利息计算参考申万poc

2025-04-11 14:09:47 +08:00
parent 19b18b781a
commit ad0a8fa0d9
5 changed files with 97 additions and 178 deletions
@@ -58,6 +58,16 @@ namespace YLErp
        /// 互换计算岗邮件配置key
        /// </summary>
        public const string SwapSettlementConfigEmail = "SettlementEmail";
+        /// <summary>
+        /// 价格四舍五入保留位数
+        /// </summary>
+
+        public const int PriceRound = 4;
+        /// <summary>
+        /// 金额四舍五入保留位数
+        /// </summary>
+
+        public const int MoneyRound = 4;

        #region----有效Valid/无效InValid----

@@ -587,11 +587,11 @@ namespace YLErp.BLL.Eod
                        bondDb.SaveChanges();
                        SetClientPositionPrice(clientPosition);
                        clientPosition.today_profit_loss = clientPosition.swap_market_value - lastPv;
-                        bondDb.SaveChanges();
                        if (clientPosition.deal_full_price_avg > 0 && enableCalcBongd)//发kafka 获取成交收益率
                        {
-                            CalcBandPrice(clientPosition);
+                            BondCalcApi(clientPosition);
                        }
+                        bondDb.SaveChanges();
                    }
                    var sql = $"{nameof(ClientPosition.create_time)}<'{datenow.AddSeconds(-1):yyyy-MM-dd HH:mm:ss}' or  {nameof(ClientPosition.position_qty)}=0";
                    bondDb.BulkDelete<ClientPosition>(sql);
@@ -630,7 +630,7 @@ namespace YLErp.BLL.Eod
                            bondDb.SaveChanges();
                            SetClientPositionPrice(clientPosition);
                            clientPosition.today_profit_loss = clientPosition.swap_market_value;
-                            bondDb.SaveChanges();
+                           
                            //发kafka 获取成交收益率
                            if (clientPosition.deal_full_price_avg > 0 && enableCalcBongd)
                            {
@@ -640,6 +640,7 @@ namespace YLErp.BLL.Eod
                            {
                                clientPosition.update_time = DateTime.Now;
                            }
+                            bondDb.SaveChanges();
                        }
                    }
                    #endregion
@@ -93,8 +93,7 @@ namespace YLErp.Modules.SwapModule
                unwindData.PositionQty = position != null ? position.PosiQuantity : Convert.ToDecimal(td.TradeAmount);
                unwindData.AnnualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
                unwindData.CloseMethod = (int)CloseMethodEnum.全部平仓;
-                var closePercent = GetUnwindPercent(tradeId);
-                unwindData.ClosePercent = 1 - closePercent;
+                unwindData.ClosePercent = 1;
                unwindData.CloseNotionalValue = unwindData.PosiNotionalValue;
                unwindData.CloseQty = unwindData.PositionQty;
                if (position != null)
@@ -311,6 +310,7 @@ namespace YLErp.Modules.SwapModule
            var tradeExtend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == tradeId);
            List<int> eventTypes = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
            var lastEod = DbContext.eod_swap.Where(x => x.ValueDate < unwindDate && x.SwapTradeId == tradeId).OrderByDescending(o => o.ValueDate).FirstOrDefault();
+            var orginPv = lastEod != null ? lastEod.NotionalValue : 0;
            var _preSetteDate = lastEod == null ? unwindDate.AddDays(-1) : lastEod.ValueDate;
            List<eod_swap_position> lastEodPositions = new SwapEodPositionService(this).GetPreEodPositions(tradeId, _preSetteDate);//上一交易数据
            var posiLongNotionalValue = longPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
@@ -319,7 +319,7 @@ namespace YLErp.Modules.SwapModule
            var posiNotionalValue = stockEqvNotional * closePercent;//剩余名义本金
            var grossPrice = realPostitions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice;
            bool tdClose = DbContext.swap_flow_event.Any(x => x.SwapTradeId == tradeId && x.UnwindDate == unwindDate && eventTypes.Contains(x.EventType) && x.DataState == (int)SwapFlowDateStateEnum.完成);
