仍取当前本金，会把上一日本金原样保留，导致当日继续按平仓前本金计息。
|
||||
// 仅作用于初始预付金(5)/追加预付金(6)；其它计息模式(含债券本金腿 标的期初全价=9)仍用交易名义本金，不受影响。
|
||||
if (position.InterestMode == (int)InterestModeEnum.初始预付金
|
||||
|| position.InterestMode == (int)InterestModeEnum.追加预付金)
|
||||
{
|
||||
SwapCalcTrace.Critical($" [orginPv重映射] InterestMode={position.InterestMode} 预付金腿: orginPv {orginPv:F4} → InterestPrincipalFix({position.InterestPrincipalFix:F4})");
|
||||
orginPv = position.InterestPrincipalFix;
|
||||
var previousPrincipal = preEodPosition.InterestPrincipalFix != 0m
|
||||
? preEodPosition.InterestPrincipalFix
|
||||
: preEodPosition.TdInterestPrincipal;
|
||||
orginPv = preEodPosition.id != 0 && previousPrincipal != 0m
|
||||
? previousPrincipal
|
||||
: position.InterestPrincipalFix;
|
||||
}
|
||||
|
||||
if (swap)
|
||||
{
|
||||
interest.InterestAmount = 0; // 利息金额
|
||||
interest.TdInterestAmount = 0; // 当日新增利息
|
||||
interest.InterestAmount = 0;
|
||||
interest.TdInterestAmount = 0;
|
||||
interest.InterestAmount = 0;
|
||||
interest.InterestClosePnL = 0;
|
||||
interest.InterestClosePnL = 0; // 利息端平仓盈亏
|
||||
}
|
||||
else
|
||||
{
|
||||
@@ -1216,37 +1222,81 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal TdInterestAmount = 0;
|
||||
var interestRatio = position.InterestDirection == 1 ? 1m : -1m;
|
||||
var floateRate = preEodPosition.FloatRate;
|
||||
SwapCalcTrace.Critical($"InitSwapDealInterest posId={position.id} mode={position.InterestMode} type={(position.InterestType == (int)InterestTypeEnum.复利 ? "复利" : "单利")} swap={swap}");
|
||||
SwapCalcTrace.Critical($" preEod.id={preEodPosition.id} ValueDate={preEodPosition.ValueDate:yyyy-MM-dd} FloatRate={preEodPosition.FloatRate}");
|
||||
SwapCalcTrace.Critical($" endDate={endDate:yyyy-MM-dd} closePercent={closePrecent} posiNotional={posiNotionalValue:F4} closeNotional={closePosiNotionalValue:F4} orginPv={orginPv:F4} calcFirst={calcFirst} calcLast={calcLast}");
|
||||
if (position.InterestType == (int)InterestTypeEnum.复利)
|
||||
{
|
||||
var daysFromStart = (endDate - position.PosiStartDate).Days;
|
||||
var daysFromPreEod = preEodPosition.id != 0
|
||||
? (endDate - preEodPosition.ValueDate).Days
|
||||
: 0;
|
||||
SwapCalcTrace.Critical($" 复利: daysFromStart={daysFromStart} daysFromPreEod={daysFromPreEod} interest_rest_days={position.interest_rest_days ?? 1}");
|
||||
// 不算尾 + 当日即新周期首日 + 未到重置日 ==> 说明这一天应归入下一个计息周期 当天无需单独计息
|
||||
if (!calcLast && daysFromPreEod == 1 && daysFromStart % (position.interest_rest_days ?? 1) != 0)
|
||||
{
|
||||
SwapCalcTrace.Critical($" [复利跨期直取] 直接用 preEod: InterestAmount={preEodPosition.InterestIncomeSum * closePrecent:F4} (不走重放)");
|
||||
|
||||
interest.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePrecent;
|
||||
interest.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePrecent; // 计息基数
|
||||
interest.FloatRate = preEodPosition.FloatRate;
|
||||
InterestAmount = preEodPosition.InterestIncomeSum * closePrecent;
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum * closePrecent;
|
||||
InterestAmount = preEodPosition.InterestIncomeSum * closePrecent; // 利息金额 = 待实现 * 平仓比例
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum; // 当日新增利息
|
||||
interest.InterestAmount = Math.Round(InterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.TdInterestAmount = Math.Round(TdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
|
||||
interest.InterestClosePnL = interest.InterestAmount * interestRatio; // 利息端平仓盈亏 = 利息金额 * 方向
|
||||
return interest;
|
||||
}
|
||||
// remainingPercent 只用于把上一日待实现分配给本次计算对应的本金。
