fix(swap): 解决（观察日）利率计算精度问题并优化价格精度处理
- 在SwapDealService中对GetFixedRate结果进行精度调整，解决原数据精度误差问题 - 在swapPricePrecisionHelper中添加roundDecimal方法并移除TODO注释 - 新增observationRate相关的精度处理函数，包括roundObservationRate和percent转换函数 - 创建serializeSwapIntervals函数用于处理掉期区间利率精度序列化 - 将consNumberFormat.umpriceP替换为swapPricePrecision.shiftDecimal进行百分比转换 - 使用新的精度处理函数替代原有的toFixed(6)和乘以0.01的操作
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张名锐
@@ -712,7 +712,7 @@ namespace YLErp.Modules.SwapModule
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}
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// 获取利率
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decimal rate = GetFixedRate(position, unwindDate);
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decimal rate = Math.Round(GetFixedRate(position, unwindDate), InterestCalculationPrecision, MidpointRounding.AwayFromZero); // 做精度调整 原数据有精度误差
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decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone);
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// 根据场景计算利息
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@@ -42,7 +42,7 @@ var swapPricePrecision = (function (global) {
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FixingRepoRate: { integerDigits: 2, precision: 4 },
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RateYield: {integerDigits: 6, precision: 8},
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BondIndex: {integerDigits: 6, precision: 4},
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// TODO: Add InterestYield, BondIndex and GoldFutures after their enum values are confirmed.
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});
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function normalizeDecimal(value) {
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@@ -265,6 +265,7 @@ var swapPricePrecision = (function (global) {
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return rule ? Object.assign({}, options, rule) : Object.assign({}, options);
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},
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format: format,
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roundDecimal: roundDecimal,
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roundForSubmit: function (value, instrumentType, field, storagePrecisionOffset) {
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const rule = getRule(instrumentType, field);
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if (value === null || value === undefined || value === '' || !rule) return value;
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@@ -20,6 +20,18 @@ const inputFormatPosiFeeUnit = Object.freeze({ precision: 6, negative: true, app
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const inputFormatMarginRate = Object.freeze({ precision: otcformat.trading.marginRateP.precision, append: '%' });
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const inputFormatSwapDeliveryPrice = Object.freeze({ precision: 9, negative: true, append: '', percent: false });
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const consPosiFeeType = Object.freeze({ Percent: 0, Unit: 1 });
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const observationRatePrecision = 12;
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const roundObservationRate = function (value) {
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const rounded = swapPricePrecision.roundDecimal(value, observationRatePrecision);
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return rounded === null || rounded === '' ? value : rounded;
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};
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const observationRateFromPercent = function (value) {
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const rate = roundObservationRate(swapPricePrecision.shiftDecimal(value, -2));
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return rate === null || rate === '' ? value : Number(rate);
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};
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const observationRateTextFromPercent = function (value) {
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return roundObservationRate(swapPricePrecision.shiftDecimal(value, -2));
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};
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const swapPosiFeeCalc = Object.freeze({
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normalizeFeeType(feeType) {
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return Number(feeType) === consPosiFeeType.Unit ? consPosiFeeType.Unit : consPosiFeeType.Percent;
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@@ -712,6 +724,15 @@ const vue = new Vue({
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if (this.trade.trade_extend.ExtendObj.InterestCalcMode == "00" || this.trade.trade_extend.ExtendObj.InterestCalcMode == "10") {
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date = moment(date).add(-1, 'days').format('YYYY-MM-DD');
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}
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const serializeSwapIntervals = function (position) {
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position.SwapIntervalList.forEach(interval => {
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const rate = roundObservationRate(interval.Rate);
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if (rate !== null && rate !== '') {
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interval.Rate = Number(rate);
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}
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});
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position.InterestSwapInterval = JSON.stringify(position.SwapIntervalList);
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};
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this.getSwapList.forEach((x,index) => {
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if ((x.UnderlyingCode == null || x.UnderlyingCode.length == 0) && x.SwapIntervalList.length == 0) {
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var interval = {
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@@ -727,7 +748,7 @@ const vue = new Vue({
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return false;
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}
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x.FloatRateUnderlyingCode = x.FloatRateUnderlyingCode == "--" ? null : x.FloatRateUnderlyingCode;
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x.InterestSwapInterval = JSON.stringify(x.SwapIntervalList);
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serializeSwapIntervals(x);