-            interests = GetInterests(td, tradeExtend, valueDate, unwindDate, lastEodPositions, positions, stockEqvNotional, posiLongNotionalValue, posiShortNotionalValue, posiNotionalValue, closePercent, eventType, tdClose, false, grossPrice ?? 0, true, false, false);
+            interests = GetInterests(td, tradeExtend, valueDate, unwindDate, lastEodPositions, positions, stockEqvNotional, posiLongNotionalValue, posiShortNotionalValue, posiNotionalValue, closePercent, eventType, tdClose, false, grossPrice ?? 0, orginPv, true, false, false);
            return interests;
        }
        /// <summary>
@@ -355,6 +355,7 @@ namespace YLErp.Modules.SwapModule
            bool tdClose,
            bool needPrice,
            decimal grossPrice,
+            decimal orginPv,
            bool add = false,
            bool calcLast = true,
            bool settment = true)
@@ -377,8 +378,8 @@ namespace YLErp.Modules.SwapModule
                if (!preDealDate.HasValue)
                {
                    preEodPosition = new eod_swap_position();
-                    preEodPosition.PosiStartDate = startDate;
-                    preEodPosition.ValueDate = startDate;
+                    preEodPosition.PosiStartDate = position.PosiStartDate;
+                    preEodPosition.ValueDate = position.PosiStartDate;
                }
                var swapIntervalToday = position.SwapIntervalList.Where(x => x.Date <= startDate).OrderByDescending(o => o.Date).FirstOrDefault();
                if (position.InterestMode == (int)InterestModeEnum.固定值)
@@ -440,7 +441,13 @@ namespace YLErp.Modules.SwapModule
                {
                    rate = swapIntervalToday.Rate;
                }
-                swap_flow_event interest = InitSwapDealInterest(td, valueDate, endDate, rate, positionClone, add, swap, _posiNotionalValue, _closePosiNotionalValue, newClosePercent, annualDays, eventType, preEodPosition, needPrice, settment);
+                if (preEodPosition.id == 0)
+                {
+                    preEodPosition.FloatRate = positionClone.FloatRate;
+                    preEodPosition.TdInterestPrincipal = _posiNotionalValue;
+                    preEodPosition.PosiNotionalValue = _posiNotionalValue;
+                }
+                swap_flow_event interest = InitSwapDealInterest(td, valueDate, endDate, rate, positionClone, add, swap, _posiNotionalValue, _closePosiNotionalValue, newClosePercent, annualDays, eventType, preEodPosition, needPrice, settment, orginPv);
                interests.Add(interest);
            }
            return interests;
@@ -474,7 +481,8 @@ namespace YLErp.Modules.SwapModule
            int eventType,
            eod_swap_position preEodPosition,
            bool needPrice,
-            bool settment
+            bool settment,
+             decimal orginPv
            )
        {
            DateTime lastSwapDate = preEodPosition.ValueDate;
@@ -514,11 +522,11 @@ namespace YLErp.Modules.SwapModule
                    var floateRate = preEodPosition.FloatRate;
                    if (settment)//收盘利息计算
                    {
-                        CalcDailyCompoundInterestByEod(preEodPosition, endDate, td.StartDate.Value, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, ref InterestAmount, ref TdInterestAmount);
+                        CalcDailyCompoundInterestByEod(preEodPosition, endDate, td.StartDate.Value, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, ref InterestAmount, ref TdInterestAmount);
                    }
                    else
                    {
-                        CalcDailyCompoundInterest(preEodPosition, endDate, td.StartDate.Value, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, ref InterestAmount, ref TdInterestAmount);
+                        CalcDailyCompoundInterest(preEodPosition, endDate, td.StartDate.Value, position, closePosiNotionalValue, posiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, ref InterestAmount, ref TdInterestAmount);
                    }
                }
                else
@@ -554,8 +562,8 @@ namespace YLErp.Modules.SwapModule

