张名锐
1f3fb9240b
- 注释掉原有的基本费率计算公式 - 直接使用PosiTradingFeeUnit字段获取基础费率 - 避免通过PosiTradingFeePending除以名义本金的方式计算 - 确保基本费率显示的准确性
661 lines
35 KiB
C#
661 lines
35 KiB
C#
using Newtonsoft.Json.Linq;
|
||
using YLErp.BLL;
|
||
using YLErp.Core.Helpers;
|
||
using YLErp.DBModels;
|
||
using YLErp.DBModels.Consts;
|
||
using YLErp.DBModels.Enums;
|
||
using YLErp.Modules.MarginModule;
|
||
using YLErp.Modules.UnderlyingModule;
|
||
using YLErp.Plugins.TradeDocGenerator;
|
||
using YLErp.Plugins.TradeDocGenerator.Abstracts;
|
||
using YieldChain.Helpers;
|
||
|
||
namespace YLErp.Plugins.GuoLian.DocumentGenerator
|
||
{
|
||
/// <summary>
|
||
/// 国联证券交易确认书生成器（单个生成）
|
||
/// </summary>
|
||
internal class TradeConfirmationGenerator : BaseConfirmationGenerator, ITradeConfirmationGenerator
|
||
{
|
||
public TradeConfirmationGenerator()
|
||
: base(ContractTypeEnum.Trade)
|
||
{
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取模板文件路径
|
||
/// 收益互换模板选择逻辑：
|
||
/// 1. 客户看多/看空：根据 swap_position 的 PosiDirection（收支方向）和 PositionType（多空方向）
|
||
/// 组合出我方方向，再取反得到客户方向。
|
||
/// 2. 标的类型：
|
||
/// - 债券ETF：.SH后缀且511开头，或.SZ后缀且59开头
|
||
/// - 现券：其他
|
||
/// </summary>
|
||
protected override string GetTemplateFilePath()
|
||
{
|
||
var trade = Context.Trade;
|
||
|
||
if (trade.TradeType == "收益互换")
|
||
{
|
||
return GetSwapTemplatePath();
|
||
}
|
||
else if (trade.TradeType.Contains("期权"))
|
||
{
|
||
// 期权使用期权模板
|
||
return Path.Combine(GlobalConfig.PluginFolder, "App_Docs\\contract_template\\option_01.docx");
|
||
}
|
||
else
|
||
{
|
||
throw new Exception($"不支持的贸易类型: {trade.TradeType}");
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 判断客户是否为看多方向
|
||
/// 规则：根据 PosiDirection（收支方向）和 PositionType（多空方向）组合出我方方向，再取反得到客户方向
|
||
/// </summary>
|
||
private bool IsCustomerLong(swap_position position)
|
||
{
|
||
if (position == null)
|
||
return false;
|
||
|
||
bool isOurLong = position.PosiDirection == (int)SwapDirectionEnum.支付
|
||
? position.PositionType == (int)PositionTypeFlag.Short // 支付端：我方方向与 PositionType 相反
|
||
: position.PositionType == (int)PositionTypeFlag.Long; // 收取端：我方方向与 PositionType 相同
|
||
return !isOurLong;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 阶段三 §3.3 决策①：方案B手工录入结构直接赋值（不再用 100∓n×(x−y) 推导）。
|
||
/// 模板追保表 4 行 ↔ SpanConfig 4 层：多头 第1层=[Lower,+∞)（模板行0只用下限）、第n层=[Lower,Upper)；
|
||
/// 空头 第1层=(−∞,Upper]（模板行0只用上限）、第n层=(Lower,Upper]；
|
||
/// 追保金额比例 = AmountRate×100（累计到该层的追保比例，直接取值），金额文字口径 n%×期初全价×券面总额 由模板静态文字承载；
|
||
/// 预警线/平仓线直接取录入值，未录时按 docx 口径取边界（平仓线=最深层边界、预警线=次深层边界）；
|
||
/// 配置层不足 4 层时余下行置空；返还追保事件表与追保事件同值（模板静态文字区分方向措辞）。
|
||
/// </summary>
|
||
private static void FillSpanConfigLines(Dictionary<string, JToken> dic, SpanConfig spanCfg, bool posiLong)
|
||
{
|
||
var tiers = (posiLong ? spanCfg.LongSpans : spanCfg.ShortSpans) ?? new List<SpanTierConfig>();
|
||
var valid = tiers.Where(t => t != null && (t.Lower.HasValue || t.Upper.HasValue)).ToList();
|
||
var last = valid.LastOrDefault();
|
||
|
||
var warnLine = spanCfg.WarnLine;
|
||
var closeLine = spanCfg.CloseLine;
|
||
