feat(eodswapposition): 新增框架合约新口径展示功能
- 在EodPnlCalculator中添加CalculateEodSwapRiskNewFields方法，实现新口径计算逻辑 - 创建EodSwapRiskNewFields和EodSwapRiskNewResponse模型类，支持新的展示字段 - 实现SearchEodSwapNewList查询方法，复用旧查询权限控制并计算新字段 - 添加index=3的新框架合约Tab页面，使用独立查询接口和列配置 - 前端JavaScript中实现colModelGridEodSwapNew列模型，替换旧字段并新增9个字段 - 完善导出功能支持新Tab的标准格式导出，保持与旧口径分离 - 更新测试用例验证新框架合约前端接线正确性
This commit is contained in:
张名锐
@@ -1,8 +1,10 @@
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule.Margin;
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using YLErp.Modules.SwapModule.ReturnLegs;
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namespace YLErp.Modules.SwapModule
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@@ -179,5 +181,101 @@ namespace YLErp.Modules.SwapModule
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{
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position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
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}
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/// <summary>
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/// 计算 EQD-7084 新“框架合约”Tab 的纯展示口径。
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/// 浮动腿盯市收益、开平仓费用和普通利息分别计算；保证金腿的利息
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/// 仅作为估值组成项保留一次，不混入新 Tab 的普通利息列。
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/// </summary>
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public static EodSwapRiskNewFields CalculateEodSwapRiskNewFields(
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IEnumerable<eod_swap_position> floatingLegs,
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IEnumerable<eod_swap_position> interestLegs,
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string structureType,
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decimal notionalValue,
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DateTime? startDate,
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DateTime? maturityDate,
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decimal periodAmount,
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int dividendPayDate)
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{
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// 日终明细以 UnderlyingCode 是否存在区分浮动腿和利息腿；调用方即使传入混合集合，
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// 这里也会重新过滤，避免保证金/利息数据被带入浮动端新口径。
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var floating = (floatingLegs ?? Enumerable.Empty<eod_swap_position>())
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.Where(x => x != null && !string.IsNullOrEmpty(x.UnderlyingCode))
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.ToList();
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var interests = (interestLegs ?? Enumerable.Empty<eod_swap_position>())
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.Where(x => x != null && string.IsNullOrEmpty(x.UnderlyingCode))
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.ToList();
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// MarginModes 覆盖初始/维持保证金相关腿。它们的利息不属于需求中的“利息端待实现收益”，
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// 但必须单独保留，以使两个合约估值与旧口径总额保持一致。
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var ordinaryInterests = interests.Where(x => !MarginModes.Contains(x.InterestMode)).ToList();
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var marginInterests = interests.Where(x => MarginModes.Contains(x.InterestMode)).ToList();
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var firstFloating = floating.FirstOrDefault();
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// PosiGrossPrice 已是 EOD 归档口径的期初全价；债券价格不可在报表接口再次乘 100。
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var initialPrice = firstFloating?.PosiGrossPrice;
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// PosiFeePending 是日终归一后的我方损益方向：支付费用为负、收取费用为正。
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// 本列独立展示它，下面的 valuation 再加回一次，不能因展示拆列而改变合约估值。
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var openingClosingFee = floating.Sum(x => x.PosiFeePending);
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// PosiMtmPnL 已排除分红和费用，避免从 PosiProfitSum 重复拆分历史费用。
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var floatingUnrealizedPnl = floating.Sum(x => x.PosiMtmPnL);
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var ordinaryInterestPnl = ordinaryInterests.Sum(x =>
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x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode));
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var marginInterestAmount = marginInterests.Sum(x =>
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x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode));
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// 新口径估值 = 去费用浮动收益 + 开平仓费用 + 普通利息 + 保证金利息。
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// “浮动端待实现收益”列不包含费用，而合约估值仍沿用旧总额，故费用只能在此加一次。
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var valuation = floatingUnrealizedPnl
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+ openingClosingFee
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+ ordinaryInterestPnl
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+ marginInterestAmount;
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var result = new EodSwapRiskNewFields
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{
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UnderlyingInstrumentType = firstFloating?.UnderlyingInstrumentType,
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UnderlyingDirection = string.Join(",", floating
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.Select(x => x.PositionType == (int)PositionTypeFlag.Long ? "多头"
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: x.PositionType == (int)PositionTypeFlag.Short ? "空头" : "")
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.Where(x => !string.IsNullOrEmpty(x))
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.Distinct()),
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UnderlyingCode = string.Join(",", floating
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.Select(x => x.UnderlyingCode)
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.Where(x => !string.IsNullOrEmpty(x))
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.Distinct()),