                }

-                interest.InterestAmount = decimal.Parse(InterestAmount.ToString("0.0000"));
-                interest.TdInterestAmount = decimal.Parse(TdInterestAmount.ToString("0.0000"));
+                interest.InterestAmount = Math.Round(InterestAmount, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
+                interest.TdInterestAmount = Math.Round(TdInterestAmount, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
                interest.InterestClosePnL = interest.InterestAmount * interestRatio;
            }
            if (add)
@@ -576,7 +584,7 @@ namespace YLErp.Modules.SwapModule
        /// <param name="isAnnualized">是否年化</param>
        /// <param name="annualDays">年化天数</param>
        /// <returns></returns>
-        public void CalcDailyCompoundInterest(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, ref decimal InterestAmount, ref decimal TdInterestAmount)
+        public void CalcDailyCompoundInterest(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, ref decimal InterestAmount, ref decimal TdInterestAmount)
        {
            DateTime lastSwapDate = preEodPosition.ValueDate;
            decimal interestProfitSum = preEodPosition.InterestProfitSum;
@@ -618,35 +626,36 @@ namespace YLErp.Modules.SwapModule
                            }

                        }
-                        flowEvent.InterestPrincipal = tdDynomicPrincipal;
+                        flowEvent.InterestPrincipal = tdDynomicPrincipal * closePercent;
                        TdInterestPrincipal = tdDynomicPrincipal;
                    }
                    else
                    {
-                        flowEvent.InterestPrincipal = TdInterestPrincipal * closePercent;
+                        flowEvent.InterestPrincipal = (preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv) * closePercent;
                        tdDynomicPrincipal = flowEvent.InterestPrincipal;
+                        TdInterestPrincipal = (preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv);
                    }
                    flowEvent.FloatRate = Convert.ToDecimal(floatRate);
                    var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                    var tdinterest1 = tdDynomicPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
+                    var tdinterest1 = TdInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
                    if (position.IsAnnualized)
                    {
                        interest1 /= annualDays;
                        tdinterest1 /= annualDays;
                    }
-                    interest += decimal.Parse(interest1.ToString("0.0000"));
-                    tdinterest += decimal.Parse(tdinterest1.ToString("0.0000"));
+                    interest += interest1;
+                    tdinterest += tdinterest1;

                }
-                else
+                else if (lastSwapDate >= rateDate)
                {
                    interest = interestProfitSum * closePercent;
                    tdinterest = interestProfitSum * closePercent;
                }

            }
-            InterestAmount = interest;
-            TdInterestAmount = tdinterest;
+            InterestAmount = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
+            TdInterestAmount = Math.Round(tdinterest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
        }

        /// <summary>
@@ -661,7 +670,7 @@ namespace YLErp.Modules.SwapModule
        /// <param name="isAnnualized">是否年化</param>
        /// <param name="annualDays">年化天数</param>
        /// <returns></returns>
-        public void CalcDailyCompoundInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, ref decimal InterestAmount, ref decimal TdInterestAmount)
+        public void CalcDailyCompoundInterestByEod(eod_swap_position preEodPosition, DateTime endDate, DateTime tradeDate, swap_position position, decimal principal, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, ref decimal InterestAmount, ref decimal TdInterestAmount)
        {
            decimal interestProfitSum = preEodPosition.InterestProfitSum;
            decimal interest = preEodPosition.TdInterestIncome;
@@ -687,19 +696,27 @@ namespace YLErp.Modules.SwapModule
                    {
                        throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fr007RateDate:yyyy年MM月dd日}的价格");
                    }
-                    flowEvent.InterestPrincipal = tdDynomicPrincipal;
+                    flowEvent.InterestPrincipal = tdDynomicPrincipal * closePercent;
+                    interest = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
+                    tdinterest = tdDynomicPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
+                    if (position.IsAnnualized)
+                    {
+                        interest /= annualDays;
+                        tdinterest /= annualDays;
+                    }
                }
                else
                {
-                    flowEvent.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePercent;
-                    tdDynomicPrincipal = flowEvent.InterestPrincipal;
-                }
-                interest = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                tdinterest = tdDynomicPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                if (position.IsAnnualized)
-                {
-                    interest /= annualDays;
-                    tdinterest /= annualDays;
+                    flowEvent.InterestPrincipal = (preEodPosition.TdInterestPrincipal + tdDynomicPrincipal - orginPv) * closePercent;
+                    var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
+                    var tdinterest1 = (preEodPosition.TdInterestPrincipal + tdDynomicPrincipal - orginPv) * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
+                    if (position.IsAnnualized)
+                    {
+                        interest1 /= annualDays;
+                        tdinterest1 /= annualDays;
+                    }
+                    interest = interest1;
+                    tdinterest = tdinterest1;
                }
            }
            else
@@ -707,8 +724,8 @@ namespace YLErp.Modules.SwapModule
                flowEvent.InterestPrincipal = preEodPosition.TdInterestPrincipal * closePercent;
            }
            flowEvent.FloatRate = Convert.ToDecimal(floatRate);
-            InterestAmount = interest;
-            TdInterestAmount = tdinterest;
+            InterestAmount = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
+            TdInterestAmount = Math.Round(tdinterest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
        }