|
||||
// 按照利息腿的实际 计息基数 重新计算一个历史待实现利息的 平仓比例。不替代全局的平仓比例
|
||||
// 部分平仓计算关闭 30% 时取 30%；最终全平剩余仓位时取 100%。
|
||||
var remainingPercent = preEodPosition.TdInterestPrincipal > 0m
|
||||
? closePosiNotionalValue / preEodPosition.TdInterestPrincipal
|
||||
: 1m;
|
||||
remainingPercent = Math.Max(0m, Math.Min(1m, remainingPercent));
|
||||
// resetCarryInterest 是重置日并入复利本金的历史待实现，不是当天新增利息。
|
||||
// 把上日尚未实现的的利息 按本次平掉的这部分计息基数分给本次平仓 并在重置日并入计息基数
|
||||
// 它只在当前 endDate 恰好为重置日时使用，避免把同一笔历史利息重复资本化。
|
||||
var resetCarryInterest = preEodPosition.InterestIncomeSum * remainingPercent;
|
||||
CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue, interest, annualDays, needPrice,
|
||||
floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount,
|
||||
consumedInterest, resetCarryInterest);
|
||||
if (preEodPosition.id != 0 && closePrecent == 1m)
|
||||
{
|
||||
// 最终全平只重放上一日终之后的新增利息；历史部分平仓的两位结算尾差已在日终待实现中。
|
||||
// InterestAmount 是本次最终应结金额；TdInterestAmount 是不按关闭比例缩放的参考累计值。
|
||||
// 二者在全平时都以上一日 InterestIncomeSum 为起点，保证之前攒下的尾差最后一次带走。
|
||||
var interestAtEnd = new swap_flow_event { InterestRate = rate };
|
||||
decimal amountAtEnd = 0m;
|
||||
decimal tdAmountAtEnd = 0m;
|
||||
// InitInterestDate 在最终日不算尾时会先把 endDate 回拨一天；
|
||||
// 历史差分的 amountAtEnd 需补回该日，但计算器仍使用交易 calcLast，
|
||||
// 并将重放日期限制在合约到期日，避免提前全平或超期重复计息。
|
||||
// 如果算尾 重放日 = 正常到期日
|
||||
// 不算尾 且未超过到期日 重放日 = endDate+1 (补齐不算尾那天漏计的利息)
|
||||
// 加1天超过到期日 截断到到期日
|
||||
var replayEndDate = endDate;
|
||||
if (!calcLast && endDate < valueDate)
|
||||
{
|
||||
replayEndDate = endDate.AddDays(1);
|
||||
if (replayEndDate > td.ExerciseDate.Value)
|
||||
{
|
||||
replayEndDate = td.ExerciseDate.Value;
|
||||
}
|
||||
}
|
||||
// 计算截至本次平仓日的累计利息 amountAtEnd
|
||||
CalcDailyCompoundInterest(replayEndDate, position, closePosiNotionalValue,
|
||||
interestAtEnd, annualDays, needPrice, floateRate, closePrecent, orginPv,
|
||||
calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest);
|
||||
var interestAtPreviousEod = new swap_flow_event { InterestRate = rate };
|
||||
decimal amountAtPreviousEod = 0m;
|
||||
decimal tdAmountAtPreviousEod = 0m;
|
||||
// 最终日重放仍遵守交易的 calcLast；上一日终是历史截点而非合约尾日，
|
||||
// 因此此处按闭区间包含上一日终当天，避免算头不算尾时重复加入该日利息。
|
||||
// 计算截至上一日终累积的利息 amountAtPreviousEod
|
||||
CalcDailyCompoundInterest(preEodPosition.ValueDate, position, closePosiNotionalValue,
|
||||
interestAtPreviousEod, annualDays, needPrice, floateRate, closePrecent, orginPv,
|
||||
calcFirst, true, ref amountAtPreviousEod, ref tdAmountAtPreviousEod, consumedInterest);
|
||||
// 例如 0004：5/18 待实现 -118631.261797，加 5/19 新增约 -4648.912760，
|
||||
// 得到最终应结 -123280.174557，按金额两位落为 Excel BN 的 -123280.17。
|
||||
// 上一日终已保存的待实现利息 + 截至平仓日累计利息 - 截至上一日终累计利息
|
||||
// 这样只带走“上一日终以后新增的利息”，同时保留历史部分平仓时因两位金额结算留下的尾差，最终全平一次性结清。
|
||||
InterestAmount = preEodPosition.InterestIncomeSum + amountAtEnd - amountAtPreviousEod;
|
||||
TdInterestAmount = preEodPosition.InterestIncomeSum + tdAmountAtEnd - tdAmountAtPreviousEod;
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
@@ -1287,9 +1337,6 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal tdDynomicPrincipal = dynomicPrincipal;
|
||||
var calcDays = (endDate - startDate).Days;
|
||||
double floatRate = Convert.ToDouble(floateRate);
|
||||
SwapCalcTrace.Critical($"CalcDailyCompoundInterest(盘中复利) posId={position.id} principal={principal:F4} calcFirst={calcFirst} calcLast={calcLast}");
|
||||
SwapCalcTrace.Critical($" PosiStartDate={startDate:yyyy-MM-dd} calcDays={calcDays} interest_rest_days={interestPeriod} orginPv={orginPv:F4}");
