From 358993bedbc5240591b4d7a2d5c26a35d3047976 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?=E5=BC=A0=E5=90=8D=E9=94=90?= <1565842059@qq.com> Date: Thu, 9 Jul 2026 15:11:58 +0800 Subject: [PATCH 1/9] =?UTF-8?q?feat(swaptrade):=20=E6=B7=BB=E5=8A=A0?= =?UTF-8?q?=E6=9C=9F=E6=9C=AB=E5=A4=B4=E5=AF=B8=E9=A3=8E=E9=99=A9=E8=A1=A8?= =?UTF-8?q?=E6=96=B0=E5=AD=97=E6=AE=B5=E6=94=AF=E6=8C=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 在EodSwap实体模型中新增标的类型、期间付息/分红、保证金利息收支字段 - 在前端表格列模型中添加标的类型、期间付息/分红列定义 - 在前端表格分组配置中将新字段归入对应分组显示 - 实现后端服务中对新字段的数据查询和计算逻辑 - 添加保证金利息收入支出的分类汇总功能 - 完善标的类型字段的数据源获取和展示逻辑 --- Framework/YLErp.Core/DBModels/EodSwap.cs | 8 ++++ .../SwapModule/SwapEodPositionService.cs | 30 +++++++++++++++ .../Scripts/app/swaptrade/EodPositionRisks.js | 38 ++++++++++++++++--- 3 files changed, 70 insertions(+), 6 deletions(-) diff --git a/Framework/YLErp.Core/DBModels/EodSwap.cs b/Framework/YLErp.Core/DBModels/EodSwap.cs index 4d6294a0..783f0ccc 100644 --- a/Framework/YLErp.Core/DBModels/EodSwap.cs +++ b/Framework/YLErp.Core/DBModels/EodSwap.cs @@ -174,5 +174,13 @@ namespace YLErp.DBModels public int ClientId { get; set; } public string SwapTradeTypeStr { get; set; } + + public string UnderlyingType { get; set; } + + public decimal PeriodAmount { get; set; } + + public decimal MarginInterestGain { get; set; } + + public decimal MarginInterestLoss { get; set; } } } diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index b313e99c..319666ef 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -2162,10 +2162,40 @@ namespace YLErp.Modules.SwapModule } DbContext.SetDebugLog(); var retListResult = query.ToSearchList(req); + var tradeIds = retListResult.rows.Select(x => x.position.SwapTradeId).Distinct().ToList(); + var valueDates = retListResult.rows.Select(x => x.position.ValueDate).Distinct().ToList(); + var eodPositionDetails = DbContext.eod_swap_position + .Where(x => tradeIds.Contains(x.SwapTradeId) && valueDates.Contains(x.ValueDate) && !x.Invalid) + .ToList(); + var underlyingDataSource = DataCacheProvider.GetUnderlyingDataSource(); + var varietyDataSource = DataCacheProvider.GetVarietyDataSource(); foreach (var item in retListResult.rows) { var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId); item.SwapTradeTypeStr = client?.SwapTradeTypeStr; + var details = eodPositionDetails + .Where(x => x.SwapTradeId == item.position.SwapTradeId && x.ValueDate == item.position.ValueDate) + .ToList(); + var floatingLegs = details.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList(); + var marginLegs = details.Where(x => marginTypes.Contains(x.InterestMode)).ToList(); + + item.UnderlyingType = string.Join(",", floatingLegs + .Select(x => + { + var underlying = underlyingDataSource.GetData(x.UnderlyingCode); + return varietyDataSource.GetData(underlying?.UnderlyingTypeId ?? 0)?.AssetType + ?? underlying?.UnderlyingInstrumentTypeCn + ?? underlying?.UnderlyingType; + }) + .Where(x => !string.IsNullOrWhiteSpace(x)) + .Distinct()); + item.PeriodAmount = floatingLegs.Sum(x => x.PosiDividendSum); // 分红 - 为实现 + item.MarginInterestGain = marginLegs + .Where(x => x.InterestDirection == (int)SwapDirectionEnum.收取) + .Sum(x => Math.Abs(x.InterestIncomeSum)); + item.MarginInterestLoss = marginLegs + .Where(x => x.InterestDirection == (int)SwapDirectionEnum.