hjhan
029475ce8d
分红被重复计入 RealizedPnl 两次的根因：互换/平仓事件的 MarkClosePnl
已含分红成分(DividendIn)，导致分红既进 RealizedMtmPnL(盯市列) 又进
RealizedDividend(分红列)。本次提供数据证据与回归基线：
- SwapDividendGoldenRecordTest: 连库录制1875(纯分红型)/1891(混合型)
5表快照→JSON golden，录制时逐事件拆解 MarkClosePnl=价差+费+分红，
按 PositionId 汇总出重复计入的分红金额。Step2 离线校验已通过。
诊断结论：1875 重复302400，1891 重复-18.66，均与 eod 分红列吻合。
- golden JSON 纳入源码树(全量复制规则)，修复后可作回归基线。
- 排查SQL工具箱: 基于真实DDL核对全部列名(swap_flow_event.EventDate/
bond_payment_info.paying_interest 等)，含定位样本/导出/验证/守恒4步。
- appsettings.json 测试库 zszq→glms 前缀修正。
详见 项目文档/互换分红损益字段语义与重复计算分析.md(9e6af84e)。
3292 lines
98 KiB
JSON
3292 lines
98 KiB
JSON
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"ValueDate": "2026-06-25T00:00:00",
|
||
"BookId": 38,
|
||
"ClientId": 14,
|
||
"SwapTradeId": 1891,
|
||
"SwapTradeNo": "GLMS-20260617-0002",
|
||
"StructureType": "普通债券类收益互换",
|
||
"NotionalValue": 0.0,
|
||
"NotionalValueLong": 0.0,
|
||
"NotionalValueShort": 0.0,
|
||
"MarketValueLong": 0.0,
|
||
"MarketValueShort": 0.0,
|
||
"FloatingPnL": 0.0,
|
||
"InterestPnL": 0.0,
|
||
"PostionValue": 0.0,
|
||
"TdRealizedPnL": 101.140000,
|
||
"RealizedPnL": 395687.289000,
|
||
"InitMarginGain": 0.0,
|
||
"PostionMarginGain": 0.0,
|
||
"InitMarginLoss": 0.0,
|
||
"PostionMarginLoss": 0.0,
|
||
"TdCloseQty": 1000.0,
|
||
"dv01": 0.0,
|
||
"CloseStartDate": "0001-01-01T00:00:00",
|
||
"id": 161841,
|
||
"EncryptId": "amHOYrGVVRDdqh1rneWNJA",
|
||
"OptId": 166,
|
||
"OptName": "贾春梅",
|
||
"OptTime": "2026-06-25T21:09:21"
|
||
}
|
||
],
|
||
"InputBondPayments": [
|
||
{
|
||
"id": 6,
|
||
"EncryptId": "F8UUkcqqifN9KV2u-6zcbQ",
|
||
"inner_code": 100006,
|
||
"underlyingCode": "180205.IB",
|
||
"security_id": null,
|
||
"symbol": null,
|
||
"coupon_rate": null,
|
||
"payment_date_pl": "2026-06-20T00:00:00",
|
||
"payment_date": "2026-06-20T00:00:00",
|
||
"payment_interest": 1.011122220000,
|
||
"payment_parvalue": null,
|
||
"paying_price": null,
|
||
"channel_source": "聚源数据库",
|
||
"jsid": 1000000006,
|
||
"create_time": "2025-09-01T18:55:29",
|
||
"update_time": "2025-10-01T18:56:17"
|
||
},
|
||
{
|
||
"id": 9,
|
||
"EncryptId": "l0-qKzO7VpkKdIIkYJG5ww",
|
||
"inner_code": 100008,
|
||
"underlyingCode": "180205.IB",
|
||
"security_id": null,
|
||
"symbol": null,
|
||
"coupon_rate": null,
|
||
"payment_date_pl": "2026-06-23T00:00:00",
|
||
"payment_date": "2026-06-23T00:00:00",
|
||
"payment_interest": 1.051122220000,
|
||
"payment_parvalue": null,
|
||
"paying_price": null,
|
||
"channel_source": "聚源数据库",
|
||
"jsid": 1000000006,
|
||
"create_time": "2025-09-01T18:55:29",
|
||
"update_time": "2025-10-01T18:56:17"
|
||
}
|
||
],
|
||
"Diagnosis": {
|
||
"SwapTradeId": 1891,
|
||
"交易类型": "混合型",
|
||
"逐持仓拆解": [
|
||
{
|
||
"PositionId": 34711,
|
||
"盯市列合计": 0.0,
|
||
"盯市价差成分": 0.0,
|
||
"盯市费成分": 0.0,
|
||
"盯市分红成分": 0.0,
|
||
"分红列累计": 0.0,
|
||
"重复计入分红": 0.0
|
||
},
|
||
{
|
||
"PositionId": 34712,
|
||
"盯市列合计": 395696.439000,
|
||
"盯市价差成分": 395604.099000,
|
||
"盯市费成分": 111.000000,
|
||
"盯市分红成分": -18.660000,
|
||
"分红列累计": -18.660000,
|
||
"重复计入分红": -18.660000
|
||
}
|
||
],
|
||
"重复计入分红金额": -18.660000,
|
||
"最终累计盯市已实现": 395705.949000,
|
||
"最终累计分红已实现": -18.660000,
|
||
"最终持仓层累计已实现": 395687.289000,
|
||
"重复计算成立": true,
|
||
"结论": "⚠ 坐实重复计算：盯市列含分红成分 -18.6600（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 -18.6600。类型=混合型。",
|
||
"Summary": "--- 分红重复计算诊断 SwapTradeId=1891 ---\n\n[流水层] 每条平仓/互换事件拆解 (MarkClosePnl = 价差 + 费CloseFee + 分红DividendIn)：\n id EventDate EvType MarkClosePnl DividendIn CloseFee 价差(残差)\n 12773 2026-06-20 互换 0.0000 0.0000 0.0000 0.0000\n 12774 2026-06-20 互换 395594.9490 -9.1500 0.0000 395604.0990\n 12775 2026-06-22 互换 0.0000 0.0000 0.0000 0.0000\n 12776 2026-06-22 互换 0.0000 0.0000 0.0000 0.0000\n 13503 2026-06-23 自动互换 -9.5100 -9.5100 0.0000 0.0000\n 12824 2026-06-25 平仓 111.0000 0.0000 111.0000 0.0000\n\n[EOD层] 按 PositionId 拆解盯市列成分：\n PositionId 盯市列合计 价差成分 费成分 分红成分(重复) 分红列累计 重复计入\n 34711 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000\n 34712 395696.4390 395604.0990 111.0000 -18.6600 -18.6600 -18.6600\n\n[汇总]\n 交易类型: 混合型（价差成分合计=395604.0990）\n 盯市列里被重复计入的分红成分: -18.6600\n 最终 RealizedMtmPnL(盯市列): 395705.9490\n 最终 RealizedDividend(分红列): -18.6600\n 最终 RealizedPnl(持仓层): 395687.2890\n 重复计算成立: True\n [结论] ⚠ 坐实重复计算：盯市列含分红成分 -18.6600（既在 RealizedMtmPnL 又在 RealizedDividend），修复后 RealizedPnl 应减少 -18.6600。类型=混合型。"
|
||
}
|
||
} |