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dv01全局去除

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This commit is contained in:
吴方海
2024-06-12 10:28:49 +08:00
parent 258b05a3c8
commit 62db850bae
18 changed files with 27 additions and 629 deletions
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Framework/YLErp.Core/DBModels/EodSwap.cs
-23
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@@ -148,29 +148,6 @@ namespace YLErp.DBModels
[DataChange]
public decimal TdCloseQty { get; set; }
/// <summary>
/// 是否跳过收盘
/// </summary>
public bool IsSkipEod { get; set; } = false;
/// <summary>
/// dv01值
/// </summary>
public decimal? DV01 { get; set; } = 0;
/// <summary>
/// 衡泰合约持仓价值
/// </summary>
public decimal HTPostionValue { get; set; }
/// <summary>
/// 衡泰合约浮动端待实现收益
/// </summary>
public decimal HTFloatingPnL { get; set; }
/// <summary>
/// 虚拟交易费用
/// </summary>
public decimal VTradingFee { get; set; }
/// <summary>
/// 平仓起始日期
/// </summary>
[NotMapped]
Framework/YLErp.Core/DBModels/EodSwapPosition.cs
-19
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@@ -404,11 +404,6 @@ namespace YLErp.DBModels
/// </summary>
public string Currency { get; set; }
/// <summary>
/// 是否跳过收盘
/// </summary>
public bool IsSkipEod { get; set; }=false;
/// <summary>
/// 标的资产类型
/// </summary>
@@ -421,20 +416,6 @@ namespace YLErp.DBModels
/// 成交净价不含费
/// </summary>
public decimal? PosiNetNoFeePrice { get; set; }
/// <summary>
/// dv01值
/// </summary>
public decimal? DV01 { get; set; }
/// <summary>
/// 衡泰互换持仓价值
/// </summary>
public decimal HTSwapPositionValue { get; set; }
/// <summary>
/// 衡泰浮动端的所有待实现收益（当前浮动腿的价值）
/// </summary>
public decimal HTPosiProfitSum { get; set; }
/// <summary>
/// 虚拟交易费用
Framework/YLErp.Core/DBModels/QuotaMonitor.cs
-60
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@@ -697,32 +697,6 @@ namespace YLErp.DBModels
/// 信用风险敞口
/// </summary>
public double? CreditExposure { get; set; }
public double? Quota_DV01 { get; set; }
/// <summary>
/// DV01警告
/// </summary>
[NotMapped]
public double? Quota_DV01_wLower { get; set; } = double.NaN;
/// <summary>
/// DV01限额
/// </summary>
[NotMapped]
public double? Quota_DV01_Upper { get; set; } = double.NaN;
/// <summary>
/// DV01限额
/// </summary>
[NotMapped]
public double? Quota_DV01_Lower { get; set; } = double.NaN;
/// <summary>
/// DV01警告
/// </summary>
[NotMapped]
public double? Quota_DV01_wUpper { get; set; } = double.NaN;
}
/// <summary>
@@ -920,30 +894,6 @@ namespace YLErp.DBModels
/// CCR
/// </summary>
public double? Quota_CCR { get; set; } = double.NaN;
/// <summary>
/// DV01
/// </summary>
public double? Quota_DV01 { get; set;} = double.NaN;
/// <summary>
/// DV01警告
/// </summary>
public double? Quota_DV01_wLower { get; set; } = double.NaN;
/// <summary>
/// DV01限额
/// </summary>
public double? Quota_DV01_Upper { get; set; } = double.NaN;
/// <summary>
/// DV01限额
/// </summary>
public double? Quota_DV01_Lower { get; set; } = double.NaN;
/// <summary>
/// DV01警告
/// </summary>
public double? Quota_DV01_wUpper { get; set; } = double.NaN;
}
/// <summary>
@@ -1311,15 +1261,5 @@ namespace YLErp.DBModels
public double? Quota_ThisYearTotalPnl_Lower { get; set; } = double.NaN;
public double? Quota_ThisYearTotalPnl_wUpper { get; set; } = double.NaN;
public double? Quota_ThisYearTotalPnl_wLower { get; set; } = double.NaN;
public double? Quota_DV01 { get; set; } = double.NaN;
[NotMapped]
public double? Quota_DV01_Upper { get; set; } = double.NaN;
[NotMapped]
public double? Quota_DV01_Lower { get; set; } = double.NaN;
[NotMapped]
public double? Quota_DV01_wUpper { get; set; } = double.NaN;
[NotMapped]
public double? Quota_DV01_wLower { get; set; } = double.NaN;
}
}
Framework/YLErp.Core/Enums/QuotaMonitorEnums.cs
+1 -1
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@@ -111,7 +111,7 @@ namespace YLErp.Enums
{
return new List<SelectItem>()
{
new SelectItem() {Text="全局",Value="16" },
//new SelectItem() {Text="全局",Value="16" },
//new SelectItem() {Text="场外业务",Value="0" },
//new SelectItem() {Text="场外期权",Value="1" },
new SelectItem() {Text="互换",Value="2" },
Framework/YLErp.Core/Models/ClientSettleBalance.cs
-4
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@@ -1063,10 +1063,6 @@ namespace YLErp.Models
/// </summary>
[NotMapped]
public string LastHTSettlemetTime { get; set; }
/// <summary>
/// dv01值汇总
/// </summary>
public double DV01Count { get; set; }
public double MaintenanceLine { get; set; }
YLErpDAL/BLL/EodSettlement/RealTimeClientBanlanceService.cs
-1
View File
@@ -1426,7 +1426,6 @@ namespace YLErp.BLL.Eod
balance.RoundedPositionPnl += Math.Round(Convert.ToDouble(pnl), 2);
//期权空头浮动盈利=∑max(期权空头持仓*(期权合约成本价-期权合约现价), 0) 从客户角度看的
balance.ClientSellPositionPnl += Convert.ToDouble(eodSwap.FloatingPnL);
balance.DV01Count += Convert.ToDouble(eodSwap.DV01);
}
}
YLErpDAL/BLL/EodSettlement/RealtimePnlCalc.cs
-1
View File
@@ -1351,7 +1351,6 @@ namespace YLErp.BLL.Eod
VegaCash = NumberExtensions.Norm(optionValueResult.VegaCash),
UnderlyingPrice = optionValueResult.SpotPrice,
DV01 = optionValueResult.DV01
};
result.DeltaInLots = TradeLotsCalc.CalcDeltaInLots(result.Delta ?? 0, variety, udm);
YLErpDAL/Model/CheckQuotaMoitorModel.cs
-4
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@@ -40,10 +40,6 @@ namespace YLErp.Model
public decimal Commision { get; set; }
/// <summary>
/// dv01
/// </summary>
public decimal DV01 { get; set; }
/// <summary>
/// 持仓市值
/// </summary>
public decimal Pv { get; set; }
YLErpDAL/Model/RealtimeTradeRisk.cs
-4
View File
@@ -159,10 +159,6 @@ namespace YLErp.DBModels
/// </summary>
[DisplayName("信用风险敞口")]
public double CreditExposure { get; set; }
/// <summary>
/// DV01值
/// </summary>
public double? DV01 { get; set; }
public realtime_trade_risk Clone()
{
return (realtime_trade_risk)MemberwiseClone();
YLErpDAL/Modules/CalculationModule/Models/TradeValueResult.cs
-5
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@@ -495,11 +495,6 @@ namespace YLErp.Modules.CalculationModule
/// Theta(轧差)
/// </summary>