|
||||
SwapCalcTrace.Critical($" consumedInterest={consumedInterest:F4} resetCarryInterest={resetCarryInterest:F4} closePercent={closePercent}");
|
||||
for (int i = 0; i <= calcDays; i++)
|
||||
{
|
||||
var accrueDate = startDate.AddDays(i);
|
||||
@@ -1313,10 +1360,14 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
if (i % interestPeriod == 0)
|
||||
{
|
||||
// 复利时：利息并入本金（FR007 取价已提前到 calcFirst/calcLast 跳过之前完成）
|
||||
// 始终使用循环内高精度累加的 interest，不使用 EOD 快照的 resetCarryInterest（舍入值），
|
||||
// 否则非重置日 EOD 的 InterestIncomeSum 包含多个周期利息，注入首重置日会导致精度偏差。
|
||||
var interestToReset = interest;
|
||||
// 每个重置节点 计息基数 = 前日本金 + 本期利息
|
||||
// resetCarryInterest 是上一日终待实现按本次平仓比例分摊后的存量，
|
||||
// 只能在 endDate 恰好是当前复利重置日时并入本金。历史重置点必须使用
|
||||
// 重放到当时的 interest，否则会把上一日终存量反复注入历史本金，
|
||||
// 例如 0007 的 5/11 部分平仓会由 84,090.95 被多算为 84,114.88。
|
||||
var interestToReset = i > 0 && accrueDate == endDate && resetCarryInterest != 0m
|
||||
? resetCarryInterest
|
||||
: interest;
|
||||
dynomicPrincipal = principal + interestToReset;
|
||||
tdDynomicPrincipal = principal + interestToReset;
|
||||
flowEvent.InterestPrincipal = tdDynomicPrincipal;
|
||||
@@ -1372,12 +1423,6 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal dynomicPrincipal = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
|
||||
decimal tdDynomicPrincipal = dynomicPrincipal;
|
||||
var calcDays = (endDate - startDate).Days;
|
||||
SwapCalcTrace.Critical($"CalcDailySimpleInterest posId={position.id} mode={position.InterestMode} type={(position.InterestType == (int)InterestTypeEnum.复利 ? "复利" : "单利")}");
|
||||
SwapCalcTrace.Critical($" PosiStartDate={startDate:yyyy-MM-dd} endDate={endDate:yyyy-MM-dd} calcDays={calcDays} calcFirst={calcFirst} calcLast={calcLast}");
|
||||
SwapCalcTrace.Critical($" preEod.id={preEodPosition.id} ValueDate={preEodPosition.ValueDate:yyyy-MM-dd} TdInterestPrincipal={preEodPosition.TdInterestPrincipal:F4} InterestProfitSum={interestProfitSum:F4}");
|
||||
SwapCalcTrace.Critical($" dynomicPrincipal = TdInterestPrincipal({preEodPosition.TdInterestPrincipal:F4}) + posiPrincipal({posiPrincipal:F4}) - orginPv({orginPv:F4}) = {dynomicPrincipal:F4}");
|
||||
SwapCalcTrace.Critical($" 已结扣除(InterestProfitSum*closePercent)={interest:F4} consumedInterest={consumedInterest:F4} closePercent={closePercent}");
|
||||
SwapCalcTrace.Critical($" 逐日累加上限: accrueDate > preEod.ValueDate({preEodPosition.ValueDate:yyyy-MM-dd}) 才计息");
|
||||
double floatRate = Convert.ToDouble(floateRate);
|
||||
for (int i = 0; i <= calcDays; i++)
|
||||
{
|
||||
@@ -1418,7 +1463,6 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
interest += interest1;
|
||||
tdinterest += tdinterest1;
|
||||
SwapCalcTrace.Day(i, accrueDate, (decimal)floatRate, flowEvent.InterestPrincipal, interest1, interest);
|
||||
}
|
||||
}
|
||||
InterestAmount = Math.Round(interest, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
|
||||
@@ -1446,12 +1490,10 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal tdDynomicPrincipal = posiPrincipal;
|
||||
double floatRate = Convert.ToDouble(floateRate);
|
||||
var days = (endDate - tradeDate).Days;
|
||||
SwapCalcTrace.Critical($"CalcDailyCompoundInterestByEod(收盘复利) posId={position.id}");
|
||||
SwapCalcTrace.Critical($" preEod.id={preEodPosition.id} ValueDate={preEodPosition.ValueDate:yyyy-MM-dd} TdInterestPrincipal={preEodPosition.TdInterestPrincipal:F4} InterestProfitSum={preEodPosition.InterestProfitSum:F4}");
|
||||
