hjhan
0910969e3f
问题：互换后PosiDividendSum=-89999.64(应为-90000)，差0.36元。 根因：UpdateEodPosition cs:1635从头重算PosiDividendSum (Round(全程,2)-已实现)，与CopyEodPosition逐天递增 (每天Round(增量,2)累积)产生舍入误差累积。 修复：cs:1635改为递增模式 PosiDividendSum = eod.PosiDividendSum + TdPosiDividend - TdCloseDividend 与InterestIncomeSum的递增模式一致,避免从头重算的精度差异。 验证(golden录制/回放TDD): - 真实数据录制GLMS-20260105-0007的eod快照+输入数据 - 回放重新调UpdateEodPosition:修复前=-89999.64(红灯), 修复后=-90000(绿灯,精确匹配) - 121个测试全通过,无回归
1280 lines
35 KiB
JSON
1280 lines
35 KiB
JSON
{
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"TradeNumber": "GLMS-20260105-0007",
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"TradeId": 1924,
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"SwapDate": "2026-03-03",
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"Description": "分红精度差异：互换前-90400，互换后应为-90000，实际-89999.64",
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"KeyFloatEodPositions": [
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{
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"ValueDate": "2026-03-02",
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"PositionId": 35148,
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"PosiDividendSum": -90400.000000,
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"TdPosiDividend": -90400.000000,
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"TdCloseDividend": 0.0,
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"RealizedDividend": 0.0,
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"PosiQuantity": 50000000.000000,
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"PosiMtmPnL": -500000.000000
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},
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{
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"ValueDate": "2026-03-03",
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"PositionId": 35148,
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"PosiDividendSum": -89999.640000,
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"TdPosiDividend": 0.0,
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"TdCloseDividend": -400.000000,
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"RealizedDividend": -400.000000,
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"PosiQuantity": 50000000.000000,
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"PosiMtmPnL": -500000.000000
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},
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{
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"ValueDate": "2026-03-04",
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"PositionId": 35148,
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"PosiDividendSum": -89999.640000,
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"TdPosiDividend": 0.0,
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"TdCloseDividend": 0.0,
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"RealizedDividend": -400.000000,
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"PosiQuantity": 50000000.000000,
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"PosiMtmPnL": -500000.000000
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}
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],
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"AllFloatEodDividends": [
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{
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"ValueDate": "2026-01-05",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-06",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-07",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-08",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-09",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-10",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-11",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-12",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-13",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-14",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-15",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-16",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-17",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-18",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-19",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-20",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-21",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-22",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-23",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-24",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-25",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-26",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-27",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-28",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-29",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-30",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-01-31",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-01",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-02",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-03",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-04",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-05",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-06",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-07",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-08",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-09",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-10",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-11",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-12",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-13",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-14",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-15",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-16",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-17",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-18",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-19",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-20",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-21",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-22",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-23",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-24",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-25",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-26",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-27",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-02-28",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-03-01",
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"PosiDividendSum": 0.0,
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"TdPosiDividend": 0.0,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-03-02",
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"PosiDividendSum": -90400.000000,
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"TdPosiDividend": -90400.000000,
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"RealizedDividend": 0.0
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},
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{
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"ValueDate": "2026-03-03",
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"PosiDividendSum": -89999.640000,
|
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"TdPosiDividend": 0.0,
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"RealizedDividend": -400.000000
|
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},
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{
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"ValueDate": "2026-03-04",
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"PosiDividendSum": -89999.640000,
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"TdPosiDividend": 0.0,
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"RealizedDividend": -400.000000
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}
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],
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"ReplayInput": {
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"Trade": {
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"PV": null,
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"RealizedPnl": null,
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"PositionPnl": null,
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"MaturityWorkDay": 124,
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"PairTradeNumber": null,
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"ShowNotional": -50000000.0,
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"TradeOpenVolatilityString": "0.00%",
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"ActualStrike": null,
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"StrikeString": "0.000000000",
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"TradeDateString": "2026-01-05",
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"UnWindTimes": 0,
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"DividendRatio": 0.0,
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"InitYtm": 0.025000,
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"CalcId": null,
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"TTMDays": null,
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"UnderlyingInstrumentTypeCn": "利率债",
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"ExerciseModeCn": "",
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"ClientNumber": null,
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"SummaryType": "收益互换",
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"QuoteUnitSingle": null,
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"QuoteUnit": null,
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"trade_forward": {
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"id": 0,
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"AnnualMarginRate": 0.0,
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"OptDate": null,
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"EncryptId": "93JNozbumCxdv7dwztjpOg"
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},
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"trade_asian_option": {
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"StrikeGearingFactor": 1.0,
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"StrikeTypeCn": "",
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"id": 0,
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"EncryptId": "93JNozbumCxdv7dwztjpOg"
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