        /// <summary>
@@ -1320,6 +1337,7 @@ namespace YLErp.Modules.SwapModule
                }
                item.PayDate = unwindData.PayDate;
                item.UnwindDate = unwindData.UnwindDate;
+                item.EventDate = unwindData.ValueDate;
                item.EventId = swapEvent.id;
                DbContext.swap_flow_event.Add(item);
            }
@@ -131,6 +131,7 @@ namespace YLErp.Modules.SwapModule
                    td.trade_extend = tradeExtend;
                    var todyEodPositions = allEodPositions.Where(x => x.ValueDate == settleDate).ToList();
                    var allPositionQty = realPositions.Sum(x => x.PosiQuantity);//总剩余持仓数量 
+                    var orginPv = eodPositions.Sum(s => s.PosiNotionalValue);
                    if (longShort && td.ExerciseDate.Value == settleDate && allPositionQty != 0)//多空组合判断是否已到到期日且无持仓信息
                    {
                        throw new Exception($"交易【{td.TradeNumber}】到期扔有持仓信息");
@@ -162,7 +163,7 @@ namespace YLErp.Modules.SwapModule
                    }
                    var grossPrice = curEodPosis.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice ?? 0;
                    //处理利息腿
-                    DealInterests(interestList, eodPositions, todyEodPositions, settleDate, td, flowEvents, autoInterests, lastEodSwap, posiLongNotional, posiShortNotional, closePosiNotional, grossPrice);
+                    DealInterests(interestList, eodPositions, todyEodPositions, settleDate, td, flowEvents, autoInterests, lastEodSwap, posiLongNotional, posiShortNotional, closePosiNotional, grossPrice, orginPv);
                    DealAutoInterests(autoInterests, td, settleDate, preDealDate, posiLongNotional + posiShortNotional);
                    //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)
@@ -211,50 +212,6 @@ namespace YLErp.Modules.SwapModule
            DbContext.SaveChanges();
        }
        /// <summary>
-        /// 追加预付金腿归档
-        /// </summary>
-        /// <param name="settleDate"></param>
-        /// <param name="ClientIds"></param>
-        public void SwapEodMarginCompose(DateTime settleDate, IEnumerable<int> ClientIds)
-        {
-            var tradePredicate = PredicateBuilder.Create<trade>(n => n.ValidState != ConsGlobal.InValid
-                                                                  && n.TradeType == "收益互换"
-                                                           && n.TradeDate <= settleDate
-                                                           && n.ExerciseDate >= settleDate
-                                                           && (n.TradeStatus == ConsTrade.确认成交 || n.UnWindDate >= settleDate)
-                                                           );
-            if (ClientIds != null && ClientIds.Any())
-            {
-                tradePredicate = tradePredicate.And(x => ClientIds.Contains(x.ClientId));
-            }
-            var marginPredicate = PredicateBuilder.Create<swap_position>(n => n.IsInitial && n.HappenDate == settleDate && n.InterestMode == (int)InterestModeEnum.追加预付金 && !n.Invalid);
-            var query = from p in DbContext.swap_position.Where(marginPredicate)
-                        join t in DbContext.trade.Where(tradePredicate) on p.SwapTradeId equals t.id
-                        select new
-                        {
-                            t,
-                            p
-                        };
-            var result = query.ToList();
-            var posiIds = result.Select(x => x.p.id).ToList();
-            var eodSwapPositions = DbContext.eod_swap_position.Where(x => posiIds.Contains(x.SwapTradeId) && x.ValueDate == settleDate).ToList();
-            foreach (var item in result)
-            {
-                List<swap_position> interestList = new List<swap_position>() { item.p };
-                var td = item.t;
-                var eodPosi = eodSwapPositions.FirstOrDefault(x => x.PositionId == item.p.id);
-                var posiLongNotional = eodSwapPositions.Where(s => s.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
-                var posiShortNotional = eodSwapPositions.Where(s => s.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
-                var grossPrice = eodSwapPositions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice ?? 0;
-                //处理利息腿
-                DealInterest(item.p, eodPosi, settleDate, td, posiLongNotional, posiShortNotional, grossPrice);
-            }
-            if (result.Count > 0)
-            {
-                DbContext.SaveChanges();