public double ThetaNet { get; set; }
/// <summary>
/// dv01值
/// </summary>
public double DV01 { get; set; }
}
public class TradeValueResultExtend
YLErpDAL/Modules/CalculationModule/PayoffSwapCalcService.cs
+1 -6
View File
@@ -136,8 +136,7 @@ namespace YLErp.Modules.CalculationModule
Rho = 0,
DeltaCash = (lastEodSwap.MarketValueLong > 0 ? spotPrice : -spotPrice) * trade.Notional,
GammaCash = 0,
SpotPrice= spotPrice,
DV01= Convert.ToDouble(lastEodSwap.DV01)
SpotPrice= spotPrice
};
return OptionValue;
@@ -158,7 +157,6 @@ namespace YLErp.Modules.CalculationModule
eodSwap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
eodSwap.NotionalValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
eodSwap.NotionalValue = eodSwap.NotionalValueLong + eodSwap.NotionalValueShort;
eodSwap.DV01 = 0;
var lastEod = db.eod_swap.Where(x => x.SwapTradeId == trade.id).OrderByDescending(o => o.ValueDate).FirstOrDefault();
eodSwap.RealizedPnL = lastEod?.RealizedPnL ?? 0;
eodSwap.InterestPnL = lastEod?.InterestPnL ?? 0;
@@ -168,14 +166,12 @@ namespace YLErp.Modules.CalculationModule
int directionRatio = item.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
var pv = item.PosiQuantity * shortRatio * item.ContractSize;
var pvNoPrice = item.PosiQuantity * item.ContractSize;
decimal vobp = 0;
var data = DataCacheProvider.GetUnderlyingDataSource().GetData(item.UnderlyingCode);
if (data != null)
{
if (data.IsBond())
{
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, data.UnderlyingCode);
vobp = bondPrice?.Vobp ?? 0;
var price = Convert.ToDecimal(bondPrice?.ClosePrice??0);
eodSwap.FloatingPnL = (price - item.PosiGrossPrice) * item.PosiQuantity * item.ContractSize * shortRatio * directionRatio;
}
@@ -189,7 +185,6 @@ namespace YLErp.Modules.CalculationModule
eodSwap.MarketValueShort += pv;
}
eodSwap.NotionalValue += pvNoPrice;
eodSwap.DV01 += pvNoPrice * vobp * shortRatio * directionRatio * 0.01m;
}
eodSwap.PostionValue = eodSwap.InterestPnL + eodSwap.FloatingPnL;
return eodSwap;
YLErpDAL/Modules/RiskModule/QuotaMonitorService.cs
+14 -298
View File
@@ -381,11 +381,6 @@ namespace YLErp.Modules.RiskModule
O.Quota_HoldingFund_Lower = O.Quota_HoldingFund_Lower.IsNormalize() ? O.Quota_HoldingFund_Lower : null;
O.Quota_HoldingFund_wUpper = O.Quota_HoldingFund_wUpper.IsNormalize() ? O.Quota_HoldingFund_wUpper : null;
O.Quota_HoldingFund_wLower = O.Quota_HoldingFund_wLower.IsNormalize() ? O.Quota_HoldingFund_wLower : null;
O.Quota_DV01 = O.Quota_DV01.IsNormalize() ? O.Quota_DV01 : null;
O.Quota_DV01_Upper = O.Quota_DV01_Upper.IsNormalize() ? O.Quota_DV01_Upper : null;
O.Quota_DV01_Lower = O.Quota_DV01_Lower.IsNormalize() ? O.Quota_DV01_Lower : null;
O.Quota_DV01_wUpper = O.Quota_DV01_wUpper.IsNormalize() ? O.Quota_DV01_wUpper : null;
O.Quota_DV01_wLower = O.Quota_DV01_wLower.IsNormalize() ? O.Quota_DV01_wLower : null;
});
DbContext.QuotaMonitor_Client.AddRange(list);
}
@@ -435,11 +430,6 @@ namespace YLErp.Modules.RiskModule
O.Quota_SwapPercent_Lower = O.Quota_SwapPercent_Lower.IsNormalize() ? O.Quota_SwapPercent_Lower : null;
O.Quota_SwapPercent_wUpper = O.Quota_SwapPercent_wUpper.IsNormalize() ? O.Quota_SwapPercent_wUpper : null;
O.Quota_SwapPercent_wLower = O.Quota_SwapPercent_wLower.IsNormalize() ? O.Quota_SwapPercent_wLower : null;
O.Quota_DV01 = O.Quota_DV01.IsNormalize() ? O.Quota_DV01 : null;
O.Quota_DV01_Upper = O.Quota_DV01_Upper.IsNormalize() ? O.Quota_DV01_Upper : null;
O.Quota_DV01_Lower = O.Quota_DV01_Lower.IsNormalize() ? O.Quota_DV01_Lower : null;
O.Quota_DV01_wUpper = O.Quota_DV01_wUpper.IsNormalize() ? O.Quota_DV01_wUpper : null;
O.Quota_DV01_wLower = O.Quota_DV01_wLower.IsNormalize() ? O.Quota_DV01_wLower : null;
});
DbContext.QuotaMonitor_Trade.AddRange(list);
}
@@ -706,16 +696,6 @@ namespace YLErp.Modules.RiskModule
{
//SetDebugSqlLog();
var list = QueryFromDb<QuotaMonitor_Global>(req);
var allSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_ALL);
var dv01Settings = allSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV01").FirstOrDefault()?.Clone();
var types = new[] { "互换" };
list.ForEach(O =>
{
O.Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN;
O.Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN;
O.Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN;
O.Quota_DV01_wLower = dv01Settings?.WarningLowerLimit ?? double.NaN;
});
list.Reverse();
return list;
}
@@ -728,28 +708,7 @@ namespace YLErp.Modules.RiskModule
public List<QuotaMonitor_Client> QueryClientFromDb(QuotaMonitorReq req)
{
var list = QueryFromDb<QuotaMonitor_Client>(req);
var allSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.CLIENT).Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaIndex == "DV01");
var dv01Settings = allSetting.Where(O => O.QuotaRange == 0).FirstOrDefault()?.Clone();
var types = new[] { "互换" };
list.ForEach(O =>
{
var clientDv01 = allSetting.FirstOrDefault(x => x.QuotaRange == O.ClientId);
if (clientDv01 != null)
{
O.Quota_DV01_Upper = clientDv01.QuotaUpperLimit;
O.Quota_DV01_Lower = clientDv01.QuotaLowerLimit;
O.Quota_DV01_wUpper = clientDv01.WarningUpperLimit;
O.Quota_DV01_wLower = clientDv01.WarningLowerLimit;
}
else
{
O.Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN;
O.Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN;
O.Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN;
O.Quota_DV01_wLower = dv01Settings?.WarningLowerLimit ?? double.NaN;
}
});
if (req.ClientId > 0)
{
var clientName = DataCacheProvider.GetClientDataSource().GetData(req.ClientId)?.Name;
@@ -947,7 +906,6 @@ namespace YLErp.Modules.RiskModule
obj.VegaCash = dict[obj.BusinessType].Sum(O => O.risk.VegaCash.Normalize());
obj.GammaCash = dict[obj.BusinessType].Sum(O => O.risk.GammaCash.Normalize());
obj.Theta = dict[obj.BusinessType].Sum(O => O.risk.Theta.Normalize());
obj.Quota_DV01 = dict[obj.BusinessType].Sum(O => O.risk.DV01.Normalize());
var equitySettings = settings.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "权益类业务规模").FirstOrDefault()?.Clone();
obj.Quota_EquityRiskScale_Upper = equitySettings?.QuotaUpperLimit ?? double.NaN;
