#EQD-6196 国联民生-收益互换期间付息支持自动支付

YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs

@@ -144,7 +144,7 @@ namespace YLErp.Modules.SwapModule
                         if (autoInterval != null)
                             break;
                     }
-                    DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, autoInterval);
+                    DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional, autoInterval, curEodPosis, tradeExtend);
                     //多空组合判断是否已到到期日且无持仓信息
                     if (longShort && td.ExerciseDate.Value == settleDate && allPositionQty == 0)
                     {
@@ -370,9 +370,11 @@ namespace YLErp.Modules.SwapModule
         /// <param name="settleDate"></param>
         /// <param name="swapDeals"></param>
         /// <param name="interval">自动互换观察日信息，用于获取结算日期</param>
-        private void DealAutoInterests(List<swap_flow_event> autoInterests, trade td, DateTime settleDate, DateTime? preDealDate, decimal StockEqvNotional, IntervalModel interval)
+        /// <param name="curEodPositions">当日浮动端EOD持仓</param>
+        /// <param name="tradeExtend">交易扩展信息</param>
+        private void DealAutoInterests(List<swap_flow_event> autoInterests, trade td, DateTime settleDate, DateTime? preDealDate, decimal StockEqvNotional, IntervalModel interval, List<eod_swap_position> curEodPositions, trade_extend tradeExtend)
         {
-            if (autoInterests.Count == 0)
+            if (autoInterests.Count == 0 && (curEodPositions == null || curEodPositions.All(x => x.PosiDividendSum == 0)))
             {
                 return;
             }
@@ -391,6 +393,16 @@ namespace YLErp.Modules.SwapModule
             unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
             unwindData.PosiNotionalValue = StockEqvNotional;
 
+            // PayDate 统一用派息金额支付日 + 日历调整
+            var dividendPayDateOffset = tradeExtend?.ExtendObj?.DividendPayDate ?? 1;
+            // 0到期结算日 1派息日+0 2派息日+1 3派息日+2
+            var payDays = dividendPayDateOffset > 0 ? dividendPayDateOffset - 1 : 0;
+            var autoSwapPayDate = QdpCalendarHelper.GetNonHoliday(settleDate.AddDays(payDays));
+            unwindData.PayDate = autoSwapPayDate;
+
+            // 给已有利息腿统一赋 PayDate
+            autoInterests.ForEach(x => x.PayDate = autoSwapPayDate);
+
             // 预付金腿类型列表：初始预付金、追加预付金
             var premiumModes = new List<int>() { (int)InterestModeEnum.初始预付金, (int)InterestModeEnum.追加预付金 };
 
@@ -416,10 +428,58 @@ namespace YLErp.Modules.SwapModule
             });
             unwindData.SwapCloseAmount = interestTotal; // 利息腿金额
 
-            // 总实现盈亏
-            unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount + unwindData.SwapMarginRebatePnl;
+            // 处理浮动端待实现分红：将其转为已实现（到期结算日不处理）
+            List<swap_flow_event> dividendEvents = new List<swap_flow_event>();
+            decimal dividendTotal = 0;
+            if (curEodPositions != null && dividendPayDateOffset > 0)
+            {
+                foreach (var eodPosi in curEodPositions.Where(x => x.PosiDividendSum != 0))
+                {
+                    var dividendEvent = new swap_flow_event
+                    {
+                        SwapTradeId = td.id,
+                        SwapTradeNo = td.TradeNumber,
+                        EventType = (int)SwapEventTypeEnum.自动互换,
+                        EventReason = "系统操作-自动互换",
+                        EventDate = settleDate,
+                        UnwindDate = settleDate,
+                        PayDate = autoSwapPayDate,
+                        PositionId = eodPosi.PositionId,
+                        UnderlyingCode = eodPosi.UnderlyingCode,
+                        PayDirection = eodPosi.PosiDirection,
+                        PositionType = eodPosi.PositionType,
+                        PositionQty = eodPosi.PosiQuantity,
+                        Quantity = 0,
+                        ContractSize = eodPosi.ContractSize,
+                        TradingAmountAvg = eodPosi.PosiNetPrice,
+                        PosiGrossPrice = eodPosi.PosiGrossPrice,
+                        PosiNetPrice = eodPosi.PosiNetPrice,
+                        MarkClosePnl = eodPosi.PosiDividendSum,
+                        DividendIn = eodPosi.PosiDividendSum,
+                        CloseFee = 0,
+                        TradingFee = 0,
+                        TradingFeePending = 0,
+                        ClientId = td.ClientId,
+                        DataState = (int)SwapFlowDateStateEnum.完成,
+                    };
+                    dividendEvents.Add(dividendEvent);
+                    dividendTotal += eodPosi.PosiDividendSum;
 