-            }
-        }
-        /// <summary>
        /// 处理利息腿归档
        /// </summary>
        /// <param name="interestList">利息腿持仓信息</param>
@@ -277,7 +234,8 @@ namespace YLErp.Modules.SwapModule
            decimal posiLongNational,
            decimal posiShortNational,
            decimal closeNational,
-            decimal grossPrice)
+            decimal grossPrice,
+            decimal orginPv)
        {
            var hasClose = flowEvents.Any(x => x.EventType == (int)SwapEventTypeEnum.平仓);
            var hasSwap = flowEvents.Any(x => x.EventType == (int)SwapEventTypeEnum.互换);
@@ -299,7 +257,7 @@ namespace YLErp.Modules.SwapModule
                {
                    if (!hasClose)//当日无平仓
                    {
-                        var _autoInterests = SaveAutoEodInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, lastEodSwap, posiLongNational, posiShortNational, grossPrice);
+                        var _autoInterests = SaveAutoEodInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, lastEodSwap, posiLongNational, posiShortNational, grossPrice, orginPv);
                        if (_autoInterests.Count > 0)
                        {
                            autoInterests.AddRange(_autoInterests);
@@ -307,7 +265,7 @@ namespace YLErp.Modules.SwapModule
                    }
                    else
                    {
-                        var _autoInterests = SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, true, grossPrice);
+                        var _autoInterests = SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, true, grossPrice, orginPv);
                        if (_autoInterests.Count > 0)
                        {
                            autoInterests.AddRange(_autoInterests);
@@ -320,38 +278,14 @@ namespace YLErp.Modules.SwapModule
                }
                else if (hasClose)
                {
-                    SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, false, grossPrice);
+                    SaveAutoEodWithCloseInterestPosition(eodPosition, tdEodPosition, interest, td, settleDate, insterval, posiLongNational, posiShortNational, swapEvents, closeNational, false, grossPrice, orginPv);
                }
                else//无自动互换、互换/平仓，复制上一日终信息，并计算当日新增利息 
                {
-                    SaveEodInterestPositionCopy(eodPosition, tdEodPosition, settleDate, td, interest, lastEodSwap, true, posiLongNational, posiShortNational, grossPrice);
+                    SaveEodInterestPositionCopy(eodPosition, tdEodPosition, settleDate, td, interest, lastEodSwap, true, posiLongNational, posiShortNational, grossPrice, orginPv);
                }
            }
        }
-
-        /// <summary>
-        /// 处理利息腿归档
-        /// </summary>
-        /// <param name="interestList">利息腿持仓信息</param>
-        /// <param name="eodPositions">上一日终归档持仓信息</param>
-        /// <param name="todyEodPositions">当日归档持仓信息</param>
-        /// <param name="settleDate">当前结算日期</param>
-        /// <param name="td">互换交易主信息</param>
-        /// <param name="swapDeals">当日平仓/互换信息</param>
-        /// <param name="autoInterests">自动互换集合</param>
-        /// <param name="longshortCloseInterests">多空组合平仓利息腿信息</param>
-        /// <param name="lastEodSwap">上一日终框架合约</param>
-        private void DealInterest(swap_position interest,
-            eod_swap_position tdEodPosition,
-            DateTime settleDate,
-            trade td,
-            decimal posiLongNational,
-            decimal posiShortNational,
-            decimal grossPrice)
-        {
-            var insterval = interest.SwapIntervalList.FirstOrDefault(x => x.Date == settleDate && x.Settlement == 1);//自动互换观察日信息
-            SaveAutoEodInterestPosition(null, tdEodPosition, interest, td, settleDate, insterval, null, posiLongNational, posiShortNational, grossPrice);
-        }
        /// <summary>
        /// 处理浮动腿归档
        /// </summary>
@@ -758,7 +692,7 @@ namespace YLErp.Modules.SwapModule
        /// <param name="preDealDate">上一平仓/互换日期</param>
        /// <param name="closeAmount">当日平仓金额</param>
        /// <param name="lastEodSwap">上一日终框架合约估值</param>
-        private List<swap_flow_event> SaveAutoEodInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, eod_swap lastEodSwap, decimal posiLongNotional, decimal posiShortNational, decimal grossPrice)
+        private List<swap_flow_event> SaveAutoEodInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, eod_swap lastEodSwap, decimal posiLongNotional, decimal posiShortNational, decimal grossPrice, decimal orginPv)
        {