obj.Quota_EquityRiskScale_Lower = equitySettings?.QuotaLowerLimit ?? double.NaN;
@@ -1043,18 +1001,10 @@ namespace YLErp.Modules.RiskModule
obj.Quota_ThisYearTotalPnl_wUpper = totalPnlSettings?.WarningUpperLimit ?? double.NaN;
obj.Quota_ThisYearTotalPnl_wLower = totalPnlSettings?.WarningLowerLimit ?? double.NaN;
var dv01Settings = settings.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaRange == 0 && O.QuotaIndex == "DV01").FirstOrDefault()?.Clone();
obj.Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN;
obj.Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN;
obj.Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN;
obj.Quota_DV01_wLower = dv01Settings?.WarningLowerLimit ?? double.NaN;
});
var allSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_ALL);
allSetting = MargeQuotaSetting(allSetting, 0, 0);
var dv01Settings = allSetting.Where(O => O.IsValid && O.Status == QuotaSettingApprovalStatus.Valid && O.QuotaIndex == "DV01").FirstOrDefault()?.Clone();
var swapSetting = QueryCurrentQuotaSetting(QuotaTypeEnum.GLOBAL_SWAP);
swapSetting = MargeQuotaSetting(swapSetting, 0, 0);
var swap = new QuotaMonitor_Global()
@@ -1065,8 +1015,7 @@ namespace YLErp.Modules.RiskModule
setValue(swap, swapSetting);
var positionList = new List<KeyValuePair<trade, realtime_trade_risk>>();
double underPnl = 0;
var gloabDv01 = GetTradePositionDv01(ref underPnl);
var gloabPnl = GetTradePositionPnl();
if (dict.ContainsKey("互换"))
{
var swapPositionList = dict["互换"].Select(O => new KeyValuePair<trade, realtime_trade_risk>(O.t, O.risk));
@@ -1092,31 +1041,23 @@ namespace YLErp.Modules.RiskModule
swap.NonEquityRiskScale = swapNonEquity;
var checkPosiList = GetCheckPosiList();
var posiStockEqvNotional = checkPosiList.Sum(s => s.Pv);
var posiDv01 = checkPosiList.Sum(s => s.DV01);
var underly = new QuotaMonitor_Global()
{
ParentKey = "场外",
BusinessType = "标的交易",
Quota_DV01 = gloabDv01,
PositionPnl = underPnl
PositionPnl = gloabPnl
};
var unTrade = new QuotaMonitor_Global()
{
ParentKey = "场外",
BusinessType = "未簿记合约",
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional) - swap.StockEqvNotional.Normalize(),
Quota_DV01 = Convert.ToDouble(posiDv01) - swap.Quota_DV01.Normalize(),
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional) - swap.StockEqvNotional.Normalize()
};
var all = new QuotaMonitor_Global()
{
BusinessType = "全局",
StockEqvNotional = Convert.ToDouble(posiStockEqvNotional),
PositionPnl = underly.PositionPnl + swap.PositionPnl,
Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN,
Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN,
Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN,
Quota_DV01_wLower = dv01Settings?.WarningLowerLimit ?? double.NaN,
Quota_DV01 = swap.Quota_DV01.Normalize() + underly.Quota_DV01.Normalize() + unTrade.Quota_DV01.Normalize(),
PositionPnl = underly.PositionPnl + swap.PositionPnl
};
var list = new List<QuotaMonitor_Global>
{
@@ -1198,8 +1139,7 @@ namespace YLErp.Modules.RiskModule
StockEqvNotional = t.ParentTradeId > 0 ? 0 : t.StockEqvNotional,
t.BuySell,
TradePrice = t.TradeType == "结构化交易" ? 0 : t.TradePrice,
InitialMargin = t.TradeType == "结构化交易" ? 0 : t.InitialMargin,
dv01 = risk.DV01
InitialMargin = t.TradeType == "结构化交易" ? 0 : t.InitialMargin
};
if (req.ClientId != 0)
{
@@ -1240,18 +1180,6 @@ namespace YLErp.Modules.RiskModule
obj.Quota_HoldingFund_Lower = holdingFundSettings?.QuotaLowerLimit ?? double.NaN;
obj.Quota_HoldingFund_wUpper = holdingFundSettings?.WarningUpperLimit ?? double.NaN;
obj.Quota_HoldingFund_wLower = holdingFundSettings?.WarningLowerLimit ?? double.NaN;
var dv01Settings = temp.Where(O => O.QuotaIndex == "DV01" && O.QuotaRange == 0).FirstOrDefault()?.Clone();
var dv01SettingsClient = temp.Where(O => O.QuotaIndex == "DV01" && O.QuotaRange == obj.ClientId).FirstOrDefault()?.Clone();
if (dv01SettingsClient != null)
{
dv01Settings = dv01SettingsClient.Clone();
}
dv01Settings?.ConvertToAbs(obj.ProductScale.GetValueOrDefault());
obj.Quota_DV01_Upper = dv01Settings?.QuotaUpperLimit ?? double.NaN;
obj.Quota_DV01_Lower = dv01Settings?.QuotaLowerLimit ?? double.NaN;
obj.Quota_DV01_wUpper = dv01Settings?.WarningUpperLimit ?? double.NaN;
obj.Quota_DV01_wLower = dv01Settings?.WarningLowerLimit ?? double.NaN;
});
var list = new List<QuotaMonitor_Client>();
@@ -1331,7 +1259,6 @@ namespace YLErp.Modules.RiskModule
}
}
c.CreditExposure = creditExposureDict.ContainsKey(item.ClientId) ? creditExposureDict[item.ClientId] : null;
c.Quota_DV01 = positionDict.ContainsKey(client.id) ? positionDict[client.id].Sum(O => O.dv01) : double.NaN;
list.Add(c);
}
var totalProductScale = list.Sum(O => O.ProductScale) ?? 0;
@@ -1351,8 +1278,7 @@ namespace YLErp.Modules.RiskModule
PayableFund = list.Sum(O => O.PayableFund),
ProductScale = list.Sum(O => O.ProductScale),
HoldingFund = list.Sum(O => O.HoldingFund),
ClientId = 0,
Quota_DV01 = list.Sum(O => O.Quota_DV01),
ClientId = 0
};
total.HoldingRate = (total.HoldingFund / total.ProductScale).Normalize();
total.AvailableStockEqvNotional = total.StockEqvNotionalScale - total.StockEqvNotional;
@@ -1436,8 +1362,7 @@ namespace YLErp.Modules.RiskModule
GammaCash = risk.GammaCash ?? 0,
Vega = risk.Vega ?? 0,
VegaCash = risk.VegaCash ?? 0,
PnL = (PS.Config.IsPVRounded ? risk.RoundedPositionPnl : risk.PositionPnl) ?? 0 + risk.RealizedPnl,
Quota_DV01 = risk.DV01
PnL = (PS.Config.IsPVRounded ? risk.RoundedPositionPnl : risk.PositionPnl) ?? 0 + risk.RealizedPnl
};
var list = query.ToList();
@@ -1491,12 +1416,6 @@ namespace YLErp.Modules.RiskModule
obj.Quota_SwapPercent_Lower = swapPercentSetting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_SwapPercent_wUpper = swapPercentSetting?.WarningUpperLimit ?? double.NaN;
obj.Quota_SwapPercent_wLower = swapPercentSetting?.WarningLowerLimit ?? double.NaN;
var dv01Setting = temp.Where(O => O.QuotaIndex == "DV01").FirstOrDefault()?.Clone();
obj.Quota_DV01_Upper = dv01Setting?.QuotaUpperLimit ?? double.NaN;
obj.Quota_DV01_Lower = dv01Setting?.QuotaLowerLimit ?? double.NaN;
