283 lines
16 KiB
C#
283 lines
16 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule.Margin;
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using YLErp.Modules.SwapModule.ReturnLegs;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 互换日终盈亏/精度计算纯函数集合。
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/// 自 SwapEodPositionService 抽出，支持无库单测；同类内部调用无需前缀。
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/// </summary>
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public static class EodPnlCalculator
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{
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// 日终利息待实现需跨日累计，按表设计保留 12 位；已实现结算仍按金额两位处理。
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private const int EodInterestStoragePrecision = 12;
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internal static decimal RoundMoney(decimal value)
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{
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return Math.Round(value, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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}
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internal static decimal RoundEodInterest(decimal value)
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{
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return Math.Round(value, EodInterestStoragePrecision, MidpointRounding.AwayFromZero);
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}
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/// <summary>
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/// 仅在写入 eod_swap_position 前统一快照精度。
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/// 浮动腿收益最终以金额两位展示和存储；利息腿的待实现、计息基数及利率保留 12 位，
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/// 使部分结算后的尾差可继续参与后续计息。
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/// </summary>
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internal static void NormalizeEodPositionForStorage(eod_swap_position position)
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{
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if (string.IsNullOrEmpty(position.UnderlyingCode))
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{
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// 利息腿没有标的代码：待实现字段保留高精度，已实现结算字段收敛到金额两位。
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position.InterestPrincipalFix = RoundEodInterest(position.InterestPrincipalFix);
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position.InterestRateDefault = RoundEodInterest(position.InterestRateDefault);
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position.InterestFeePending = RoundEodInterest(position.InterestFeePending);
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position.TdInterestPrincipal = RoundEodInterest(position.TdInterestPrincipal);
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position.TdInterestRate = RoundEodInterest(position.TdInterestRate);
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position.TdInterestIncome = RoundEodInterest(position.TdInterestIncome);
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position.TdInterestFee = RoundEodInterest(position.TdInterestFee);
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position.InterestIncomeSum = RoundEodInterest(position.InterestIncomeSum);
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position.InterestFeeSum = RoundEodInterest(position.InterestFeeSum);
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position.InterestProfitSum = RoundEodInterest(position.InterestProfitSum);
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position.FloatRate = RoundEodInterest(position.FloatRate);
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position.SwapPositionValue = RoundEodInterest(position.SwapPositionValue);
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position.TdCloseInterest = RoundMoney(position.TdCloseInterest);
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position.TdCloseInterestFee = RoundMoney(position.TdCloseInterestFee);
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position.RealizedInterest = RoundMoney(position.RealizedInterest);
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position.RealizedInterestFee = RoundMoney(position.RealizedInterestFee);
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}
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else
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{
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// 浮动腿有标的代码：其损益作为金额结果落库，统一按两位四舍五入。
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position.TdPosiDividend = RoundMoney(position.TdPosiDividend);
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position.PosiMtmPnL = RoundMoney(position.PosiMtmPnL);
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position.PosiDividendSum = RoundMoney(position.PosiDividendSum);
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position.PosiFeePending = RoundMoney(position.PosiFeePending);
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position.PosiProfitSum = RoundMoney(position.PosiProfitSum);
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position.TdCloseMtmPnl = RoundMoney(position.TdCloseMtmPnl);
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position.TdCloseDividend = RoundMoney(position.TdCloseDividend);
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position.TdCloseFee = RoundMoney(position.TdCloseFee);
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position.RealizedMtmPnL = RoundMoney(position.RealizedMtmPnL);
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position.RealizedDividend = RoundMoney(position.RealizedDividend);
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position.RealizedFee = RoundMoney(position.RealizedFee);
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position.SwapPositionValue = RoundMoney(position.SwapPositionValue);
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}
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position.RealizedPnl = RoundMoney(position.RealizedPnl);
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}
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/// <summary>
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/// 浮动腿累计已实现盈亏由盯市、分红和费用三个已实现组成项汇总。
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/// 各组成项已经按本方视角落库，此处不再额外转换方向。
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/// </summary>
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internal static void SetFloatingRealizedPnl(eod_swap_position position)
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{
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position.RealizedPnl = position.RealizedMtmPnL
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+ position.RealizedDividend
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+ position.RealizedFee;
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}
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/// <summary>
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/// 汇总单条日终腿的我方已实现收益。
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/// 浮动腿及普通利息腿维持数据库记录的方向；初始/追加预付金腿的利息
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/// 则与保证金本金方向相反。这样“收取对手方保证金”产生的利息会作为
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/// 我方支付给对手方的成本计入，而不会错误增加框架合约已实现收益。
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/// 抽为静态纯函数以支持无库单测（marginTypes 等价于 ConsTrade.InterestMarginModels）。
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/// </summary>
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public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
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{