-            SaveAutoSwapDeal(td, autoInterests, unwindData, interval);
+                    // 将EOD持仓的待实现分红转为已实现
+                    eodPosi.TdCloseDividend += eodPosi.PosiDividendSum;
+                    eodPosi.TdPosiDividend = 0;
+                    eodPosi.RealizedDividend += eodPosi.PosiDividendSum;
+                    eodPosi.PosiDividendSum = 0;
+                }
+            }
+
+            // 分红收支加入总实现盈亏
+            unwindData.SwapDividendPnl = dividendTotal;
+
+            // 总实现盈亏
+            unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount + unwindData.SwapMarginRebatePnl + dividendTotal;
+
+            SaveAutoSwapDeal(td, autoInterests, unwindData, interval, dividendEvents);
         }
         /// <summary>
         /// 保存自动互换数据信息
@@ -427,7 +487,7 @@ namespace YLErp.Modules.SwapModule
         /// <param name="td"></param>
         /// <param name="swap_Deal"></param>
         /// <param name="interval">自动互换观察日信息，用于获取结算日期</param>
-        private long SaveAutoSwapDeal(trade td, List<swap_flow_event> flowEvents, UnwindData unwindData, IntervalModel interval)
+        private long SaveAutoSwapDeal(trade td, List<swap_flow_event> flowEvents, UnwindData unwindData, IntervalModel interval, List<swap_flow_event> dividendEvents = null)
         {
             //td.UnWindDate = unwindData.ValueDate;
             //优先使用 interval.SettlementDate 作为资金记录发生日期，如果没有则使用 ValueDate
@@ -446,6 +506,15 @@ namespace YLErp.Modules.SwapModule
                 AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapMarginRebatePnl), ClientCashInCashOut.系统操作_预付金返息, unwindData.ValueDate);
             }
 
+            // 分红：使用派息支付日偏移记录资金记录
+            if (unwindData.SwapDividendPnl != 0)
+            {
+                var dividendPayDate = (dividendEvents != null && dividendEvents.Count > 0)
+                    ? dividendEvents.First().PayDate.Value
+                    : unwindData.ValueDate;
+                AddClientCashInCashOut(td, Convert.ToDouble(-unwindData.SwapDividendPnl), ClientCashInCashOut.系统操作_互换, dividendPayDate);
+            }
+
             string data = JsonConvert.SerializeObject(unwindData);
             var swapEvent = new SwapEventService(this).AddSwapEventDate(unwindData.ValueDate, unwindData.SwapTradeId, (int)SwapEventTypeEnum.自动互换, data, clientCashId, true, "系统操作-自动互换");//将互换总额存入事件
             flowEvents.ForEach(x =>
@@ -453,6 +522,15 @@ namespace YLErp.Modules.SwapModule
                 x.EventId = swapEvent.id;
                 DbContext.swap_flow_event.Add(x);
             });
+            // 保存分红事件
+            if (dividendEvents != null)
+            {
+                dividendEvents.ForEach(x =>
+                {
+                    x.EventId = swapEvent.id;
+                    DbContext.swap_flow_event.Add(x);
+                });
+            }
             UpdateInitalPostion(flowEvents, td.id);
             return swapEvent.id;
         }
@@ -979,7 +1057,7 @@ namespace YLErp.Modules.SwapModule
             newEodPayPosition.TdInterestFee = flowEvents.Sum(s => s.InterestFee);
             newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
             newEodPayPosition.TdCloseInterest = flowEvents.Sum(s => s.InterestClosePnL);
-            var intersetAcmount = newEodPayPosition.TdInterestPrincipal*(newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
+            var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
             if (position.IsAnnualized)
             {
                 intersetAcmount /= tradeExtend.AnnualDays;
@@ -1368,7 +1446,9 @@ namespace YLErp.Modules.SwapModule
             curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
             curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
             curretEod.TdPosiDividend = 0;
-            if (valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
+            // 有互换事件时，分红已全量结算，不再查分红，TdPosiDividend和PosiDividendSum都归0
+            var hasSwapEvent = unwindEvents.Any(e => e.EventType == (int)SwapFlowEventTypeEnum.互换 || e.EventType == (int)SwapFlowEventTypeEnum.自动互换);
+            if (!hasSwapEvent && valueDate > td.StartDate.Value && (curretEod.PosiQuantity > 0))
             {
                 decimal tax = um.ValueAddedTax ?? 0;
                 BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
@@ -1382,12 +1462,26 @@ namespace YLErp.Modules.SwapModule
             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 = 平仓数量/昨天剩余平仓数量 * 昨日浮动端待实现收益·分红
+            // 当日浮动端平仓盈亏·分红
             curretEod.TdCloseDividend = unwindEvents.Sum(e => e.DividendIn);
             curretEod.RealizedDividend = curretEod.RealizedDividend + curretEod.TdCloseDividend;
 
