zszq-trs/Framework/YLErp.Core/DBModels/EodSwap.cs

using System;
using System.Collections.Generic;
using System.ComponentModel;
using System.ComponentModel.DataAnnotations.Schema;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using YLErp.Helpers;

namespace YLErp.DBModels
{
    /// <summary>
    /// 框架合约估值表
    /// </summary>
    [Table("eod_swap")]
    public class eod_swap: DBModelBaseV2
    {
        /// <summary>
        /// 交易日
        /// </summary>
        [DisplayName("交易日")]
        [DataChange]
        public DateTime ValueDate { get; set; }
        /// <summary>
        /// 簿记账户
        /// </summary>
        [DisplayName("簿记账户")]
        [DataChange]
        public int BookId { get; set; }
        /// <summary>
        /// 对手方编码
        /// </summary>
        [DisplayName("对手方编码")]
        [DataChange]
        public int ClientId { get; set; }
        /// <summary>
        /// 互换交易编码id
        /// </summary>
        [DisplayName("互换交易编码id")]
        [DataChange]
        public int SwapTradeId { get; set; }
        /// <summary>
        /// 互换交易编码
        /// </summary>
        [DisplayName("互换交易编码")]
        [DataChange]
        public string SwapTradeNo { get; set; }
        /// <summary>
        /// 产品类型
        /// </summary>
        [DisplayName("产品类型")]
        [DataChange]
        public string StructureType { get; set; }
        /// <summary>
        /// 合约名义本金。取交易原始等价名义本金，表示合约约定规模；
        /// 不等于多头与空头日终腿的代数和。
        /// </summary>
        [DisplayName("合约名义本金")]
        [DataChange]
        public decimal NotionalValue { get; set; }
        /// <summary>
        /// 合约多头名义本金。框架合约展示口径中多头始终为正数。
        /// </summary>
        [DisplayName("合约多头名义本金")]
        [DataChange]
        public decimal NotionalValueLong { get; set; }
        /// <summary>
        /// 合约空头名义本金。框架合约展示口径中空头始终为负数，
        /// 以便与多头直接相加得到净方向。
        /// </summary>
        [DisplayName("合约空头名义本金")]
        [DataChange]
        public decimal NotionalValueShort { get; set; }
        /// <summary>
        /// 合约多头标的市值
        /// </summary>
        [DisplayName("合约多头标的市值")]
        [DataChange]
        public decimal MarketValueLong { get; set; }
        /// <summary>
        /// 合约空头标的市值
        /// </summary>
        [DisplayName("合约空头标的市值")]
        [DataChange]
        public decimal MarketValueShort { get; set; }
        /// <summary>
        /// 合约浮动端待实现收益
        /// </summary>
        [DisplayName("合约浮动端待实现收益")]
        [DataChange]

        public decimal FloatingPnL { get; set; }
        /// <summary>
        /// 合约利率端待实现收益
        /// </summary>
        [DisplayName("合约利率端待实现收益")]
        [DataChange]

        public decimal InterestPnL { get; set; }
        /// <summary>
        /// 合约持仓价值
        /// </summary>
        [DisplayName("合约持仓价值")]
        [DataChange]

        public decimal PostionValue { get; set; }
        /// <summary>
        /// 合约当日实现收益
        /// </summary>
        [DisplayName("合约当日实现收益")]
        [DataChange]

        public decimal TdRealizedPnL { get; set; }
        /// <summary>
        /// 合约已实现收益
        /// </summary>
        [DisplayName("合约已实现收益")]
        [DataChange]

        public decimal RealizedPnL { get; set; }
        /// <summary>
        /// 收取对手方初始预付金
        /// </summary>
        [DisplayName("收取对手方初始预付金")]
        [DataChange]

        public decimal InitMarginGain { get; set; }
        /// <summary>
        /// 收取对手方维持预付金
        /// </summary>
        [DisplayName("收取对手方维持预付金")]
        [DataChange]
        public decimal PostionMarginGain { get; set; }
        /// <summary>
        /// 支付初始预付金
        /// </summary>
        [DisplayName("支付初始预付金")]
        [DataChange]
        public decimal InitMarginLoss { get; set; }
        /// <summary>
        /// 支付维持预付金
        /// </summary>
        [DisplayName("支付维持预付金")]
        [DataChange]
        public decimal PostionMarginLoss { get; set; }
        /// <summary>
        /// 当日平仓数量汇总
        /// </summary>
        [DisplayName("当日平仓数量汇总")]
        [DataChange]
        public decimal TdCloseQty { get; set; }
        /// <summary>
        /// 基点价值DV01
        /// </summary>
        [DataChange]
        public decimal? dv01 { get; set; }
        /// <summary>
        /// 平仓起始日期
        /// </summary>
        [NotMapped]
        public DateTime CloseStartDate { get; set; }

    }
    /// <summary>
    /// 框架合约返回
    /// </summary>
    public class EodSwapResponse
    {
        public eod_swap position { get; set; }
        public DateTime TradeDate { get; set; }
        public string SwapTradeNo { get; set; }
        public string ClientName { get; set; }
        public string StructureType { get; set; }
        public string AssetBookName { get; set; }

        public int ClientId { get; set; }

        public string SwapTradeTypeStr { get; set; }

        public string UnderlyingType { get; set; }

        /// <summary>
        /// 合约期内已实现加待实现的付息/分红金额。
        /// 该字段用于框架合约风险展示，不按每日估值报告的“期间付息/期间分红”列拆分。
        /// </summary>
        public decimal PeriodAmount { get; set; }

        /// <summary>
        /// 合约浮动端待实现收益，仅取浮动腿盯市收益，
        /// 不包含期间付息/分红，避免与 <see cref="PeriodAmount"/> 重复。
        /// </summary>
        public decimal FloatingUnrealizedPnl { get; set; }

        /// <summary>
        /// 付息/分红支付方式：到期轧差时计入到期轧差估值，派息日支付时在期间支付口径展示。
        /// </summary>
        public string InterestPaymentMethod { get; set; }

        /// <summary>
        /// 合约估值（到期轧差口径）= 浮动端待实现收益 + 利率端待实现收益 + 期间付息/分红。
        /// 仅当支付方式为到期轧差时赋值。
        /// </summary>
        public decimal? MaturityNettingValuation { get; set; }

        /// <summary>
        /// 合约估值（派息日支付口径）= 浮动端待实现收益 + 利率端待实现收益。
        /// 派息/分红在支付日独立结算，因此不计入该估值。
        /// </summary>
        public decimal? PeriodPaymentValuation { get; set; }

        /// <summary>
        /// 我方收取的保证金利息累计额，按保证金腿方向归集并取绝对值展示。
        /// </summary>
        public decimal MarginInterestGain { get; set; }

        /// <summary>
        /// 我方支付的保证金利息累计额，按保证金腿方向归集并取绝对值展示。
        /// </summary>
        public decimal MarginInterestLoss { get; set; }
    }
}