支付) + .Sum(x => Math.Abs(x.InterestIncomeSum)); } var dv01 = query.Sum(O => O.position.dv01??0); diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js index a011f68f..4c5b205a 100644 --- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js +++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js @@ -457,9 +457,7 @@ function colModelGridEodPosition() { } //框架合约table //TODO(估值模块V1-缺失字段): 以下需求字段本轮未实现，待后端确认数据来源后补充： -// - 期间付息/分红（浮动端分组） // - 付息方式、合约估值（到期轧差口径/期间支付派息口径）（估值与实现收益分组） -// - 标的类型（基本信息分组） function colModelGridEodSwap() { //按需求《估值模块V1》2.2 分组定义排列列顺序，确保组内列连续（setGroupHeaders 要求） var colModelGrid = [{ @@ -526,6 +524,13 @@ function colModelGridEodSwap() { width: 100, align: 'center', sortable: false + }, { + name: 'UnderlyingType', + label: '标的类型', + index: 'UnderlyingType', + width: 100, + align: 'center', + sortable: false }, //=== 名义本金 === { @@ -574,6 +579,13 @@ function colModelGridEodSwap() { width: 150, align: 'center', formatter: StockEqvNotionalFormat, + }, { + name: 'PeriodAmount', + label: '期间付息/分红', + index: 'PeriodAmount', + width: 150, + align: 'center', + formatter: StockEqvNotionalFormat, }, //=== 利息端 === { @@ -613,6 +625,20 @@ function colModelGridEodSwap() { width: 150, align: 'center', formatter: StockEqvNotionalFormat, + }, { + name: 'MarginInterestGain', + label: '收取对手方保证金利息', + index: 'MarginInterestGain', + width: 170, + align: 'center', + formatter: StockEqvNotionalFormat, + }, { + name: 'MarginInterestLoss', + label: '支付对手方保证金利息', + index: 'MarginInterestLoss', + width: 170, + align: 'center', + formatter: StockEqvNotionalFormat, }, //=== 估值与实现收益 === { @@ -657,12 +683,12 @@ function colModelGridEodSwap() { //框架合约分组配置（对应需求《估值模块V1》2.2 字段定义） //columns 使用 colModel.name；组内列在 colModel 中必须连续 var eodSwapGroupConfig = [ - { title: '基本信息', columns: ['position.ValueDate', 'AssetBookName', 'ClientName', 'SwapTradeNo', 'StructureType', 'SwapTradeTypeStr'] }, + { title: '基本信息', columns: ['position.ValueDate', 'AssetBookName', 'ClientName', 'SwapTradeNo', 'StructureType', 'SwapTradeTypeStr', 'UnderlyingType'] }, { title: '名义本金', columns: ['position.NotionalValue', 'position.NotionalValueLong', 'position.NotionalValueShort'] }, { title: '标的市值', columns: ['position.MarketValueLong', 'position.MarketValueShort'] }, - { title: '浮动端', columns: ['position.FloatingPnL'] }, + { title: '浮动端', columns: ['position.FloatingPnL', 'PeriodAmount'] }, { title: '利息端', columns: ['position.InterestPnL'] }, - { title: '保证金', columns: ['position.InitMarginGain', 'position.PostionMarginGain', 'position.InitMarginLoss', 'position.PostionMarginLoss'] }, + { title: '保证金', columns: ['position.InitMarginGain', 'position.PostionMarginGain', 'position.InitMarginLoss', 'position.PostionMarginLoss', 'MarginInterestGain', 'MarginInterestLoss'] }, { title: '估值与实现收益', columns: ['position.PostionValue', 'position.TdRealizedPnL', 'position.RealizedPnL', 'position.dv01'] } ]; @@ -817,4 +843,4 @@ function SearchClick(isSearchclick) { function showcolumnChooser() { var jgrid = jQuery('#listGrid'); main.showcolumnChooser(jgrid, cloumnTargetName, page.configcolumn_data); -} \ No newline at end of file +} From 5f27c85ae98f8dafa693f45931b2a0e7942a44f7 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?=E5=BC=A0=E5=90=8D=E9=94=90?= <1565842059@qq.com> Date: Thu, 9 Jul 2026 15:21:05 +0800 Subject: [PATCH 2/9] =?UTF-8?q?feat(export):=20=E4=B8=BAExcel=E5=AF=BC?= =?UTF-8?q?=E5=87=BA=E5=8A=9F=E8=83=BD=E6=B7=BB=E5=8A=A0=E5=88=86=E7=BB=84?= =?UTF-8?q?=E8=A1=A8=E5=A4=B4=E6=94=AF=E6=8C=81?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 修改exportVisibleColumnsToExcel函数，增加groupConfig参数 - 实现buildGroupHeaderHtml函数用于构建二级表头结构 - 当存在分组配置时自动生成合并单元格的表头 - 支持按字段分组显示标题并设置样式 - 更新函数注释文档说明新参数用途 --- .../Scripts/app/swaptrade/EodPositionRisks.js | 3 +- YLErpWeb/wwwroot/Scripts/utils.js | 30 +++++++++++++++++-- 2 files changed, 29 insertions(+), 4 deletions(-) diff --git a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js index 4c5b205a..9d347225 100644 --- a/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js +++ b/YLErpWeb/wwwroot/Scripts/app/swaptrade/EodPositionRisks.js @@ -730,7 +730,8 @@ function exportVisibleColumns() { var