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thisObj.trade.swap_positions.push(x);
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});
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if (errorcount > 0) {
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@@ -750,7 +771,7 @@ const vue = new Vue({
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}
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x.FloatRateUnderlyingCode = x.FloatRateUnderlyingCode == "--" ? null : x.FloatRateUnderlyingCode;
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margin = margin + x.InterestPrincipalFix * (x.InterestDirection == 1 ? 1 : -1);
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x.InterestSwapInterval = JSON.stringify(x.SwapIntervalList);
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serializeSwapIntervals(x);
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thisObj.trade.swap_positions.push(x);
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});
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if (errorcount > 0) {
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@@ -1031,14 +1052,14 @@ const vue = new Vue({
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date: _date,
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SettlementDate: m.format("YYYY-MM-DD"),
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floatRateCode: floatRateCode,
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val: _.toString(val) ? parseFloat(consNumberFormat.umpriceP(val)) : "",
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val: _.toString(val) ? swapPricePrecision.shiftDecimal(val, 2) : "",
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itemChecked: itemChecked,
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disabled: disabled
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};
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} else {
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obdate = {
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date: _date,
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val: _.toString(val) ? parseFloat(consNumberFormat.umpriceP(val)) : "",
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val: _.toString(val) ? swapPricePrecision.shiftDecimal(val, 2) : "",
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itemChecked: itemChecked,
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disabled: disabled
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};
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@@ -1099,7 +1120,7 @@ const vue = new Vue({
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if (!isNaN(sm.date())) {
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_settleDate = sm.format("YYYY-MM-DD");
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}
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var val = parseFloat(consNumberFormat.umpriceP(thisObj.observation.DefaultTitle1Value));
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var val = swapPricePrecision.shiftDecimal(thisObj.observation.DefaultTitle1Value, 2);
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var itemChecked = true;
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var disabled = false;
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if (_date == thisObj.trade.ExerciseDate) {
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@@ -1135,7 +1156,7 @@ const vue = new Vue({
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if (!isNaN(m.date())) {
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_date = m.format("YYYY-MM-DD");
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}
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var val = parseFloat(consNumberFormat.umpriceP(thisObj.observation.DefaultTitle1Value));
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var val = swapPricePrecision.shiftDecimal(thisObj.observation.DefaultTitle1Value, 2);
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var itemChecked = true;
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var disabled = false;
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if (_date == thisObj.trade.ExerciseDate) {
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@@ -1159,7 +1180,7 @@ const vue = new Vue({
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var observationStr = "";
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if (this.observation.ObservationDataList != null) {
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this.observation.ObservationDataList.forEach(item => {
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observationStr = observationStr + item.date + ", " + item.SettlementDate + ", " + (item.val * 0.01).toFixed(6) + ", " + item.itemChecked + ";\n";
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observationStr = observationStr + item.date + ", " + item.SettlementDate + ", " + observationRateTextFromPercent(item.val) + ", " + item.itemChecked + ";\n";
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});
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}
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this.observation.ObservationInterval = observationStr;
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@@ -1209,7 +1230,7 @@ const vue = new Vue({
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date: values[0],
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SettlementDate: values[1] || "",
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floatRateCode: floatRateCode,
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val: _.toString(val) ? parseFloat(consNumberFormat.umpriceP(val)) : "",
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val: _.toString(val) ? swapPricePrecision.shiftDecimal(val, 2) : "",
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itemChecked: itemChecked,
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disabled: disabled
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}
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@@ -1289,7 +1310,7 @@ const vue = new Vue({
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}
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var observation = {
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Date: item.date,
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Rate: item.val * 0.01,
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Rate: observationRateFromPercent(item.val),
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Settlement: item.itemChecked ? 1 : 0,
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SettlementDate: item.SettlementDate || null // 结算日期
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}
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