diff --git a/.gitignore b/.gitignore index 0f2a2af1..0edc3f1b 100644 --- a/.gitignore +++ b/.gitignore @@ -5,6 +5,7 @@ *.suo *.user *.sln.docstates +*.lscache # Build results [Dd]ebug/ diff --git a/EOF b/EOF new file mode 100644 index 00000000..e69de29b diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index a00e05fb..e5792425 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -1,5 +1,6 @@ using BaseOUDAL; using Newtonsoft.Json; +using NPOI.POIFS.Properties; using System.Linq.Expressions; using YLErp.DBModels; using YLErp.DBModels.Consts; @@ -471,12 +472,13 @@ namespace YLErp.Modules.SwapModule eodPosi.TdCloseDividend += eodPosi.PosiDividendSum; eodPosi.TdPosiDividend = 0; eodPosi.RealizedDividend += eodPosi.PosiDividendSum; - eodPosi.PosiDividendSum = 0; - eodPosi.PosiProfitSum -= eodPosi.TdCloseDividend; //互换持仓价值要去掉已实现的 eodPosi.SwapPositionValue -= eodPosi.PosiDividendSum; //已实现盈亏要加上已实现的 eodPosi.RealizedPnl += eodPosi.PosiDividendSum; + eodPosi.PosiDividendSum = 0; + eodPosi.PosiProfitSum -= eodPosi.TdCloseDividend; + } UnwindData unwindData = new UnwindData(); @@ -1460,6 +1462,12 @@ namespace YLErp.Modules.SwapModule int shortRatio = eod.PositionType == (int)PositionTypeFlag.Long ? 1 : -1; int directionRatio = eod.PosiDirection == (int)SwapDirectionEnum.收取 ? 1 : -1; var price = UnderlyingCodePrice(eod.UnderlyingCode, dealDate, out decimal vobp); + var todayConsumedDividend = CalcConsumedDividend(curretEod, unwindEvents); + var originNotional = (decimal)td.OriginalStockEqvNotional / swapPosition.PosiNetPrice; + BondPaymentService bondPaymentService = new BondPaymentService(UserInfo); + decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio); + decimal tax = um.ValueAddedTax ?? 0; + decimal totalInterest = totalPayment / (1 + tax) * (1 - tax); SetPriceInfoByFlowEvent(eod, curretEod, unwindEvents, swapPosition); curretEod.dv01 = Dv01Helper.CalcDv01(eod.UnderlyingCode, curretEod.PosiQuantity, eod.PosiDirection, eod.PositionType, vobp); curretEod.UnderlyingPrice = price; @@ -1467,21 +1475,20 @@ namespace YLErp.Modules.SwapModule curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio; curretEod.TdPosiDividend = 0; // 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 + // 修改，互换事件会影响待实现的分红的，现在要算上 if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0)) { - decimal tax = um.ValueAddedTax ?? 0; - BondPaymentService bondPaymentService = new BondPaymentService(UserInfo); decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, eod.ValueDate, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio); curretEod.TdPosiDividend = Math.Round(payment / (1 + tax) * (1 - tax), 2); } curretEod.RealizedMtmPnL = eod.RealizedMtmPnL + curretEod.TdCloseMtmPnl; - + // 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） + curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn); curretEod.RealizedFee = eod.RealizedFee + curretEod.TdCloseFee; curretEod.RealizedPnl = eod.RealizedPnl + curretEod.TdCloseMtmPnl; curretEod.PosiStatus = curretEod.PosiQuantity == 0 ? 1 : 0; var closeQty = unwindEvents.Where(x => x.EventType == (int)SwapFlowEventTypeEnum.平仓).ToList().Sum(s => s.Quantity); - // 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） - curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn); + curretEod.RealizedDividend = curretEod.RealizedDividend + curretEod.TdCloseDividend; // 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 @@ -1490,11 +1497,9 @@ namespace YLErp.Modules.SwapModule { //decimal tax = um.ValueAddedTax ?? 0; //BondPaymentService bondPaymentService = new BondPaymentService(UserInfo); - //decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, td.., shortRatio, directionRatio); + //decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, (decimal)originNotional, shortRatio, directionRatio); //var totalInterest = totalPayment / (1 + tax) * (1 - tax); - var consumedDividend = - 1 * CalcConsumedDividend(curretEod, unwindEvents); - - curretEod.PosiDividendSum = eod.PosiDividendSum - consumedDividend - curretEod.TdCloseDividend; + curretEod.PosiDividendSum = Math.Round(totalInterest,2) - curretEod.RealizedDividend; } else { diff --git a/YLErpWeb/App_Data/Config/otcformat.js b/YLErpWeb/App_Data/Config/otcformat.js index 92b1f226..d4c79353 100644 --- a/YLErpWeb/App_Data/Config/otcformat.js +++ b/YLErpWeb/App_Data/Config/otcformat.js @@ -1,2 +1,125 @@ var main = main || {}; -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 } } }; \ No newline at end of file +main.formatOptions={ + "trading": { + "umprice": { + "precision": 9, + "grouping": true, + "rounded": true, + "percent": false, + "minDecimals": 9, + "maxDecimals": 0 + }, + "umpriceP": { + "percent": true, + "precision": 2, + "grouping": false, + "rounded": true, + "minDecimals": 2, + "maxDecimals": 0 + }, + "umpricePR": { + "precision": 4, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 4, + "maxDecimals": 2 + }, + "tradeSinglePrice": { + "precision": 2, + "grouping": true, + "rounded": true, + "percent": false, + "minDecimals": 2, + "maxDecimals": 0 + }, + "premiumRateP": { + "percent": true, + "precision": 2, + "grouping": false, + "rounded": true, + "minDecimals": 2, + "maxDecimals": 0 + }, + "premiumRate": { + "precision": 4, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 4, + "maxDecimals": 2 + }, + "tradePrice": { + "precision": 2, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 2, + "maxDecimals": 0 + }, + "StockEqvNotional": { + "precision": 2, + "grouping": true, + "rounded": true, + "percent": false, + "minDecimals": 2, + "maxDecimals": 0 + }, + "notional": { + "precision": 2, + "grouping": true, + "rounded": true, + "percent": false, + "minDecimals": 2, + "maxDecimals": 0 + }, + "notionalP": { + "percent": true, + "precision": 2, + "grouping": false, + "rounded": true, + "minDecimals": 2, + "maxDecimals": 0 + }, + "volatility": { + "precision": 4, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 4, + "maxDecimals": 2 + }, + "volatilityP": { + "percent": true, + "precision": 2, + "grouping": false, + "rounded": true, + "minDecimals": 2, + "maxDecimals": 0 + }, + "greek": { + "precision": 2, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 2, + "maxDecimals": 0 + }, + "marginRateP": { + "percent": true, + "precision": 2, + "grouping": false, + "rounded": true, + "minDecimals": 2, + "maxDecimals": 0 + }, + "marginRate": { + "precision": 4, + "grouping": false, + "rounded": true, + "percent": false, + "minDecimals": 4, + "maxDecimals": 2 + } + } +}; \ No newline at end of file