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Merge branch 'glms/feature/1.4.2' into glms/feature/0812_zmr_divPower

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# Conflicts:
#	YLErpDAL/Modules/EodModule/BondPaymentService.cs
#	YLErpDAL/Modules/SwapModule/SwapDealService.cs
This commit is contained in:
张名锐
2026-08-20 16:21:13 +08:00
parent ff7e540084 286a834aa5
commit 582cb2c7c5
158 changed files with 7931 additions and 3252 deletions
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YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+205 -304
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@@ -161,72 +161,13 @@ namespace YLErp.Modules.SwapModule
: ConsGlobal.SwapDeliveryPriceRound;
}
// 日终利息待实现需跨日累计，按表设计保留 12 位；已实现结算仍按金额两位处理。
private const int EodInterestStoragePrecision = 12;
private static decimal RoundMoney(decimal value)
{
return Math.Round(value, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
}
private static decimal RoundEodInterest(decimal value)
{
return Math.Round(value, EodInterestStoragePrecision, MidpointRounding.AwayFromZero);
}
/// <summary>
/// 仅在写入 eod_swap_position 前统一快照精度。
/// 浮动腿收益最终以金额两位展示和存储；利息腿的待实现、计息基数及利率保留 12 位，
/// 使部分结算后的尾差可继续参与后续计息。
/// </summary>
private static void NormalizeEodPositionForStorage(eod_swap_position position)
{
if (string.IsNullOrEmpty(position.UnderlyingCode))
{
// 利息腿没有标的代码：待实现字段保留高精度，已实现结算字段收敛到金额两位。
position.InterestPrincipalFix = RoundEodInterest(position.InterestPrincipalFix);
position.InterestRateDefault = RoundEodInterest(position.InterestRateDefault);
position.InterestFeePending = RoundEodInterest(position.InterestFeePending);
position.TdInterestPrincipal = RoundEodInterest(position.TdInterestPrincipal);
position.TdInterestRate = RoundEodInterest(position.TdInterestRate);
position.TdInterestIncome = RoundEodInterest(position.TdInterestIncome);
position.TdInterestFee = RoundEodInterest(position.TdInterestFee);
position.InterestIncomeSum = RoundEodInterest(position.InterestIncomeSum);
position.InterestFeeSum = RoundEodInterest(position.InterestFeeSum);
position.InterestProfitSum = RoundEodInterest(position.InterestProfitSum);
position.FloatRate = RoundEodInterest(position.FloatRate);
position.SwapPositionValue = RoundEodInterest(position.SwapPositionValue);
position.TdCloseInterest = RoundMoney(position.TdCloseInterest);
position.TdCloseInterestFee = RoundMoney(position.TdCloseInterestFee);
position.RealizedInterest = RoundMoney(position.RealizedInterest);
position.RealizedInterestFee = RoundMoney(position.RealizedInterestFee);
}
else
{
// 浮动腿有标的代码：其损益作为金额结果落库，统一按两位四舍五入。
position.TdPosiDividend = RoundMoney(position.TdPosiDividend);
position.PosiMtmPnL = RoundMoney(position.PosiMtmPnL);
position.PosiDividendSum = RoundMoney(position.PosiDividendSum);
position.PosiFeePending = RoundMoney(position.PosiFeePending);
position.PosiProfitSum = RoundMoney(position.PosiProfitSum);
position.TdCloseMtmPnl = RoundMoney(position.TdCloseMtmPnl);
position.TdCloseDividend = RoundMoney(position.TdCloseDividend);
position.TdCloseFee = RoundMoney(position.TdCloseFee);
position.RealizedMtmPnL = RoundMoney(position.RealizedMtmPnL);
position.RealizedDividend = RoundMoney(position.RealizedDividend);
position.RealizedFee = RoundMoney(position.RealizedFee);
position.SwapPositionValue = RoundMoney(position.SwapPositionValue);
}
position.RealizedPnl = RoundMoney(position.RealizedPnl);
}
#region 可测试化接缝（Seams）——override 这些虚方法可在测试中替换 DB/外部调用，生产代码行为不变
/// <summary>持久化 eod 持仓记录（生产: DbContext.Add；测试: 收集到列表）</summary>
protected virtual void PersistEodSwapPosition(eod_swap_position position)
{
// 所有新增或更新的日终持仓都经过此入口，避免不同日终分支出现精度差异。
NormalizeEodPositionForStorage(position);
EodPnlCalculator.NormalizeEodPositionForStorage(position);
var storagePriceRound = GetStorageDeliveryPriceRound(position.UnderlyingInstrumentType, position.UnderlyingCode);
position.PosiGrossPrice = Math.Round(position.PosiGrossPrice, storagePriceRound, MidpointRounding.AwayFromZero);
position.UnderlyingPrice = Math.Round(position.UnderlyingPrice, storagePriceRound, MidpointRounding.AwayFromZero);
@@ -254,26 +195,49 @@ namespace YLErp.Modules.SwapModule
}
/// <summary>
/// 计算利息腿利息明细（生产: new SwapDealService(this).GetInterests；测试: 用StubSwapDealService内存算）
/// 计算利息腿利息明细（生产: new SwapDealService(this).GetInterests；测试: 用StubSwapDealService内存算）。
/// 参数与 SwapDealService.GetInterests 完全一致，保证行为不变。
/// （needPrice/grossPrice 死参数已随 2026-08 收口删除，两侧同步。）
/// </summary>
protected virtual List<swap_flow_event> CalcSwapInterests(
trade td, trade_extend tradeExtend,
DateTime valueDate, DateTime unwindDate,
List<eod_swap_position> eodPositions, List<swap_position> positions,
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
decimal posiNotionalValue,
decimal closePosiNotionalValue, decimal closePrecent,
int eventType, bool tdClose, bool needPrice,
decimal grossPrice, decimal orginPv,
int eventType, bool tdClose,
decimal orginPv,
bool add = false, bool settment = true, bool newCalcLast = false,
List<swap_flow_event> closeList = null)
{
return new SwapDealService(this).GetInterests(td, tradeExtend, valueDate, unwindDate,
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
grossPrice, orginPv, add, settment, newCalcLast, closeList);
eodPositions, positions, posiNotionalValue,