obj.Quota_DV01_wUpper = dv01Setting?.WarningUpperLimit ?? double.NaN;
obj.Quota_DV01_wLower = dv01Setting?.WarningLowerLimit ?? double.NaN;
});
var setting = QueryCurrentQuotaSetting(QuotaTypeEnum.TRADE);
@@ -1529,8 +1448,7 @@ namespace YLErp.Modules.RiskModule
Vega = result.Sum(O => O.Vega),
VegaCash = result.Sum(O => O.VegaCash),
Quota_CCR = result.Sum(O => O.Quota_CCR),
PnL = result.Sum(O => O.PnL),
Quota_DV01 = result.Sum(O => O.Quota_DV01),
PnL = result.Sum(O => O.PnL)
};
result.Add(total);
@@ -3462,20 +3380,6 @@ namespace YLErp.Modules.RiskModule
singleUnderlyingRate = valuedateBLL.SystemDate.SingleUnderlyingRate;
_quotaSettings = new List<QuotaSetting>();
#region 整体业务
//整体业务-止损金额
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.GLOBAL_ALL,
QuotaRange = 0,
QuotaIndex = "DV01",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
#region 互换
@@ -3522,20 +3426,7 @@ namespace YLErp.Modules.RiskModule
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
//互换-DV01
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.GLOBAL_SWAP,
QuotaRange = 0,
QuotaIndex = "DV01",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
#region 标的资产
@@ -3627,20 +3518,7 @@ namespace YLErp.Modules.RiskModule
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
//交易-DV01
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.TRADE,
QuotaRange = 0,
QuotaIndex = "DV01",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
#region 客户
@@ -3658,20 +3536,7 @@ namespace YLErp.Modules.RiskModule
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
//客户-DV01
_quotaSettings.Add(new QuotaSetting()
{
QuotaType = QuotaTypeEnum.CLIENT,
QuotaRange = 0,
QuotaIndex = "DV01",
QuotaLowerLimit = null,
QuotaUpperLimit = null,
WarningLowerLimit = null,
WarningUpperLimit = null,
Percent = false,
IsValid = true,
Status = QuotaSettingApprovalStatus.Valid,
});
#endregion
if (PS.Config.Company != Configuration.CompanyEnum.天风)
{
@@ -4396,7 +4261,6 @@ namespace YLErp.Modules.RiskModule
{
List<ClientRiskCheckItem> clientRiskCheckResps = new List<ClientRiskCheckItem>();
var allList = QueryPrecheckQuotaSetting(false);
allList = allList.Where(x => x.QuotaIndex != "DV01").ToList(); ;
var precheckQuotaSettingList = allList.Where(O => O.Precheck).ToList();
List<string> quotaIndexs = new List<string>() { "名义本金", "轧差集中度", "轧差名义本金" };
if (clientRiskCheckReq.isClient)
@@ -4451,7 +4315,6 @@ namespace YLErp.Modules.RiskModule
foreach (var item in clientPositions)
{
var dealDate = DateTime.Parse(clientRiskCheckReq.dealDate);
decimal vobp = 0;
double lastPrice = 0;
var um = ums.FirstOrDefault(x => x.UnderlyingCode == item.security_id);
CheckQuotaMoitorModel checkQuotaMoitorModel = new CheckQuotaMoitorModel();
@@ -4489,17 +4352,14 @@ namespace YLErp.Modules.RiskModule
checkQuotaMoitorModel.NowPrice *= ConsGlobal.bondPriceMultiple;
var bondPrice = EodPriceQueryService.GetBondPrice(dealDate, item.security_id);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
var bond = JsonHelper.Deserialize<UnderlyingBond>(um.ExJson);
checkQuotaMoitorModel.Circulation = (bond.IssueSize * 100000000m) ?? 0;
}
}
var ratio = checkQuotaMoitorModel.Side == 0 ? 1 : -1;
var directionRatio = checkQuotaMoitorModel.Direction == (int)SwapDirectionEnum.收取 ? 1 : -1;
vobp = vobp * ratio * directionRatio;
checkQuotaMoitorModel.LastPrice = Convert.ToDecimal(lastPrice);
checkQuotaMoitorModel.Pnl = (checkQuotaMoitorModel.NowPrice - checkQuotaMoitorModel.Price) * checkQuotaMoitorModel.Qty;
checkQuotaMoitorModel.DV01 = vobp * checkQuotaMoitorModel.Qty * checkQuotaMoitorModel.ContractSize * 0.01m;
checkQuotaMoitorModel.Current = checkQuotaMoitorModel.id == 0;
checkPoisiList.Add(checkQuotaMoitorModel);
}
@@ -4567,7 +4427,6 @@ namespace YLErp.Modules.RiskModule
vobp = vobp * ratio * directionRatio;
checkQuotaMoitorModel.LastPrice = Convert.ToDecimal(lastPrice);
checkQuotaMoitorModel.Pnl = (checkQuotaMoitorModel.NowPrice - checkQuotaMoitorModel.Price) * checkQuotaMoitorModel.Qty;
checkQuotaMoitorModel.DV01 = vobp * checkQuotaMoitorModel.Qty * checkQuotaMoitorModel.ContractSize * 0.01m;
checkQuotaMoitorModel.Current = checkQuotaMoitorModel.id == 0;
checkPoisiList.Add(checkQuotaMoitorModel);
}
@@ -4725,7 +4584,6 @@ namespace YLErp.Modules.RiskModule
vobp = vobp * ratio * directionRatio;
checkQuotaMoitorModel.LastPrice = Convert.ToDecimal(lastPrice);
checkQuotaMoitorModel.Pnl = (checkQuotaMoitorModel.NowPrice - checkQuotaMoitorModel.Price) * checkQuotaMoitorModel.Qty;
checkQuotaMoitorModel.DV01 = vobp * checkQuotaMoitorModel.Qty * checkQuotaMoitorModel.ContractSize * 0.01m;
checkQuotaMoitorModel.Current = checkQuotaMoitorModel.id == 0;
checkPoisiList.Add(checkQuotaMoitorModel);
}
@@ -5083,9 +4941,6 @@ namespace YLErp.Modules.RiskModule
{
switch (item.Key.QuotaType)
{
case QuotaTypeEnum.GLOBAL_ALL:
msgList.AddRange(checkGlobalAll(positionList, posiList, "全局", item.Value, warning));
break;
case QuotaTypeEnum.GLOBAL_SWAP:
msgList.AddRange(checkGlobal(positionList, posiList, "场外业务-互换", item.Value, warning));
break;
@@ -5150,9 +5005,6 @@ namespace YLErp.Modules.RiskModule
var positionListAll = positionList;
switch (quotaType)
{
case QuotaTypeEnum.GLOBAL_ALL:
checkItem = checkGlobalAll(positionList, checkItem);
break;
case QuotaTypeEnum.GLOBAL_SWAP:
checkItem = checkGlobal(positionList, "场外业务-互换", checkItem, quotaType);
break;
@@ -5180,78 +5032,11 @@ namespace YLErp.Modules.RiskModule
return checkItem;
}
private List<string> checkGlobalAll(List<CheckQuotaMoitorModel> positionList, List<CheckQuotaMoitorModel> posiList, string tag_prefix, QuotaSetting[] settings, bool warning)
{
var messageList = new List<string>();
double? upperLimit, lowerLimit, currentValue = null;
var dealDate = QdpCalendarHelper.GetNonHolidayDefore(valuedateBLL.ValueDate.AddDays(-1));
foreach (var settingItem in settings)
{
if (warning)
{
upperLimit = settingItem.WarningUpperLimit;
lowerLimit = settingItem.WarningLowerLimit;
}
else
{
upperLimit = settingItem.QuotaUpperLimit;
lowerLimit = settingItem.QuotaLowerLimit;