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InitialPrice = initialPrice,
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NotionalQuantity = notionalValue,
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ContractStartDate = startDate,
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ContractMaturityDate = maturityDate,
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// 只要普通利息腿存在 FR007，即按需求显示 FR007；保证金腿不影响该展示基准。
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InterestBenchmark = ordinaryInterests.Any(x =>
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!string.IsNullOrWhiteSpace(x.FloatRateUnderlyingCode)
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&& x.FloatRateUnderlyingCode.IndexOf("FR007", StringComparison.OrdinalIgnoreCase) >= 0)
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? "FR007" : "固定利率",
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// 使用日终当日实际适用的 TdInterestRate 合计，而非合同初始利率或利差字段。
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InterestRatePrice = ordinaryInterests.Sum(x => x.TdInterestRate),
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OpeningClosingFee = openingClosingFee,
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FloatingUnrealizedPnl = floatingUnrealizedPnl,
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OrdinaryInterestPnl = ordinaryInterestPnl,
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MarginInterestAmount = marginInterestAmount,
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MarginInterestGain = marginInterests
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.Where(x => x.InterestDirection == (int)SwapDirectionEnum.支付)
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.Sum(x => Math.Abs(x.InterestIncomeSum)),
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MarginInterestLoss = marginInterests
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.Where(x => x.InterestDirection == (int)SwapDirectionEnum.收取)
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.Sum(x => -Math.Abs(x.InterestIncomeSum))
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};
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// DividendPayDate=0 表示到期才与本金轧差，期间付息/分红需要加进该口径；
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// 其余支付方式则由现金支付承担期间金额，估值字段不再包含 periodAmount。
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if (dividendPayDate == 0)
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{
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result.MaturityNettingValuation = valuation + periodAmount;
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}
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else
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{
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result.PeriodPaymentValuation = valuation;
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}
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return result;
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}
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}
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}
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@@ -3370,6 +3370,91 @@ namespace YLErp.Modules.SwapModule
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return retListResult;
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}
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/// <summary>
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/// 查询 EQD-7084 新“框架合约”字段。
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/// 旧查询负责筛选、排序、分页及旧字段计算；新字段只基于当前页对应的日终腿补充计算，
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/// 避免改变旧接口的返回口径。
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/// </summary>
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public SearchListResult<EodSwapRiskNewResponse> SearchEodSwapNewList(EodSwapQueryRequest req)
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{
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// 新 Tab 与旧 Tab 共享同一套权限、筛选、排序和分页边界；先复用旧查询，
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// 再只替换需求明确调整的展示字段，避免新接口悄然改变旧口径或查询范围。
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var oldResult = SearchEodSwapList(req);
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var oldRows = oldResult.rows?.ToList() ?? new List<EodSwapResponse>();
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var tradeIds = oldRows.Select(x => x.position.SwapTradeId).Distinct().ToList();
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var valueDates = oldRows.Select(x => x.position.ValueDate).Distinct().ToList();
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if (tradeIds.Count == 0)
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{
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return new SearchListResult<EodSwapRiskNewResponse>(oldResult,
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Enumerable.Empty<EodSwapRiskNewResponse>());
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}
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// 当前页的交易、日终明细和扩展信息各批量读取一次，随后在内存按“交易 + 日终日”配对。
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// 不在 rows.Select 内查询数据库，避免分页结果产生 N+1 查询。
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var trades = DbContext.trade
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.Where(x => tradeIds.Contains(x.id))
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.Select(x => new { x.id, x.StartDate, x.ExerciseDate })
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.ToDictionary(x => x.id);
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var eodPositionDetails = DbContext.eod_swap_position
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.Where(x => tradeIds.Contains(x.SwapTradeId)
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&& valueDates.Contains(x.ValueDate)
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&& !x.Invalid)
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.ToList();
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var tradeExtends = DbContext.trade_extend
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.Where(x => tradeIds.Contains(x.TradeId))
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.ToList();
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var rows = oldRows.Select(item =>
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{