closePosiNotionalValue, closePrecent, eventType, tdClose,
orginPv, add, settment, newCalcLast, closeList);
}
/// <summary>
/// 【EOD 当日有平仓后的收盘结息】显式入口——原 SaveAutoEodWithCloseInterestPosition 直调
/// CalcSwapInterests(settment:false) 的具名封装（2026-08 显式化重构）。
/// 语义契约见 InterestCalcRequest.EodPostCloseSettle 工厂注释（平仓后剩余 + 实际平掉额 + 恒1全额结息，
/// 触发 GetInterests 内 mode2/mode9 本金修正）。计息走 CalcUnwindInterest 全区间重放。
/// 默认实现仍经 CalcSwapInterests 转发，保持既有测试替身对该虚接缝的拦截不变。
/// </summary>
protected virtual List<swap_flow_event> CalcEodPostCloseSettleInterests(InterestCalcRequest req)
=> CalcSwapInterests(req.Td, req.TradeExtend, req.ValueDate, req.UnwindDate, req.EodPositions, req.Positions,
req.PosiNotionalValue,
req.ClosePosiNotionalValue, req.ClosePercent, req.EventType, req.TdClose,
req.OrginPv, req.Add, settment: false, req.NewCalcLast, req.CloseList);
/// <summary>
/// 持仓延续腿重置日再定盘（EQD-6968 口径自洽化接缝）。
/// 生产：Fr007IndexFixer.GetFixingOrThrow——缺价抛异常，与 ByEod 重置日再定盘/EodCheckSettlePrice
/// 同口径（EOD 时点当日 FR007 已由收盘前检查把关）；测试：override 注入受控定盘。
/// </summary>
protected virtual decimal ResolveOngoingResetFixing(swap_position position, DateTime valueDate)
=> Fr007IndexFixer.Instance.GetFixingOrThrow(valueDate, position.interest_rule, position.FloatRateUnderlyingCode);
// FindTrade 已上提到基类 SwapTradeBaseService（三子类实现一致，消除重复）
/// <summary>查找交易扩展（生产: DbContext.trade_extend；测试: 内存字典）</summary>
@@ -291,7 +255,7 @@ namespace YLErp.Modules.SwapModule
/// <summary>查找交易持仓（生产: DbContext.swap_position.Where；测试: 内存列表）</summary>
protected virtual List<swap_position> FindSwapPositions(int swapTradeId)
{
return DbContext.swap_position.Where(x => x.SwapTradeId == swapTradeId && !x.Invalid).ToList();
return DbContext.swap_position.ActiveByTrade(swapTradeId).ToList();
}
/// <summary>查找框架合约日终汇总（生产: DbContext.eod_swap.FirstOrDefault；测试: 内存字典）</summary>
@@ -306,6 +270,12 @@ namespace YLErp.Modules.SwapModule
return new SwapEventService(this).AddSwapEventDate(tradeDate, swapTradeId, eventType, data, clientCashId, save, reason);
}
/// <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>在事务中执行（生产: BeginTransaction/Commit/Rollback；测试: 直接执行不包事务）</summary>
protected virtual void ExecuteInTransaction(Action action)
{
@@ -677,17 +647,17 @@ namespace YLErp.Modules.SwapModule
var closePosiNotional = curEodPosis.Where(s => s.TdCloseQty > 0).Sum(s => s.TdCloseQty * s.ContractSize * s.PosiGrossPrice);
var grossPrice = curEodPosis.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice ?? 0;
//处理利息腿
DealInterests(interestList, eodPositions, todyEodPositions, settleDate, td, flowEvents, autoInterests, lastEodSwap, posiLongNotional, posiShortNotional, closePosiNotional, grossPrice, orginPv);
//获取自动互换的 interval 信息，用于确定结算日期
IntervalModel autoInterval = null;
DealInterests(interestList, eodPositions, todyEodPositions, settleDate, td, flowEvents, autoInterests, lastEodSwap, posiLongNotional + posiShortNotional, closePosiNotional, grossPrice, orginPv);
//获取自动互换的观察日信息，用于确定结算日期
IntervalModel observationInterval = null;
foreach (var interest in interestList)
{
autoInterval = interest.SwapIntervalList.FirstOrDefault(x => x.Date == settleDate && x.Settlement == 1);
if (autoInterval != null)
observationInterval = InterestEodScenarioDispatch.FindObservationInterval(interest, settleDate);
if (observationInterval != null)
break;
}
// 自动互换（仅利息/预付金，不含分红）
DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, autoInterval);
DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, observationInterval);
// 分红独立处理：只要当天有债券需要分红，则生成分红自动互换，与利息互换无关
DealDividends(curEodPosis, td, settleDate, tradeExtend);
//多空组合判断是否已到到期日且无持仓信息
@@ -1342,8 +1312,7 @@ namespace YLErp.Modules.SwapModule
List<swap_flow_event> flowEvents,
List<swap_flow_event> autoInterests,
eod_swap lastEodSwap,
decimal posiLongNational,
decimal posiShortNational,
decimal posiTotalNotional,
decimal closeNational,
decimal grossPrice,
decimal orginPv)
@@ -1354,7 +1323,7 @@ namespace YLErp.Modules.SwapModule
Log.Info($"[DealInterests] 参数验证 - settleDate: {settleDate:yyyy-MM-dd}, td.id: {td?.id}, td.TradeNumber: {td?.TradeNumber}");
Log.Info($"[DealInterests] 参数验证 - interestList.Count: {interestList?.Count ?? 0}, eodPositions.Count: {eodPositions?.Count ?? 0}, todyEodPositions.Count: {todyEodPositions?.Count ?? 0}");
Log.Info($"[DealInterests] 参数验证 - flowEvents.Count: {flowEvents?.Count ?? 0}, autoInterests.Count: {autoInterests?.Count ?? 0}");
Log.Info($"[DealInterests] 参数验证 - posiLongNational: {posiLongNational}, posiShortNational: {posiShortNational}, closeNational: {closeNational}, grossPrice: {grossPrice}, orginPv: {orginPv}");
Log.Info($"[DealInterests] 参数验证 - posiTotalNotional: {posiTotalNotional}, closeNational: {closeNational}, grossPrice: {grossPrice}, orginPv: {orginPv}");
// 验证关键参数
if (td == null)
@@ -1391,18 +1360,20 @@ namespace YLErp.Modules.SwapModule
}
var eodPosition = eodPositions.FirstOrDefault(x => x.PositionId == interest.id);//上一日日终利息信息 可能不存在
var tdEodPosition = todyEodPositions.FirstOrDefault(x => x.PositionId == interest.id);//当前结算日日终利息信息
var insterval = interest.SwapIntervalList.FirstOrDefault(x => x.Date == settleDate && x.Settlement == 1);//自动互换观察日信息
var observationInterval = InterestEodScenarioDispatch.FindObservationInterval(interest, settleDate);//自动互换观察日信息