SwapCalcTrace.Critical($" tradeDate={tradeDate:yyyy-MM-dd} endDate={endDate:yyyy-MM-dd} days={days} interest_rest_days={interestPeriod} closePercent={closePercent} orginPv={orginPv:F4} principal={principal:F4} posiPrincipal={posiPrincipal:F4}");
|
||||
SwapCalcTrace.Critical($" {(days % interestPeriod == 0 ? "重置日分支: 利息并入本金" : "非重置日分支: base=TdInterestPrincipal+posiPrincipal-orginPv")}");
|
||||
LogFactory.GetLogger("test").Error("lksafhasdhfjas");
|
||||
if (days % interestPeriod == 0)
|
||||
{
|
||||
LogFactory.GetLogger("test").Error("kluausdyfh");
|
||||
var remainingPercent = posiPrincipal > 0m
|
||||
? principal / posiPrincipal
|
||||
: 1m;
|
||||
@@ -1542,12 +1584,6 @@ namespace YLErp.Modules.SwapModule
|
||||
flowEvent.FloatRate = Convert.ToDecimal(floatRate);
|
||||
var baseTdInterestPrincipal = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
|
||||
var baseInterestPrincipal = baseTdInterestPrincipal * closePercent;
|
||||
SwapCalcTrace.Critical($"CalcDailySimpleInterestByEod(收盘单利) posId={position.id}");
|
||||
SwapCalcTrace.Critical($" preEod.id={preEodPosition.id} ValueDate={preEodPosition.ValueDate:yyyy-MM-dd} TdInterestPrincipal={preEodPosition.TdInterestPrincipal:F4} InterestProfitSum={preEodPosition.InterestProfitSum:F4}");
|
||||
SwapCalcTrace.Critical($" tradeDate={tradeDate:yyyy-MM-dd} endDate={endDate:yyyy-MM-dd} calcDays={calcDays} closePercent={closePercent} orginPv={orginPv:F4} posiPrincipal={posiPrincipal:F4}");
|
||||
SwapCalcTrace.Critical($" baseTdInterestPrincipal = TdInterestPrincipal({preEodPosition.TdInterestPrincipal:F4}) + posiPrincipal({posiPrincipal:F4}) - orginPv({orginPv:F4}) = {baseTdInterestPrincipal:F4}");
|
||||
SwapCalcTrace.Critical($" baseInterestPrincipal(=base*closePercent)={baseInterestPrincipal:F4} floatRate={floatRate} rate={flowEvent.InterestRate} annualized={position.IsAnnualized}");
|
||||
SwapCalcTrace.Critical($" 输出 InterestAmount = InterestProfitSum({preEodPosition.InterestProfitSum:F4}) + interest");
|
||||
|
||||
// 修复：正确计算本次利息（基于实际持仓本金）
|
||||
decimal interest = baseInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
|
||||
|
||||
@@ -127,12 +127,6 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>持久化互换流水事件（生产: DbContext.swap_flow_event.Add；测试: 收集到列表）</summary>
|
||||
protected virtual void PersistFlowEvent(swap_flow_event flowEvent)
|
||||
{
|
||||
DbContext.swap_flow_event.Add(flowEvent);
|
||||
}
|
||||
|
||||
/// <summary>保存所有变更（生产: DbContext.SaveChanges；测试: 计数）</summary>
|
||||
protected virtual void SaveAllChanges()
|
||||
{
|
||||
@@ -779,14 +773,14 @@ namespace YLErp.Modules.SwapModule
|
||||
// 利息腿：插入资金记录（使用系统操作_互换）
|
||||
if (unwindData.SwapCloseAmount != 0)
|
||||
{
|
||||
clientCashId = AddClientCash(td, Convert.ToDouble(-unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_互换, cashHappenDate);
|
||||
clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_互换, cashHappenDate);
|
||||
clientCashIds.Add(clientCashId);
|
||||
}
|
||||
|
||||
// 预付金腿：单独插入一条资金记录（系统操作_预付金返息）
|
||||
if (unwindData.SwapMarginRebatePnl != 0)
|
||||
{
|
||||
clientCashId = AddClientCash(td, Convert.ToDouble(-unwindData.SwapMarginRebatePnl), ClientCashInCashOut.系统操作_预付金返息, unwindData.ValueDate);
|
||||
clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapMarginRebatePnl), ClientCashInCashOut.系统操作_预付金返息, unwindData.ValueDate);
|
||||
clientCashIds.Add(clientCashId);
|
||||
}
|
||||
unwindData.SwapCloseAmount = unwindData.SwapRealizedPnL;//需要算上预付金利息 和 分红； 只是不算预付金返还
|
||||
@@ -796,19 +790,19 @@ namespace YLErp.Modules.SwapModule
