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chore(swap): 删除全部期货公司定制保证金计算死代码——36个厂商类+东吴DongWu子目录+调度器四处厂商switch收敛Default直调+MarginTypeEnum三个不可达枚举项；连带YLErpUnitTest厂商类历史快照副本与4个厂商测试(3个零断言草稿/1个招证金标准)。本分支Company=国联无专属case,厂商路径本就永不执行;顺带消除Debug配置残留的格林大华#if DEBUG两处编译错误。-23231行,Release/Debug/UnitTestProject三处构建0错误

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hjhan
2026-08-22 07:58:25 +08:00
parent 0ff7375696
commit 7b65ec0979
59 changed files with 8 additions and 23239 deletions
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UnitTestProject/Modules/CalcModules/MarginCalculationTest.cs
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UnitTestProject/Modules/CalcModules/SwapCalcTest.cs
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using YLErp.BLL.MarginCalculation;
using YLErp.Modules.DataProviderModule;
namespace YLErp.Modules.CalcModules
{
[TestClass]
public class SwapCalcTest
{
[TestMethod]
public void TestCalc1()
{
//var db = DbContextFactory.GetYLDbContext();
//var td = db.trade.AsNoTracking().FirstOrDefault(n => n.TradeNumber == "SHBX-BX-21051203");
//var tdswap = db.trade_swap.FirstOrDefault(n => n.TradeId == td.id);
//var priceProvidr = new ManualPriceProvider();
//priceProvidr.SetPrice("AG00", 5262);
//var optionValue = PayoffSwapCalcService.CalcValue(td, tdswap, new DateTime(2021, 5, 12), priceProvidr, true);
//Console.WriteLine(optionValue.Pv);
//priceProvidr = new ManualPriceProvider();
//priceProvidr.SetPrice("AG00", 5661.36);
//optionValue = PayoffSwapCalcService.CalcValue(td, tdswap, new DateTime(2021, 5, 12), priceProvidr, true);
//Console.WriteLine(optionValue.Pv);
var db = DbContextFactory.GetYLDbContext();
var td = db.trade.AsNoTracking().FirstOrDefault(n => n.TradeNumber == "CW20180051C3248");
var date = new DateTime(2022, 5, 30);
var priceProvider = new EodPriceProvider(date);
var req = new RunMarginCalculationReq(OptUserInfo.SystemUser)
{
tradeList = new System.Collections.Generic.List<trade> { td },
settleDate = date,
PriceProvider = priceProvider.GetPriceProvider(),
CalcMarginType = Enums.CalcMarginTypeEnum.EodMargin,
volType = "持仓"
};
GuoTouMarginCalculation.TradeMargin(req, td);
}
}
}
UnitTestProject/Modules/MarginModule/HaiTongMarginTest.cs
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using CsvHelper;
using CsvHelper.Configuration;
using Org.BouncyCastle.Ocsp;
using System.Globalization;
using YLErp.Model.Enum;
using static NPOI.HSSF.Util.HSSFColor;
namespace YLErp.Modules.MarginModule
{
[TestClass]
public class HaiTongMarginTest
{
[TestMethod]
public void TestMethod1()
{
var csvFile = Path.Combine(AppContext.BaseDirectory, "Resources\\MarginModule\\tradespans.csv");
var config = new CsvConfiguration(CultureInfo.InvariantCulture) { HeaderValidated = null, MissingFieldFound=null };
using var reader = new StreamReader(csvFile);
using var csv = new CsvReader(reader, config);
var tradeSpans = csv.GetRecords<trade_span>().Where(n => n.ValueDate.Day == 10).ToList();
var clientSpanNews = new List<ClientSpan>();
if (tradeSpans != null && tradeSpans.Count > 0)
{
var tradeIds = tradeSpans.Select(t => t.TradeId).ToList();
//海通预付金保底收益率-用来计算名义本金
double GuaranteedIncome = 0.01;
var clientGroups = tradeSpans.GroupBy(t => t.ClientId);
foreach (var clientGroup in clientGroups)
{
var clientRatio = 1.1;
var underlyingGroup = clientGroup.Where(x => x.IsSingleMargin != true).GroupBy(t => t.UnderlyingId).Select(t => new ClientSpan
{
UnderlyingId = t.Key,
ClientId = clientGroup.Key ?? 0,
ValueDate = DateTime.Today,
//负数代表客户应缴预付金，正数代表客户应收预付金
Spv1 = -t.Sum(g => g.Spv1),
Spv2 = -t.Sum(g => g.Spv2),
Spv3 = -t.Sum(g => g.Spv3),
Spv4 = -t.Sum(g => g.Spv4),
Spv5 = -t.Sum(g => g.Spv5),
Spv6 = -t.Sum(g => g.Spv6),
Spv7 = -t.Sum(g => g.Spv7),
Spv8 = -t.Sum(g => g.Spv8),
