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fix: 兼容TRS日终推送历史利息腿类别为空

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This commit is contained in:
tengyufan
2026-08-27 13:16:01 +08:00
parent 679117f82a
commit 877cf9dc4f
2 changed files with 99 additions and 8 deletions
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YLErpDAL/Modules/EodModule/TrsContractKafkaPushService.cs
+17 -8
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@@ -140,7 +140,7 @@ namespace YLErp.Modules.EodModule
.ToList();
var positionIds = eodPositions.Select(x => x.PositionId).Distinct().ToList();
var swapPositions = _dbContext.swap_position
.Where(x => positionIds.Contains(x.id) && !x.Invalid && x.category_tag == InterestCategory)
.Where(x => positionIds.Contains(x.id) && !x.Invalid)
.AsNoTracking()
.ToDictionary(x => x.id);
@@ -167,18 +167,27 @@ namespace YLErp.Modules.EodModule
}
var positions = eodPositions.Where(x => x.SwapTradeId == eodSwap.SwapTradeId).ToList();
var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode) && swapPositions.ContainsKey(x.PositionId)).ToList();
var interest = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode)).ToList();
var interestCandidates = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
&& ConsTrade.InterestModels.Contains(x.InterestMode)
&& swapPositions.TryGetValue(x.PositionId, out var swapPosition)
&& swapPosition.category_tag == InterestCategory).ToList();
&& (swapPosition.category_tag == InterestCategory || string.IsNullOrWhiteSpace(swapPosition.category_tag)))
.ToList();
if (floating.Count != 1 || interest.Count != 1)
// 互换利率腿优先；同类别多腿按当前查询顺序取第一条。历史类别为空时保留利息方向，
// 但 fixedRate 按约定置 0，避免把未标注类别的历史值当作已确认利率。
var interest = interestCandidates.FirstOrDefault(x =>
swapPositions.TryGetValue(x.PositionId, out var swapPosition)
&& swapPosition.category_tag == InterestCategory);
var isUncategorizedInterest = interest == null && interestCandidates.Count > 0;
interest ??= interestCandidates.FirstOrDefault();
if (floating.Count != 1 || interest == null)
{
throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{interest.Count}");
throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{(interest == null ? 0 : 1)}");
}
var interestLeg = interest[0];
var interestLeg = interest;
var floatingLeg = floating[0];
return new TrsContractSnapshotItem
{
@@ -193,7 +202,7 @@ namespace YLErp.Modules.EodModule
Dv01 = eodSwap.dv01 ?? 0,
StartDate = trade.StartDate?.ToString(DateFormat),
MaturityDate = trade.ExerciseDate?.ToString(DateFormat),
FixedRate = interestLeg.InterestRateDefault,
FixedRate = isUncategorizedInterest ? 0 : interestLeg.InterestRateDefault,
InterestDirection = interestLeg.InterestDirection,
FloatingDirection = floatingLeg.PositionType,
InitMarginGain = eodSwap.InitMarginGain,