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保证金算法&资金计算

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This commit is contained in:
吴方海
2025-04-16 15:15:59 +08:00
parent 6e644083df
commit 8e61f23e18
47 changed files with 695 additions and 1194 deletions
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YLErpDAL/Modules/SwapModule/SwapTradeService.cs
+6 -50
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@@ -253,7 +253,7 @@ namespace YLErp.Modules.SwapModule
bool cashNeedAfter = false)
{
var td = PrepareTrade(flowMerge, client, asset, underlying, clientMarginTemplate?.SwapEndDays??14, structureType);
PrepareTradeExtend(flowMerge, td, underlying, swapFloatRate, clientMarginTemplate);
PrepareTradeExtend(flowMerge, td, underlying, swapFloatRate);
td.TradeNumber = BizLogicSingleton.Instance.GenerateTradeNumberBeforeConfirm(td, DbContext);
flowMerge.SwapTradeNo = td.TradeNumber;
PrepareSwapTrade(td, TradeSourceEnum.系统交易, underlying);
@@ -359,7 +359,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="td"></param>
/// <param name="underlying"></param>
/// <param name="swapFloatRate"></param>
private void PrepareTradeExtend(swap_flow_merge flowMerge, trade td, underlying_manager underlying, SwapFloatRate swapFloatRate, client_marginrate clientMarginTemplate)
private void PrepareTradeExtend(swap_flow_merge flowMerge, trade td, underlying_manager underlying, SwapFloatRate swapFloatRate)
{
swap_position floatPosition = new swap_position()
{
@@ -387,53 +387,6 @@ namespace YLErp.Modules.SwapModule
UnderlyingInstrumentType = underlying.UnderlyingInstrumentType
};
td.swap_positions.Add(floatPosition);
if (clientMarginTemplate != null)
{
decimal initMarginRate = Convert.ToDecimal(clientMarginTemplate.InitMarginRate);
if (td.StructureType != "普通债券类收益互换")
{
if (floatPosition.PositionType == (int)PositionTypeFlag.Long)
{
initMarginRate = clientMarginTemplate.LongInitMarginRate ?? 0;
}
else
{
initMarginRate = clientMarginTemplate.ShortInitMarginRate ?? 0;
}
}
bool year20 = true;
if (underlying.MaturityDate.HasValue && underlying.MaturityDate < DateTime.Now.AddDays(20 * 365))
{
year20 = false;
}
initMarginRate = year20 ? 0.05m : initMarginRate;
swap_position marginPosition = new swap_position()
{
InterestDirection = (int)SwapDirectionEnum.收取,
InterestRateDefault = clientMarginTemplate.InitMarginRebateRate ?? 0,
InterestMode = (int)InterestModeEnum.初始预付金,
InterestPrincipalFix = initMarginRate * Convert.ToDecimal(td.StockEqvNotional),
HappenDate = td.TradeDate.Value,
PosiMatuirityDate = td.ExerciseDate.Value,
PosiStartDate = td.StartDate.Value,
Currency = "CNY",
IsAnnualized = true,
SwapTradeId = td.id,
IsInitial = true,
OptTime = DateTime.Now,
OptId = UserInfo.UserId,
OptName = UserInfo.UserName,
};
var marginInterval = new IntervalModel()
{
Date = td.ExerciseDate.Value,
Rate = marginPosition.InterestRateDefault,
Settlement = 0
};
List<IntervalModel> marginIntervalModels = new List<IntervalModel>() { marginInterval };
marginPosition.InterestSwapInterval = JsonConvert.SerializeObject(marginIntervalModels);
td.swap_positions.Add(marginPosition);
}
swap_position interestPosition = new swap_position()
{
InterestDirection = flowMerge.BsType == (int)PositionTypeFlag.Long ? (int)SwapDirectionEnum.收取 : (int)SwapDirectionEnum.支付,
@@ -818,7 +771,10 @@ namespace YLErp.Modules.SwapModule
{
throw new ServiceException($"客户'{client.Name}'的'交易资产'属性不包括'权益',不能进行收益互换交易");
}
if (client.EvaluateExpireDate < req.TradeDate)
{
throw new ServiceException("适当性评估已经过期，只有在适当性有效期内才可以新开仓");
}
req.ClientName = client.Name;
req.SettlementCurrency = client.SettlementCurrency;
}