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Merge remote-tracking branch 'origin/glms/feature/1.4.2' into glms/feature/1.4.2-margin

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锦麟 王
2026-08-24 09:40:03 +08:00
parent 7b1f69a410 733ade024a
commit 8648b62af9
338 changed files with 9170 additions and 64604 deletions
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YLErpDAL/Modules/EodModule/BondPaymentService.cs
+95 -9
View File
@@ -1,4 +1,4 @@
using BaseOUDAL;
using BaseOUDAL;
using DocumentFormat.OpenXml.Bibliography;
using ExcelDataReader.Log;
using YLErp.DBModels;
@@ -59,7 +59,43 @@ namespace YLErp.Modules.EodModule
create_time = source.create_time,
update_time = source.update_time
};
var result = query.ToSearchList(req);
// 不再依赖 bond-sync 镜像：Stock/Fund 公司行为直接作为展示行返回。
// 展示金额按“每 10 份派现金额”换算为 GiveCashAmount / 10；EOD 计算仍使用
// GetBondPayments 的内部单位口径，不受此处展示换算影响。
var corporateQuery = from un in queryUn
join dividend in DbContext.ex_dividend_info.AsNoTracking()
on un.UnderlyingCode equals dividend.UnderlyingCode
where dividend.ValidStatus
&& dividend.EffectiveDate.HasValue
&& dividend.EffectiveDate.Value >= valueDtStart
&& dividend.EffectiveDate.Value < valueDtEnd
&& dividend.GiveCashAmount != 0
&& (string.IsNullOrEmpty(req.UnderlyingCode)
|| dividend.UnderlyingCode.Contains(req.UnderlyingCode))
&& (un.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock
|| un.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Fund)
&& (string.IsNullOrEmpty(req.DataSource)
|| "公司行为除权表".Contains(req.DataSource))
select new BondPaymentDto
{
id = -dividend.id,
channel_source = "公司行为除权表",
MarketName = un.MarketName,
security_id = un.UnderlyingCode,
symbol = un.UnderlyingName,
coupon_rate = null,
payment_date = dividend.EffectiveDate,
payment_interest = dividend.GiveCashAmount / 10m,
payment_parvalue = null,
paying_price = dividend.GiveCashAmount / 10m,
create_time = dividend.OptDate,
update_time = dividend.OptDate
};
// EF Core 无法翻译两个对 BondPaymentDto 继承属性赋值集合不完全一致的投影
// 直接 Concat；分别执行后在内存合并，不改变两组查询的筛选口径。
var rows = query.ToList();
rows.AddRange(corporateQuery.ToList());
var result = rows.AsQueryable().ToSearchList(req);
return result;
}
@@ -104,7 +140,39 @@ namespace YLErp.Modules.EodModule
.Where(x => x.reg_date > startDate && x.reg_date <= endDate)
.AsNoTracking().ToList();
Log.Info($"[分红-登记日口径] GetBondPayments underlyingCode={underlyingCode} 区间=({startDate:yyyy-MM-dd},{endDate:yyyy-MM-dd}] 按reg_date过滤, 命中 {result.Count} 条: " +
string.Join(",", result.Select(r => r.reg_date?.ToString("yyyy-MM-dd"))));
string.Join(",", result.Select(r => r.reg_date?.ToString("yyyy-MM-dd"))));
// 让 Copy/Update EOD 始终只依赖 BondPaymentService，而不必在收盘链路直接累加 ex_dividend_info。
// Stock/Fund 公司行为直接从 ex_dividend_info 读取，内部仍按“每 10 份派现金额”保存 GiveCashAmount 原值，
// 最后的 /10 只应用于这类内存补充记录；bond_payment_info 原生记录仍按每 100 份处理。
var corporatePayments = (from dividend in DbContext.ex_dividend_info.AsNoTracking()
join underlying in DbContext.underlying_manager.AsNoTracking()
on dividend.UnderlyingCode equals underlying.UnderlyingCode
where dividend.ValidStatus
&& dividend.EffectiveDate.HasValue
&& dividend.EffectiveDate.Value > startDate
&& dividend.EffectiveDate.Value <= endDate
&& dividend.GiveCashAmount != 0
&& dividend.UnderlyingCode == underlyingCode
&& (underlying.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Stock
|| underlying.UnderlyingInstrumentType == ConsGlobal.InstrumentType.Fund)
select dividend).ToList();
foreach (var dividend in corporatePayments)
{
// 按“每 10 份派现金额”口径，直接存 GiveCashAmount 原值，与同步任务/CalcPayment 保持一致。
var paymentInterest = dividend.GiveCashAmount;
result.Add(new BondPayment
{