            var tradeExtend = td.trade_extend.ExtendObj;
@@ -792,7 +726,11 @@ namespace YLErp.Modules.SwapModule
            positions.Add(position);
            List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
            preEodPositions.Add(eodPayPosition);
-            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, true, grossPrice, true);
+            if (position.InterestMode == (int)InterestModeEnum.固定值)
+            {
+                orginPv = eodPayPosition.InterestPrincipalFix;
+            }
+            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, posiNotionalValue, closePercent, (int)SwapEventTypeEnum.自动互换, false, true, grossPrice, orginPv, true);
            decimal InterestAmount = interests.Sum(x => x.InterestAmount);
            decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
           
@@ -855,7 +793,7 @@ namespace YLErp.Modules.SwapModule
        /// <param name="closeAmount">当日平仓金额</param>
        /// <param name="lastEodSwap">上一日终框架合约估值</param>
        /// <param name="unwintotal">平仓主信息</param>
-        private List<swap_flow_event> SaveAutoEodWithCloseInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, decimal posiLongNotional, decimal posiShortNational, List<swap_flow_event> flowEvents, decimal closeNational, bool autoSwap, decimal grossPrice)
+        private List<swap_flow_event> SaveAutoEodWithCloseInterestPosition(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, swap_position position, trade td, DateTime valueDate, IntervalModel interval, decimal posiLongNotional, decimal posiShortNational, List<swap_flow_event> flowEvents, decimal closeNational, bool autoSwap, decimal grossPrice, decimal orginPv)
        {

            var tradeExtend = td.trade_extend.ExtendObj;
@@ -879,6 +817,10 @@ namespace YLErp.Modules.SwapModule
                newEodPayPosition = eodPayPosition.Clone();
                newEodPayPosition.id = 0;
            }
+            if (position.InterestMode == (int)InterestModeEnum.固定值)
+            {
+                orginPv = eodPayPosition.InterestPrincipalFix;
+            }
            decimal closePercent = oriPosiNotionalValue == 0 ? 0 : closeNational / oriPosiNotionalValue;
            var eventType = autoSwap ? (int)SwapEventTypeEnum.自动互换 : (int)SwapEventTypeEnum.平仓;
            bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
@@ -894,7 +836,7 @@ namespace YLErp.Modules.SwapModule
            positions.Add(position);
            List<eod_swap_position> preEodPositions = new List<eod_swap_position>();
            preEodPositions.Add(eodPayPosition);
-            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, true);
+            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true);
            decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
            
            newEodPayPosition.ValueDate = valueDate;
@@ -968,7 +910,7 @@ namespace YLErp.Modules.SwapModule
        /// <param name="preSettleDate">上一交易日</param>
        /// <param name="valueDate">当前结算日</param>
        /// <param name="td">互换交易主干</param>
-        private void SaveEodInterestPositionCopy(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, DateTime valueDate, trade td, swap_position position, eod_swap lastEodSwap, bool needPrice, decimal posiLongNational, decimal posiShortNational, decimal grossPrice)
+        private void SaveEodInterestPositionCopy(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, DateTime valueDate, trade td, swap_position position, eod_swap lastEodSwap, bool needPrice, decimal posiLongNational, decimal posiShortNational, decimal grossPrice, decimal orginPv)
        {
            List<IntervalModel> intervals = position.SwapIntervalList;
            var tradeExtend = td.trade_extend.ExtendObj;
@@ -1003,7 +945,10 @@ namespace YLErp.Modules.SwapModule
                newEodPayPosition.id = 0;
                newEodPayPosition.PositionId = position.id;
            }
-           
+            if (position.InterestMode == (int)InterestModeEnum.固定值)
+            {
+                orginPv = eodPayPosition.InterestPrincipalFix;
+            }
            bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
            decimal oriPosiNotionalValue = posiLongNational + posiShortNational;
            decimal posiNotionalValue = oriPosiNotionalValue;
@@ -1034,7 +979,7 @@ namespace YLErp.Modules.SwapModule
            {
                preEodPositions.Add(eodPayPosition);
            }
-            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNational, posiShortNational, posiNotionalValue, closePercent, 0, false, needPrice, grossPrice);
+            var interests = new SwapDealService(this).GetInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNational, posiShortNational, posiNotionalValue, closePercent, 0, false, needPrice, grossPrice, orginPv);
            UpdateDbOption(newEodPayPosition);
           