if (last != null)
|
||
{
|
||
closeLine ??= posiLong ? last.Lower : last.Upper;
|
||
warnLine ??= posiLong ? last.Upper : last.Lower;
|
||
}
|
||
dic["预警线"] = warnLine.HasValue ? (warnLine.Value * 100).ToString("0.##") : "";
|
||
dic["平仓线"] = closeLine.HasValue ? (closeLine.Value * 100).ToString("0.##") : "";
|
||
|
||
//档位n = 第n层触发线（多头取各层 Lower、空头取各层 Upper），现用模板无档位占位符，保留赋值兼容旧模板
|
||
for (int n = 1; n <= 4; n++)
|
||
{
|
||
var tier = n <= valid.Count ? valid[n - 1] : null;
|
||
var line = tier == null ? null : (posiLong ? tier.Lower : tier.Upper);
|
||
dic[$"档位{n}"] = line.HasValue ? (line.Value * 100).ToString("0.##") : "";
|
||
}
|
||
|
||
//追保事件/返还追保事件区间表：行0=第1层，行1..3=第2..4层；
|
||
//与上方档位循环同用过滤后的 valid 列表（BUG-26：配置中间夹空层时两类占位符不错位）
|
||
for (int i = 0; i <= 3; i++)
|
||
{
|
||
var tier = i < valid.Count ? valid[i] : null;
|
||
var hasTier = tier != null && (tier.Lower.HasValue || tier.Upper.HasValue);
|
||
dic[$"追保区间{i}下限"] = hasTier && tier.Lower.HasValue ? (tier.Lower.Value * 100).ToString("0.##") : "";
|
||
dic[$"追保区间{i}上限"] = hasTier && tier.Upper.HasValue ? (tier.Upper.Value * 100).ToString("0.##") : "";
|
||
dic[$"追保金额比例{i}"] = hasTier && tier.AmountRate.HasValue ? (tier.AmountRate.Value * 100).ToString("0.##") : "";
|
||
dic[$"返还区间{i}下限"] = dic[$"追保区间{i}下限"];
|
||
dic[$"返还区间{i}上限"] = dic[$"追保区间{i}上限"];
|
||
dic[$"返还金额比例{i}"] = dic[$"追保金额比例{i}"];
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取收益互换模板路径
|
||
/// </summary>
|
||
private string GetSwapTemplatePath()
|
||
{
|
||
var trade = Context.Trade;
|
||
var underlying = Context.GetTradeUnderlying();
|
||
|
||
// 判断客户看多/看空方向
|
||
var swapPosition = Context.GetSwapPositions(trade.id, true)
|
||
.Where(x => x.PositionType == (int)PositionTypeFlag.Long || x.PositionType == (int)PositionTypeFlag.Short)
|
||
.FirstOrDefault();
|
||
|
||
bool isCustomerLong = IsCustomerLong(swapPosition);
|
||
|
||
// 判断标的类型（债券ETF vs 现券）
|
||
bool isEtf = IsBondEtf(underlying?.UnderlyingCode ?? string.Empty);
|
||
|
||
// 选择对应模板（使用客户提供的原始文件名）
|
||
string templateName;
|
||
if (isCustomerLong && !isEtf)
|
||
templateName = "国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx";
|
||
else if (isCustomerLong && isEtf)
|
||
templateName = "国联民生-收益互换交易确认书-境内模板-【客户看多】-【债券ETF】-清洁版.docx";
|
||
else if (!isCustomerLong && !isEtf)
|
||
templateName = "国联民生-收益互换交易确认书-境内模板-【客户看空】-【现券】-清洁版.docx";
|
||
else
|
||
templateName = "国联民生-收益互换交易确认书-境内模板-【客户看空】-【债券ETF】-清洁版.docx";
|
||
|
||
return Path.Combine(GlobalConfig.PluginFolder, "App_Docs/contract_template", templateName);
|
||
}
|
||
|
||
/// <summary>
|
||
/// 判断是否为债券ETF
|
||
/// - .SH后缀且511开头 -> 债券ETF
|
||
/// - .SZ后缀且159开头 -> 债券ETF
|
||
/// - 其他 -> 现券
|
||
/// </summary>
|
||
private bool IsBondEtf(string underlyingCode)
|
||
{
|
||
if (string.IsNullOrWhiteSpace(underlyingCode))
|
||
return false;
|
||
|
||
underlyingCode = underlyingCode.Trim().ToUpper();
|
||
|
||
// 上交所债券ETF：511开头.SH后缀
|
||
if (underlyingCode.EndsWith(".SH") && underlyingCode.StartsWith("511"))
|
||
return true;
|
||
|
||