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var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
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return position.RealizedMtmPnL
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+ position.RealizedDividend
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+ position.RealizedFee
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+ position.RealizedInterest * interestRatio
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+ position.RealizedInterestFee;
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}
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/// <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）。
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/// SaveEodSwap 与 UpdateEodSwap 共用，消除 ~10 行重复。</summary>
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internal static void FillPositionLegSummary(eod_swap eod_Swap, List<eod_swap_position> positions)
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{
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eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
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eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
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eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
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eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
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}
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/// <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>
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internal static decimal SumInterestPnL(List<eod_swap_position> interestPositions)
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{
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decimal interestPnL = 0;
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foreach (var x in interestPositions)
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interestPnL += x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
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return interestPnL;
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}
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/// <summary>
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/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
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/// 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；
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/// 预付金腿利息方向与保证金本金方向相反。随后重算 RealizedPnl。
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/// 抽为 public static 纯函数以支持无库单测（见 SwapReportInterestSignNormalizeTest）。
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/// 仅当 InterestDirection > 0 时执行（与原内联逻辑等价）。
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/// </summary>
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public static void NormalizeInterestSignForReport(eod_swap_position position)
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{
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if (position.InterestDirection <= 0) return;
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if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
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{
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return;
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}
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var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
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position.TdCloseInterest = Math.Abs(position.TdCloseInterest) * interestRatio;
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position.RealizedInterest = Math.Abs(position.RealizedInterest) * interestRatio;
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// 兼容修复前已落库的利息腿：当时只累计了明细字段，未同步写入 RealizedPnl。
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position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
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}
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/// <summary>
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/// 计算预付金利率。多条初始/追加预付金腿按本金绝对值加权，
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/// 不按收付方向轧差，避免相反方向本金抵消后放大利率。
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/// 对外公开以便结算单与每日估值复用同一计算口径。
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/// </summary>
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public static decimal CalculateWeightedMarginRate(IEnumerable<swap_position> margins)
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{
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var marginList = margins.ToList();
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var totalWeight = marginList.Sum(x => Math.Abs(x.InterestPrincipalFix));
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return totalWeight == 0
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? 0
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: marginList.Sum(x => x.InterestRateDefault * Math.Abs(x.InterestPrincipalFix)) / totalWeight;
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}
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/// <summary>
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/// 计算预付金利息金额。InterestIncomeSum 已是各腿利息金额，
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/// 按收取为正、支付为负直接轧差求和，不做本金加权。
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/// 抽为 public static 纯函数以支持无库单测（见 SwapWeightedMarginInterestTest）。
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/// </summary>
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public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins)
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{
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return margins.Sum(x =>
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x.InterestIncomeSum * DirectionRatio.ReceivePay(x.InterestDirection));
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}
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/// <summary>
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/// 固定利息腿的累计已实现盈亏 = 累计已实现利息 + 累计已实现利息费用。
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/// 4 处 SaveAutoEodInterestPosition/SaveEodInterestPosition 路径口径一致，
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/// 抽为 public static 纯函数以支持无库单测（见 SwapFixedLegRealizedPnlTest），
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/// 并消除复制粘贴带来的笔误风险（如 L1296 历史双分号）。
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/// </summary>
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public static void SetFixedLegRealizedPnl(eod_swap_position position)
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{
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position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
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}
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/// <summary>
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/// 计算 EQD-7084 新“框架合约”Tab 的纯展示口径。
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/// 浮动腿盯市收益、开平仓费用和普通利息分别计算；保证金腿的利息
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/// 仅作为估值组成项保留一次，不混入新 Tab 的普通利息列。
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/// </summary>
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public static EodSwapRiskNewFields CalculateEodSwapRiskNewFields(
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IEnumerable<eod_swap_position> floatingLegs,
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IEnumerable<eod_swap_position> interestLegs,
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string structureType,