dateStr = $("#DateValueDate").val() || ''; var tabName = page.tabIndex == 2 ? '框架合约' : '日终持仓'; var fileName = '日终持仓风险_互换_' + tabName + (dateStr ? '_' + dateStr : ''); - main.exportVisibleColumnsToExcel(jgrid, fileName); + var groupConfig = page.tabIndex == 2 ? eodSwapGroupConfig : null; + main.exportVisibleColumnsToExcel(jgrid, fileName, groupConfig); } //---------------------------Formatter--------------------------------- diff --git a/YLErpWeb/wwwroot/Scripts/utils.js b/YLErpWeb/wwwroot/Scripts/utils.js index 993ad26c..ad2601b6 100644 --- a/YLErpWeb/wwwroot/Scripts/utils.js +++ b/YLErpWeb/wwwroot/Scripts/utils.js @@ -1209,8 +1209,9 @@ main.refreshCollapsibleGroupHeaders = function (jgrid) { * * @param {jQuery} jgrid jqGrid 容器 * @param {string} fileName 导出文件名（不含扩展名） + * @param {Array} groupConfig 可选，分组表头配置，每项 { title: string, columns: string[] } */ -main.exportVisibleColumnsToExcel = function (jgrid, fileName) { +main.exportVisibleColumnsToExcel = function (jgrid, fileName, groupConfig) { var colModel = jgrid.jqGrid('getGridParam', 'colModel'); // 只导出可见列（hidden !== true），与折叠状态联动：收起的列自动不可见 var visibleCols = colModel.filter(function (c) { return c.hidden !== true && c.name !== 'cb' && c.name !== 'rn'; }); @@ -1223,7 +1224,10 @@ main.exportVisibleColumnsToExcel = function (jgrid, fileName) { var html = ''; html += ''; html += ''; - //表头 + //表头：有分组配置时导出两级表头（分类 + 字段），否则保持原单级表头。 + if (groupConfig && groupConfig.length) { + html += buildGroupHeaderHtml(visibleCols, groupConfig); + } html += '' + headerLabels.map(function (l) { return ''; }).join('') + ''; @@ -1252,5 +1256,25 @@ main.exportVisibleColumnsToExcel = function (jgrid, fileName) { function escapeXml(s) { return s.replace(/&/g, '&').replace(//g, '>').replace(/"/g, '"'); } + + function buildGroupHeaderHtml(cols, config) { + var titleByColumn = {}; + config.forEach(function (group) { + (group.columns || []).forEach(function (name) { + titleByColumn[name] = group.title || ''; + }); + }); + + var cells = []; + for (var i = 0; i < cols.length; i++) { + var title = titleByColumn[cols[i].name] || ''; + var colspan = 1; + while (i + colspan < cols.length && (titleByColumn[cols[i + colspan].name] || '') === title) { + colspan++; + } + cells.push(''); + i += colspan - 1; + } + return '' + cells.join('') + ''; + } }; - \ No newline at end of file From 7df9e8060e1bf509c5f168ad251f33a5edf36f7d Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?=E5=BC=A0=E5=90=8D=E9=94=90?= <1565842059@qq.com> Date: Fri, 10 Jul 2026 18:20:20 +0800 Subject: [PATCH 3/9] =?UTF-8?q?feat(swap):=20=E6=B7=BB=E5=8A=A0=E4=BA=92?= =?UTF-8?q?=E6=8D=A2=E5=90=88=E7=BA=A6=E4=BC=B0=E5=80=BC=E5=8A=9F=E8=83=BD?= =?UTF-8?q?=E5=92=8C=E4=BC=98=E5=8C=96=E6=95=B0=E6=8D=AE=E6=A8=A1=E5=9E=8B?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit - 在ClientSwapPositionRequest中新增BookId字段用于资产分类查询 - 新增FloatingUnrealizedPnl、InterestPaymentMethod、MaturityNettingValuation等估值相关字段 - 添加MaturitySettlementDate、DividendAmount、AdditionalMarginAmount等持仓详情字段 - 更新前端表格列模型，调整浮动端和估值实现收益分组显示 - 实现框架合约导出功能，支持完整数据筛选结果导出 - 优化名义本金计算逻辑，修复长短仓数值处理问题 - 完善付息方式和估值口径的业务逻辑处理 - 添加TRS估值、期间分红等关键业务字段计算 - 实现Excel导出时分组表头格式化功能 - 修复框架合约列排序和分组表头显示问题 --- Framework/YLErp.Core/DBModels/EodSwap.cs | 20 ++ .../DBModels/EodSwapPositionResponse.cs | 16 ++ YLErpDAL/Model/ClientSwapPositionRequest.cs | 1 + .../SwapModule/SwapEodPositionService.cs | 79 +++++- .../TradeMarketReport_EodPosition.cshtml | 1 + .../Scripts/app/swaptrade/EodPositionRisks.js | 134 ++++++++--- .../TradeMarketReport_EodPosition.js | 226 +++++++++++++++++- YLErpWeb/wwwroot/Scripts/utils.js | 20 +- 8 files changed, 445 insertions(+), 52 deletions(-) diff --git a/Framework/YLErp.Core/DBModels/EodSwap.cs b/Framework/YLErp.Core/DBModels/EodSwap.cs index 