// 深交所债券ETF：59开头.SZ后缀
|
||
if (underlyingCode.EndsWith(".SZ") && underlyingCode.StartsWith("159"))
|
||
return true;
|
||
|
||
return false;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取输出文件名
|
||
/// </summary>
|
||
protected override string GetOutputFileName(string contractNo, string contractIndex)
|
||
{
|
||
var trade = Context.Trade;
|
||
var rule = $"【待用印】{trade.TradeType}交易确认书_{contractNo}";
|
||
return $"{rule}.{DocType.ToLower()}";
|
||
}
|
||
|
||
/// <summary>
|
||
/// 获取合同编号
|
||
/// </summary>
|
||
protected override string GetContractNo(out string contractIndex)
|
||
{
|
||
var contractNo = Context.GenerateContractNo(out contractIndex);
|
||
return contractNo;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 准备视图数据（Word模板数据）
|
||
/// </summary>
|
||
protected override void PrepareViewData(Dictionary<string, JToken> dic)
|
||
{
|
||
var trade = Context.Trade;
|
||
var client = Context.GetClient();
|
||
|
||
// 基础信息
|
||
// 注意：合同编号由基类统一设置，此处不再重复生成
|
||
dic["交易编号"] = trade.TradeNumber;
|
||
dic["客户名称"] = client.Name;
|
||
dic["乙方名称"] = client.Name;
|
||
|
||
// 交易日期相关
|
||
dic["成交日期"] = trade.TradeDate?.ToString("【yyyy】年【M】月【d】日");
|
||
dic["成交日期/"] = trade.TradeDate?.ToString("yyyy/M/d");
|
||
dic["开始日期"] = trade.StartDate?.ToString("【yyyy】年【M】月【d】日");
|
||
dic["到期日期"] = trade.ExerciseDate?.ToString("【yyyy】年【M】月【d】日");
|
||
|
||
// 根据交易类型填充不同数据
|
||
switch (trade.TradeType)
|
||
{
|
||
case "收益互换":
|
||
SetSwapData(dic);
|
||
break;
|
||
case "香草期权":
|
||
case "亚式期权":
|
||
case "障碍期权":
|
||
SetOptionData(dic);
|
||
break;
|
||
default:
|
||
// 默认基础数据
|
||
SetBaseData(dic);
|
||
break;
|
||
}
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置收益互换数据
|
||
/// </summary>
|
||
private void SetSwapData(Dictionary<string, JToken> dic)
|
||
{
|
||
var trade = Context.Trade;
|
||
var client = Context.GetClient();
|
||
var bank = Context.GetClientBankCard(false);
|
||
|
||
dic["交易对手方全称"] = client.ClientType != "产品"
|
||
? client.Name
|
||
: $"{client.Manager}作为管理人代表{client.Name}";
|
||
|
||
// 主协议编号：优先取 client 表字段，为空时从 client_meta 表兜底
|
||
var mainProtocolCode = client.MainProtocolCode;
|
||
if (string.IsNullOrWhiteSpace(mainProtocolCode))
|
||
{
|
||
mainProtocolCode = Context.GetClientMeta(client.id, ConsTradeMetaKey.MainProtocolCode)?.MetaValue;
|
||
}
|
||
dic["主协议编号"] = mainProtocolCode ?? "";
|
||
|
||
// 主协议类型取客户开户维护的下拉选择（client_meta.MainProtocolType）：1=NAFMII，其余按 SAC。
|
||
var mainProtocolType = Context.GetClientMeta(client.id, "MainProtocolType")?.MetaValue;
|
||
var isNafmii = mainProtocolType == "1";
|
||
if (string.IsNullOrWhiteSpace(mainProtocolType))
|
||
{
|
||
LogFactory.GetLogger("确认书生成").Info($"客户 {client.Number} {client.Name} 未维护主协议类型，确认书协议段按 SAC 勾选展示");
|
||
}
|
||
|
||
// 协议段勾选框对应模板占位符，按客户签署的主协议类型动态勾选，替代模板中硬编码的 Wingdings 2 复选框
|
||
static string Check(bool on) => on ? "☑" : "□";
|
||
dic["主协议SAC勾选"] = Check(!isNafmii);
|
||
dic["主协议NAFMII勾选"] = Check(isNafmii);
|
||
dic["补充协议SAC勾选"] = Check(!isNafmii);
|
||
dic["补充协议NAFMII勾选"] = Check(isNafmii);
|
||