}
if (upperLimit == null && lowerLimit == null)
{
continue;
}
currentValue = null;
var tag = $"{tag_prefix}({settingItem.QuotaIndex})";
CheckQuotaMoitorModel current = positionList.FirstOrDefault(x => x.Current);
double pnl = 0;
switch (settingItem.QuotaIndex)
{
case "DV01":
var uDv = GetTradePositionDv01(ref pnl);
currentValue = uDv;
var tradePosiVal = posiList.Sum(s => s.DV01);
var posiVal = positionList.Where(x => !x.Current).Sum(s => s.DV01);
var _posiVal = currentValue + Convert.ToDouble(posiVal);
var noPosiVal = posiVal - tradePosiVal;
currentValue += Convert.ToDouble(positionList.Sum(s => s.DV01));
messageList.Add(SetQuotaMsg(tag, settingItem.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), _posiVal, Convert.ToDouble(current.DV01), Convert.ToDouble(noPosiVal), uDv, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
default:
continue;
}
}
return messageList;
}
private ClientRiskCheckItem checkGlobalAll(List<CheckQuotaMoitorModel> positionList, ClientRiskCheckItem checkItem)
{
double? currentValue = null;
double tradeValue = 0;
double pnl = 0;
switch (checkItem.quotaType)
{
case "DV01":
tradeValue = GetTradePositionDv01(ref pnl);
currentValue = tradeValue + Convert.ToDouble(positionList.Sum(s => s.DV01));
var posiVal = positionList.Where(x => !x.Current).Sum(s => s.DV01);
if (!ValidateQuoteResult(checkItem, currentValue, Convert.ToDouble(posiVal) + tradeValue))
{
return checkItem;
}
break;
default:
return null;
}
return null;
}
/// <summary>
/// 算标的交易dv01
/// 算标的交易盈亏
/// </summary>
/// <returns></returns>
private double GetTradePositionDv01(ref double pnl)
private double GetTradePositionPnl()
{
double currentValue = 0;
List<string> tradetypes = new List<string> { "利率债", "信用债", "其它债券" };
@@ -5261,7 +5046,6 @@ namespace YLErp.Modules.RiskModule
foreach (var item in tposis)
{
double lastPrice = 0;
decimal vobp = 0;
var um = ums.FirstOrDefault(x => x.UnderlyingCode == item.UnderlyingCode);
double contractSize = 0;
if (um != null)
@@ -5275,12 +5059,9 @@ namespace YLErp.Modules.RiskModule
{
var bondPrice = EodPriceQueryService.GetBondPrice(valuedateBLL.ValueDate, item.UnderlyingCode);
lastPrice = bondPrice != null ? bondPrice.ClosePrice : (um.Price ?? 0) * Convert.ToDouble(ConsGlobal.bondPriceMultiple);
vobp = bondPrice != null ? bondPrice.Vobp ?? 0 : 0;
}
}
var DV01 = Convert.ToDouble(vobp) * item.Position * contractSize * 0.01;
currentValue += DV01;
pnl += lastPrice * Math.Abs(item.Position) - Math.Abs(item.PositionCost);
currentValue += lastPrice * Math.Abs(item.Position) - Math.Abs(item.PositionCost);
}
return currentValue;
}
@@ -5331,15 +5112,6 @@ namespace YLErp.Modules.RiskModule
currentValue = Convert.ToDouble(positionList.Sum(s => s.Pnl));
messageList.Add(SetMsg(tag, currentValue, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
case "DV01":
var clientDv = positionList.Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv);
var posiDv = positionList.Where(s => !s.Current).Sum(s => s.DV01);
posiVal = Convert.ToDouble(posiDv);
tradePosiVal = posiList.Sum(s => s.DV01);
noPosiVal = posiDv - tradePosiVal;
messageList.Add(SetQuotaMsg(tag, settingItem.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), posiVal, Convert.ToDouble(current.DV01), Convert.ToDouble(noPosiVal), null, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
default:
continue;
}
@@ -5374,16 +5146,6 @@ namespace YLErp.Modules.RiskModule
case "浮动盈亏":
currentValue = Convert.ToDouble(positionList.Sum(O => O.Pnl));
break;
case "DV01":
var clientDv = positionList.Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv);
var posiDv = positionList.Where(s => !s.Current).Sum(s => s.DV01);
posiVal = Convert.ToDouble(posiDv);
if (!ValidateQuoteResult(checkItem, currentValue, posiVal))
{
return checkItem;
}
return null;
default:
return null;
}
@@ -5452,14 +5214,6 @@ namespace YLErp.Modules.RiskModule
currentValue = Convert.ToDouble(current.Delta);
messageList.Add(SetMsg(tag, currentValue, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
case "DV01":
var clientDv = positionList.Where(s => s.ClientId == current.ClientId && s.UnderlyingCode == current.UnderlyingCode && s.Side != current.Side).Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv + current.DV01);
posiVal = Convert.ToDouble(clientDv);
tradePosiVal = posiList.Where(s => s.ClientId == current.ClientId && s.UnderlyingCode == current.UnderlyingCode).Sum(s => s.DV01);
noPosiVal = clientDv - tradePosiVal;
messageList.Add(SetQuotaMsg(tag, settingItem.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), posiVal, Convert.ToDouble(current.DV01), Convert.ToDouble(noPosiVal), null, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
default:
continue;
}
@@ -5527,16 +5281,6 @@ namespace YLErp.Modules.RiskModule
return checkItem;
}
return null;
case "DV01":
var clientDv = positionList.Where(s => s.ClientId == current.ClientId && s.UnderlyingCode == current.UnderlyingCode && s.Side != current.Side).Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv + current.DV01);
posiVal = Convert.ToDouble(clientDv);
checkItem.currentValue = Math.Round(currentValue ?? 0, 2);
if (!ValidateQuoteResult(checkItem, currentValue, posiVal))
{
return checkItem;
}
return null;
default:
return null;
}
@@ -5730,15 +5474,6 @@ namespace YLErp.Modules.RiskModule
noPosiVal = posiPv - tradePosiVal;
messageList.Add(SetQuotaMsg(tag, settingItem.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), posiVal, Convert.ToDouble(current.Pv), Convert.ToDouble(noPosiVal), null, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
case "DV01":
var clientDv = positionList.Where(s => s.ClientId == current.ClientId).Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv);
var posiDv = positionList.Where(s => s.ClientId == current.ClientId && !s.Current).Sum(s => s.DV01);
posiVal = Convert.ToDouble(posiDv);
tradePosiVal = posiList.Where(s => s.ClientId == current.ClientId).Sum(s => s.DV01);
noPosiVal = posiDv - tradePosiVal;