783f0ccc..9c058366 100644 --- a/Framework/YLErp.Core/DBModels/EodSwap.cs +++ b/Framework/YLErp.Core/DBModels/EodSwap.cs @@ -179,6 +179,26 @@ namespace YLErp.DBModels public decimal PeriodAmount { get; set; } + /// + /// 合约浮动端待实现收益，不包含期间付息/分红 + /// + public decimal FloatingUnrealizedPnl { get; set; } + + /// + /// 付息方式 + /// + public string InterestPaymentMethod { get; set; } + + /// + /// 合约估值（到期轧差口径） + /// + public decimal? MaturityNettingValuation { get; set; } + + /// + /// 合约估值（期间支付派息口径） + /// + public decimal? PeriodPaymentValuation { get; set; } + public decimal MarginInterestGain { get; set; } public decimal MarginInterestLoss { get; set; } diff --git a/Framework/YLErp.Core/DBModels/EodSwapPositionResponse.cs b/Framework/YLErp.Core/DBModels/EodSwapPositionResponse.cs index 18533989..18caa892 100644 --- a/Framework/YLErp.Core/DBModels/EodSwapPositionResponse.cs +++ b/Framework/YLErp.Core/DBModels/EodSwapPositionResponse.cs @@ -36,6 +36,14 @@ namespace YLErp.DBModels /// 期间付息 /// public decimal PeriodAmount { get; set; } + /// + /// 到期结算日 + /// + public DateTime? MaturitySettlementDate { get; set; } + /// + /// 期间分红 + /// + public decimal DividendAmount { get; set; } public decimal? InitYtm { get; set; } /// @@ -55,6 +63,10 @@ namespace YLErp.DBModels /// public decimal MarginInterestAmount { get; set; } /// + /// 追加预付金 取轧差 + /// + public decimal AdditionalMarginAmount { get; set; } + /// /// 浮动利率（绝对）利率端待实现收益/（标的名义金额/期初标的交割价格全价） /// public decimal FloatRateAbs { get; set; } @@ -71,6 +83,10 @@ namespace YLErp.DBModels /// public decimal NetSettmentAmount { get; set; } /// + /// TRS估值 + /// + public decimal TrsValue { get; set; } + /// /// 交易费用 /// public decimal TradingFee { get; set; } diff --git a/YLErpDAL/Model/ClientSwapPositionRequest.cs b/YLErpDAL/Model/ClientSwapPositionRequest.cs index c4883a06..7922a490 100644 --- a/YLErpDAL/Model/ClientSwapPositionRequest.cs +++ b/YLErpDAL/Model/ClientSwapPositionRequest.cs @@ -20,6 +20,7 @@ namespace YLErp.Model public DateTime? ValueDate { get; set; } public DateTime? ValueDateFrom { get; set; } public int? ClientId { get; set; } + public int? BookId { get; set; } public string StructureType { get; set; } } diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index 319666ef..37989e5d 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -1902,8 +1902,8 @@ namespace YLErp.Modules.SwapModule 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.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; + eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)); + eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional); eod_Swap.SwapTradeId = td.id; eod_Swap.SwapTradeNo = td.TradeNumber; eod_Swap.ClientId = td.ClientId; @@ -1972,9 +1972,9 @@ namespace YLErp.Modules.SwapModule var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).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 = Convert.ToDecimal(td.StockEqvNotional); + eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional); 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.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)); 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); @@ -2164,13 +2164,23 @@ namespace YLErp.Modules.SwapModule var retListResult = query.ToSearchList(req); var tradeIds = retListResult.rows.Select(x => x.position.SwapTradeId).Distinct().ToList(); var valueDates = retListResult.rows.Select(x => x.position.ValueDate).Distinct().ToList(); + var tradeNotionals = DbContext.trade + .Where(x => tradeIds.Contains(x.id)) + .Select(x => new { x.id, x.OriginalStockEqvNotional, x.StockEqvNotional }) + .ToDictionary(x => x.id); var eodPositionDetails = DbContext.eod_swap_position .Where(x => tradeIds.Contains(x.SwapTradeId) && valueDates.Contains(x.ValueDate) && !x.Invalid) .ToList(); + var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList(); var underlyingDataSource = DataCacheProvider.GetUnderlyingDataSource(); var varietyDataSource = DataCacheProvider.GetVarietyDataSource(); foreach (var item in retListResult.rows) { + item.position.NotionalValueShort = -Math.Abs(item.position.NotionalValueShort); + if (tradeNotionals.TryGetValue(item.position.SwapTradeId, out var tradeNotional)) + { + item.position.NotionalValue = Convert.ToDecimal(tradeNotional.OriginalStockEqvNotional ?? tradeNotional.StockEqvNotional); + } var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId); item.SwapTradeTypeStr = client?.SwapTradeTypeStr; var details = eodPositionDetails @@ -2178,6 +2188,8 @@ namespace YLErp.Modules.SwapModule .ToList(); var floatingLegs = details.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList(); var marginLegs = details.Where(x => marginTypes.Contains(x.InterestMode)).ToList(); + var tradeExtend = tradeExtends.FirstOrDefault(x => x.TradeId == item.position.SwapTradeId); + var dividendPayDate = tradeExtend?.ExtendObj?.DividendPayDate ?? 1; item.UnderlyingType = string.Join(",", floatingLegs .Select(x => @@ -2189,7 +2201,17 @@ namespace YLErp.Modules.SwapModule }) .Where(x => !string.IsNullOrWhiteSpace(x)) .Distinct()); - item.PeriodAmount = floatingLegs.Sum(x => x.PosiDividendSum); // 分红 - 为实现 + item.PeriodAmount = floatingLegs.Sum(x => x.RealizedDividend + x.PosiDividendSum); + item.FloatingUnrealizedPnl = floatingLegs.Sum(x => x.PosiMtmPnL); + item.InterestPaymentMethod = dividendPayDate == 0 ? "到期轧差" : "派息日支付"; + if (dividendPayDate == 0) + { + item.MaturityNettingValuation = item.FloatingUnrealizedPnl + item.position.InterestPnL + item.PeriodAmount; + } + else + { + item.PeriodPaymentValuation = item.FloatingUnrealizedPnl + item.position.InterestPnL; + } item.MarginInterestGain = marginLegs .Where(x => x.InterestDirection == (int)SwapDirectionEnum.收取) .Sum(x => Math.Abs(x.InterestIncomeSum)); @@ -2340,6 +2362,10 @@ namespace YLErp.Modules.SwapModule { predicate = predicate.And(x => x.ClientId == req.ClientId); } + if (req.BookId > 0) + { + tradePredicate = tradePredicate.And(x => x.AssetId == req.BookId.Value); + } if (req.ValueDateFrom != null) { predicate = predicate.And(x => x.ValueDate >= req.ValueDateFrom); @@ -2373,8 +2399,13 @@ namespace YLErp.Modules.SwapModule } var retListResult = query.ToSearchList(req); var tradeIds = retListResult.rows.Select(s => s.position.SwapTradeId).ToList(); + if (!tradeIds.Any()) + { + return retListResult; + } interestPredicate = interestPredicate.And(x => tradeIds.Contains(x.SwapTradeId)); var valueDates = retListResult.rows.Select(s => s.position.ValueDate).Distinct().ToList(); + interestPredicate = interestPredicate.And(x => valueDates.Contains(x.ValueDate)); var eodPositions = DbContext.eod_swap_position.Where(interestPredicate).ToList(); var positions = DbContext.swap_position.Where(x => tradeIds.Contains(x.SwapTradeId) && x.InterestMode == (int)InterestModeEnum.初始预付金 && x.IsInitial && !x.Invalid).ToList(); var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList(); @@ -2386,6 +2417,14 @@ namespace YLErp.Modules.SwapModule if (tradeExtend != null) { eventDate = QdpCalendarHelper.GetNonHoliday(eventDate.AddDays(tradeExtend.ExtendObj.SettlementRules)); + if (item.position.PosiMatuirityDate.HasValue) + { + item.MaturitySettlementDate = QdpCalendarHelper.GetNonHoliday(item.position.PosiMatuirityDate.Value.AddDays(tradeExtend.ExtendObj.SettlementRules)); + } + } + else + { + item.MaturitySettlementDate = item.position.PosiMatuirityDate; } item.DayCount = Math.Max(0, (eventDate - item.position.PosiStartDate).Days + 1); //item.position.PosiProfitSum += item.position.VTradingFee-item.position.PosiFeePending; @@ -2393,23 +2432,41 @@ namespace YLErp.Modules.SwapModule //item.position.PosiProfitSum += item.TradingFee; var posiProfitSum = item.position.PosiProfitSum; //item.position.PosiProfitSum 不需要加交易费用 - item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending - item.position.PosiDividendSum; - item.NetSettmentAmount = item.position.PosiProfitSum + item.position.PosiDividendSum + item.position.PosiFeePending; - item.PeriodAmount = item.position.PosiDividendSum; + var pendingDividend = item.position.PosiDividendSum; + item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending - pendingDividend; + if (ConsGlobal.InstrumentType.IsBond(item.position.UnderlyingInstrumentType)) + { + item.PeriodAmount = pendingDividend; + item.DividendAmount = 0; + } + else + { + item.PeriodAmount = 0; + item.DividendAmount = pendingDividend; + } + item.NetSettmentAmount = item.position.PosiProfitSum + item.PeriodAmount + item.DividendAmount + item.position.PosiFeePending; var margins = positions.Where(x => x.SwapTradeId == item.position.SwapTradeId); var interests = eodPositions.Where(x => x.SwapTradeId == item.position.SwapTradeId && x.ValueDate == item.position.ValueDate); var eodMargins = interests.Where(x => marginTypes.Contains(x.InterestMode)); var eodInterests = interests.Where(x => !marginTypes.Contains(x.InterestMode)); + var initialMargins = eodMargins.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金); + var additionalMargins = eodMargins.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金); var floatRateInterest = eodInterests.Where(x => !string.IsNullOrEmpty(x.FloatRateUnderlyingCode)).FirstOrDefault(); item.position.FloatRateUnderlyingCode = floatRateInterest?.FloatRateUnderlyingCode; item.position.FloatRate = floatRateInterest?.FloatRate ?? 0; - item.OpenMarginAmount = margins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); - item.OpenMarginRate = margins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); + item.OpenMarginAmount = initialMargins.Any() + ? initialMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)) + : margins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); + item.OpenMarginRate = initialMargins.Any() + ? initialMargins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)) + : margins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); + item.AdditionalMarginAmount = additionalMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); item.MarginInterestAmount = eodMargins.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1)); item.InterestRate = eodInterests.Sum(s => s.InterestRateDefault); - item.NetSettmentAmount += item.InterestAmount + item.MarginInterestAmount + eodMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1)); + item.NetSettmentAmount += item.InterestAmount + item.MarginInterestAmount; item.NetSettmentAmount = Math.Round(item.NetSettmentAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero); + item.TrsValue = Math.Round(item.NetSettmentAmount + item.OpenMarginAmount + item.AdditionalMarginAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero); if (item.position.PosiNotionalValue != 0 && item.position.PosiNetPrice != 0) { item.FloatRateAbs = item.position.PosiNotionalValue == 0 ? 0 : item.InterestAmount / item.position.PosiNotionalValue; diff --git a/YLErpWeb/Views/SwapTrade2/TradeMarketReport_EodPosition.cshtml b/YLErpWeb/Views/SwapTrade2/TradeMarketReport_EodPosition.cshtml index 1429aaec..8cfa8006 100644 --- a/YLErpWeb/Views/SwapTrade2/TradeMarketReport_EodPosition.cshtml +++ b/YLErpWeb/Views/SwapTrade2/TradeMarketReport_EodPosition.cshtml @@ -39,6 +39,7 @@ } @section JS{ + -
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