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利息计算参考申万poc

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吴方海
2025-04-11 14:09:47 +08:00
parent 19b18b781a
commit ad0a8fa0d9
5 changed files with 97 additions and 178 deletions
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YLErpDAL/Modules/SwapModule/SwapDealService.cs
+51 -33
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@@ -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);
}