|
||||
var dividendPayDate = (dividendEvents != null && dividendEvents.Count > 0)
|
||||
? dividendEvents.First().PayDate.Value
|
||||
: unwindData.ValueDate;
|
||||
clientCashId = AddClientCash(td, Convert.ToDouble(-unwindData.SwapDividendPnl), ClientCashInCashOut.系统操作_互换, dividendPayDate);
|
||||
clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapDividendPnl), ClientCashInCashOut.系统操作_互换, dividendPayDate);
|
||||
clientCashIds.Add(clientCashId);
|
||||
}
|
||||
|
||||
unwindData.ClientCashIds = clientCashIds;
|
||||
string data = JsonConvert.SerializeObject(unwindData);
|
||||
var swapEvent = AddSwapEvent(unwindData.ValueDate, unwindData.SwapTradeId, (int)SwapEventTypeEnum.自动互换, data, clientCashId, true, "系统操作-自动互换");//将互换总额存入事件
|
||||
var swapEvent = new SwapEventService(this).AddSwapEventDate(unwindData.ValueDate, unwindData.SwapTradeId, (int)SwapEventTypeEnum.自动互换, data, clientCashId, true, "系统操作-自动互换");//将互换总额存入事件
|
||||
if (flowEvents!=null)
|
||||
{
|
||||
flowEvents.ForEach(x =>
|
||||
{
|
||||
x.EventId = swapEvent.id;
|
||||
PersistFlowEvent(x);
|
||||
DbContext.swap_flow_event.Add(x);
|
||||
});
|
||||
UpdateInitalPostion(flowEvents, td.id);
|
||||
}
|
||||
@@ -819,7 +813,7 @@ namespace YLErp.Modules.SwapModule
|
||||
dividendEvents.ForEach(x =>
|
||||
{
|
||||
x.EventId = swapEvent.id;
|
||||
PersistFlowEvent(x);
|
||||
DbContext.swap_flow_event.Add(x);
|
||||
});
|
||||
UpdateInitalPostion(dividendEvents, td.id);
|
||||
}
|
||||
@@ -829,7 +823,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 互换更新实时持仓信息
|
||||
/// </summary>
|
||||
/// <param name="flowEvents"></param>
|
||||
protected virtual void UpdateInitalPostion(List<swap_flow_event> flowEvents, int swapTradeId)
|
||||
private void UpdateInitalPostion(List<swap_flow_event> flowEvents, int swapTradeId)
|
||||
{
|
||||
var positions = DbContext.swap_position.Where(x => !x.IsInitial && x.SwapTradeId == swapTradeId && !x.Invalid);
|
||||
foreach (var position in positions)
|
||||
@@ -1275,8 +1269,13 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 自动互换用,当日无互换，当日有平仓
|
||||
/// 将平仓/自动互换的盘中利息结果写成当日日终利息腿。
|
||||
/// 字段完整口径和逐日示例见《收益互换日终收盘总流程与当前代码审查》7.2、16.7、16.13 节。
|
||||
/// </summary>
|
||||
/// <remarks>
|
||||
/// 关键状态链：上日待实现 + 当日新增 - 当日结息 = 当日待实现；
|
||||
/// 上日累计已实现 + 当日结息（按收付方向）= 当日累计已实现。
|
||||
/// </remarks>
|
||||
/// <param name="eodPayPosition">上一日日终持仓</param>
|
||||
/// <param name="newEodPayPosition">当前收盘日日终持仓 不可能为空</param>
|
||||
/// <param name="position">利息腿信息</param>
|
||||
@@ -1291,8 +1290,11 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
Log.Info($"eodPayPosition is {JsonHelper.Serialize(eodPayPosition, false)},newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
|
||||
var tradeExtend = td.trade_extend.ExtendObj;
|
||||
// oriPosiNotionalValue 是平仓前规模，posiNotionalValue 是收盘后剩余规模，closeNational 是本次关闭规模。
|
||||
// 例如 30% 平仓：303139117.80 = 212197382.46 + 90941735.34。
|
||||
decimal oriPosiNotionalValue = posiLongNotional + posiShortNational + closeNational;
|
||||
decimal posiNotionalValue = posiLongNotional + posiShortNational;
|
||||
// ratio 只负责把腿内原始金额转换为本方盈亏方向，不参与计息金额本身的计算。
|
||||
decimal ratio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
|
||||
if (marginTypes.Contains(position.InterestMode))
|
||||
{
|
||||
@@ -1301,10 +1303,16 @@ namespace YLErp.Modules.SwapModule
|
||||
// 首次日终结算可能包含当日收盘，因此尚无先前的日终利息持仓。
|
||||
// 部分平仓仍要续接上一日日终：CalcUnwindInterest 会将 InterestProfitSum
|
||||
// 加入本次待实现，已实现字段也必须按日累计，不能从新建的临时对象重新开始。
|
||||
