张名锐
415539704d
- 将价差盈亏计算从使用CloseNotionalValue改为使用PositionQty和ContractSize - 更新前端JavaScript代码中的计算公式，按持仓数量和合约乘数计算价差盈亏 - 在UnwindInput模型中添加PositionQty和ContractSize字段 - 修正后台计算服务中的数据映射逻辑 - 添加FC_009测试用例验证债券价差按数量计算的正确性 - 更新现有测试用例的输入参数以匹配新的计算方式
188 lines
9.4 KiB
C#
188 lines
9.4 KiB
C#
using System;
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using System.Collections.Generic;
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namespace YLErp.Helpers
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{
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/// <summary>
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/// 前端互换计算公式的后端参考实现（忠实重写 unwindSwapTrade.js / incomeSwapTrade.js）。
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/// ============================================================================
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/// 用途：
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/// 1. 特征化测试的金标准（FrontendCalcCharacterizationTest）—— 冻结前端行为
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/// 2. 后端只读校验（SwapDealService.ValidateFrontendPnL）—— 重算盈亏与前端传值比对
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///
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/// 注：前端保持快速反馈（用户改输入立即算），本类不替代前端，仅作后端校验兜底。
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/// 命名规范（见《互换价格字段命名规范决策文档》）：
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/// PosiGrossPrice 现状名，实为"期初全价不含费"，规范名 EntryDirtyPrice
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/// TradingAmountAvg 现状名，实为"期末全价不含费"，规范名 ExitDirtyPrice
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/// ============================================================================
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/// </summary>
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public static class FrontendCalcReference
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{
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/// <summary>模拟 otcformat.trading.StockEqvNotional（金额类，2位小数）</summary>
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private static decimal StockEqvNotional(decimal v) => Math.Round(v, 2, MidpointRounding.AwayFromZero);
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/// <summary>
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/// 计算平仓页（unwind）的盯市盈亏与汇总。
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/// 对应 unwindSwapTrade.js:196-261（calcFloatClosePnl + calcCloseAmount）。
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/// </summary>
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public static UnwindResult CalcUnwind(UnwindInput input)
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{
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// 规范名映射：initPosiNetPrice(前端变量) = PosiGrossPrice = EntryDirtyPrice（期初全价不含费）
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decimal entryPrice = input.PosiGrossPrice;
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// scale = getPriceScale()：债券(multiplier=100)→0.01，非债券→1
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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// 方向因子：PayDirection(1=收取)→+1；PositionType(1=多头)→+1
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal longRatio = input.PositionType == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = round(CloseQty × (TradingAmountAvg × scale − EntryPrice) × floatRatio × longRatio × 10000)/10000
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decimal markClosePnl = Math.Round(
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input.CloseQty * (input.TradingAmountAvg * scale - entryPrice) * floatRatio * longRatio * 10000) / 10000;
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// toFixed(2) → StockEqvNotional
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markClosePnl = Math.Round(markClosePnl, 2, MidpointRounding.AwayFromZero);
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markClosePnl = StockEqvNotional(markClosePnl);
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// FloatPnlSum = (MarkClosePnl + TradingFee + TradingFeePending + DividendIn).toFixed(2)
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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// calcCloseAmount：SwapRealizedPnL/SwapCloseAmount = FloatPnlSum + Σ利息腿 + Σ预付金腿
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty==0 ? 0 : (TradingAmountAvg×scale + TradingFee/CloseQty × ratio)
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// 注：unwind 的 ratio = PositionType?1:-1（calcCloseAmount 内重新定义）
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decimal ratio = input.PositionType == 1 ? 1 : -1;
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decimal tradingAmountFeeAvg = input.CloseQty == 0 ? 0 :
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input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * ratio;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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/// <summary>
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/// 计算结息页（income）的盯市盈亏与汇总。
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/// 对应 incomeSwapTrade.js:128-178。
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/// 差异：用剩余持仓数量和合约乘数作量纲，无 longRatio，无 Math.round/10000。
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/// </summary>
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public static UnwindResult CalcIncome(UnwindInput input)
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{
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// income 页 initPosiGrossPrice = PosiGrossPrice = EntryDirtyPrice
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decimal entryPrice = input.PosiGrossPrice;
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = PositionQty × ContractSize × (TradingAmountAvg × scale − EntryPrice) × floatRatio
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// （无 longRatio、无 Math.round/10000）
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decimal markClosePnl = input.PositionQty * input.ContractSize * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
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markClosePnl = StockEqvNotional(markClosePnl);
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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// income 页无 SwapMarginAmount 计算（恒为0）
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty>0 ? (TradingAmountAvg×scale + TradingFee/CloseQty × floatRatio) : TradingAmountAvg×scale
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// 注：income 用 floatRatio（PayDirection），与 unwind 的 ratio(PositionType) 不同
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decimal tradingAmountFeeAvg = input.CloseQty > 0
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? input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * floatRatio
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: input.TradingAmountAvg * scale;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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private static decimal ParseOrZero(string s) => string.IsNullOrEmpty(s) ? 0m : decimal.Parse(s);
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}
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/// <summary>前端计算输入模型（对应前端可见的原始字段）</summary>
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public class UnwindInput
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{
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public int Multiplier; // 债券=100，非债券=1
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public decimal PosiGrossPrice; // EntryDirtyPrice（期初全价不含费）
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public decimal TradingAmountAvg; // 用户可改的期末标的价格（界面×multiplier形态）
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public decimal CloseQty; // 平仓数量
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public decimal PositionQty; // 结息时的剩余持仓数量
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public decimal ContractSize = 1m; // 合约乘数
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public decimal CloseNotionalValue;// 平仓名义本金
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public int PayDirection; // 1=收取，-1=支付
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public int PositionType; // 1=多头，2=空头
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public string TradingFee; // 交易费用（前端是字符串）
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public string TradingFeePending; // 待结算费用
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public string DividendIn; // 分红
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public List<LegInput> InterestLegs = new();
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public List<LegInput> MarginLegs = new();
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}
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/// <summary>利息腿/预付金腿输入</summary>
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public class LegInput
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{
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public decimal InterestClosePnL; // 利息腿平仓盈亏（已含方向）
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}
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/// <summary>前端计算输出模型（前端算出的衍生字段）</summary>
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public class UnwindResult
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{
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public decimal MarkClosePnl;
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public decimal FloatPnlSum;
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public decimal SwapRealizedPnL;
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public decimal SwapCloseAmount;
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public decimal SwapMarginRebatePnl;
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public decimal TradingAmountFeeAvg;
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}
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}
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