#EQD-6290 日终持仓风险-互换持仓价值和已实现盈亏不正确 ; 未实现的分红到期时未去掉
This commit is contained in:
锦麟 王
@@ -5,6 +5,7 @@
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*.suo
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*.user
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*.sln.docstates
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*.lscache
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# Build results
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[Dd]ebug/
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@@ -1,5 +1,6 @@
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using BaseOUDAL;
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using Newtonsoft.Json;
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using NPOI.POIFS.Properties;
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using System.Linq.Expressions;
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using YLErp.DBModels;
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using YLErp.DBModels.Consts;
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@@ -471,12 +472,13 @@ namespace YLErp.Modules.SwapModule
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eodPosi.TdCloseDividend += eodPosi.PosiDividendSum;
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eodPosi.TdPosiDividend = 0;
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eodPosi.RealizedDividend += eodPosi.PosiDividendSum;
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eodPosi.PosiDividendSum = 0;
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eodPosi.PosiProfitSum -= eodPosi.TdCloseDividend;
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//互换持仓价值要去掉已实现的
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eodPosi.SwapPositionValue -= eodPosi.PosiDividendSum;
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//已实现盈亏要加上已实现的
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eodPosi.RealizedPnl += eodPosi.PosiDividendSum;
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eodPosi.PosiDividendSum = 0;
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eodPosi.PosiProfitSum -= eodPosi.TdCloseDividend;
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}
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UnwindData unwindData = new UnwindData();
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@@ -1460,6 +1462,12 @@ namespace YLErp.Modules.SwapModule
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int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1;
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int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1;
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var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp);
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var todayConsumedDividend = CalcConsumedDividend(curretEod, unwindEvents);
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var originNotional = (decimal)td.OriginalStockEqvNotional / swapPosition.PosiNetPrice;
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BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
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decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio);
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decimal tax = um.ValueAddedTax ?? 0;
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decimal totalInterest = totalPayment / (1 + tax) * (1 - tax);
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SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition);
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curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp);
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curretEod.UnderlyingPrice = price;
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@@ -1467,21 +1475,20 @@ namespace YLErp.Modules.SwapModule
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curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
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curretEod.TdPosiDividend = 0;
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// 分红与互换无关，只要持仓>0且起始日早于当前日，正常计算当日分红
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// 修改，互换事件会影响待实现的分红的，现在要算上
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if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
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{
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decimal tax = um.ValueAddedTax ?? 0;
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BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
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decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
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curretEod.TdPosiDividend = Math.Round(payment / (1 + tax) * (1 - tax), 2);
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}
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curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl;
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// 当日浮动端平仓盈亏·分红（仅来自平仓事件 和 互换 中已实现的分红）
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curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn);
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curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee;
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curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl;
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curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0;
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var closeQty = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.平仓).ToList().Sum(s => s.Quantity);
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// 当日浮动端平仓盈亏·分红（仅来自平仓事件中已实现的分红）
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curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn);
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curretEod.RealizedDividend = curretEod.RealizedDividend + curretEod.TdCloseDividend;
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// 分红与互换解耦：持仓>0时从起始日重算待实现分红，不再受互换事件影响
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@@ -1490,11 +1497,9 @@ namespace YLErp.Modules.SwapModule
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{
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//decimal tax = um.ValueAddedTax ?? 0;
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//BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
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//decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, td.., shortRatio, directionRatio);
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//decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio);
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//var totalInterest = totalPayment / (1 + tax) * (1 - tax);
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var consumedDividend = - 1 * CalcConsumedDividend(curretEod, unwindEvents);
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curretEod.PosiDividendSum = eod.PosiDividendSum - consumedDividend - curretEod.TdCloseDividend;
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curretEod.PosiDividendSum = Math.Round(totalInterest,2) - curretEod.RealizedDividend;
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}
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else
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{
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@@ -1,2 +1,125 @@
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var main = main || {};
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main.formatOptions = { "trading": { "umprice": { "trimTailZeros": true, "precision": 9, "grouping": true, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "umpriceP": { "trimTailZeros": true, "percent": true, "precision": 9, "grouping": false, "rounded": true, "minDecimals": 2, "maxDecimals": 9 }, "umpricePR": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "tradeSinglePrice": { "trimTailZeros": true, "precision": 9, "grouping": true, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "premiumRateP": { "trimTailZeros": true, "percent": true, "precision": 9, "grouping": false, "rounded": true, "minDecimals": 2, "maxDecimals": 9 }, "premiumRate": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "tradePrice": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "StockEqvNotional": { "trimTailZeros": true, "precision": 9, "grouping": true, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "notional": { "trimTailZeros": true, "precision": 9, "grouping": true, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "notionalP": { "trimTailZeros": true, "percent": true, "precision": 9, "grouping": false, "rounded": true, "minDecimals": 2, "maxDecimals": 9 }, "volatility": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "volatilityP": { "trimTailZeros": true, "percent": true, "precision": 9, "grouping": false, "rounded": true, "minDecimals": 2, "maxDecimals": 9 }, "greek": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 }, "marginRateP": { "trimTailZeros": true, "percent": true, "precision": 9, "grouping": false, "rounded": true, "minDecimals": 2, "maxDecimals": 9 }, "marginRate": { "trimTailZeros": true, "precision": 9, "grouping": false, "rounded": true, "percent": false, "minDecimals": 2, "maxDecimals": 9 } } };
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main.formatOptions={
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"trading": {
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"umprice": {
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"precision": 9,
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"grouping": true,
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"rounded": true,
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"percent": false,
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"minDecimals": 9,
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"maxDecimals": 0
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},
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"umpriceP": {
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"percent": true,
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"umpricePR": {
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"precision": 4,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 4,
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"maxDecimals": 2
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},
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"tradeSinglePrice": {
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"precision": 2,
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"grouping": true,
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"rounded": true,
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"percent": false,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"premiumRateP": {
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"percent": true,
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"premiumRate": {
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"precision": 4,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 4,
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"maxDecimals": 2
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},
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"tradePrice": {
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"StockEqvNotional": {
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"precision": 2,
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"grouping": true,
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"rounded": true,
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"percent": false,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"notional": {
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"precision": 2,
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"grouping": true,
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"rounded": true,
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"percent": false,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"notionalP": {
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"percent": true,
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"volatility": {
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"precision": 4,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 4,
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"maxDecimals": 2
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},
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"volatilityP": {
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"percent": true,
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"greek": {
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"marginRateP": {
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"percent": true,
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"precision": 2,
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"grouping": false,
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"rounded": true,
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"minDecimals": 2,
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"maxDecimals": 0
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},
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"marginRate": {
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"precision": 4,
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"grouping": false,
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"rounded": true,
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"percent": false,
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"minDecimals": 4,
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"maxDecimals": 2
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}
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}
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};
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