List<swap_flow_event> dealInterests = new List<swap_flow_event>();
dealInterests.AddRange(flowEvents);
var dealInterest = dealInterests.FirstOrDefault(n => n.PositionId == interest.id);//当日是否做过互换或平仓
var swapEvents = flowEvents.Where(x => (x.EventType == (int)SwapEventTypeEnum.互换 || x.EventType == (int)SwapEventTypeEnum.平仓) && x.PositionId == interest.id).ToList();
//如果当日有互换/当日有平仓 不再重新生成或更新
Log.Info($"insterval is {insterval},hasSwap is {hasSwap},hasClose is {hasClose}");
if (insterval != null && !hasSwap)
Log.Info($"observationInterval is {observationInterval},hasSwap is {hasSwap},hasClose is {hasClose}");
// 分派优先级与粒度说明见 ResolveInterestScenario；8 组合表驱动覆盖见 InterestEodScenarioDispatchTest。
// 仅观察日两个分支把返回值收进 autoInterests(→资金记录)——分派错序=静默少结。
if (observationInterval != null && !hasSwap)
{
if (!hasClose)//当日无平仓
{
var _autoInterests = SaveAutoEodInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, lastEodSwap, posiLongNational, posiShortNational, grossPrice, orginPv);
var _autoInterests = SaveAutoEodInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, observationInterval, lastEodSwap, posiTotalNotional, grossPrice, orginPv);
if (_autoInterests.Count > 0)
{
autoInterests.AddRange(_autoInterests);
@@ -1410,7 +1381,7 @@ namespace YLErp.Modules.SwapModule
}
else
{
var _autoInterests = SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, true, grossPrice, orginPv);
var _autoInterests = SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, observationInterval, posiTotalNotional, swapEvents, closeNational, autoSwap: true, grossPrice, orginPv);
if (_autoInterests.Count > 0)
{
autoInterests.AddRange(_autoInterests);
@@ -1423,14 +1394,15 @@ namespace YLErp.Modules.SwapModule
}
else if (hasClose)
{
SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, false, grossPrice, orginPv);
SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, observationInterval, posiTotalNotional, swapEvents, closeNational, autoSwap: false, grossPrice, orginPv);
}
else//无自动互换、互换/平仓，复制上一日终信息，并计算当日新增利息
{
SaveEodInterestPositionCopy(eodPosition, tdEodPosition, settleDate, td, interest, lastEodSwap, true, posiLongNational, posiShortNational, grossPrice, orginPv);
SaveEodInterestPositionCopy(eodPosition, tdEodPosition, settleDate, td, interest, lastEodSwap, true, posiTotalNotional, grossPrice, orginPv);
}
}
}
/// <summary>
/// 处理浮动腿归档
/// </summary>
@@ -1517,7 +1489,7 @@ namespace YLErp.Modules.SwapModule
autoInterests.ForEach(x => x.PayDate = settleDate);
var premiumModes = new List<int>() { (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
var premiumModes = MarginModes.ForLinq;
var premiumInterests = autoInterests.Where(x => premiumModes.Contains(x.InterestMode)).ToList();
var interestLegs = autoInterests.Where(x => !premiumModes.Contains(x.InterestMode)).ToList();
@@ -1664,24 +1636,26 @@ namespace YLErp.Modules.SwapModule
unwindData.ClientCashIds = clientCashIds;
string data = JsonConvert.SerializeObject(unwindData);
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
// 走虚方法 AddSwapEvent（与 ComposePage:800 一致），让测试可 override 捕获事件；
// 默认实现仍是 new SwapEventService(this).AddSwapEventDate，生产行为不变。
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
if (flowEvents!=null)
{
flowEvents.ForEach(x =>
{
x.EventId = swapEvent.id;
DbContext.swap_flow_event.Add(x);
PersistFlowEvent(x);
});
UpdateInitalPostion(flowEvents, td.id);
}
// 保存分红事件
if (dividendEvents != null)
{
dividendEvents.ForEach(x =>
{
x.EventId = swapEvent.id;
DbContext.swap_flow_event.Add(x);
PersistFlowEvent(x);
});
UpdateInitalPostion(dividendEvents, td.id);
}
@@ -1881,6 +1855,46 @@ namespace YLErp.Modules.SwapModule
trans?.Dispose();
}
}
/// <summary>
/// 利息腿字段拷贝（SaveEodInterestPosition / SaveAutoEodInterestPosition / SaveAutoEodWithCloseInterestPosition 共用）。
/// FloatRate 来源随场景不同（手工互换=当日流水；自动互换/平仓=计息结果），由调用方算好传入，勿在本方法内统一。
/// 场景差异字段（PosiStatus / InterestFeePending / TdInterestPrincipal / TdInterestRate）留在各调用点。
/// </summary>
private static void CopyInterestLegFields(eod_swap_position newEodPayPosition, swap_position position, decimal floatRate)
{
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = floatRate;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
}
/// <summary>
/// 利息腿日终滚存收尾（四个 Save* 共用）：RollRealized 滚累计已实现 → SetFixedLegRealizedPnl → 汇率 → TdCurrency。
/// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
/// interestDirection 是 RateType 的方向来源——三个方法取 position.InterestDirection，
/// SaveEodInterestPositionCopy 取 eodPayPosition.InterestDirection（现状差异，勿统一）。
/// PersistEodSwapPosition 与各自日志留在调用点（持久化边界 + 日志顺序各不相同）。
/// </summary>
private void FinalizeInterestEodRoll(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, int ratio, trade td, DateTime valueDate, int interestDirection)
{
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(interestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
}
/// <summary>
/// 产生互换用
/// </summary>
@@ -1924,20 +1938,8 @@ namespace YLErp.Modules.SwapModule
UpdateDbOption(newEodPayPosition);
newEodPayPosition.PosiStatus = 0;
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = flowEvents.FirstOrDefault()?.FloatRate ?? 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
//持仓内容-利息腿（FloatRate 取当日互换/平仓流水）
CopyInterestLegFields(newEodPayPosition, position, flowEvents.FirstOrDefault()?.FloatRate ?? 0);
