Jaymr/zszq-trs
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

feat(swap): 实现预付金利息腿实时剩余本金计算功能

Browse Source 
- 新增 ResolveInterestLegPositionsAsOf 方法处理预付金利息腿实时本金计算
- 添加 FindCompletedFlowEvents 方法查询已完成的现金流事件
- 在日终持仓服务中集成实时剩余本金计算逻辑
- 移除日终重复扣减预付金本金的逻辑
- 优化利息端估值计算方式
- 添加部分平仓后预付金日终按实时剩余本金计息的测试用例
- 增加平仓日预付金日终不得重复扣减实时剩余本金的验证
- 完善历史回放场景下的本金调整功能
This commit is contained in:
张名锐
2026-08-06 14:32:38 +08:00
parent 6bbe9b1c13
commit 9ef45650c7
3 changed files with 233 additions and 6 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+52
View File
@@ -665,6 +665,58 @@ namespace YLErp.Modules.SwapModule
return p;
}).ToList();
}
/// <summary>
/// 计算预付金腿当前真实持仓 （当前持仓+未来持仓）
/// </summary>
/// <param name="origPositions"></param>
/// <param name="realPositions"></param>
/// <param name="completedFlowEvents"></param>
/// <param name="settleDate"></param>
/// <returns></returns>
public static List<swap_position> ResolveInterestLegPositionsAsOf(
List<swap_position> origPositions, List<swap_position> realPositions,
IEnumerable<swap_flow_event> completedFlowEvents, DateTime settleDate)
{
realPositions ??= new List<swap_position>();
var futureFlows = (completedFlowEvents ?? Enumerable.Empty<swap_flow_event>())
.Where(x => x.EventType == (int)SwapEventTypeEnum.平仓 && x.EventDate > settleDate)
.ToList();
var originalNotional = origPositions.Where(x => x.PosiDirection > 0)
.Sum(x => x.PosiNotionalValue);
var futureCloseNotional = futureFlows.Where(x => x.PositionType > 0)
.Sum(x => x.TradingAmount);
var hasNotionalFlows = futureCloseNotional > 0 && originalNotional > 0;
var futureClosePrincipal = futureFlows
.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金
|| x.InterestMode == (int)InterestModeEnum.追加预付金)
.GroupBy(x => x.PositionId)
.ToDictionary(x => x.Key, x => x.Sum(v => v.InterestPrincipal));
return origPositions.Where(x => x.PosiDirection == 0).Select(p =>
{
if (p.InterestMode == (int)InterestModeEnum.初始预付金
|| p.InterestMode == (int)InterestModeEnum.追加预付金)
{
var realLeg = realPositions.FirstOrDefault(r => r.PositionId == p.id);
if (realLeg != null)
{
var futurePrincipal = hasNotionalFlows
? p.InterestPrincipalFix * futureCloseNotional / originalNotional
: futureClosePrincipal.TryGetValue(p.id, out var flowPrincipal) ? flowPrincipal : 0m;
var asOfPrincipal = realLeg.InterestPrincipalFix + futurePrincipal;
asOfPrincipal = Math.Min(p.InterestPrincipalFix, Math.Max(0m, asOfPrincipal));
if (asOfPrincipal != p.InterestPrincipalFix)
{
var clone = p.Clone();
clone.InterestPrincipalFix = asOfPrincipal;
return clone;
}
}
}
return p;
}).ToList();
}
public static decimal ResolveUnwindPreviousNotional(
eod_swap lastEod,
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+20 -5
View File
@@ -307,6 +307,14 @@ namespace YLErp.Modules.SwapModule
return DbContext.swap_flow_event.Where(eventExpression).ToList();
}
protected virtual List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds)
{
return DbContext.swap_flow_event
.Where(x => tradeIds.Contains(x.SwapTradeId)
&& x.DataState == (int)SwapFlowDateStateEnum.完成)
.ToList();
}
#endregion
/// <summary>
@@ -352,6 +360,7 @@ namespace YLErp.Modules.SwapModule
var tradeRealPositionList = allTradePositionList.Where(t => !t.IsInitial).ToList();
var tradeExtendList = FindTradeExtends(tradeIds);
var eodSwapList = FindEodSwapsByDate(preSettleDate);
var completedFlowEvents = FindCompletedFlowEvents(tradeIds);
List<int> eventTyps = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
foreach (var td in tradeQueryList)
{
@@ -364,7 +373,10 @@ namespace YLErp.Modules.SwapModule
var realPositions = tradeRealPositionList.Where(s => s.SwapTradeId == td.id);
var posiList = positions.Where(x => x.PosiQuantity > 0).ToList();
var realPosiList = realPositions.ToList();
var interestList = positions.Where(x => x.InterestDirection > 0).ToList();
var tradeCompletedFlowEvents = completedFlowEvents.Where(x => x.SwapTradeId == td.id).ToList();
var interestList = SwapDealService.ResolveInterestLegPositionsAsOf(
positions.ToList(), realPosiList, tradeCompletedFlowEvents, settleDate)
.Where(x => x.InterestDirection > 0).ToList();
DateTime posiDate = td.TradeDate.Value;//交易日期
var lastEodSwap = eodSwapList.FirstOrDefault(x => x.SwapTradeId == td.id);
//上一交易日无日终归档，且不是交易日期，且当前收盘日期不是交易日期，报错
@@ -1351,8 +1363,9 @@ namespace YLErp.Modules.SwapModule
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
// ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减。
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
// newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
@@ -1364,9 +1377,11 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
//利息端估值用信息
newEodPayPosition.TdInterestPrincipal = position.InterestMode == (int)InterestModeEnum.标的期初全价
? posiNotionalValue
: interests.Count > 0 ? interests.First().InterestPrincipal : 0;
newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode)
? position.InterestPrincipalFix
: position.InterestMode == (int)InterestModeEnum.标的期初全价
? posiNotionalValue
: interests.Count > 0 ? interests.First().InterestPrincipal : 0;
if (interval != null)
{
newEodPayPosition.TdInterestRate = interval.Rate;