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BugFix 复利计算的没有扣除手动互换长生的利息端费用

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锦麟 王
2026-07-01 10:34:58 +08:00
parent cd03fc53fb
commit c6adb3bb8a
1 changed files with 38 additions and 7 deletions
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YLErpDAL/Modules/SwapModule/SwapDealService.cs
+38 -7
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@@ -338,6 +338,27 @@ namespace YLErp.Modules.SwapModule
interests = GetInterests(td, tradeExtend, valueDate, unwindDate, lastEodPositions, positions, stockEqvNotional, posiLongNotionalValue, posiShortNotionalValue, posiNotionalValue, closePercent, eventType, tdClose, false, grossPrice ?? 0, orginPv, true, false,false, closeList);
return interests;
}
/// <summary>
/// 获取利息腿"已通过历史互换结出的累计利息"（用于复利重算时扣除，类比分红的 CalcConsumedDividend）。
/// 数据源为事件级 swap_flow_event.InterestAmount（互换/自动互换 完成态事件，互换当时即落库，不依赖日终归档）。
/// </summary>
/// <param name="tradeId">交易id</param>
/// <param name="positionId">利息腿id</param>
/// <param name="beforeDate">结算日（不含，仅汇总此日之前的历史已结利息；当日事件由 closeList 去重逻辑单独处理）</param>
/// <returns>历史已结利息累计金额（绝对值）</returns>
public decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
{
List<int> swapEventTypes = new List<int>() { (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
var consumed = DbContext.swap_flow_event
.Where(x => x.SwapTradeId == tradeId && x.PositionId == positionId
&& swapEventTypes.Contains(x.EventType)
&& x.DataState == (int)SwapFlowDateStateEnum.完成
&& x.EventDate < beforeDate)
.Sum(s => (decimal?)s.InterestAmount) ?? 0m;
return consumed;
}
/// <summary>
/// 计算利息腿计息详细
/// </summary>
@@ -412,7 +433,11 @@ namespace YLErp.Modules.SwapModule
else
{
// 盘中互换场景，使用 CalcUnwindInterest
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal, closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst, calcLast||newCalcLast));
// 取历史已结利息（事件级，互换当时落库），供复利重算扣除（仅复利需要；单利基于日终快照自带状态）
var consumedInterest = position.InterestType == (int)InterestTypeEnum.复利
? GetConsumedInterest(td.id, position.id, endDate)
: 0m;
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal, closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst, calcLast||newCalcLast, consumedInterest));
}
}
//当日有平仓或互换记录时，避免重复结算
@@ -592,7 +617,7 @@ namespace YLErp.Modules.SwapModule
/// <summary>
/// 计算盘中利息（平仓/互换）
/// </summary>
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool swap, decimal orginPv, bool calcFirst, bool calcLast)
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool swap, decimal orginPv, bool calcFirst, bool calcLast, decimal consumedInterest = 0m)
{
if (preEod.id == 0)
{
@@ -606,7 +631,7 @@ namespace YLErp.Modules.SwapModule
}
}
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, swap, posiPrincipal, closePrincipal, closePercent, annualDays, eventType, preEod, false, orginPv, calcFirst, calcLast);
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, swap, posiPrincipal, closePrincipal, closePercent, annualDays, eventType, preEod, false, orginPv, calcFirst, calcLast, consumedInterest);
}
/// <summary>
/// 初始化利息腿信息
@@ -638,8 +663,9 @@ namespace YLErp.Modules.SwapModule
eod_swap_position preEodPosition,
bool needPrice,
decimal orginPv,
bool calcFirst,
bool calcLast
bool calcFirst,
bool calcLast,
decimal consumedInterest = 0m
)
{
decimal interestProfitSum = preEodPosition.InterestProfitSum;
@@ -674,7 +700,7 @@ namespace YLErp.Modules.SwapModule
var floateRate = preEodPosition.FloatRate;
if (position.InterestType == (int)InterestTypeEnum.复利)
{
CalcDailyCompoundInterest( endDate, position, closePosiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount);
CalcDailyCompoundInterest( endDate, position, closePosiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount, consumedInterest);
}
else
{
@@ -702,7 +728,7 @@ 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( DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount)
public void CalcDailyCompoundInterest( DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
{
var startDate = position.PosiStartDate;
decimal interestProfitSum = 0;
@@ -761,6 +787,11 @@ namespace YLErp.Modules.SwapModule
tdinterest += tdinterest1;
}
}
// 复利从头重放得到的是"假设从未结出"的整段总利息，需扣除历史已通过互换结出的利息，
// 否则已结部分会重复计息（类比分红 PosiDividendSum = totalToDate − RealizedDividend）。
// consumedInterest 为绝对值口径（swap_flow_event.InterestAmount 之和），与 interest 口径一致。
interest -= consumedInterest;
tdinterest -= consumedInterest;
InterestAmount = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
TdInterestAmount = Math.Round(tdinterest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
}