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decimal notionalValue,
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DateTime? startDate,
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DateTime? maturityDate,
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decimal periodAmount,
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int dividendPayDate)
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{
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// 日终明细以 UnderlyingCode 是否存在区分浮动腿和利息腿；调用方即使传入混合集合，
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// 这里也会重新过滤，避免保证金/利息数据被带入浮动端新口径。
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var floating = (floatingLegs ?? Enumerable.Empty<eod_swap_position>())
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.Where(x => x != null && !string.IsNullOrEmpty(x.UnderlyingCode))
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.ToList();
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var interests = (interestLegs ?? Enumerable.Empty<eod_swap_position>())
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.Where(x => x != null && string.IsNullOrEmpty(x.UnderlyingCode))
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.ToList();
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// MarginModes 覆盖初始/维持保证金相关腿。它们的利息不属于需求中的“利息端待实现收益”，
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// 但必须单独保留，以使两个合约估值与旧口径总额保持一致。
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var ordinaryInterests = interests.Where(x => !MarginModes.Contains(x.InterestMode)).ToList();
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var marginInterests = interests.Where(x => MarginModes.Contains(x.InterestMode)).ToList();
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var firstFloating = floating.FirstOrDefault();
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// PosiGrossPrice 已是 EOD 归档口径的期初全价；债券价格不可在报表接口再次乘 100。
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var initialPrice = firstFloating?.PosiGrossPrice;
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// PosiFeePending 是日终归一后的我方损益方向：支付费用为负、收取费用为正。
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// 本列独立展示它，下面的 valuation 再加回一次，不能因展示拆列而改变合约估值。
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var openingClosingFee = floating.Sum(x => x.PosiFeePending);
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// PosiMtmPnL 已排除分红和费用，避免从 PosiProfitSum 重复拆分历史费用。
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var floatingUnrealizedPnl = floating.Sum(x => x.PosiMtmPnL);
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var ordinaryInterestPnl = ordinaryInterests.Sum(x =>
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x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode));
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var marginInterestAmount = marginInterests.Sum(x =>
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x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode));
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// 新口径估值 = 去费用浮动收益 + 开平仓费用 + 普通利息 + 保证金利息。
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// “浮动端待实现收益”列不包含费用，而合约估值仍沿用旧总额，故费用只能在此加一次。
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var valuation = floatingUnrealizedPnl
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+ openingClosingFee
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+ ordinaryInterestPnl
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+ marginInterestAmount;
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var result = new EodSwapRiskNewFields
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{
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UnderlyingInstrumentType = firstFloating?.UnderlyingInstrumentType,
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UnderlyingDirection = string.Join(",", floating
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.Select(x => x.PositionType == (int)PositionTypeFlag.Long ? "多头"
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: x.PositionType == (int)PositionTypeFlag.Short ? "空头" : "")
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.Where(x => !string.IsNullOrEmpty(x))
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.Distinct()),
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UnderlyingCode = string.Join(",", floating
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.Select(x => x.UnderlyingCode)
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.Where(x => !string.IsNullOrEmpty(x))
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.Distinct()),
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InitialPrice = initialPrice,
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NotionalQuantity = notionalValue,
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ContractStartDate = startDate,
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ContractMaturityDate = maturityDate,
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// 只要普通利息腿存在 FR007，即按需求显示 FR007；保证金腿不影响该展示基准。
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InterestBenchmark = ordinaryInterests.Any(x =>
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!string.IsNullOrWhiteSpace(x.FloatRateUnderlyingCode)
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&& x.FloatRateUnderlyingCode.IndexOf("FR007", StringComparison.OrdinalIgnoreCase) >= 0)
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? "FR007" : "固定利率",
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// 使用日终当日实际适用的 TdInterestRate 合计，而非合同初始利率或利差字段。
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InterestRatePrice = ordinaryInterests.Sum(x => x.TdInterestRate),
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OpeningClosingFee = openingClosingFee,
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FloatingUnrealizedPnl = floatingUnrealizedPnl,
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OrdinaryInterestPnl = ordinaryInterestPnl,
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MarginInterestAmount = marginInterestAmount,
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MarginInterestGain = marginInterests
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.Where(x => x.InterestDirection == (int)SwapDirectionEnum.支付)
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.Sum(x => Math.Abs(x.InterestIncomeSum)),
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MarginInterestLoss = marginInterests
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.Where(x => x.InterestDirection == (int)SwapDirectionEnum.收取)
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.Sum(x => -Math.Abs(x.InterestIncomeSum))
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};
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// DividendPayDate=0 表示到期才与本金轧差，期间付息/分红需要加进该口径；
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// 其余支付方式则由现金支付承担期间金额，估值字段不再包含 periodAmount。
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if (dividendPayDate == 0)
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{
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result.MaturityNettingValuation = valuation + periodAmount;
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}
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else
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{
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result.PeriodPaymentValuation = valuation;
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}
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return result;
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}
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}
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}
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