messageList.Add(SetQuotaMsg(tag, settingItem.QuotaIndex, currentValue, Convert.ToDouble(tradePosiVal), posiVal, Convert.ToDouble(current.DV01), Convert.ToDouble(noPosiVal), null, upperLimit, lowerLimit, settingItem.Percent, warning));
break;
default:
break;
}
@@ -5780,16 +5515,6 @@ namespace YLErp.Modules.RiskModule
return checkItem;
}
return null;
case "DV01":
var clientDv = positionList.Where(s => s.ClientId == current.ClientId).Sum(s => s.DV01);
currentValue = Convert.ToDouble(clientDv);
var posiDv = positionList.Where(s => s.ClientId == current.ClientId && !s.Current).Sum(s => s.DV01);
posiVal = Convert.ToDouble(posiDv);
if (!ValidateQuoteResult(checkItem, currentValue, posiVal))
{
return checkItem;
}
return null;
default:
return null;
}
@@ -5909,7 +5634,6 @@ namespace YLErp.Modules.RiskModule
quotaMoitorModel.ClientId = item.ClientId ?? 0;
quotaMoitorModel.Pv = Math.Abs(Convert.ToDecimal(item.Pv ?? 0));
quotaMoitorModel.UnderlyingCode = item.Exposure;
quotaMoitorModel.DV01 = Convert.ToDecimal(item.DV01 ?? 0);
list.Add(quotaMoitorModel);
}
return list;
@@ -5953,10 +5677,6 @@ namespace YLErp.Modules.RiskModule
result += $"\r\n本交易({quoteIndex}):{(currVal == 0 ? "0.00" : currVal.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
result += $"\r\n已簿记交易({quoteIndex}):{(posiedVal == 0 ? "0.00" : posiedVal.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
result += $"\r\n未簿记交易({quoteIndex}):{(noposi == 0 ? "0.00" : noposi.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
if (tag.Contains("全局") && quoteIndex == "DV01")
{
result += $"\r\n标的交易({quoteIndex}):{(uDv == 0 ? "0.00" : uDv?.ToString("#,##0.00"))};";
}
}
}
return result;
@@ -5986,10 +5706,6 @@ namespace YLErp.Modules.RiskModule
resultLast += $"\r\n本交易({quoteIndex}):{(currVal == 0 ? "0.00" : currVal?.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
resultLast += $"\r\n已簿记交易({quoteIndex}):{(posiedVal == 0 ? "0.00" : posiedVal?.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
resultLast += $"\r\n未簿记交易({quoteIndex}):{(noposi == 0 ? "0.00" : noposi.ToString(percent ? "#,##0.00%" : "#,##0.00"))};";
if (tag.Contains("全局") && quoteIndex == "DV01")
{
resultLast += $"\r\n标的交易({quoteIndex}):{(uDv == 0 ? "0.00" : uDv?.ToString("#,##0.00"))};";
}
}
if (!string.IsNullOrEmpty(result) && posiVal != 0)
{
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+9 -86
View File
@@ -288,7 +288,7 @@ namespace YLErp.Modules.SwapModule
continue;
}
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 && x.IsSkipEod);//当前结算日日终利息信息
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
List<swap_flow_event> dealInterests = new List<swap_flow_event>();
dealInterests.AddRange(flowEvents);
@@ -376,7 +376,7 @@ namespace YLErp.Modules.SwapModule
foreach (var posi in posiList)
{
var eodPosition = eodPositions.Where(x => x.PositionId == posi.id).FirstOrDefault();//上一日日终持仓信息
var tdEodPosition = todyEodPositions.FirstOrDefault(x => x.PositionId == posi.id && x.IsSkipEod);//当前结算日日终持仓信息
var tdEodPosition = todyEodPositions.FirstOrDefault(x => x.PositionId == posi.id);//当前结算日日终持仓信息
var unwindEvents = flowEvents.Where(x => x.PositionId == posi.id).ToList();//当前日平仓信息
var realPosition = realPosiList.FirstOrDefault(s => s.PositionId == posi.id);
eod_swap_position eodPosi = new eod_swap_position();
@@ -389,7 +389,6 @@ namespace YLErp.Modules.SwapModule
else
{
tdEodPosition.PosiFeePending = posi.PosiTradingFeePending;
UpdateHTData(tdEodPosition);
tdEodPosition.PosiNotionalValue = tdEodPosition.PosiQuantity * tdEodPosition.ContractSize;
tdEodPosition.PosiNetFeePrice = posi.PosiNetFeePrice;
tdEodPosition.PosiNetNoFeePrice = posi.PosiNetNoFeePrice;
@@ -700,12 +699,6 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.PosiStartDate = position.PosiStartDate;
eodPayPosition.PosiMatuirityDate = td.ExerciseDate.Value;
}
if (newEodPayPosition.IsSkipEod)
{
newEodPayPosition.FloatRate = flowEvents.FirstOrDefault()?.FloatRate ?? 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
return;
}
newEodPayPosition.ValueDate = valueDate;
newEodPayPosition.PositionId = position.id;
newEodPayPosition.ClientId = td.ClientId;
@@ -793,7 +786,6 @@ namespace YLErp.Modules.SwapModule
if (newEodPayPosition == null)
{
newEodPayPosition = eodPayPosition.Clone();
newEodPayPosition.IsSkipEod = false;
newEodPayPosition.id = 0;
}
List<swap_position> positions = new List<swap_position>();
@@ -803,12 +795,7 @@ namespace YLErp.Modules.SwapModule
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, true, grossPrice, true);
decimal InterestAmount = interests.Sum(x => x.InterestAmount);
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
if (newEodPayPosition.IsSkipEod)
{
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
return new List<swap_flow_event>();
}
newEodPayPosition.ValueDate = valueDate;
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
@@ -909,12 +896,7 @@ namespace YLErp.Modules.SwapModule
preEodPositions.Add(eodPayPosition);
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, true);
decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
if (newEodPayPosition.IsSkipEod)
{
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
return new List<swap_flow_event>();
}
newEodPayPosition.ValueDate = valueDate;
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
@@ -1020,7 +1002,6 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition = eodPayPosition.Clone();
newEodPayPosition.id = 0;
newEodPayPosition.PositionId = position.id;
newEodPayPosition.IsSkipEod = false;
}
bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
@@ -1055,11 +1036,7 @@ namespace YLErp.Modules.SwapModule
}
var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNational, posiShortNational, posiNotionalValue, closePercent, 0, false, needPrice, grossPrice);
UpdateDbOption(newEodPayPosition);
if (newEodPayPosition.IsSkipEod)
{
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
return;
}
newEodPayPosition.PosiStatus = 0;
newEodPayPosition.Invalid = false;
newEodPayPosition.ValueDate = valueDate;