// 定义文件签署维度暂无客户协议数据，统一展示空框，待客户资料补齐后接入
|
||
dic["协会证券业勾选"] = "□";
|
||
dic["协会交易商勾选"] = "□";
|
||
dic["定义文件商品勾选"] = "□";
|
||
dic["定义文件利率勾选"] = "□";
|
||
dic["定义文件债券勾选"] = "□";
|
||
|
||
// 补充协议编号：优先取 client 表字段，为空时从 client_meta 表兜底
|
||
var supProtocolCode = client.SupProtocolCode;
|
||
if (string.IsNullOrWhiteSpace(supProtocolCode))
|
||
{
|
||
supProtocolCode = Context.GetClientMeta(client.id, ConsTradeMetaKey.SupProtocolCode)?.MetaValue;
|
||
}
|
||
dic["补充协议编号"] = supProtocolCode ?? "";
|
||
dic["名义本金"] = trade.OriginalStockEqvNotional?.ToString("N2") ?? "0.00";
|
||
|
||
// 银行账户信息
|
||
dic["户名"] = bank?.ClientName ?? "";
|
||
dic["银行账号"] = bank?.Card ?? "";
|
||
dic["支付系统号"] = bank?.Payment ?? "";
|
||
dic["开户行"] = bank?.Bank ?? "";
|
||
dic["大额行号"] = bank?.Payment ?? "";
|
||
|
||
// 标的相关的数据可以通过 Context 获取
|
||
var underlying = Context.GetTradeUnderlying();
|
||
if (underlying != null)
|
||
{
|
||
dic["标的代码"] = underlying.UnderlyingCode;
|
||
dic["标的名称"] = underlying.UnderlyingName;
|
||
|
||
// 标的发行人（从债券信息中获取）
|
||
var bond = JsonHelper.Deserialize<UnderlyingBond>(underlying.ExJson) ?? new UnderlyingBond();
|
||
dic["参考标的发行人"] = bond.UnderlyingIssuer ?? "";
|
||
dic["参考标的担保人"] = "";
|
||
dic["票面利率"] = ((double)(bond.CouponRate ?? 0) * 100).ToString("0.00");
|
||
dic["参考标的到期日"] = underlying.MaturityDate?.ToString("【yyyy】年【M】月【d】日") ?? "";
|
||
}
|
||
|
||
// 从swap_position获取期初价格、保证金率等信息
|
||
var swapPositions = Context.GetSwapPositions(trade.id, true);
|
||
var swapPosition = swapPositions
|
||
.Where(x => x.PositionType == (int)PositionTypeFlag.Long || x.PositionType == (int)PositionTypeFlag.Short)
|
||
.FirstOrDefault();
|
||
|
||
if (swapPosition != null)
|
||
{
|
||
// 期初全价和净价（转换为百分比格式）
|
||
dic["参考标的期初全价"] = ((double)swapPosition.PosiGrossPrice).ToString("0.000");
|
||
dic["参考标的期初净价"] = ((double)(swapPosition.PosiNetNoFeePrice ?? 0m)).ToString("N4");
|
||
|
||
dic["参考标的期初全价%"] = ((double)swapPosition.PosiGrossPrice * 100).ToString("N4");
|
||
dic["参考标的期初净价%"] = ((double)(swapPosition.PosiNetNoFeePrice ?? 0m) * 100).ToString("N4");
|
||
|
||
// 固定收益率（年化）仅对应增强收益腿；互换利率腿在模板中应留空。
|
||
bool isEtf = IsBondEtf(underlying?.UnderlyingCode ?? string.Empty);
|
||
var enhancePosition = swapPositions
|
||
.FirstOrDefault(x => ConsTrade.InterestModels.Contains(x.InterestMode) && x.category_tag == "增强收益");
|
||
var swapRatePosition = swapPositions
|
||
.FirstOrDefault(x => ConsTrade.InterestModels.Contains(x.InterestMode) && x.category_tag == "互换利率");
|
||
dic["固定收益率"] = enhancePosition != null
|
||
? ((double)enhancePosition.InterestRateDefault * 100).ToString("N4")
|
||
: swapRatePosition != null ? "" : "0.0000";
|
||
|
||
// 获取客户适用的保证金率
|
||
//阶段三 §3.3 决策①：档位/预警线/平仓线/追保区间统一按交易绑定的预付金模板V2参数赋值——
|
||
//方案B手工录入结构（SpanConfig.WarnLine/CloseLine/LongSpans/ShortSpans）直接取录入值，不再用 100∓n×(x−y) 推导；
|
||
//旧互换预付金率维护（client_margin_config / UnderlyingHelper.GetApplicableMarginRate）回退链路已移除
|
||
//（本注释保留一个观察周期后删除）：取不到模板参数时率显示 0、档位与区间置空。
|
||
var templateRate = MarginTemplateV2RateHelper.GetTradeMarginRate(
|
||