-            // 浮动端待实现收益·分红 = 昨日 + 当日浮动端分红 - 当日浮动端平仓盈亏·分红
-            curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend - curretEod.TdCloseDividend;
+            // 浮动端待实现收益·分红（有互换事件时全量结算归0；否则用当前持仓从起始日重算）
+            if (hasSwapEvent)
+            {
+                curretEod.PosiDividendSum = 0;
+            }
+            else if (curretEod.PosiQuantity > 0)
+            {
+                decimal tax = um.ValueAddedTax ?? 0;
+                BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
+                decimal totalPayment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, valueDate, curretEod.PosiQuantity, shortRatio, directionRatio);
+                curretEod.PosiDividendSum = totalPayment / (1 + tax) * (1 - tax);
+            }
+            else
+            {
+                curretEod.PosiDividendSum = 0;
+            }
             curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
             if (curretEod.PosiStatus == 1)
             {
@@ -1464,7 +1558,7 @@ namespace YLErp.Modules.SwapModule
                 }
                 curretEod.PosiNotionalValue = curretEod.PosiGrossPrice * curretEod.PosiQuantity * curretEod.ContractSize;
                 curretEod.PosiNotionalValue = Math.Round(curretEod.PosiNotionalValue, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
-                curretEod.TdPosiDividend = unwindEvents.Sum(x => x.DividendIn) * directionRatio;
+                curretEod.TdCloseDividend = unwindEvents.Sum(x => x.DividendIn);
                 curretEod.TdCloseFee = unwindFlowEvents.Sum(x => x.TradingFee + x.TradingFeePending);
                 curretEod.TdCloseQty = unwindQty;
                 curretEod.TdCloseMtmPnl = unwindEvents.Sum(x => x.MarkClosePnl);
@@ -1526,7 +1620,21 @@ namespace YLErp.Modules.SwapModule
             //    //curretEod.TdCloseMtmPnl = 0;
             //    //curretEod.TdCloseFee = 0;
             //}
-            curretEod.TdCloseDividend = curretEod.TdPosiDividend;
+            // TdCloseDividend 已由 SetPriceInfoByFlowEvent 设置
+
+            // 当日新增分红及待实现分红（有互换全量归0，开仓首日两者相同）
+            curretEod.TdPosiDividend = 0;
+            var hasSwapEvent = unwindEvents.Any(e => e.EventType == (int)SwapFlowEventTypeEnum.互换 || e.EventType == (int)SwapFlowEventTypeEnum.自动互换);
+            if (!hasSwapEvent && settleDate > td.StartDate.Value && curretEod.PosiQuantity > 0)
+            {
+                decimal tax = um.ValueAddedTax ?? 0;
+                BondPaymentService bondPaymentService = new BondPaymentService(UserInfo);
+                decimal payment = bondPaymentService.CalcPayment(curretEod.UnderlyingCode, td.StartDate.Value, settleDate, curretEod.PosiQuantity, shortRatio, directionRatio);
+                payment = payment / (1 + tax) * (1 - tax);
+                curretEod.TdPosiDividend = payment;
+                curretEod.PosiDividendSum = payment;
+            }
+
             curretEod.UnderlyingMarketValue = curretEod.UnderlyingPrice * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio;
             curretEod.PosiMtmPnL = (curretEod.UnderlyingPrice - curretEod.PosiGrossPrice) * curretEod.PosiQuantity * curretEod.ContractSize * shortRatio * directionRatio;
             curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;