newEodPayPosition.InterestFeePending = 0;
//利息端估值用信息
newEodPayPosition.TdInterestPrincipal = flowEvents.FirstOrDefault()?.InterestPrincipal ?? 0;
@@ -1956,8 +1958,8 @@ namespace YLErp.Modules.SwapModule
var interestFeeBeforeSettlement = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee;
var isMaturityFinalSettlement = valueDate.Date >= td.ExerciseDate.Value.Date
&& flowEvents.Any()
&& RoundMoney(interestIncomeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
&& RoundMoney(interestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee);
&& EodPnlCalculator.RoundMoney(interestIncomeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterest)
&& EodPnlCalculator.RoundMoney(interestFeeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterestFee);
if (isMaturityFinalSettlement)
{
@@ -1968,21 +1970,15 @@ namespace YLErp.Modules.SwapModule
}
else
{
newEodPayPosition.InterestIncomeSum = RoundEodInterest(interestIncomeBeforeSettlement - newEodPayPosition.TdCloseInterest);
newEodPayPosition.InterestFeeSum = RoundEodInterest(interestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
newEodPayPosition.InterestIncomeSum = EodPnlCalculator.RoundEodInterest(interestIncomeBeforeSettlement - newEodPayPosition.TdCloseInterest);
newEodPayPosition.InterestFeeSum = EodPnlCalculator.RoundEodInterest(interestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
}
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
PersistEodSwapPosition(newEodPayPosition);
}
/// <summary>
@@ -1997,7 +1993,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="preDealDate">上一平仓/互换日期</param>
/// <param name="closeAmount">当日平仓金额</param>
/// <param name="lastEodSwap">上一日终框架合约估值</param>
protected List<swap_flow_event> SaveAutoEodInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, eod_swap lastEodSwap, decimal posiLongNotional, decimal posiShortNational, decimal grossPrice, decimal orginPv)
protected List<swap_flow_event> SaveAutoEodInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, eod_swap lastEodSwap, decimal posiTotalNotional, decimal grossPrice, decimal orginPv)
{
Log.Info($"[SaveAutoEodInterestPosition] 开始执行 - valueDate: {valueDate:yyyy-MM-dd}, td.id: {td?.id}, position.id: {position?.id}");
@@ -2036,7 +2032,7 @@ namespace YLErp.Modules.SwapModule
}
var tradeExtend = td.trade_extend.ExtendObj;
decimal posiNotionalValue = posiLongNotional + posiShortNational;
decimal posiNotionalValue = posiTotalNotional;
decimal closePercent = 1;
var ratio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
if (eodPayPosition == null)
@@ -2056,12 +2052,14 @@ namespace YLErp.Modules.SwapModule
positions.Add(position);
List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
preEodPositions.Add(eodPayPosition);
// orginPv 在此仅对固定值腿(mode 1)生效；保证金腿(5/6)的 orginPv 虽在此赋值，
// 但 GetInterests 保证金分支已走 CalcMarginInterest（内部自算 orginPv=PreviousBalance），忽略此处传入值。
var interestModes = MarginModes.FixedAmountAndMargin;
if (interestModes.Contains(position.InterestMode))
{
orginPv = eodPayPosition.InterestPrincipalFix;
}
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, true, grossPrice, orginPv, true);
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, orginPv, true);
decimal interestAmountBeforeSettlement = interests.Sum(x => x.InterestAmount);
decimal tdInterestAmount = interests.Sum(x => x.TdInterestAmount);
@@ -2069,8 +2067,8 @@ namespace YLErp.Modules.SwapModule
// 日终快照仍使用上面的高精度应结金额计算待实现尾差，避免把舍入差提前丢掉。
interests.ForEach(x =>
{
x.InterestAmount = RoundMoney(x.InterestAmount);
x.InterestClosePnL = RoundMoney(x.InterestClosePnL);
x.InterestAmount = EodPnlCalculator.RoundMoney(x.InterestAmount);
x.InterestClosePnL = EodPnlCalculator.RoundMoney(x.InterestClosePnL);
});
decimal settledInterestAmount = interests.Sum(x => x.InterestAmount);
@@ -2078,20 +2076,8 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
//持仓内容-利息腿（FloatRate 取计息结果）
CopyInterestLegFields(newEodPayPosition, position, interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0);
newEodPayPosition.InterestFeePending = 0;
//利息端估值用信息
newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode) ? eodPayPosition.InterestPrincipalFix : posiNotionalValue;
@@ -2107,22 +2093,16 @@ namespace YLErp.Modules.SwapModule
// 到期自动互换是最后一次自动结算：两位实际金额已落流水/资金，待实现不再滚入下一日。
newEodPayPosition.InterestIncomeSum = isMaturityFinalAutoSettlement
? 0
: RoundEodInterest(interestAmountBeforeSettlement - settledInterestAmount);
: EodPnlCalculator.RoundEodInterest(interestAmountBeforeSettlement - settledInterestAmount);
newEodPayPosition.InterestFeeSum = isMaturityFinalAutoSettlement
? 0
: RoundEodInterest(eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee);
: EodPnlCalculator.RoundEodInterest(eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee);
newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
PersistEodSwapPosition(newEodPayPosition);
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
return interests;
@@ -2146,7 +2126,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="closeAmount">当日平仓金额</param>
/// <param name="lastEodSwap">上一日终框架合约估值</param>
/// <param name="unwintotal">平仓主信息</param>
protected List<swap_flow_event> SaveAutoEodWithCloseInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, decimal posiLongNotional, decimal posiShortNational, List<swap_flow_event> flowEvents, decimal closeNational, bool autoSwap, decimal grossPrice, decimal orginPv)