trade.id, swapPosition.UnderlyingCode, swapPosition.UnderlyingInstrumentType, trade.TradeDate ?? DateTime.Now);
|
||
|
||
var initRate = templateRate?.InitRate ?? 0m;
|
||
var maintainRate = templateRate?.MaintainRate ?? 0m;
|
||
var spanCfg = templateRate?.Detail?.SpanConfig;
|
||
|
||
dic["初始保障金率"] = ((double)initRate * 100).ToString("N4");
|
||
dic["维持保障金率"] = ((double)maintainRate * 100).ToString("N4");
|
||
|
||
// 期初预付/期初现金交换：预付=初始预付金腿合计（模板口径：可全部或部分授信替代），
|
||
// 现金=资金记录实付现金（ClientCashInCashOut：Action=应付预付金且 Money<0 即客户期初实付；
|
||
// 授信部分不产生资金流水，平仓返还为正数、追加保证金是独立Action，均不落入该口径）
|
||
var notional = trade.OriginalStockEqvNotional ?? 0;
|
||
var initialLegs = swapPositions.Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金).ToList();
|
||
var initialLegIds = initialLegs.Select(x => x.id).ToList();
|
||
double cashPaid;
|
||
using (var db = new YLContext())
|
||
{
|
||
cashPaid = db.ClientCashInCashOut
|
||
.Where(x => x.TradeId == trade.id && x.Action == ClientCashInCashOut.系统操作_应付预付金
|
||
&& x.ValidState != ConsGlobal.InValid && x.Money < 0
|
||
&& (x.Deal == 0 || initialLegIds.Contains(x.Deal)))
|
||
.Sum(x => x.Money) ?? 0;
|
||
}
|
||
var cashRatio = notional == 0 ? 0 : -cashPaid / notional * 100;
|
||
dic["期初现金交换比例"] = cashRatio.ToString("0.##");
|
||
dic["期初现金交换金额"] = (-cashPaid).ToString("N2");
|
||
|
||
// 期初预付比例和金额：有应付腿取腿合计（合约录入值），无应付腿（无预付金模板/合约维度盯市）走模板率兜底
|
||
var totalPayable = initialLegs
|
||
.Select(x => x.InterestPrincipalFix * (x.InterestDirection == 1 ? 1m : -1m))
|
||
.Where(x => x > 0)
|
||
.Sum();
|
||
if (totalPayable > 0)
|
||
{
|
||
dic["期初预付比例"] = (notional == 0 ? 0 : (double)totalPayable / notional * 100).ToString("0.##");
|
||
dic["期初预付金额"] = ((double)totalPayable).ToString("N2");
|
||
}
|
||
else
|
||
{
|
||
dic["期初预付比例"] = ((double)initRate * 100).ToString("0.##");
|
||
dic["期初预付金额"] = (notional * (double)initRate).ToString("N2");
|
||
}
|
||
bool posiLong = IsCustomerLong(swapPosition);
|
||
var maintainRatePercent = (double)maintainRate * 100; // A(%)
|
||
|
||
if (YLErp.Modules.SwapModule.Margin.SwapSpanMarginCalc.HasSpanConfig(spanCfg))
|
||
{
|
||
//方案B：直接取录入的预警/平仓线与多空区间（未录线时按 docx 口径取最深/次深档位边界）
|
||
FillSpanConfigLines(dic, spanCfg, posiLong);
|
||
}
|
||
else
|
||
{
|
||
//存量 x/y 配置：维持 100∓n×(B−A) 推导（B=初始率，A=维持率）
|
||
var initRatePercent = (double)initRate * 100; // B(%)
|
||
var diff = initRatePercent - maintainRatePercent; // B - A
|
||
if (maintainRatePercent > 0)
|
||
{
|
||
if (posiLong)
|
||
{
|
||
// 客户看多：档位n = 100 - n * (B-A)
|
||
dic["档位1"] = (100 - 1 * diff).ToString("0.##");
|
||
dic["档位2"] = (100 - 2 * diff).ToString("0.##");
|
||
dic["档位3"] = (100 - 3 * diff).ToString("0.##");
|
||
dic["档位4"] = (100 - 4 * diff).ToString("0.##");
|
||
dic["预警线"] = dic["档位4"]; // 预警线 = 最高档位
|
||
dic["平仓线"] = (100 - 5 * diff).ToString("0.##"); // 平仓线 = 最高档位 - (B-A)
|
||
}
|
||
else
|
||
{
|
||
// 客户看空：档位n = 100 + n * (B-A)
|
||
dic["档位1"] = (100 + 1 * diff).ToString("0.##");
|
||
dic["档位2"] = (100 + 2 * diff).ToString("0.##");
|
||
dic["档位3"] = (100 + 3 * diff).ToString("0.##");