var hasPreviousEod = eodPayPosition != null && eodPayPosition.id != 0;
|
||||
// InterestIncomeSum 是尚未结算的高精度利息；RealizedInterest 是生命周期累计已结利息。
|
||||
// 二者不能相互替代，也不能在部分平仓后重新从 0 开始。
|
||||
var lastInterestIncomeSum = eodPayPosition?.InterestIncomeSum ?? 0m;
|
||||
var lastInterestFeeSum = eodPayPosition?.InterestFeeSum ?? 0m;
|
||||
var lastRealizedInterest = eodPayPosition?.RealizedInterest ?? 0m;
|
||||
var lastRealizedInterestFee = eodPayPosition?.RealizedInterestFee ?? 0m;
|
||||
// 先保留平仓前的复利本金；后面 interests.First().InterestPrincipal 是本次已平部分，
|
||||
// 不能用它代表平仓前全额本金计算当日总利息。
|
||||
var lastTdInterestPrincipal = eodPayPosition?.TdInterestPrincipal ?? 0m;
|
||||
// 保留上一日日终标识和计息上下文，部分平仓只从 ValueDate 之后续算，不能重置到交易起始日。
|
||||
eodPayPosition = eodPayPosition?.Clone() ?? new eod_swap_position();
|
||||
eodPayPosition.ClientId = td.ClientId;
|
||||
@@ -1332,8 +1340,9 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
else
|
||||
{
|
||||
orginPv = oriPosiNotionalValue;
|
||||
orginPv = posiNotionalValue;
|
||||
}
|
||||
// closePercent 描述本次关闭占平仓前仓位的比例；上例为 90941735.34 / 303139117.80 = 30%。
|
||||
decimal closePercent = oriPosiNotionalValue == 0 ? 0 : closeNational / oriPosiNotionalValue;
|
||||
var eventType = autoSwap ? (int)SwapEventTypeEnum.自动互换 : (int)SwapEventTypeEnum.平仓;
|
||||
bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
|
||||
@@ -1350,10 +1359,10 @@ namespace YLErp.Modules.SwapModule
|
||||
List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
|
||||
preEodPositions.Add(eodPayPosition);
|
||||
var calcLast = tradeExtend?.InterestCalcMode?.EndsWith("1") ?? true;
|
||||
// 使用 oriPosiNotionalValue（平仓前原始名义本金）而非 posiNotionalValue（平仓后剩余）：
|
||||
// EOD 重算需基于完整头寸计算总应计利息（TdInterestAmount），再由 flowEvents 的 TdCloseInterest 扣减平仓部分。
|
||||
// 若用剩余本金（如 212M），重算只得到 70% 利息，导致 InterestIncomeSum 偏差。
|
||||
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, oriPosiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true, settment: false, newCalcLast: autoSwap || calcLast || (valueDate == td.ExerciseDate));
|
||||
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true, settment: false, newCalcLast: autoSwap || calcLast);
|
||||
// TdInterestAmount：计息器返回的全腿当日/累计参考值，用于拆出 EOD 的当日新增。
|
||||
// interestAmountBeforeSettlement：本次事件发生前理论应结的高精度利息。
|
||||
// manualSettledInterestAmount：swap_flow_event 实际落库的手工结息，金额已按分处理。
|
||||
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
|
||||
decimal interestAmountBeforeSettlement = interests.Sum(x => x.InterestAmount);
|
||||
decimal manualSettledInterestAmount = flowEvents.Sum(x => x.InterestAmount);
|
||||
@@ -1387,9 +1396,12 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.interest_rest_days = position.interest_rest_days;
|
||||
newEodPayPosition.interest_rule = position.interest_rule;
|
||||
//利息端估值用信息
|
||||
// TdInterestPrincipal 是“下一日继续计息的收盘后本金”，不是原始合同规模，也不是本次平仓本金。
|
||||
// 模式9单利直接取剩余名义本金；复利还要保留重置时已经并入本金的待实现利息。
|
||||
newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode)
|
||||
? position.InterestPrincipalFix
|
||||
: position.InterestType != (int)InterestTypeEnum.复利
|
||||
: position.InterestMode == (int)InterestModeEnum.标的期初全价
|
||||
&& position.InterestType != (int)InterestTypeEnum.复利
|
||||
? posiNotionalValue
|
||||
: interests.Count > 0 ? interests.First().InterestPrincipal : 0;
|
||||
if (interval != null)
|
||||
@@ -1403,35 +1415,104 @@ namespace YLErp.Modules.SwapModule
|
||||
//当日已实现，平仓时已处理
|
||||
newEodPayPosition.TdInterestFee = flowEvents.Sum(s => s.InterestFee);
|
||||
newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