@@ -1184,7 +1161,6 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.RealizedPnl = newEodPayPosition.TdCloseMtmPnl + newEodPayPosition.TdCloseDividend + newEodPayPosition.TdCloseFee;
newEodPayPosition.PosiStatus = payQty == 0 ? 1 : 0;
newEodPayPosition.DV01 = newEodPayPosition.PosiQuantity * newEodPayPosition.ContractSize * vobp * shortRatio * ratio * 0.01m;
UpdateDbOption(newEodPayPosition);
newEodPayPosition.Invalid = false;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, eventFlow.EventDate
@@ -1221,7 +1197,6 @@ namespace YLErp.Modules.SwapModule
curretEod = eod.Clone();
curretEod.id = 0;
curretEod.ValueDate = valueDate;
curretEod.IsSkipEod = false;
}
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(eod.UnderlyingCode);
if (um == null)
@@ -1237,17 +1212,6 @@ namespace YLErp.Modules.SwapModule
{
curretEod.PosiNotionalValue = 0;
}
if (curretEod.IsSkipEod)
{
curretEod.DV01 = curretEod.PosiQuantity * curretEod.ContractSize * vobp * shortRatio * directionRatio * 0.01m;
curretEod.PosiNotionalValue = curretEod.PosiQuantity * curretEod.ContractSize;
curretEod.PosiNetFeePrice = eod.PosiNetFeePrice;
curretEod.PosiNetNoFeePrice = eod.PosiNetNoFeePrice;
curretEod.PosiFeePending= eod.PosiFeePending;
UpdateHTData(curretEod);
UpdateDbOption(curretEod);
return curretEod;
}
curretEod.UnderlyingPrice = price;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
@@ -1267,7 +1231,6 @@ namespace YLErp.Modules.SwapModule
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
//持仓价值
curretEod.SwapPositionValue = curretEod.InterestProfitSum + curretEod.PosiProfitSum;
curretEod.DV01 = curretEod.PosiQuantity * curretEod.ContractSize * vobp * shortRatio * directionRatio * 0.01m;
UpdateDbOption(curretEod);
curretEod.Invalid = false;
if (curretEod.id == 0)
@@ -1277,16 +1240,6 @@ namespace YLErp.Modules.SwapModule
return curretEod;
}
/// <summary>
/// 更新浮动端收益
/// </summary>
/// <param name="curretEod"></param>
private void UpdateHTData(eod_swap_position curretEod)
{
UpdateVTradingFee(curretEod);
curretEod.PosiProfitSum = curretEod.HTPosiProfitSum + curretEod.VTradingFee;
curretEod.SwapPositionValue = curretEod.HTSwapPositionValue + curretEod.VTradingFee;
}
/// <summary>
/// 更新虚拟交易费用
/// </summary>
/// <param name="curretEod"></param>
@@ -1312,7 +1265,6 @@ namespace YLErp.Modules.SwapModule
curretEod = eod.Clone();
curretEod.id = 0;
curretEod.ValueDate = valueDate;
curretEod.IsSkipEod = false;
}
var um = DataCacheProvider.GetUnderlyingDataSource().GetData(eod.UnderlyingCode);
@@ -1324,14 +1276,7 @@ namespace YLErp.Modules.SwapModule
int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition, !curretEod.IsSkipEod);
if (curretEod.IsSkipEod)
{
curretEod.DV01 = curretEod.PosiQuantity * curretEod.ContractSize * vobp * shortRatio * directionRatio * 0.01m;
UpdateHTData(curretEod);
UpdateDbOption(curretEod);
return curretEod;
}
SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition);
curretEod.UnderlyingPrice = price;
curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
@@ -1351,7 +1296,6 @@ namespace YLErp.Modules.SwapModule
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
//持仓价值
curretEod.SwapPositionValue = curretEod.InterestProfitSum + curretEod.PosiProfitSum;
curretEod.DV01 = curretEod.PosiQuantity * curretEod.ContractSize * vobp * shortRatio * directionRatio * 0.01m;
UpdateDbOption(curretEod);
curretEod.Invalid = false;
if (curretEod.id == 0)
@@ -1366,7 +1310,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="eod"></param>
/// <param name="curretEod"></param>
/// <param name="unwindEvents"></param>
public void SetPriceInfoByFlowEvent(eod_swap_position eod, eod_swap_position curretEod, List<swap_flow_event> unwindEvents, swap_position position, bool coverageQty=true)
public void SetPriceInfoByFlowEvent(eod_swap_position eod, eod_swap_position curretEod, List<swap_flow_event> unwindEvents, swap_position position)
{
if (eod.PosiDirection == 0)
{
@@ -1379,21 +1323,14 @@ namespace YLErp.Modules.SwapModule
decimal unwindQty = unwindFlowEvents.Sum(s => s.Quantity);
decimal openQty = openFlowEvents.Sum(s => s.Quantity);
var qty = eod.PosiQuantity + openQty - unwindQty;
if (coverageQty)
{
curretEod.PosiQuantity = qty < 0 ? 0 : Math.Abs(qty);
}
curretEod.PosiQuantity = qty < 0 ? 0 : Math.Abs(qty);
if (unwindEvents.Count == 0)
{
curretEod.PosiNetPrice = position.PosiNetPrice;
curretEod.PosiGrossPrice = position.PosiGrossPrice;
curretEod.PosiNetFeePrice = position.PosiNetFeePrice;
curretEod.PosiNetNoFeePrice = position.PosiNetNoFeePrice;
if (coverageQty)
{
curretEod.PosiQuantity = position.PosiQuantity;
}
curretEod.PosiQuantity = position.PosiQuantity;
curretEod.PosiTradingFee = position.PosiTradingFee;
}
else
@@ -1496,7 +1433,6 @@ namespace YLErp.Modules.SwapModule
}
//持仓价值
curretEod.SwapPositionValue = curretEod.InterestProfitSum + curretEod.PosiProfitSum;
curretEod.DV01 = curretEod.PosiQuantity * curretEod.ContractSize * vobp * shortRatio * directionRatio * 0.01m;
var currencyRate = new EodCurrencyRateService(UserInfo).GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, td.StartDate.Value
, seekPreday: true, currencyRateType: curretEod.PosiDirection == (int)SwapDirectionEnum.收取 ? CurrencyRateType.Buy : CurrencyRateType.Sell);
curretEod.TdCurrency = Convert.ToDecimal(currencyRate);
@@ -1572,17 +1508,6 @@ namespace YLErp.Modules.SwapModule
eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
eod_Swap.NotionalValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
eod_Swap.NotionalValue = eod_Swap.NotionalValueLong + eod_Swap.NotionalValueShort;
if (eod_Swap.IsSkipEod == true)
{
var vtradingFee = eodSwapPositions.Sum(x => x.VTradingFee);
eod_Swap.VTradingFee = vtradingFee;
eod_Swap.DV01 = positions.Sum(s => s.DV01 ?? 0);
eod_Swap.PostionValue = eod_Swap.HTPostionValue + vtradingFee;
eod_Swap.FloatingPnL = eod_Swap.HTFloatingPnL + vtradingFee;
eod_Swap.TdRealizedPnL = eod_Swap.RealizedPnL - (preEodSwap?.RealizedPnL??0);// 当日已实现-上日已实现
UpdateDbOption(eod_Swap);
return;
}
eod_Swap.SwapTradeId = td.id;
eod_Swap.SwapTradeNo = td.TradeNumber;
eod_Swap.ClientId = td.ClientId;