|
||
dic["档位4"] = (100 + 4 * diff).ToString("0.##");
|
||
dic["预警线"] = dic["档位4"]; // 预警线 = 最高档位
|
||
dic["平仓线"] = (100 + 5 * diff).ToString("0.##"); // 平仓线 = 最高档位 + (B-A)
|
||
}
|
||
}
|
||
else
|
||
{
|
||
dic["平仓线"] = "";
|
||
dic["预警线"] = "";
|
||
dic["档位1"] = "";
|
||
dic["档位2"] = "";
|
||
dic["档位3"] = "";
|
||
dic["档位4"] = "";
|
||
}
|
||
|
||
if (maintainRatePercent > 0)
|
||
{
|
||
if (posiLong)
|
||
{
|
||
// === 客户看多 追保事件 ===
|
||
// 区间0：当前净价 ≥ {100-(B-A)}% × 期初净价，追保0%
|
||
dic["追保区间0下限"] = (100 - 1 * diff).ToString("0.##");
|
||
dic["追保金额比例0"] = "0";
|
||
// 区间1：{100-2(B-A)}% ≤ 当前净价 < {100-(B-A)}%，追保{B-A}%
|
||
dic["追保区间1下限"] = (100 - 2 * diff).ToString("0.##");
|
||
dic["追保区间1上限"] = (100 - 1 * diff).ToString("0.##");
|
||
dic["追保金额比例1"] = (1 * diff).ToString("0.##");
|
||
// 区间2：{100-3(B-A)}% ≤ 当前净价 < {100-2(B-A)}%，追保{2(B-A)}%
|
||
dic["追保区间2下限"] = (100 - 3 * diff).ToString("0.##");
|
||
dic["追保区间2上限"] = (100 - 2 * diff).ToString("0.##");
|
||
dic["追保金额比例2"] = (2 * diff).ToString("0.##");
|
||
// 区间3：{100-4(B-A)}% ≤ 当前净价 < {100-3(B-A)}%，追保{3(B-A)}%
|
||
dic["追保区间3下限"] = (100 - 4 * diff).ToString("0.##");
|
||
dic["追保区间3上限"] = (100 - 3 * diff).ToString("0.##");
|
||
dic["追保金额比例3"] = (3 * diff).ToString("0.##");
|
||
|
||
// === 客户看多 返还追保事件 ===
|
||
for (int n = 1; n <= 3; n++)
|
||
{
|
||
dic[$"返还区间{n}下限"] = (100 - (n + 1) * diff).ToString("0.##");
|
||
dic[$"返还区间{n}上限"] = (100 - n * diff).ToString("0.##");
|
||
dic[$"返还金额比例{n}"] = (n * diff).ToString("0.##");
|
||
}
|
||
dic["返还区间0下限"] = (100 - 1 * diff).ToString("0.##");
|
||
dic["返还金额比例0"] = "0";
|
||
}
|
||
else
|
||
{
|
||
// === 客户看空 追保事件 ===
|
||
// 区间0：当前净价 ≤ {100+(B-A)}% × 期初净价，追保0%
|
||
dic["追保区间0上限"] = (100 + 1 * diff).ToString("0.##");
|
||
dic["追保金额比例0"] = "0";
|
||
// 区间1：{100+(B-A)}% < 当前净价 ≤ {100+2(B-A)}%，追保{B-A}%
|
||
dic["追保区间1下限"] = (100 + 1 * diff).ToString("0.##");
|
||
dic["追保区间1上限"] = (100 + 2 * diff).ToString("0.##");
|
||
dic["追保金额比例1"] = (1 * diff).ToString("0.##");
|
||
// 区间2：{100+2(B-A)}% < 当前净价 ≤ {100+3(B-A)}%，追保{2(B-A)}%
|
||
dic["追保区间2下限"] = (100 + 2 * diff).ToString("0.##");
|
||
dic["追保区间2上限"] = (100 + 3 * diff).ToString("0.##");
|
||
dic["追保金额比例2"] = (2 * diff).ToString("0.##");
|
||
// 区间3：{100+3(B-A)}% < 当前净价 ≤ {100+4(B-A)}%，追保{3(B-A)}%
|
||
dic["追保区间3下限"] = (100 + 3 * diff).ToString("0.##");
|
||
dic["追保区间3上限"] = (100 + 4 * diff).ToString("0.##");
|
||
dic["追保金额比例3"] = (3 * diff).ToString("0.##");
|
||
|
||
// === 客户看空 返还追保事件 ===
|
||
for (int n = 1; n <= 3; n++)
|
||
{
|
||
dic[$"返还区间{n}下限"] = (100 + n * diff).ToString("0.##");
|
||
dic[$"返还区间{n}上限"] = (100 + (n + 1) * diff).ToString("0.##");
|
||
dic[$"返还金额比例{n}"] = (n * diff).ToString("0.##");
|
||
}
|
||
dic["返还区间0上限"] = (100 + 1 * diff).ToString("0.##");
|
||
dic["返还金额比例0"] = "0";
|
||
}
|
||
}
|
||
else
|
||
{
|
||
// 清空追保/返还相关字典值
|
||
for (int i = 0; i <= 3; i++)
|
||
{
|
||
dic[$"追保区间{i}下限"] = "";
|
||
dic[$"追保区间{i}上限"] = "";
|
||
dic[$"追保金额比例{i}"] = "";
|
||
dic[$"返还区间{i}下限"] = "";
|
||
dic[$"返还区间{i}上限"] = "";