protected List<swap_flow_event> SaveAutoEodWithCloseInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, decimal posiTotalNotional, List<swap_flow_event> flowEvents, decimal closeNational, bool autoSwap, decimal grossPrice, decimal orginPv)
{
Log.Info($"eodPayPosition is {JsonHelper.Serialize(eodPayPosition, false)},newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
var tradeExtend = td.trade_extend.ExtendObj;
@@ -2157,8 +2137,8 @@ namespace YLErp.Modules.SwapModule
// 调用共享计息器。因此策略的 "posiNotional × closePercent" 在本例会得到 212197382.46，
// 而本次实际应结的平仓本金是 closeNational=90941735.34。该语义错位由
// SwapDealService.GetInterests 的模式2无条件修正、模式9全平零值兜底分流处理，不能删除。
decimal oriPosiNotionalValue = posiLongNotional + posiShortNational + closeNational;
decimal posiNotionalValue = posiLongNotional + posiShortNational;
decimal oriPosiNotionalValue = posiTotalNotional + closeNational;
decimal posiNotionalValue = posiTotalNotional;
// 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。
var ratio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
// 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。
@@ -2194,6 +2174,8 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition = eodPayPosition.Clone();
newEodPayPosition.id = 0;
}
// orginPv 在此仅对固定值腿(mode 1)生效；保证金腿(5/6)的 orginPv 虽在此赋值，
// 但 GetInterests 保证金分支已走 CalcMarginInterest（内部自算 orginPv=PreviousBalance），忽略此处传入值。
var interestModes = MarginModes.FixedAmountAndMargin;
if (interestModes.Contains(position.InterestMode))
{
@@ -2219,10 +2201,19 @@ namespace YLErp.Modules.SwapModule
positions.Add(position);
List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
preEodPositions.Add(eodPayPosition);
var calcLast = tradeExtend?.InterestCalcMode?.EndsWith("1") ?? true;
// 此处 closePercent=1 表示 EOD 计算本次事件时走全额结息；它不是 closeNational / oriPosiNotionalValue。
// 与上方“收盘后剩余本金”同时传入会触发共享计息器的模式2/9本金修正，见 GetInterests。
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);
var calcLast = tradeExtend?.CalcLast ?? true;
// 显式入口：平仓后剩余本金 + 实际平掉额 + 恒1全额结息（语义见 InterestCalcRequest.EodPostCloseSettle）。
// 该组合触发 GetInterests 内共享计息器的模式2/9本金修正（见其"根因位置"注释，勿删）。
// 恒1 重算的 InterestAmount 是结算现金流的直接输入（非无害中间值）：系统端到端结算结果由 DI_EXCEL_SCENARIO4 家族对账确认书公式保障（最终全平=剩余额×∏利率，2026-08-18 手算复核）。改动本口径前必读该测试家族——任何破坏 ∏ 恒等式的调整都会被其拦截。
// 口径选择常驻记录（快速定位第一入口）：出问题先看这行确认当日本次事件的金额输入，再顺着
// SwapCalcTrace 分段过程日志追计算；autoSwap=观察日结现路径。
Log.Info($"[EOD平仓后收盘结息] tradeId={td.id} valueDate={valueDate:yyyy-MM-dd} autoSwap={autoSwap} " +
$"口径=全额结息(恒1惯例) " +
$"oriPosi(平仓前)={oriPosiNotionalValue} posi(剩余)={posiNotionalValue} close(平掉)={closeNational}");
var interests = CalcEodPostCloseSettleInterests(InterestCalcRequest.EodPostCloseSettle(
td, td.trade_extend, valueDate, valueDate, preEodPositions, positions,
posiNotionalValue, closeNational,
eventType, tdClose: false, orginPv, add: true, 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。
@@ -2232,7 +2223,7 @@ namespace YLErp.Modules.SwapModule
decimal autoSettledInterestAmount = 0m;
if (autoSwap && interests.Count > 0)
{
autoSettledInterestAmount = RoundMoney(interestAmountBeforeSettlement - manualSettledInterestAmount);
autoSettledInterestAmount = EodPnlCalculator.RoundMoney(interestAmountBeforeSettlement - manualSettledInterestAmount);
var autoInterest = interests[0];
autoInterest.InterestAmount = autoSettledInterestAmount;
autoInterest.InterestClosePnL = autoSettledInterestAmount
@@ -2242,22 +2233,23 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
// ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减。
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
// newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
//持仓内容-利息腿（FloatRate 取计息结果）。InterestPrincipalFix 保持腿现值：
// ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减（勿恢复 *(1-closePercent)）。
CopyInterestLegFields(newEodPayPosition, position, interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0);
// ── 持仓延续腿重置日再定盘（EQD-6968 自洽化）──
// 排除日取价已收口为"纯跳过"：事件利率=末段已消费利率。但剩余持仓自当日起进入新计息周期，
// 快照 FloatRate 是后续非重置日(ByEod 沿用 preEod.FloatRate)与当日应计(intersetAcmount)的
// 利率载体——平仓日恰为重置日时必须显式取当日新定盘（与 ByEod 日增路径的重置日行为同构）。
// 全平(剩余=0)/算尾(事件利率已是新定盘)/观察日(autoSwap 恒1已含当日)无需再定盘。
if (!autoSwap && !calcLast && posiNotionalValue > 0m
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode)
&& SwapDealService.IsResetDay(valueDate, td.StartDate.Value, position.interest_rest_days ?? 1))
{
var ongoingFixing = ResolveOngoingResetFixing(position, valueDate);
SwapCalcTrace.Critical(
$"FIX EodCloseRefix p{position.id} {valueDate:yyyy-MM-dd} 平仓日=重置日→剩余持仓快照再定盘 {newEodPayPosition.FloatRate:P6}→{ongoingFixing:P6}");
newEodPayPosition.FloatRate = ongoingFixing;
}
//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。
@@ -2362,13 +2354,13 @@ namespace YLErp.Modules.SwapModule
// 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)
&& EodPnlCalculator.RoundMoney(pendingInterestBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterest)
? 0m
: RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
: EodPnlCalculator.RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
newEodPayPosition.InterestFeeSum = closePercent == 1
&& RoundMoney(pendingInterestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee)