underlyingCode = dividend.UnderlyingCode,
payment_date_pl = dividend.EffectiveDate,
payment_date = dividend.EffectiveDate,
payment_interest = paymentInterest,
paying_price = paymentInterest,
create_time = dividend.OptDate,
update_time = dividend.OptDate,
IsCorporateActionCashDividend = true
});
}
return result;
}
@@ -132,24 +200,42 @@ namespace YLErp.Modules.EodModule
/// <param name="longRatio">多空方向</param>
/// <param name="payDirection">收支方向</param>
/// <returns></returns>
public decimal CalcPayment(string underlyingCode, DateTime startDate, DateTime endDate, decimal qty, decimal longRatio, decimal payDirection)
public decimal CalcPayment(
string underlyingCode,
DateTime startDate,
DateTime endDate,
decimal qty,
decimal longRatio,
decimal payDirection)
{
var payments = GetBondPayments(underlyingCode, startDate, endDate);
return CalcPayment(payments, qty, longRatio, payDirection);
}
/// <summary>
/// 计算某债券期间付息
/// 计算某标的期间现金流。债券期间付息与 Stock/Fund 公司行为现金分红可能同时命中，
/// 必须按每条记录的来源单位分别计算，不能按标的类型对整个集合统一除以 10 或 100。
/// </summary>
/// <param name="payments">期间付息集合</param>
/// <param name="qty">持仓数量</param>
/// <param name="longRatio">多空方向</param>
/// <param name="payDirection">收支方向</param>
/// <returns></returns>
public decimal CalcPayment(List<BondPayment> payments, decimal qty, decimal longRatio, decimal payDirection)
public decimal CalcPayment(
List<BondPayment> payments,
decimal qty,
decimal longRatio,
decimal payDirection)
{
var interest = payments.Sum(s => s.payment_interest ?? 0);
// interest 为每 100 元面值的票息，×qty 后需 ÷100 转为实际金额（与入库价格 bondPriceMultiple 同口径）
return BondPriceConverter.ToStorage(interest * qty) * longRatio * payDirection;
var actualAmount = (payments ?? new List<BondPayment>()).Sum(payment =>
{
var paymentAmount = (payment.payment_interest ?? 0m) * qty;
// bond_payment_info 原生期间付息按每 100 份存储；由 ex_dividend_info 补充的
// 公司行为现金分红按每 10 份存储。Fund 标的可能同时命中两类记录，故必须逐条分流。
return payment.IsCorporateActionCashDividend
? paymentAmount / 10m
: BondPriceConverter.ToStorage(paymentAmount);
});
return actualAmount * longRatio * payDirection;
}
}
YLErpDAL/Modules/EodModule/EodPositionRisksQueryService.cs
+2
View File
@@ -2032,6 +2032,7 @@ namespace YLErp.Modules.EodModule
dic.Add("Gamma_r_1bp", OtcFormatExtensions.OtcFormat(item.Gamma_r_1bp, OtcFormatFlag.greek));
dic.Add("Vega_r", OtcFormatExtensions.OtcFormat(item.Vega_r, OtcFormatFlag.greek));
dic.Add("Vega_r_1bp", OtcFormatExtensions.OtcFormat(item.Vega_r_1bp, OtcFormatFlag.greek));
dic.Add("Vega_1bp", OtcFormatExtensions.OtcFormat(item.Vega_1bp, OtcFormatFlag.greek));
}
@@ -2143,6 +2144,7 @@ namespace YLErp.Modules.EodModule
dic.Add("Gamma_r_1bp", "");
dic.Add("Vega_r", "");
dic.Add("Vega_r_1bp", "");
dic.Add("Vega_1bp", "");
}
results.Add(dic);
}
YLErpDAL/Modules/EodModule/GLMSGreeksHandleService.cs
+7
View File
@@ -164,6 +164,7 @@ namespace YLErp.Modules.EodModule
dto.Dv01 = calcDto.Dv01;
dto.Gamma_r_1bp = calcDto.Gamma_r_1bp;
dto.Vega_r_1bp = calcDto.Vega_r_1bp;
dto.Vega_1bp = calcDto.Vega_1bp;
}
@@ -183,6 +184,7 @@ namespace YLErp.Modules.EodModule
calRes.Dv01 = calcDto.Dv01;
calRes.Gamma_r_1bp = calcDto.Gamma_r_1bp;
calRes.Vega_r_1bp = calcDto.Vega_r_1bp;
calRes.Vega_1bp = calcDto.Vega_1bp;
}
@@ -267,6 +269,9 @@ namespace YLErp.Modules.EodModule
private void handle(GreeksCalcDto dto, underlying_manager um)
{
// 标准 Vega 的 1bp 变体：全资产计算，不受利率类过滤限制
dto.Vega_1bp = dto.Vega * 0.0001;
if (!calcInstrumentTypes.Contains(um.UnderlyingInstrumentType))
{
return;
@@ -353,6 +358,8 @@ namespace YLErp.Modules.EodModule
public double? Vega_r_1bp { get; set; }
public double? Vega_1bp { get; set; }
}
public class ChinaBondIndexQuoteQueryDto