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refactor(eod): 提取InterestIncomeCalc.DailyAccrual/RollRealized + MtmCalc.ReturnLegProfitSum

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候选B: 3处日利息 principal*(rate+float)/annualDays → InterestIncomeCalc.DailyAccrual
候选D: 4处 PosiProfitSum=Mtm+Div+Fee → MtmCalc.ReturnLegProfitSum
候选E: 4对 RealizedInterest/RealizedInterestFee 滚存 → InterestIncomeCalc.RollRealized

SwapModule零回归(7基线/510通过)
This commit is contained in:
hjhan
2026-08-12 14:50:24 +08:00
parent 1aa0579fbd
commit aeb55a01ad
3 changed files with 50 additions and 28 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+25 -28
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@@ -1081,11 +1081,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.TdCloseInterest = flowEvents.Sum(x => x.InterestAmount);
newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
//持仓内容-利息腿-损益统计(本方视角）
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
if (position.IsAnnualized)
{
intersetAcmount /= tradeExtend.AnnualDays;
}
var intersetAcmount = InterestIncomeCalc.DailyAccrual(
newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
newEodPayPosition.TdInterestIncome = intersetAcmount;// 要算一下当天产生的利息
var interestIncomeBeforeSettlement = eodPayPosition.InterestIncomeSum + newEodPayPosition.TdInterestIncome;
var interestFeeBeforeSettlement = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee;
@@ -1111,8 +1109,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
@@ -1250,8 +1249,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
@@ -1408,11 +1408,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.TdCloseInterest = manualSettledInterestAmount + autoSettledInterestAmount;
// intersetAcmount 是收盘后本金的一天应计展示值。算尾部分平仓时，下面的复利分支会改用
// 平仓前全额本金重算当天新增，但跨日携带的 TdInterestPrincipal 仍只能是剩余本金。
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
if (position.IsAnnualized)
{
intersetAcmount /= tradeExtend.AnnualDays;
}
var intersetAcmount = InterestIncomeCalc.DailyAccrual(
newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
newEodPayPosition.TdInterestIncome = autoSwap
? intersetAcmount
: !hasPreviousEod
@@ -1462,12 +1460,9 @@ namespace YLErp.Modules.SwapModule
var accrualPrincipal = calcLast
? fullPrincipal
: newEodPayPosition.TdInterestPrincipal;
newEodPayPosition.TdInterestIncome = accrualPrincipal
* (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
if (position.IsAnnualized)
{
newEodPayPosition.TdInterestIncome /= tradeExtend.AnnualDays;
}
newEodPayPosition.TdInterestIncome = InterestIncomeCalc.DailyAccrual(
accrualPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
}
if (!autoSwap
&& closePercent > 0m && closePercent < 1m
@@ -1513,8 +1508,9 @@ namespace YLErp.Modules.SwapModule
//累计已实现
// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
// 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
@@ -1631,8 +1627,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(eodPayPosition.InterestDirection));
@@ -1724,7 +1721,7 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.TdPosiDividend = Math.Round(dividendIn * ratio, 2);
newEodPayPosition.PosiMtmPnL = MtmCalc.UnrealizedPnl(newEodPayPosition.UnderlyingPrice, newEodPayPosition.PosiGrossPrice, newEodPayPosition.PosiQuantity, newEodPayPosition.ContractSize, shortRatio, (int)ratio);
newEodPayPosition.PosiDividendSum = Math.Round(newEodPayPosition.TdPosiDividend - newEodPayPosition.TdCloseDividend, 2);
newEodPayPosition.PosiProfitSum = newEodPayPosition.PosiMtmPnL + newEodPayPosition.PosiDividendSum + newEodPayPosition.PosiFeePending;
newEodPayPosition.PosiProfitSum = MtmCalc.ReturnLegProfitSum(newEodPayPosition.PosiMtmPnL, newEodPayPosition.PosiDividendSum, newEodPayPosition.PosiFeePending);
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum);
@@ -1797,7 +1794,7 @@ namespace YLErp.Modules.SwapModule
curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
//curretEod.TdPosiDividend = 0;
//curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
curretEod.TdCloseFee = 0;
curretEod.TdCloseQty = 0;
curretEod.TdCloseMtmPnl = 0;
@@ -1910,7 +1907,7 @@ namespace YLErp.Modules.SwapModule
SetFloatingRealizedPnl(curretEod);
curretEod.SwapPositionValue -= curretEod.TdCloseDividend;
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
if (curretEod.PosiStatus == 1)
{
curretEod.PosiNotionalValue = 0;
@@ -2083,7 +2080,7 @@ namespace YLErp.Modules.SwapModule
curretEod.UnderlyingMarketValue = MtmCalc.MarketValue(curretEod.UnderlyingPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio);
curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
curretEod.RealizedDividend = curretEod.TdCloseDividend;
curretEod.RealizedFee = curretEod.TdCloseFee;