&& EodPnlCalculator.RoundMoney(pendingInterestFeeBeforeSettlement) == EodPnlCalculator.RoundMoney(newEodPayPosition.TdCloseInterestFee)
? 0m
: RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
: EodPnlCalculator.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;
@@ -2379,16 +2371,8 @@ namespace YLErp.Modules.SwapModule
$",TdCloseInterest is {newEodPayPosition.TdCloseInterest}");
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
//累计已实现
// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
// 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存语义见 FinalizeInterestEodRoll：只增不回滚）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
Log.Info($"即将插入数据库的 newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
PersistEodSwapPosition(newEodPayPosition);
return interests;
@@ -2402,11 +2386,13 @@ namespace YLErp.Modules.SwapModule
/// <param name="preSettleDate">上一交易日</param>
/// <param name="valueDate">当前结算日</param>
/// <param name="td">互换交易主干</param>
protected void SaveEodInterestPositionCopy(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, DateTime valueDate, trade td, swap_position position, eod_swap lastEodSwap, bool needPrice, decimal posiLongNational, decimal posiShortNational, decimal grossPrice, decimal orginPv)
protected void SaveEodInterestPositionCopy(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, DateTime valueDate, trade td, swap_position position, eod_swap lastEodSwap, bool needPrice, decimal posiTotalNotional, decimal grossPrice, decimal orginPv)
{
Log.Info($"eodPayPosition is {JsonHelper.Serialize(eodPayPosition, false)},newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
List<IntervalModel> intervals = position.SwapIntervalList;
var tradeExtend = td.trade_extend.ExtendObj;
// orginPv 在此仅对固定值腿(mode 1)生效；保证金腿(5/6)的 orginPv 虽在此赋值，
// 但 GetInterests 保证金分支已走 CalcMarginInterest（内部自算 orginPv=PreviousBalance），忽略此处传入值。
var interestModes = MarginModes.FixedAmountAndMargin;
if (eodPayPosition == null)
{
@@ -2424,7 +2410,7 @@ namespace YLErp.Modules.SwapModule
eodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
eodPayPosition.InterestRateDefault = position.InterestRateDefault;
eodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
eodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode) ? eodPayPosition.InterestPrincipalFix : posiLongNational + posiShortNational;
eodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode) ? eodPayPosition.InterestPrincipalFix : posiTotalNotional;
eodPayPosition.PosiStartDate = td.StartDate.Value;
eodPayPosition.PosiMatuirityDate = td.ExerciseDate.Value;
eodPayPosition.IsAnnualized = position.IsAnnualized;
@@ -2447,7 +2433,7 @@ namespace YLErp.Modules.SwapModule
orginPv = eodPayPosition.InterestPrincipalFix;
}
bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
decimal oriPosiNotionalValue = posiLongNational + posiShortNational;
decimal oriPosiNotionalValue = posiTotalNotional;
decimal posiNotionalValue = oriPosiNotionalValue;
if (lastEodSwap == null)
{
@@ -2472,7 +2458,7 @@ namespace YLErp.Modules.SwapModule
{
preEodPositions.Add(eodPayPosition);
}
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNational, posiShortNational, posiNotionalValue, closePercent, 0, false, needPrice, grossPrice, orginPv);
var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiNotionalValue, closePercent, 0, false, orginPv);
UpdateDbOption(newEodPayPosition);
newEodPayPosition.PosiStatus = 0;
@@ -2500,14 +2486,8 @@ namespace YLErp.Modules.SwapModule
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(eodPayPosition.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll；方向源=eodPayPosition，与其他三方法不同，勿统一）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, eodPayPosition.InterestDirection);
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
PersistEodSwapPosition(newEodPayPosition);
@@ -2603,7 +2583,7 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.RealizedFee = closeFee;
newEodPayPosition.RealizedMtmPnL = newEodPayPosition.TdCloseMtmPnl;
newEodPayPosition.RealizedDividend = newEodPayPosition.TdCloseDividend;
SetFloatingRealizedPnl(newEodPayPosition);
EodPnlCalculator.SetFloatingRealizedPnl(newEodPayPosition);
newEodPayPosition.PosiStatus = payQty == 0 ? 1 : 0;
UpdateDbOption(newEodPayPosition);
@@ -2658,6 +2638,11 @@ namespace YLErp.Modules.SwapModule
curretEod.TdPosiDividend = DividendCalc.AfterTax(payment, tax);
}
curretEod.PosiDividendSum = eod.PosiQuantity > 0 ? Math.Round(eod.PosiDividendSum + curretEod.TdPosiDividend, 2) : 0;
// 分红递推过程常驻记录（快速定位）：窗口/数量/税率/当日新计/累计前后值——
// 配合 BondPaymentService 的[分红-登记日口径]窗口命中日志，构成"命中哪些登记日→算出多少→账滚到多少"全链
Log.Info($"[分红-EOD计提Copy] tradeId={td.id} posiId={eod.PositionId} valueDate={valueDate:yyyy-MM-dd} " +
$"window=({eod.ValueDate:yyyy-MM-dd},{valueDate:yyyy-MM-dd}] qty={curretEod.PosiQuantity} tax={tax} " +
$"TdPosiDividend={curretEod.TdPosiDividend} PosiDividendSum {eod.PosiDividendSum}->{curretEod.PosiDividendSum}");
curretEod.PosiQuantity = eod.PosiQuantity;
if (curretEod.PosiStatus == 1)
{
@@ -2677,7 +2662,7 @@ namespace YLErp.Modules.SwapModule
curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = eod.RealizedDividend + curretEod.TdCloseDividend;
curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
SetFloatingRealizedPnl(curretEod);
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
