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refactor(eod): 提取FillPositionLegSummary/SumInterestPnL消除eod_swap汇总重复(候选H)

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SaveEodSwap与UpdateEodSwap各有~15行相同的持仓腿汇总代码:
- NotionalValueLong/Short(rounded) + MarketValueLong/Short + FloatingPnL + dv01 + TdCloseQty
→ FillPositionLegSummary(eod_Swap, positions)

- 利息腿ForEach按InterestLegPnl汇总InterestPnL
→ SumInterestPnL(interestPositions)

两处合计净减~18行
SwapModule零回归(7基线/510通过)
This commit is contained in:
hjhan
2026-08-12 14:53:41 +08:00
parent aeb55a01ad
commit dbdc975da4
1 changed files with 26 additions and 27 deletions
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YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+26 -27
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@@ -2168,8 +2168,6 @@ namespace YLErp.Modules.SwapModule
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
// 框架合约的方向约定：多头为正、空头为负；总名义本金取交易原始规模，
// 不能直接用多空腿相加，否则会把对冲方向误当成合约规模变化。
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.SwapTradeId = td.id;
eod_Swap.SwapTradeNo = td.TradeNumber;
@@ -2177,19 +2175,8 @@ namespace YLErp.Modules.SwapModule
eod_Swap.BookId = td.AssetId;
eod_Swap.ValueDate = settleDate;
eod_Swap.StructureType = td.StructureType;
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
decimal interestPnL = 0;
// 利息腿按我方视角归集。保证金腿的利息现金流方向与普通利息腿相反，
// 因此保证金腿需要额外反转符号，确保 InterestPnL 表示我方的合约利率端收益。
interestPositions.ForEach(x =>
{
var ratio = DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
interestPnL += x.InterestProfitSum * ratio;
});
eod_Swap.InterestPnL = interestPnL;
FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL = SumInterestPnL(interestPositions);
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
// 保证金腿的利息现金流方向与保证金本金方向相反。
// 不能直接汇总 RealizedPnl，否则“收取客户保证金”的腿会把应支付给客户的
@@ -2242,17 +2229,8 @@ namespace YLErp.Modules.SwapModule
var interestPositions = eodSwapPositions.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//利息腿
var positions = eodSwapPositions.Where(x => !string.IsNullOrEmpty(x.UnderlyingCode)).ToList();//持仓腿
eod_Swap.NotionalValue = Math.Round(Convert.ToDecimal(td.OriginalStockEqvNotional ?? td.StockEqvNotional), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
interestPositions.ForEach(x =>
{
var ratio = DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
eod_Swap.InterestPnL += x.InterestProfitSum * ratio;
});
FillPositionLegSummary(eod_Swap, positions);
eod_Swap.InterestPnL += SumInterestPnL(interestPositions);
eodSwapPositions.ForEach(x =>
{
var ratio = DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
@@ -2260,7 +2238,6 @@ namespace YLErp.Modules.SwapModule
});
eod_Swap.PostionValue = eodSwapPositions.Sum(s => s.SwapPositionValue);
eod_Swap.RealizedPnL = eodSwapPositions.Sum(CalculateSwapRealizedPnl);
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
var tradeInitMarginObj = DbContext.trade_initial_margin.FirstOrDefault(x => x.TradeId == td.id);
var initMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金 && x.HappenDate == settleDate).ToList();
var addMarginList = interestPositions.Where(x => x.InterestMode == (int)InterestModeEnum.追加预付金 && x.HappenDate == settleDate).ToList();
@@ -2290,6 +2267,28 @@ namespace YLErp.Modules.SwapModule
+ position.RealizedInterestFee;
}
/// <summary>填充框架合约的持仓腿汇总字段（多空名义本金/市值/浮动盈亏/dv01/平仓量）。
/// SaveEodSwap 与 UpdateEodSwap 共用，消除 ~10 行重复。</summary>
private static void FillPositionLegSummary(eod_swap eod_Swap, List<eod_swap_position> positions)
{
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
}
/// <summary>利息腿 PnL 汇总（按方向比例 + 保证金翻转）。原 SaveEodSwap/UpdateEodSwap 各一段 ForEach。</summary>
private static decimal SumInterestPnL(List<eod_swap_position> interestPositions)
{
decimal interestPnL = 0;
foreach (var x in interestPositions)
interestPnL += x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
return interestPnL;
}
/// <summary>
/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
/// 统一按"绝对金额 × 业务方向"重写。普通利息腿收取为正、支付为负；