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// 同一交易可出现在多个日终日；必须同时匹配 ValueDate，不能把其他日期的腿混入本行。
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var details = eodPositionDetails
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.Where(x => x.SwapTradeId == item.position.SwapTradeId
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&& x.ValueDate == item.position.ValueDate)
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.ToList();
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var floatingLegs = details.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
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var interestLegs = details.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
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var tradeExtend = tradeExtends.FirstOrDefault(x => x.TradeId == item.position.SwapTradeId);
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// 缺少扩展信息时按“期间支付”处理，和旧接口的默认值保持一致。
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var dividendPayDate = tradeExtend?.ExtendObj?.DividendPayDate ?? 1;
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trades.TryGetValue(item.position.SwapTradeId, out var tradeInfo);
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return new EodSwapRiskNewResponse
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{
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position = item.position,
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TradeDate = item.TradeDate,
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SwapTradeNo = item.SwapTradeNo,
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ClientName = item.ClientName,
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StructureType = item.StructureType,
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AssetBookName = item.AssetBookName,
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ClientId = item.ClientId,
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SwapTradeTypeStr = item.SwapTradeTypeStr,
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UnderlyingType = item.UnderlyingType,
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PeriodAmount = item.PeriodAmount,
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FloatingUnrealizedPnl = item.FloatingUnrealizedPnl,
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InterestPaymentMethod = item.InterestPaymentMethod,
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MaturityNettingValuation = item.MaturityNettingValuation,
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PeriodPaymentValuation = item.PeriodPaymentValuation,
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MarginInterestGain = item.MarginInterestGain,
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MarginInterestLoss = item.MarginInterestLoss,
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// 所有 EQD-7084 差异集中在 NewFields；上方复制的旧字段用于保留原报表的
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// 基本信息、DV、期间金额及已实现收益，前端再将六个差异列绑定到 NewFields。
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NewFields = CalculateEodSwapRiskNewFields(
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floatingLegs,
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interestLegs,
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item.StructureType,
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item.position.NotionalValue,
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tradeInfo?.StartDate,
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tradeInfo?.ExerciseDate,
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item.PeriodAmount,
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dividendPayDate)
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};
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}).ToList();
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return new SearchListResult<EodSwapRiskNewResponse>(oldResult, rows);
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}
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/// <summary>
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/// 获取互换交易日终持仓数据
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/// </summary>
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@@ -3448,6 +3533,29 @@ namespace YLErp.Modules.SwapModule
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return retListResult;
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}
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/// <summary>
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/// 计算 EQD-7084 新“框架合约”Tab 的字段口径。
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/// 纯函数只依赖日终浮动腿、利息腿和交易级展示参数，供查询接口及无库单测共用。
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/// </summary>
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public static EodSwapRiskNewFields CalculateEodSwapRiskNewFields(
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IEnumerable<eod_swap_position> floatingLegs,
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IEnumerable<eod_swap_position> interestLegs,
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string structureType,
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decimal notionalValue,
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DateTime? startDate,
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DateTime? ExerciseDate,
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decimal periodAmount,
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int dividendPayDate)
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=> EodPnlCalculator.CalculateEodSwapRiskNewFields(
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floatingLegs,
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interestLegs,
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structureType,
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notionalValue,
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startDate,
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ExerciseDate,
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periodAmount,
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dividendPayDate);
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/// <summary>
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/// 互换持仓明细查询
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/// </summary>
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