            newEodPayPosition.PosiStatus = 0;
@@ -2039,43 +1984,7 @@ namespace YLErp.Modules.SwapModule
                return;
            }
        }
-        /// <summary>
-        /// 确认交易后，生成eod数据
-        /// </summary>
-        /// <param name="td"></param>
-        public void InitSaveEodSwapPosition(trade td)
-        {
-            //if (td.StartDate > td.TradeDate)
-            //{
-            //    return;
-            //}
-            var positions = DbContext.swap_position.Where(x => x.SwapTradeId == td.id && x.IsInitial && !x.Invalid).ToList();
-            var posiList = positions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
-            var interestList = positions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();
-            var eodSwapPostions = DbContext.eod_swap_position.Where(x => x.SwapTradeId == td.id);
-            var eodSwaps = DbContext.eod_swap.Where(x => x.SwapTradeId == td.id);
-            td.trade_extend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
-            List<int> eventTypes = new List<int>() { (int)SwapFlowEventTypeEnum.平仓, (int)SwapFlowEventTypeEnum.互换, (int)SwapFlowEventTypeEnum.自动互换, (int)SwapFlowEventTypeEnum.开仓 };
-            var flowEvents = GetSwapFlowEvents(td.id, td.StartDate.Value, eventTypes);//当日平仓/互换/自动互换信息
-            DbContext.eod_swap_position.RemoveRange(eodSwapPostions);
-            DbContext.eod_swap.RemoveRange(eodSwaps);
-            var preday = QdpCalendarHelper.GetNonHolidayDefore(td.StartDate.Value.AddDays(-1));
-            var preSettleDate= QdpCalendarHelper.GetNonHolidayDefore(td.TradeDate.Value.AddDays(-1));
-            var posiLongNotional = positions.Where(s => s.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue);
-            var posiShortNotional = positions.Where(s => s.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue);
-            var grossPrice = posiList.FirstOrDefault()?.PosiGrossPrice ?? 0;
-            foreach (var item in interestList)
-            {
-                SaveEodInterestPositionCopy(null, null, td.StartDate.Value, td, item, null, false, posiLongNotional, posiShortNotional, grossPrice);
-            }
-            foreach (var item in posiList)
-            {
-                SaveCurrentEodInitalPosi(item, td, td.StartDate.Value, preday, flowEvents);
-            }
-            DbContext.SaveChanges();
-            SaveEodSwap(td, td.StartDate.Value, preSettleDate);
-            DbContext.SaveChanges();
-        }
+       
        /// <summary>
        /// 获取客户互换持仓信息
        /// </summary>
@@ -2093,25 +2002,6 @@ namespace YLErp.Modules.SwapModule
            var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList();
            return ConvertEodPnl(eodSwaps, trades, tradeExtends);
        }
-        /// <summary>
-        /// 获取客户互换历史持仓信息
-        /// </summary>
-        /// <param name="clientId"></param>
-        /// <param name="valueDate"></param>
-        /// <returns></returns>
-        public List<eod_position> GetSwapHistoryPositions(int clientId, DateTime valueDate)
-        {
-            var trades = DbContext.trade.Where(x => x.TradeType == "收益互换"
-                                                && x.ClientId == clientId
-                                                && x.ExerciseDate <= valueDate
-                                                && ConsTrade.TradeCompleteStatus.Contains(x.TradeStatus)
-                                                && x.ValidState != "InValid").ToList();
-            var tradeIds = trades.Select(s => s.id).ToList();
-            var eodSwaps = DbContext.eod_swap_position.Where(x => tradeIds.Contains(x.SwapTradeId) && x.ValueDate == valueDate).ToList();
-            var tradeExtends = DbContext.trade_extend.Where(x => tradeIds.Contains(x.TradeId)).ToList();
-            return ConvertEodPnl(eodSwaps, trades, tradeExtends);
-
-        }