, seekPreday: true, currencyRateType: DirectionRatio.RateType(curretEod.PosiDirection));
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -2692,17 +2677,6 @@ namespace YLErp.Modules.SwapModule
return curretEod;
}
/// <summary>
/// 浮动腿累计已实现盈亏由盯市、分红和费用三个已实现组成项汇总。
/// 各组成项已经按本方视角落库，此处不再额外转换方向。
/// </summary>
private static void SetFloatingRealizedPnl(eod_swap_position position)
{
position.RealizedPnl = position.RealizedMtmPnL
+ position.RealizedDividend
+ position.RealizedFee;
}
/// <summary>
/// 更新虚拟交易费用
/// </summary>
@@ -2741,11 +2715,11 @@ namespace YLErp.Modules.SwapModule
int shortRatio = DirectionRatio.LongShort(eod.PositionType);
int directionRatio = DirectionRatio.ReceivePay(eod.PosiDirection);
var price = GetSwapValuationPrice(eod.UnderlyingCode, dealDate, out decimal vobp);
var todayConsumedDividend = CalcConsumedDividend(curretEod, unwindEvents);
var originNotional = (decimal)td.OriginalStockEqvNotional / swapPosition.PosiNetPrice;
decimal totalPayment = CalcBondPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio);
// 历史遗留死代码已删（2026-08-16，论证+边界测试见 DividendEodNoDoubleCountTest.脏数据边界_*）：
// todayConsumedDividend / originNotional / totalPayment / totalInterest 自 0910969e(2026-07-02
// 改递推式) 起计算结果从未被消费，仅残留一次全历史 CalcBondPayment 只读查询+日志副作用，
// 且构成脏数据(OriginalStockEqvNotional=null/PosiNetPrice=0)下的 EOD 崩溃点。回退=git revert 本提交。
decimal tax = um.ValueAddedTax ?? 0;
decimal totalInterest = DividendCalc.AfterTaxRaw(totalPayment, tax);
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition);
curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
curretEod.UnderlyingPrice = price;
@@ -2778,7 +2752,12 @@ namespace YLErp.Modules.SwapModule
{
curretEod.PosiDividendSum = 0;
}
SetFloatingRealizedPnl(curretEod);
// 分红递推过程常驻记录（快速定位）：当日事件路径含实现扣减（前日+新计-当日实现）
Log.Info($"[分红-EOD计提Update] tradeId={td.id} posiId={eod.PositionId} valueDate={valueDate:yyyy-MM-dd} " +
$"window=({eod.ValueDate:yyyy-MM-dd},{valueDate:yyyy-MM-dd}] qty={curretEod.PosiQuantity} tax={tax} " +
$"TdPosiDividend={curretEod.TdPosiDividend} TdCloseDividend={curretEod.TdCloseDividend} " +
$"PosiDividendSum {eod.PosiDividendSum}->{curretEod.PosiDividendSum}");
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
curretEod.SwapPositionValue -= curretEod.TdCloseDividend;
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
@@ -2800,20 +2779,6 @@ namespace YLErp.Modules.SwapModule
return curretEod;
}
private decimal CalcConsumedDividend(eod_swap_position curretEod, List<swap_flow_event> events)
{
decimal consumedDividend = 0;
List<int> swapEventTypes = new List<int>() { (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
//这里要剔除掉平仓产生的分红
consumedDividend = events
.Where(x => x.SwapTradeId == curretEod.SwapTradeId
&& swapEventTypes.Contains(x.EventType)
&& x.DataState == (int)SwapFlowDateStateEnum.完成)
.Sum(s => s.DividendIn);
return consumedDividend;
}
/// <summary>
/// 根据开平仓事件算价格及后付费用
/// </summary>
@@ -2958,7 +2923,7 @@ namespace YLErp.Modules.SwapModule
curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = curretEod.TdCloseDividend;
curretEod.RealizedFee = curretEod.TdCloseFee;
SetFloatingRealizedPnl(curretEod);
EodPnlCalculator.SetFloatingRealizedPnl(curretEod);
curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
if (curretEod.PosiStatus == 1)
{
@@ -3037,7 +3002,7 @@ namespace YLErp.Modules.SwapModule
var tradeSpan = DbContext.trade_span.FirstOrDefault(x => x.TradeId == td.id && x.ValueDate == settleDate);
// eod_swap 是交易级汇总；eod_swap_position 是浮动腿、利息腿和保证金腿的明细。
// 以下先按日终明细拆腿，再按框架合约展示口径汇总。
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).ToList();
var eodSwapPositions = DbContext.eod_swap_position.ActiveByTradeAndDate(td.id, settleDate).ToList();
var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
// 框架合约的方向约定：多头为正、空头为负；总名义本金取交易原始规模，
@@ -3049,8 +3014,8 @@ namespace YLErp.Modules.SwapModule
eod_Swap.BookId = td.AssetId;
eod_Swap.ValueDate = settleDate;
eod_Swap.StructureType = td.StructureType;
FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL = SumInterestPnL(interestPositions);
EodPnlCalculator.FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL = EodPnlCalculator.SumInterestPnL(interestPositions);
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
// 保证金腿的利息现金流方向与保证金本金方向相反。
// 不能直接汇总 RealizedPnl，否则“收取客户保证金”的腿会把应支付给客户的
@@ -3099,12 +3064,12 @@ namespace YLErp.Modules.SwapModule
DbContext.eod_swap.Add(eod_Swap);
}
// 单标的调整与首次归档使用同一套框架合约汇总口径，避免重算后多空和名义本金展示不一致。
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).ToList();
var eodSwapPositions = DbContext.eod_swap_position.ActiveByTradeAndDate(td.id, settleDate).ToList();
var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL += SumInterestPnL(interestPositions);
EodPnlCalculator.FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL += EodPnlCalculator.SumInterestPnL(interestPositions);
eodSwapPositions.ForEach(x =>
{
var ratio = DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
@@ -3130,38 +3095,7 @@ namespace YLErp.Modules.SwapModule
/// 我方支付给对手方的成本计入，而不会错误增加框架合约已实现收益。
/// 抽为静态纯函数以支持无库单测（marginTypes 等价于 ConsTrade.InterestMarginModels）。
/// </summary>
public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
{
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
return position.RealizedMtmPnL