|
||||
// TdCloseInterest 只表示当天真正结算出去的金额；部分平仓未结部分继续留在 InterestIncomeSum。
|
||||
newEodPayPosition.TdCloseInterest = manualSettledInterestAmount + autoSettledInterestAmount;
|
||||
// intersetAcmount 是收盘后本金的一天应计展示值。算尾部分平仓时，下面的复利分支会改用
|
||||
// 平仓前全额本金重算当天新增，但跨日携带的 TdInterestPrincipal 仍只能是剩余本金。
|
||||
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
intersetAcmount /= tradeExtend.AnnualDays;
|
||||
}
|
||||
newEodPayPosition.TdInterestIncome = !autoSwap
|
||||
? TdInterestAmount - lastInterestIncomeSum
|
||||
: intersetAcmount;
|
||||
newEodPayPosition.TdInterestIncome = autoSwap
|
||||
? intersetAcmount
|
||||
: !hasPreviousEod
|
||||
? interestAmountBeforeSettlement
|
||||
: posiNotionalValue == 0m
|
||||
? interestAmountBeforeSettlement - lastInterestIncomeSum
|
||||
: lastRealizedInterest != 0m || lastRealizedInterestFee != 0m || !calcLast
|
||||
? intersetAcmount
|
||||
: TdInterestAmount - lastInterestIncomeSum;
|
||||
if (!autoSwap
|
||||
&& closePercent > 0m && closePercent < 1m
|
||||
&& posiNotionalValue > 0m
|
||||
&& position.InterestType == (int)InterestTypeEnum.复利
|
||||
&& (position.InterestMode == (int)InterestModeEnum.合约名义本金规模
|
||||
|| position.InterestMode == (int)InterestModeEnum.标的期初全价))
|
||||
{
|
||||
// 模式2（合约名义本金规模）和模式9（标的期初全价）都以名义本金
|
||||
// 作为复利基数；算尾用平仓前全额当日利息再扣实际结算，
|
||||
// 不算尾只计剩余本金，避免已平部分利息进入后续复利。
|
||||
// fullPrincipal 是平仓前动态复利本金，仅用于判断平仓日应按全额还是剩余额计息。
|
||||
var fullPrincipal = lastTdInterestPrincipal > 0m
|
||||
? lastTdInterestPrincipal
|
||||
: oriPosiNotionalValue;
|
||||
// 当日计提按平仓前全额动态本金；跨日携带必须只留剩余仓位。
|
||||
// calcLast=true 时，模式2返回本次已平部分本金，需反推剩余本金；
|
||||
// 模式9返回的已是剩余本金，不能再次按比例放大（GLMS-20260421-0004）。
|
||||
// calcLast=false 快速路径返回上一 EOD 全额本金，保留原剩余比例缩放。
|
||||
var usesFullPreviousEodPrincipal = !calcLast
|
||||
&& hasPreviousEod
|
||||
&& (valueDate - eodPayPosition.ValueDate).Days == 1
|
||||
&& (valueDate - position.PosiStartDate).Days % (position.interest_rest_days ?? 1) != 0;
|
||||
if (calcLast
|
||||
&& position.InterestMode == (int)InterestModeEnum.合约名义本金规模)
|
||||
{
|
||||
// 模式2的 InterestPrincipal 是已平部分，需反推平仓前全额后再取剩余；
|
||||
// 模式9已直接返回剩余动态本金，再反推会把 30% 平仓后的本金放大 7/3 倍。
|
||||
// 例如模式9的 212135529.97 已是剩余本金，错误反推会变成 494982903.27。
|
||||
newEodPayPosition.TdInterestPrincipal *= (1m - closePercent) / closePercent;
|
||||
}
|
||||
else if (usesFullPreviousEodPrincipal)
|
||||
{
|
||||
newEodPayPosition.TdInterestPrincipal *= 1m - closePercent;
|
||||
}
|
||||
// 不算尾时，TdInterestPrincipal 已由计息器完成重置日待实现利息结转，
|
||||
// 并在非重置日分支按剩余仓位调整；若再次用上日本金乘剩余比例，
|
||||
// 会漏掉重置后已并入本金的待实现利息（如 2026-08-04 两笔 JIATT 交易）。
|
||||
var accrualPrincipal = calcLast
|
||||
? fullPrincipal
|
||||
: newEodPayPosition.TdInterestPrincipal;
|
||||
newEodPayPosition.TdInterestIncome = accrualPrincipal
|
||||
* (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
newEodPayPosition.TdInterestIncome /= tradeExtend.AnnualDays;
|
||||
}
|
||||
}
|
||||
if (!autoSwap
|
||||
&& closePercent > 0m && closePercent < 1m
|
||||
&& posiNotionalValue > 0m
|
||||
&& position.InterestType == (int)InterestTypeEnum.单利
|
||||
&& (position.InterestMode == (int)InterestModeEnum.合约名义本金规模
|
||||
|| position.InterestMode == (int)InterestModeEnum.标的期初全价))
|
||||
{
|
||||
// 单利算尾当日仍按平仓前全额计提，跨日 EOD 本金只携带剩余持仓。
|
||||
newEodPayPosition.TdInterestPrincipal = posiNotionalValue;
|
||||
}
|
||||
Log.Info($"InterestIncomeSum is {lastInterestIncomeSum},TdInterestIncome is {newEodPayPosition.TdInterestIncome}" +
|
||||
$",TdCloseInterest is {newEodPayPosition.TdCloseInterest}");