@@ -1617,7 +1542,6 @@ namespace YLErp.Modules.SwapModule
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
eod_Swap.RealizedPnL = eodSwapPositions.Sum(s => s.RealizedMtmPnL + s.RealizedDividend + s.RealizedFee + s.RealizedInterest + s.RealizedInterestFee);
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
eod_Swap.DV01 = positions.Sum(s => s.DV01 ?? 0);
var initMargin = Convert.ToDecimal(tradeSpan?.InitialMargin ?? 0);
var maintainMargin = Convert.ToDecimal(tradeSpan?.WorstCastClientPayable ?? 0);
if (initMargin < 0)
@@ -1688,7 +1612,6 @@ namespace YLErp.Modules.SwapModule
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
eod_Swap.RealizedPnL = eodSwapPositions.Sum(s => s.RealizedMtmPnL + s.RealizedDividend + s.RealizedFee + s.RealizedInterest + s.RealizedInterestFee);
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
eod_Swap.DV01 = positions.Sum(s => s.DV01 ?? 0);
var tradeInitMarginObj = DbContext.trade_initial_margin.FirstOrDefault(x => x.TradeId == td.id);
var initMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金 && x.HappenDate == settleDate).ToList();
var addMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金 && x.HappenDate == settleDate).ToList();
YLErpDAL/Modules/SwapModule/SwapTradeBaseService.cs
+2 -2
View File
@@ -424,11 +424,11 @@ namespace YLErp.Modules.SwapModule
{
var swapEvents = DbContext.swap_event.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate && eventTypes.Contains(x.EventType));
var eventIds = swapEvents.Select(s => s.id).ToList();
var eodSwaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate && !x.IsSkipEod).ToList();
var eodSwaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
if (delAfter)
{
var swapFlowEvents = DbContext.swap_flow_event.Where(x => x.SwapTradeId == td.id && x.UnwindDate >= valueDate && x.DataState > (int)SwapFlowDateStateEnum.废弃 && eventTypes.Contains(x.EventType)).ToList();
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate && !x.IsSkipEod).ToList();
var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate >= valueDate).ToList();
DbContext.eod_swap_position.RemoveRange(eodSwapPositions);
DbContext.swap_flow_event.RemoveRange(swapFlowEvents);
}
YLErpDAL/Modules/TradeRiskCalcModule/TradeRiskCalcService.cs
-1
View File
@@ -316,7 +316,6 @@ namespace YLErp.Modules.TradeRiskCalcModule
result.TradingDayTheta = 0;
result.CalendarDayTheta = 0;
result.Rho = 0;
result.DV01 = Convert.ToDouble(currentPosition.DV01??0);
var resultRisk = SwapTransformOneUnderlying(underlying, trad, new List<TradeValueResult> { result }, currentPosition, position);
if (resultRisk != null)
{
YLErpWeb/wwwroot/Scripts/app/risk/quotaMonitor.js
-72
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@@ -1547,30 +1547,6 @@ var colModel_client = [
formatter: function (cellvalue, options, rowObject) {
return !cellvalue || cellvalue == "NaN" ? "" : cellvalue.toLocaleString();
}
}, {
name: 'Quota_DV01_Upper',
label: 'DV01限额',
index: 'Quota_DV01_Upper',
width: 120,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return formatQuotaAbs(rowObject, 'DV01');
}
}, {
name: 'Quota_DV01',
label: 'DV01',
index: 'Quota_DV01',
width: 140,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return !cellvalue || cellvalue == "NaN" ? "" : cellvalue.toLocaleString();
},
cellattr: function (cellvalue, options, rowObject) {
var style = "style='" + checkQuota(rowObject, 'Quota_DV01','DV01') + "'";
return style;
}
}
];
@@ -1663,30 +1639,6 @@ var colModel_trade = [
var style = "style='" + checkQuota(rowObject, 'SwapPercent') + "'";
return style;
}
}, {
name: 'Quota_DV01_Upper',
label: 'DV01限额',
index: 'Quota_DV01_Upper',
width: 120,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return formatQuotaAbs(rowObject, 'DV01');
}
}, {
name: 'Quota_DV01',
label: 'DV01',
index: 'Quota_DV01',
width: 140,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return !cellvalue || cellvalue == "NaN" ? "" : cellvalue.toLocaleString();
},
cellattr: function (cellvalue, options, rowObject) {
var style = "style='" + checkQuota(rowObject, 'Quota_DV01', 'DV01') + "'";
return style;
}
}
];
@@ -1852,30 +1804,6 @@ var colModel_global = [
//}
return "style='" + style + "'";
}
}, {
name: 'Quota_DV01_Upper',
label: 'DV01限额',
index: 'Quota_DV01_Upper',
width: 120,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return formatQuotaAbs(rowObject, 'DV01');
}
}, {
name: 'Quota_DV01',
label: 'DV01',
index: 'Quota_DV01',
width: 140,
align: 'right',
sortable: false,
formatter: function (cellvalue, options, rowObject) {
return !cellvalue || cellvalue == "NaN" ? "" : cellvalue.toLocaleString();
},
cellattr: function (cellvalue, options, rowObject) {
var style = "style='" + checkQuota(rowObject, 'Quota_DV01', 'DV01') + "'";
return style;
}
}
];
YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js
-14
View File
@@ -443,13 +443,6 @@ function colModelGridEodPosition() {
width: 100,
align: 'center',
formatter: PosiStatusFormat,
}, {
name: 'eodPosition.DV01',
label: 'DV01',
index: 'eodPosition.DV01',
width: 100,
align: 'center',
formatter: StockEqvNotionalFormat,
}, {
name: 'SwapTradeTypeStr',
label: '互换类型',
@@ -617,13 +610,6 @@ function colModelGridEodSwap() {
width: 150,
align: 'center',
formatter: StockEqvNotionalFormat,
}, {
name: 'position.DV01',
label: 'DV01',
index: 'position.DV01',
width: 100,
align: 'center',
formatter: StockEqvNotionalFormat,
}, {
name: 'SwapTradeTypeStr',
label: '互换类型',
YLErpWeb/wwwroot/Scripts/app/swaptrade/swapTradeList.js
-28
View File
@@ -141,34 +141,6 @@ var getColModelGrid = function () {
sortIndex: i++,
width: 70,
align: 'center'
}, {
name: 'HTStatus',
label: '衡泰状态',
index: 'HTStatus',
sortIndex: i++,
width: 70,
align: 'center',
formatter: function (cellValue, options, rowObject) {
if (cellValue==10) {
return "已平仓";
}
if (cellValue == 1) {
return "最新审批中";
}
if (cellValue == 4) {
return "最新审批拒绝";
}
if (cellValue == 5) {
return "最新审批通过";
}
if (cellValue == 9) {
return "已删除";
}
if (cellValue) {
return "确认成交";
}
return "--";
}
}, {
name: 'TradeNumber',
label: '交易编号',