feat(swap): 添加互换合约估值功能和优化数据模型
- 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
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张名锐
@@ -1902,8 +1902,8 @@ namespace YLErp.Modules.SwapModule
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var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
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var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
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eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValue = eod_Swap.NotionalValueLong + eod_Swap.NotionalValueShort;
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eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
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eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
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eod_Swap.SwapTradeId = td.id;
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eod_Swap.SwapTradeNo = td.TradeNumber;
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eod_Swap.ClientId = td.ClientId;
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@@ -1972,9 +1972,9 @@ namespace YLErp.Modules.SwapModule
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var eodSwapPositions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id && x.ValueDate == settleDate && !x.Invalid).ToList();
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var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
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var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
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eod_Swap.NotionalValue = Convert.ToDecimal(td.StockEqvNotional);
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eod_Swap.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional);
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eod_Swap.NotionalValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
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eod_Swap.NotionalValueShort = -Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue));
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eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
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@@ -2164,13 +2164,23 @@ namespace YLErp.Modules.SwapModule
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var retListResult = query.ToSearchList(req);
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var tradeIds = retListResult.rows.Select(x => x.position.SwapTradeId).Distinct().ToList();
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var valueDates = retListResult.rows.Select(x => x.position.ValueDate).Distinct().ToList();
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var tradeNotionals = DbContext.trade
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.Where(x => tradeIds.Contains(x.id))
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.Select(x => new { x.id, x.OriginalStockEqvNotional, x.StockEqvNotional })
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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) && valueDates.Contains(x.ValueDate) && !x.Invalid)
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.ToList();
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var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList();
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var underlyingDataSource = DataCacheProvider.GetUnderlyingDataSource();
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var varietyDataSource = DataCacheProvider.GetVarietyDataSource();
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foreach (var item in retListResult.rows)
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{
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item.position.NotionalValueShort = -Math.Abs(item.position.NotionalValueShort);
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if (tradeNotionals.TryGetValue(item.position.SwapTradeId, out var tradeNotional))
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{
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item.position.NotionalValue = Convert.ToDecimal(tradeNotional.OriginalStockEqvNotional ?? tradeNotional.StockEqvNotional);
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}
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var client = DataCacheProvider.GetClientDataSource().GetData(item.ClientId);
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item.SwapTradeTypeStr = client?.SwapTradeTypeStr;
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var details = eodPositionDetails
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@@ -2178,6 +2188,8 @@ namespace YLErp.Modules.SwapModule
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.ToList();
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var floatingLegs = details.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
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var marginLegs = details.Where(x => marginTypes.Contains(x.InterestMode)).ToList();
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var tradeExtend = tradeExtends.FirstOrDefault(x => x.TradeId == item.position.SwapTradeId);
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var dividendPayDate = tradeExtend?.ExtendObj?.DividendPayDate ?? 1;
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item.UnderlyingType = string.Join(",", floatingLegs
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.Select(x =>
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@@ -2189,7 +2201,17 @@ namespace YLErp.Modules.SwapModule
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})
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.Where(x => !string.IsNullOrWhiteSpace(x))
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.Distinct());
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item.PeriodAmount = floatingLegs.Sum(x => x.PosiDividendSum); // 分红 - 为实现
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item.PeriodAmount = floatingLegs.Sum(x => x.RealizedDividend + x.PosiDividendSum);
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item.FloatingUnrealizedPnl = floatingLegs.Sum(x => x.PosiMtmPnL);
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item.InterestPaymentMethod = dividendPayDate == 0 ? "到期轧差" : "派息日支付";
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if (dividendPayDate == 0)
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{
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item.MaturityNettingValuation = item.FloatingUnrealizedPnl + item.position.InterestPnL + item.PeriodAmount;
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}
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else
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{
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item.PeriodPaymentValuation = item.FloatingUnrealizedPnl + item.position.InterestPnL;
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}
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item.MarginInterestGain = marginLegs
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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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@@ -2340,6 +2362,10 @@ namespace YLErp.Modules.SwapModule
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{
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predicate = predicate.And(x => x.ClientId == req.ClientId);
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}
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if (req.BookId > 0)
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{
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tradePredicate = tradePredicate.And(x => x.AssetId == req.BookId.Value);
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}
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if (req.ValueDateFrom != null)
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{
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predicate = predicate.And(x => x.ValueDate >= req.ValueDateFrom);
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@@ -2373,8 +2399,13 @@ namespace YLErp.Modules.SwapModule
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}
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var retListResult = query.ToSearchList(req);