        private List<eod_position> ConvertEodPnl(List<eod_swap_position> eodSwaps, List<trade> trades, List<trade_extend> tradeExtends)
        {
@@ -119,7 +119,7 @@ const vue = new Vue({
                this.deal.CloseNotionalValue = otcformat.trading.StockEqvNotional(parseFloat(this.deal.PosiNotionalValue));
                this.deal.CloseQty = this.deal.PositionQty;
            } else {
-                this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.NotionalQty) * parseFloat(this.deal.ClosePercent));
+                this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.PositionQty) * parseFloat(this.deal.ClosePercent));
            }
            this.calcTradingFeePending();
            this.getInterestList();
@@ -133,7 +133,7 @@ const vue = new Vue({
                main.message("平仓数量不能超过持仓数量");
                return;
            }
-            this.deal.ClosePercent = otcformat.fixed6(parseFloat(this.deal.CloseQty) / parseFloat(this.deal.NotionalQty));
+            this.deal.ClosePercent = otcformat.fixed6(parseFloat(this.deal.CloseQty) / parseFloat(this.deal.PositionQty));
            if (parseFloat(this.deal.CloseQty) == parseFloat(this.deal.PositionQty)) {
                this.deal.CloseMethod = 1;
            } else {
@@ -150,7 +150,7 @@ const vue = new Vue({
                this.deal.ClosePercent = this.oriClosePercent;
                return;
            }
-            this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.NotionalQty) * parseFloat(this.deal.ClosePercent));
+            this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.PositionQty) * parseFloat(this.deal.ClosePercent));
            this.deal.CloseNotionalValue = otcformat.trading.StockEqvNotional(parseFloat(this.deal.ClosePercent) * parseFloat(this.deal.NotionalValue));
            if (parseFloat(this.deal.CloseNotionalValue) == parseFloat(this.deal.PosiNotionalValue)) {
                this.floatPosition.CloseMethod = 1;
@@ -168,7 +168,7 @@ const vue = new Vue({
                return;
            }
            this.deal.ClosePercent = otcformat.fixed6(parseFloat(this.deal.CloseNotionalValue) / parseFloat(this.deal.NotionalValue));
-            this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.NotionalQty) * parseFloat(this.deal.ClosePercent));
+            this.deal.CloseQty = otcformat.trading.notional(parseFloat(this.deal.PositionQty) * parseFloat(this.deal.ClosePercent));
            this.calcTradingFeePending();
            this.getInterestList();
            this.calcFloatClosePnl();
@@ -194,7 +194,7 @@ const vue = new Vue({
            let longRatio = thisObj.floatPosition.PositionType == 1 ? 1 : -1;
            let TradingFee = thisObj.floatPosition.TradingFee == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFee);
            let TradingFeePending = thisObj.floatPosition.TradingFeePending == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFeePending);
-            thisObj.floatPosition.MarkClosePnl = Math.round(thisObj.deal.CloseNotionalValue * (thisObj.floatPosition.TradingAmountAvg - thisObj.initPosiNetPrice) * floatRatio * longRatio * 10000) / 10000;
+            thisObj.floatPosition.MarkClosePnl = Math.round(thisObj.deal.CloseQty * (thisObj.floatPosition.TradingAmountAvg - thisObj.initPosiNetPrice) * floatRatio * longRatio * 10000) / 10000;
            thisObj.floatPosition.MarkClosePnl = Number(thisObj.floatPosition.MarkClosePnl.toFixed(2));
            thisObj.floatPosition.MarkClosePnl = thisObj.floatPosition.MarkClosePnl + (TradingFee + TradingFeePending) * floatRatio * -1 + parseFloat(thisObj.floatPosition.DividendIn);
            thisObj.floatPosition.MarkClosePnl = otcformat.trading.StockEqvNotional(thisObj.floatPosition.MarkClosePnl);