WorstCastClientPayable = -t.Sum(g => g.WorstCastClientPayable),
OptId = 0,
OptName = "ddd",
OptDate = DateTime.Now,
SpanType = 1
}).ToList();
foreach (var item in underlyingGroup)
{
if (clientGroup.Count(m => m.UnderlyingId == item.UnderlyingId && m.ClientId == item.ClientId) > 1)
{
item.SetWorstCastClientPayableMin();
#region 更新tradeSpan，使得每笔交易的持仓预付金和客户预付金计算用的Spv组保持一致
var tradeIdList = clientGroup.Select(x => x.TradeId);
var tradeSpansUpdate = new List<trade_span>();
var tradeSpansReq = new List<trade_span>();
if (item.WorstCastClientPayable == item.Spv1)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv1);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv1);
}
else if (item.WorstCastClientPayable == item.Spv2)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv2);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv2);
}
else if (item.WorstCastClientPayable == item.Spv3)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv3);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv3);
}
else if (item.WorstCastClientPayable == item.Spv4)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv4);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv4);
}
else if (item.WorstCastClientPayable == item.Spv5)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv5);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv5);
}
else if (item.WorstCastClientPayable == item.Spv6)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv6);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv6);
}
else if (item.WorstCastClientPayable == item.Spv7)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv7);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv7);
}
else if (item.WorstCastClientPayable == item.Spv8)
{
tradeSpansUpdate.ForEach(x => x.WorstCastClientPayable = x.Spv8);
tradeSpansReq.ForEach(x => x.WorstCastClientPayable = x.Spv8);
}
#endregion
}
else
{
var tradeSpansUpdate = new List<trade_span>();
tradeSpansUpdate.ForEach(x => x.Comment = "单笔计算");
}
//客户信息中追保方向为“单向追保”或“双向追保”的客户： call 看涨
//(1)Call净名义本金 = 客户Call卖方持仓名义本金 - 客户Call买方持仓名义本金；
//(2)Put净名义本金 = 客户Put卖方持仓名义本金 - 客户Put买方持仓名义本金；
//(3)单品种预付金占用 = max(0, max（∑逐笔交易持仓预付金，（Call净名义本金 + Put净名义本金）*1 % *1.1）)；
//(4)预付金占用 =∑单品种预付金占用。
//客户信息追保方向“对手方单向追保”或“其他”的客户：预付金占用 = 0。
//var callsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
//var callbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看涨").Select(m => m.trade.StockEqvNotional).Sum();
//var putsale = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "买入" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
//var putbuy = clientGroup.Where(m => m.UnderlyingId == item.UnderlyingId && m.trade.BuySell == "卖出" && m.trade.OptionType == "看跌").Select(m => m.trade.StockEqvNotional).Sum();
//var StockEqvNotional = (double)((callsale - callbuy + putsale - putbuy) * GuaranteedIncome * clientRatio);
//if (client.MarginOptionType != (int)MarginOptionEnum.双向追保)
//{
// item.WorstCastClientPayable = -Math.Max(0, Math.Max(-(double)item.WorstCastClientPayable, StockEqvNotional));
//}
}
var clientSpan = new ClientSpan
{
ClientId = clientGroup.Key ?? 0,
ValueDate = DateTime.Now,
Spv1 = underlyingGroup.Sum(g => g.Spv1),
Spv2 = underlyingGroup.Sum(g => g.Spv2),
Spv3 = underlyingGroup.Sum(g => g.Spv3),
Spv4 = underlyingGroup.Sum(g => g.Spv4),
Spv5 = underlyingGroup.Sum(g => g.Spv5),
Spv6 = underlyingGroup.Sum(g => g.Spv6),
Spv7 = underlyingGroup.Sum(g => g.Spv7),
Spv8 = underlyingGroup.Sum(g => g.Spv8),
//负数代表客户应缴预付金，正数代表客户应收预付金
WorstCastClientPayable = underlyingGroup.Sum(g => g.WorstCastClientPayable),
DeltaMargin = 0,
TwoSideMargin = underlyingGroup.Sum(g => g.TwoSideMargin),
OptId = 0,
OptName = "ddd",
OptDate = DateTime.Now,
SpanType = 1,
AdditionalWorstCastClientPayable = 0
};
clientSpanNews.Add(clientSpan);
}
}
}
}
}