|
||
dic[$"返还金额比例{i}"] = "";
|
||
}
|
||
}
|
||
}
|
||
|
||
// 期初预付金利率（InterestMode == 初始预付金）
|
||
var initialMarginPosition = initialLegs.FirstOrDefault();
|
||
dic["期初预付金利率"] = initialMarginPosition != null
|
||
? ((double)initialMarginPosition.InterestRateDefault * 100).ToString("N4")
|
||
: "0.0000";
|
||
|
||
// 利率类型判断（固定/浮动）
|
||
swap_position interestMargin = null;
|
||
// 优先取互换利率腿，避免同时存在增强收益腿时受集合顺序影响。
|
||
interestMargin = swapPositions
|
||
.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode) && x.category_tag == "互换利率")
|
||
.FirstOrDefault();
|
||
if (interestMargin == null)
|
||
interestMargin = swapPositions
|
||
.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode) && x.interest_rest_days != null)
|
||
.FirstOrDefault();
|
||
if (interestMargin == null)
|
||
interestMargin = swapPositions
|
||
.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode) && string.IsNullOrWhiteSpace(x.FloatRateUnderlyingCode))
|
||
.FirstOrDefault();
|
||
if (interestMargin == null)
|
||
interestMargin = swapPositions
|
||
.Where(x => ConsTrade.InterestModels.Contains(x.InterestMode))
|
||
.FirstOrDefault();
|
||
|
||
dic["IsFixed"] = "□";
|
||
dic["IsFloat"] = "□";
|
||
dic["期初观察日"] = trade.StartDate?.ToString("【yyyy】年【M】月【d】日") ?? "";
|
||
dic["期末观察日"] = trade.ExerciseDate?.ToString("【yyyy】年【M】月【d】日") ?? "";
|
||
if (interestMargin != null)
|
||
{
|
||
// 增强收益腿在确认书中固定展示为固定利率，不展示其浮动利率标的或利差。
|
||
if (interestMargin.category_tag == "增强收益" || string.IsNullOrEmpty(interestMargin.FloatRateUnderlyingCode))
|
||
{
|
||
dic["利率类型"] = "固定利率";
|
||
dic["IsFixed"] = "☑"; //☑
|
||
dic["固定利率"] = interestMargin.category_tag == "增强收益"
|
||
? "0.0000"
|
||
: ((double)interestMargin.InterestRateDefault * 100).ToString("N4");
|
||
dic["利差"] = "";
|
||
}
|
||
else
|
||
{
|
||
dic["利率类型"] = "浮动利率";
|
||
dic["IsFloat"] = "☑";
|
||
dic["固定利率"] = "";
|
||
dic["利差"] = ((double)interestMargin.InterestRateDefault * 10000).ToString("N0");
|
||
dic["重置频率"] = (interestMargin.interest_rest_days ?? 0) + "天";
|
||
}
|
||
if (interestMargin.SwapIntervalList.Count()>1)
|
||
{
|
||
var firstInterval = interestMargin.SwapIntervalList.OrderBy(o=>o.Date).First();
|
||
var lastInterval = interestMargin.SwapIntervalList.OrderBy(o => o.Date).Last();
|
||
dic["期初观察日"] = firstInterval.Date.ToString("【yyyy】年【M】月【d】日") ?? "";
|
||
dic["期末观察日"] = lastInterval.Date.ToString("【yyyy】年【M】月【d】日") ?? "";
|
||
}
|
||
}
|
||
else
|
||
{
|
||
dic["利率类型"] = "固定利率";
|
||
dic["固定利率"] = "0.0000";
|
||
dic["利差"] = "";
|
||
}
|
||
|
||
// 基本费率 = PosiTradingFeePending / 名义本金 * 100
|
||
// var tradingFee = (double)swapPosition.PosiTradingFeePending;
|
||
// var basicFeeRate = notional == 0 ? 0 : tradingFee / notional * 100;
|
||
// dic["基本费率"] = basicFeeRate.ToString("0.####");
|
||
// @张名锐: 直接取值PosiTradingFeeUnit(基础费率)
|
||
dic["基本费率"] = swapPosition.PosiTradingFeeUnit.ToString("0.####");
|
||
}
|
||
else
|
||
{
|
||
dic["参考标的期初全价"] = "0.000";
|
||
dic["参考标的期初净价"] = "0.0000";
|
||
dic["初始保障金率"] = "0.0000";
|
||
dic["维持保障金率"] = "0.0000";
|
||
