feat(swap): 添加公司行为现金分红按登记日权益数量计算功能
- 新增 CalcBondPayment 方法支持传入公司行为权益数量参数 - 在 SwapEodPositionService 中识别现金分红类型的公司行为持仓 - 修改 CopyEodPosition 和 UpdateEodPosition 方法传递公司行为前的数量信息 - 更新 SaveCurrentEodInitalPosi 方法支持公司行为数量计算 - 在 BondPaymentService 中实现公司行为现金分红按登记日权益数量计算逻辑 - 添加单元测试验证公司行为现金分红使用除权前数量的计算功能
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张名锐
@@ -357,6 +357,19 @@ namespace YLErp.Modules.SwapModule
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directionRatio);
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}
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protected virtual decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate,
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decimal qty, int shortRatio, int directionRatio, decimal? corporateActionQty)
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{
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if (!corporateActionQty.HasValue)
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{
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return CalcBondPayment(underlyingCode, fromDate, toDate, qty, shortRatio, directionRatio);
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}
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var service = new BondPaymentService(UserInfo);
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var payments = service.GetBondPayments(underlyingCode, fromDate, toDate);
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return service.CalcPayment(payments, qty, shortRatio, directionRatio, corporateActionQty);
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}
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// ---- SwapPositionCompose 路径专用 seam（借鉴 testable 分支）----
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/// <summary>查找收盘所需的活跃互换交易（生产: DbContext.trade.Where；测试: 内存列表）</summary>
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@@ -611,6 +624,11 @@ namespace YLErp.Modules.SwapModule
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var corporateActionBeforePositions = BuildCorporateActionBeforePositions(
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eodPositions, // 上一日终持仓
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posiList);
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var corporateActionCashDividendBeforePositions = corporateActionBeforePositions
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.Where(position => !string.IsNullOrWhiteSpace(position.UnderlyingCode)
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&& exDividendByCode.TryGetValue(position.UnderlyingCode, out var dividend)
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&& dividend.GiveCashAmount != 0m)
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.ToList();
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// 交易首日恰逢 EffectiveDate 时，在内存克隆上生成除权后的开盘基线,应用生效日公司行为。
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// 有上一份 EOD 时沿用 PrepareFundOpeningEodPositions，避免重复套系数。
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@@ -627,7 +645,8 @@ namespace YLErp.Modules.SwapModule
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settleDate, // 收盘日期
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td, // 交易
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preSettleDate, // 上一交易日
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flowEvents); // 流水事件
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flowEvents, // 流水事件
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corporateActionCashDividendBeforePositions);
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// 现金分红不在登记日直接累加；Copy/Update EOD 通过 CalcBondPayment
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// 读取 EffectiveDate 命中的 ex_dividend_info，并生成 TdPosiDividend。
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@@ -1435,7 +1454,8 @@ namespace YLErp.Modules.SwapModule
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DateTime settleDate,
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trade td,
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DateTime preSettleDate,
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List<swap_flow_event> flowEvents)
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List<swap_flow_event> flowEvents,
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IReadOnlyCollection<eod_swap_position> corporateActionBeforePositions = null)
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{
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string settleDateStr = settleDate.ToString("yyyy-MM-dd");
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string preSettleDateStr = preSettleDate.ToString("yyyy-MM-dd");
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@@ -1457,18 +1477,20 @@ namespace YLErp.Modules.SwapModule
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var tdEodPosition = todyEodPositions.FirstOrDefault(x => x.PositionId == posi.id);//当前结算日日终持仓信息
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var unwindEvents = flowEvents.Where(x => x.PositionId == posi.id).ToList();//当前日平仓信息
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var realPosition = realPosiList.FirstOrDefault(s => s.PositionId == posi.id);
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var corporateActionBeforeQuantity = corporateActionBeforePositions?