|
||||
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
|
||||
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
|
||||
if (closePercent == 1)
|
||||
{
|
||||
// 全量平仓后不应把待实现利息或费用带入下一交易日。
|
||||
newEodPayPosition.InterestIncomeSum = 0;
|
||||
newEodPayPosition.InterestFeeSum = 0;
|
||||
}
|
||||
else
|
||||
{
|
||||
var pendingInterestBeforeSettlement = autoSwap
|
||||
? interestAmountBeforeSettlement
|
||||
: lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
|
||||
newEodPayPosition.InterestIncomeSum = RoundEodInterest(
|
||||
pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee;
|
||||
}
|
||||
// pendingInterestBeforeSettlement 是“扣款前待实现”。普通平仓按上日待实现 + 当日新增；
|
||||
// 自动互换的 interestAmountBeforeSettlement 已经是完整理论应结，不能再加一次上日值。
|
||||
var pendingInterestBeforeSettlement = autoSwap
|
||||
? interestAmountBeforeSettlement
|
||||
: lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
|
||||
var pendingInterestFeeBeforeSettlement = eodPayPosition.InterestFeeSum
|
||||
+ newEodPayPosition.TdInterestFee;
|
||||
// InterestIncomeSum 是收盘后仍未结算的尾差/剩余利息。
|
||||
// 部分平仓：扣款前待实现 - TdCloseInterest；最终全平且两位金额已覆盖时直接清零。
|
||||
newEodPayPosition.InterestIncomeSum = closePercent == 1
|
||||
&& RoundMoney(pendingInterestBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
|
||||
? 0m
|
||||
: RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = closePercent == 1
|
||||
&& RoundMoney(pendingInterestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee)
|
||||
? 0m
|
||||
: RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
|
||||
//持仓内容-利息腿-损益统计(本方视角）
|
||||
// InterestProfitSum 是利息腿待实现总额，包含利息和费用；无费用时等于 InterestIncomeSum。
|
||||
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
|
||||
//持仓价值
|
||||
newEodPayPosition.SwapPositionValue = newEodPayPosition.InterestProfitSum * ratio + newEodPayPosition.PosiProfitSum;
|
||||
@@ -1441,6 +1522,8 @@ namespace YLErp.Modules.SwapModule
|
||||
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
|
||||
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
|
||||
//累计已实现
|
||||
// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
|
||||
// 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
|
||||
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
|
||||
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
|
||||
SetFixedLegRealizedPnl(newEodPayPosition);
|
||||
|
||||
@@ -125,6 +125,8 @@ namespace YLErp.Web.Controllers
|
||||
renewTrade.id = 0;
|
||||
renewTrade.TradeNumber = string.Empty;
|
||||
renewTrade.ParentTradeId = 0;
|
||||
renewTrade.IsGroup = 0;
|
||||
renewTrade.IsApproval = false;
|
||||
renewTrade.TradeDate = defaultTrade.TradeDate;
|
||||
renewTrade.StartDate = defaultTrade.StartDate;
|
||||
renewTrade.ExerciseDate = null;
|
||||
@@ -160,6 +162,7 @@ namespace YLErp.Web.Controllers
|
||||
renewTrade.trade_swap.id = 0;
|
||||
renewTrade.trade_swap.TradeId = 0;
|
||||
renewTrade.trade_swap.FlowId = null;
|
||||
renewTrade.trade_swap.OriginalTradeId = null;
|
||||
|
||||
// The renewed payment floating leg opens the opposite underlying side.
|
||||
// 这里只需要对【支付】相关腿进行操作
|
||||
@@ -202,6 +205,7 @@ namespace YLErp.Web.Controllers
|
||||
// 清空运行时累计字段（这些字段在源交易存续期间可能被累计）
|
||||
renewPosition.InterestAmount = 0;
|
||||
renewPosition.InterestFeePending = 0;
|
||||
renewPosition.FloatRate = 0;
|
||||
renewPosition.PosiDividendIncome = 0;
|
||||
renewPosition.InterestSwapInterval = null;
|
||||
renewPosition.Obervation = null;
|
||||
|
||||
Reference in New Issue
Block a user