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var tradeIds = retListResult.rows.Select(s => s.position.SwapTradeId).ToList();
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if (!tradeIds.Any())
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{
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return retListResult;
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}
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interestPredicate = interestPredicate.And(x => tradeIds.Contains(x.SwapTradeId));
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var valueDates = retListResult.rows.Select(s => s.position.ValueDate).Distinct().ToList();
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interestPredicate = interestPredicate.And(x => valueDates.Contains(x.ValueDate));
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var eodPositions = DbContext.eod_swap_position.Where(interestPredicate).ToList();
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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();
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var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList();
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@@ -2386,6 +2417,14 @@ namespace YLErp.Modules.SwapModule
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if (tradeExtend != null)
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{
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eventDate = QdpCalendarHelper.GetNonHoliday(eventDate.AddDays(tradeExtend.ExtendObj.SettlementRules));
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if (item.position.PosiMatuirityDate.HasValue)
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{
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item.MaturitySettlementDate = QdpCalendarHelper.GetNonHoliday(item.position.PosiMatuirityDate.Value.AddDays(tradeExtend.ExtendObj.SettlementRules));
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}
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}
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else
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{
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item.MaturitySettlementDate = item.position.PosiMatuirityDate;
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}
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item.DayCount = Math.Max(0, (eventDate - item.position.PosiStartDate).Days + 1);
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//item.position.PosiProfitSum += item.position.VTradingFee-item.position.PosiFeePending;
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@@ -2393,23 +2432,41 @@ namespace YLErp.Modules.SwapModule
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//item.position.PosiProfitSum += item.TradingFee;
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var posiProfitSum = item.position.PosiProfitSum;
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//item.position.PosiProfitSum 不需要加交易费用
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item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending - item.position.PosiDividendSum;
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item.NetSettmentAmount = item.position.PosiProfitSum + item.position.PosiDividendSum + item.position.PosiFeePending;
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item.PeriodAmount = item.position.PosiDividendSum;
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var pendingDividend = item.position.PosiDividendSum;
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item.position.PosiProfitSum = item.position.PosiProfitSum - item.position.PosiFeePending - pendingDividend;
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if (ConsGlobal.InstrumentType.IsBond(item.position.UnderlyingInstrumentType))
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{
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item.PeriodAmount = pendingDividend;
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item.DividendAmount = 0;
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}
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else
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{
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item.PeriodAmount = 0;
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item.DividendAmount = pendingDividend;
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}
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item.NetSettmentAmount = item.position.PosiProfitSum + item.PeriodAmount + item.DividendAmount + item.position.PosiFeePending;
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var margins = positions.Where(x => x.SwapTradeId == item.position.SwapTradeId);
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var interests = eodPositions.Where(x => x.SwapTradeId == item.position.SwapTradeId && x.ValueDate == item.position.ValueDate);
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var eodMargins = interests.Where(x => marginTypes.Contains(x.InterestMode));
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var eodInterests = interests.Where(x => !marginTypes.Contains(x.InterestMode));
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var initialMargins = eodMargins.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金);
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var additionalMargins = eodMargins.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金);
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var floatRateInterest = eodInterests.Where(x => !string.IsNullOrEmpty(x.FloatRateUnderlyingCode)).FirstOrDefault();
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item.position.FloatRateUnderlyingCode = floatRateInterest?.FloatRateUnderlyingCode;
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item.position.FloatRate = floatRateInterest?.FloatRate ?? 0;
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item.OpenMarginAmount = margins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.OpenMarginRate = margins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.OpenMarginAmount = initialMargins.Any()
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? initialMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1))
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: margins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.OpenMarginRate = initialMargins.Any()
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? initialMargins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1))
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: margins.Sum(s => s.InterestRateDefault * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.AdditionalMarginAmount = additionalMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.MarginInterestAmount = eodMargins.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.InterestAmount = eodInterests.Sum(s => s.InterestIncomeSum * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? -1 : 1));
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item.InterestRate = eodInterests.Sum(s => s.InterestRateDefault);
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item.NetSettmentAmount += item.InterestAmount + item.MarginInterestAmount + eodMargins.Sum(s => s.InterestPrincipalFix * (s.InterestDirection == (int)SwapDirectionEnum.收取 ? 1 : -1));
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item.NetSettmentAmount += item.InterestAmount + item.MarginInterestAmount;
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item.NetSettmentAmount = Math.Round(item.NetSettmentAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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item.TrsValue = Math.Round(item.NetSettmentAmount + item.OpenMarginAmount + item.AdditionalMarginAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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if (item.position.PosiNotionalValue != 0 && item.position.PosiNetPrice != 0)
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{
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item.FloatRateAbs = item.position.PosiNotionalValue == 0 ? 0 : item.InterestAmount / item.position.PosiNotionalValue;
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