dic["期初预付比例"] = "0";
|
||
dic["期初预付金额"] = "0.00";
|
||
dic["期初预付金利率"] = "0.0000";
|
||
dic["利率类型"] = "固定利率";
|
||
dic["固定利率"] = "0.0000";
|
||
dic["利差"] = "";
|
||
dic["基本费率"] = "0";
|
||
dic["期初现金交换比例"] = "0.0000";
|
||
dic["期初现金交换金额"] = "0.00";
|
||
}
|
||
|
||
// 参考标的券面总额（名义本金）
|
||
dic["参考标的券面总额"] = swapPosition != null ? ((double)swapPosition.PosiQuantity).ToString("N2") : "0";
|
||
|
||
// 参考标的证券全称和参考标的名义份额（复用上方已声明的bond）
|
||
dic["参考标的证券全称"] = underlying != null
|
||
// ? (JsonHelper.Deserialize<UnderlyingBond>(underlying.ExJson)?.UnderlyingFullName ?? underlying.UnderlyingName)
|
||
? (underlying.UnderlyingName ?? "")
|
||
: "";
|
||
dic["参考标的名义份额"] = swapPosition != null
|
||
? ((double)swapPosition.PosiQuantity).ToString("0.##")
|
||
: "0";
|
||
|
||
dic["参考标的基金管理人"] = underlying?.InvestAdvisorName ?? "";
|
||
var contractTypeId = (Context.GetContractTypes().FirstOrDefault(O => O.ContactType == "交易确认书接收")?.id) ?? 0;
|
||
// 乙方联系人信息
|
||
var clientDuties = Context.GetClientDuties().Where(O => O.ContactTypeIdsInt.Contains(contractTypeId)).ToList();
|
||
dic["联系人"] = string.Join(",", clientDuties.Select(O => O.ContactName)).Trim(',');
|
||
dic["电子邮件"] = string.Join(";", clientDuties.Select(O => O.Email)).Trim(';');
|
||
dic["电话"] = string.Join(";", clientDuties.Select(O => O.PhoneNumber)).Trim(';');
|
||
|
||
// 表格数据示例
|
||
var table1 = new JArray();
|
||
var row = new JObject
|
||
{
|
||
["序号"] = 1,
|
||
["标的代码"] = underlying?.UnderlyingCode ?? "",
|
||
["标的名称"] = underlying?.UnderlyingName ?? "",
|
||
["名义本金"] = trade.OriginalStockEqvNotional?.ToString("N2") ?? "0.00",
|
||
["成交日期"] = trade.TradeDate?.ToString("【yyyy】年【M】月【d】日"),
|
||
["到期日期"] = trade.ExerciseDate?.ToString("【yyyy】年【M】月【d】日")
|
||
};
|
||
table1.Add(row);
|
||
dic["table1"] = table1;
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置期权数据
|
||
/// </summary>
|
||
private void SetOptionData(Dictionary<string, JToken> dic)
|
||
{
|
||
var trade = Context.Trade;
|
||
var client = Context.GetClient();
|
||
var underlying = Context.GetTradeUnderlying();
|
||
|
||
dic["期权类型"] = trade.OptionType;
|
||
dic["买卖方向"] = trade.BuySell;
|
||
dic["行权价格"] = trade.Strike?.ToString("N4") ?? "0.0000";
|
||
dic["名义本金"] = trade.StockEqvNotional.ToString("N2");
|
||
dic["期权费"] = trade.TradePrice?.ToString("N2") ?? "0.00";
|
||
dic["期初价格"] = trade.SpotPrice?.ToString("N4") ?? "0.0000";
|
||
|
||
if (underlying != null)
|
||
{
|
||
dic["标的代码"] = underlying.UnderlyingCode;
|
||
dic["标的名称"] = underlying.UnderlyingName;
|
||
dic["报价单位"] = underlying.QuoteUnitString ?? "元";
|
||
}
|
||
|
||
// 美式/欧式
|
||
dic["行权方式"] = trade.ExerciseMode == "American" ? "美式" : "欧式";
|
||
}
|
||
|
||
/// <summary>
|
||
/// 设置基础数据
|
||
/// </summary>
|
||
private void SetBaseData(Dictionary<string, JToken> dic)
|
||
{
|
||
var trade = Context.Trade;
|
||
var client = Context.GetClient();
|
||
|
||
dic["交易类型"] = trade.TradeType;
|
||
dic["客户编号"] = client.Number;
|
||
dic["名义本金"] = trade.OriginalStockEqvNotional?.ToString("N2") ?? "0.00";
|
||
}
|
||
}
|
||
}
|