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.FirstOrDefault(x => x.PositionId == posi.id)?.PosiQuantity;
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eod_swap_position eodPosi = new eod_swap_position();
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if (eodPosition == null)
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{
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eodPosi = SaveCurrentEodInitalPosi(posi, td, settleDate, preSettleDate, unwindEvents);
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eodPosi = SaveCurrentEodInitalPosi(posi, td, settleDate, preSettleDate, unwindEvents, corporateActionBeforeQuantity);
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}
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else if (unwindEvents.Count() == 0)
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{
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eodPosi = CopyEodPosition(eodPosition, tdEodPosition, td, settleDate, preSettleDate);
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eodPosi = CopyEodPosition(eodPosition, tdEodPosition, td, settleDate, preSettleDate, corporateActionBeforeQuantity);
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}
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else
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{
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eodPosi = UpdateEodPosition(posi, eodPosition, tdEodPosition, td, settleDate, preSettleDate, unwindEvents);
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eodPosi = UpdateEodPosition(posi, eodPosition, tdEodPosition, td, settleDate, preSettleDate, unwindEvents, corporateActionBeforeQuantity);
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}
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Log.Info($"eodPosi为：{JsonHelper.Serialize(eodPosi, false)}");
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list.Add(eodPosi);
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@@ -2626,7 +2648,7 @@ namespace YLErp.Modules.SwapModule
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/// <param name="todayPositions">当日日终归档信息</param>
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/// <param name="swap_Deals">当日平仓/互换事件信息</param>
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/// <param name="td">交易信息</param>
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protected eod_swap_position CopyEodPosition(eod_swap_position eod, eod_swap_position curretEod, trade td, DateTime valueDate, DateTime preSettleDate)
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protected eod_swap_position CopyEodPosition(eod_swap_position eod, eod_swap_position curretEod, trade td, DateTime valueDate, DateTime preSettleDate, decimal? corporateActionBeforeQuantity = null)
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{
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if (curretEod == null)
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{
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@@ -2648,7 +2670,7 @@ namespace YLErp.Modules.SwapModule
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decimal tax = um.ValueAddedTax ?? 0;
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if (valueDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
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{
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio, corporateActionBeforeQuantity);
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curretEod.TdPosiDividend = DividendCalc.AfterTax(payment, tax);
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}
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curretEod.PosiDividendSum = eod.PosiQuantity > 0 ? Math.Round(eod.PosiDividendSum + curretEod.TdPosiDividend, 2) : 0;
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@@ -2710,7 +2732,7 @@ namespace YLErp.Modules.SwapModule
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/// <param name="curretEod"></param>
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/// <param name="td"></param>
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/// <param name="valueDate"></param>
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protected eod_swap_position UpdateEodPosition(swap_position swapPosition, eod_swap_position eod, eod_swap_position curretEod, trade td, DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
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protected eod_swap_position UpdateEodPosition(swap_position swapPosition, eod_swap_position eod, eod_swap_position curretEod, trade td, DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents, decimal? corporateActionBeforeQuantity = null)
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{
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if (curretEod == null)
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{
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@@ -2744,7 +2766,7 @@ namespace YLErp.Modules.SwapModule
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// 修改，互换事件会影响待实现的分红的，现在要算上
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if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
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{
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio, corporateActionBeforeQuantity);
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curretEod.TdPosiDividend = DividendCalc.AfterTax(payment, tax);
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}
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curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
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@@ -2871,7 +2893,8 @@ namespace YLErp.Modules.SwapModule
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/// <param name="position"></param>
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/// <param name="td"></param>
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/// <param name="settleDate"></param>
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protected eod_swap_position SaveCurrentEodInitalPosi(swap_position position, trade td, DateTime settleDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
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protected eod_swap_position SaveCurrentEodInitalPosi(swap_position position, trade td, DateTime settleDate,
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DateTime preSettleDate, List<swap_flow_event> unwindEvents, decimal? corporateActionBeforeQuantity = null)
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{
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eod_swap_position curretEod = new eod_swap_position();
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var um = GetUnderlyingData(position.UnderlyingCode);
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@@ -2924,7 +2947,7 @@ namespace YLErp.Modules.SwapModule
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if (!hasSwapEvent && settleDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
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{
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decimal tax = um.ValueAddedTax ?? 0;
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, td.StartDate.Value, settleDate, curretEod.PosiQuantity, shortRatio, directionRatio);
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decimal payment = CalcBondPayment(curretEod.UnderlyingCode, td.StartDate.Value, settleDate, curretEod.PosiQuantity, shortRatio, directionRatio, corporateActionBeforeQuantity);
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payment = DividendCalc.AfterTax(payment, tax);
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//var consumedDividend = CalcConsumedDividend(curretEod, unwindEvents); 首日应该没有分红
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curretEod.TdPosiDividend = payment;
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