+ position.RealizedDividend
+ position.RealizedFee
+ position.RealizedInterest * interestRatio
+ position.RealizedInterestFee;
}
/// <summary>填充框架合约的持仓腿汇总字段（多空名义本金/市值/浮动盈亏/dv01/平仓量）。
/// SaveEodSwap 与 UpdateEodSwap 共用，消除 ~10 行重复。</summary>
private static void FillPositionLegSummary(eod_swap eod_Swap, List<eod_swap_position> positions)
{
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
}
/// <summary>利息腿 PnL 汇总（按方向比例 + 保证金翻转）。原 SaveEodSwap/UpdateEodSwap 各一段 ForEach。</summary>
private static decimal SumInterestPnL(List<eod_swap_position> interestPositions)
{
decimal interestPnL = 0;
foreach (var x in interestPositions)
interestPnL += x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
return interestPnL;
}
public static decimal CalculateSwapRealizedPnl(eod_swap_position position) => EodPnlCalculator.CalculateSwapRealizedPnl(position);
/// <summary>
/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
@@ -3170,20 +3104,7 @@ namespace YLErp.Modules.SwapModule
/// 抽为 public static 纯函数以支持无库单测（见 SwapReportInterestSignNormalizeTest）。
/// 仅当 InterestDirection > 0 时执行（与原内联逻辑等价）。
/// </summary>
public static void NormalizeInterestSignForReport(eod_swap_position position)
{
if (position.InterestDirection <= 0) return;
if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
{
return;
}
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
position.TdCloseInterest = Math.Abs(position.TdCloseInterest) * interestRatio;
position.RealizedInterest = Math.Abs(position.RealizedInterest) * interestRatio;
// 兼容修复前已落库的利息腿：当时只累计了明细字段，未同步写入 RealizedPnl。
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
}
public static void NormalizeInterestSignForReport(eod_swap_position position) => EodPnlCalculator.NormalizeInterestSignForReport(position);
/// <summary>
/// 获取多空组合 平仓详细
@@ -3194,7 +3115,7 @@ namespace YLErp.Modules.SwapModule
public SwapLongShortCloseModel GetCloseDetails(int tradeId, DateTime valueDate)
{
SwapLongShortCloseModel closeModel = new SwapLongShortCloseModel();
var eodPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == tradeId && x.ValueDate == valueDate && !x.Invalid).ToList();
var eodPositions = DbContext.eod_swap_position.ActiveByTradeAndDate(tradeId, valueDate).ToList();
var flowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.EventDate == valueDate && x.DataState == (int)SwapFlowDateStateEnum.完成 && x.EventType == (int)SwapEventTypeEnum.平仓 && string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
closeModel.DealPositions = eodPositions.Where(x => x.TdCloseQty != 0).ToList();
closeModel.DealInterests = flowEvents;
@@ -3435,7 +3356,7 @@ namespace YLErp.Modules.SwapModule
/// <returns></returns>
public List<eod_swap_position> GetPreEodPositions(int tradeId, DateTime valueDate)
{
return DbContext.eod_swap_position.Where(x => x.SwapTradeId == tradeId && x.ValueDate == valueDate && !x.Invalid).ToList();
return DbContext.eod_swap_position.ActiveByTradeAndDate(tradeId, valueDate).ToList();
}
/// <summary>
/// 获取互换交易日终持仓数据集合
@@ -3673,7 +3594,7 @@ namespace YLErp.Modules.SwapModule
item.position.FloatRateUnderlyingCode = floatRateInterest?.FloatRateUnderlyingCode;
item.position.FloatRate = floatRateInterest?.FloatRate ?? 0;
item.OpenMarginAmount = initialMargins.Sum(s => s.InterestPrincipalFix * DirectionRatio.ReceivePay(s.InterestDirection));
item.OpenMarginRate = CalculateWeightedMarginRate(tradeMargins);
item.OpenMarginRate = EodPnlCalculator.CalculateWeightedMarginRate(tradeMargins);
item.AdditionalMarginAmount = additionalMargins.Sum(s => s.InterestPrincipalFix * DirectionRatio.ReceivePay(s.InterestDirection));
item.MarginInterestAmount = CalculateWeightedMarginInterest(eodMargins);
item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (-DirectionRatio.ReceivePay(s.InterestDirection)));
@@ -3698,29 +3619,12 @@ namespace YLErp.Modules.SwapModule
return retListResult;
}
/// <summary>
/// 计算预付金利率。多条初始/追加预付金腿按本金绝对值加权，
/// 不按收付方向轧差，避免相反方向本金抵消后放大利率。
/// </summary>
private static decimal CalculateWeightedMarginRate(IEnumerable<swap_position> margins)
{
var marginList = margins.ToList();
var totalWeight = marginList.Sum(x => Math.Abs(x.InterestPrincipalFix));
return totalWeight == 0
? 0
: marginList.Sum(x => x.InterestRateDefault * Math.Abs(x.InterestPrincipalFix)) / totalWeight;
}
/// <summary>
/// 计算预付金利息金额。InterestIncomeSum 已是各腿利息金额，
/// 按收取为正、支付为负直接轧差求和，不做本金加权。
/// 抽为 public static 纯函数以支持无库单测（见 SwapWeightedMarginInterestTest）。
/// </summary>
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins)
{
return margins.Sum(x =>
x.InterestIncomeSum * DirectionRatio.ReceivePay(x.InterestDirection));
}
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins) => EodPnlCalculator.CalculateWeightedMarginInterest(margins);
/// <summary>
/// 固定利息腿的累计已实现盈亏 = 累计已实现利息 + 累计已实现利息费用。
@@ -3728,10 +3632,7 @@ namespace YLErp.Modules.SwapModule
/// 抽为 public static 纯函数以支持无库单测（见 SwapFixedLegRealizedPnlTest），
/// 并消除复制粘贴带来的笔误风险（如 L1296 历史双分号）。
/// </summary>
public static void SetFixedLegRealizedPnl(eod_swap_position position)
{
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
}
public static void SetFixedLegRealizedPnl(eod_swap_position position) => EodPnlCalculator.SetFixedLegRealizedPnl(position);
/// <summary>
/// 将数据库中以公司/交易簿记方向保存的日终字段转换为客户视角。
/// 该转换必须在拆分浮动收益、费用和期间付息/分红之前完成，