张名锐
d78d1f48e7
- 在后端计算逻辑中添加 longRatio 参数用于区分多空头寸类型 - 修改前端 JavaScript 代码中的盈亏计算公式，加入 longRatio 参与计算 - 更新单元测试，增加空头头寸价格上涨时亏损的测试用例 - 补充前端测试用例验证空头头寸计算逻辑的准确性 - 修复了空头头寸在价格上涨时显示盈利而非亏损的计算错误
404 lines
21 KiB
JavaScript
404 lines
21 KiB
JavaScript
//otcformat禁止千分位分组
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window.otcformat.options.disableGrouping = true;
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const inputFormatSwapRate = swapPricePrecision.getCommonInputFormat('rate', { append: '%' });
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const inputFormatTradePrice = Object.freeze({ precision: otcformat.trading.tradePrice.precision, append: '' });
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const inputFormatEqvNotional = swapPricePrecision.getCommonInputFormat('amount', { append: '', negative: true });
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const inputFormatInterestAmount = swapPricePrecision.getCommonInputFormat('amount', { append: '', negative: true });
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const inputFormatDividend = swapPricePrecision.getCommonInputFormat('amount', { append: '', negative: true });
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const swapInstrumentType = (model.FlowEvents || []).find(item => item && item.UnderlyingInstrumentType)?.UnderlyingInstrumentType || model.UnderlyingInstrumentType || '';
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const formatSwapAmount = value => swapPricePrecision.normalizeCommon('amount', value);
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const formatSwapQuantity = value => swapPricePrecision.normalizeCommon('quantity', value, swapInstrumentType);
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const inputFormatMarginRate = Object.freeze({ precision: otcformat.trading.marginRateP.precision, append: '%' });
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const inputFormatMarginRateNoPercent = Object.freeze({ precision: otcformat.trading.umpriceP.precision, append: '', percent: true });
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const inputFormatSwapDeliveryPrice = Object.freeze({ precision: 9, append: '', negative: true });
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let ValueDate = model.ValueDate;
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let MaxIncomeValueDate = model.MaxIncomeValueDate ? model.MaxIncomeValueDate.substr(0, 10) : ValueDate;
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function parseLocalDate(value) {
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if (!value) {
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return null;
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}
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var parts = value.substr(0, 10).split('-');
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if (parts.length !== 3) {
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return null;
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}
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return new Date(Number(parts[0]), Number(parts[1]) - 1, Number(parts[2]));
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}
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const vue = new Vue({
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el: '#vueDiv',
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data: {
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deal: model,
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floatPosition: null,
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interestList: [],
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marginList: [],
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multiplier: 1,
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initPosiNetPrice: 0,
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initPosiGrossPrice:0
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},
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computed: {
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maxUnwindDate() {
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return MaxIncomeValueDate;
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},
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minStartDate() {
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return this.deal.StartDate;
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}
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},
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created() {
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this.multiplier = this.deal.StructureType == '普通债券类收益互换' ? 100 : 1;
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this.initDeal();
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this.setValueDate();
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},
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mounted() {
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this.$nextTick(() => {
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var $incomeValueDatePicker = $(this.$refs.incomeValueDatePicker.$el);
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$incomeValueDatePicker.datepicker("option", "maxDate", parseLocalDate(MaxIncomeValueDate));
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if (this.isAfterMaxIncomeValueDate(this.deal.ValueDate)) {
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this.validateIncomeValueDate(this.deal.ValueDate);
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} else {
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$incomeValueDatePicker.val(this.deal.ValueDate);
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}
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});
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},
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methods: {
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formatAmount(value) {
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return swapPricePrecision.formatCommon('amount', value);
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},
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formatQuantity(value) {
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return swapPricePrecision.formatCommon('quantity', value, swapInstrumentType);
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},
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isAfterMaxIncomeValueDate(valueDate) {
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return valueDate && MaxIncomeValueDate && valueDate > MaxIncomeValueDate;
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},
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validateIncomeValueDate(valueDate) {
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if (!this.isAfterMaxIncomeValueDate(valueDate)) {
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return true;
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}
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main.message("手动互换结算日期不能晚于当前交易结束日期T-1：" + MaxIncomeValueDate);
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this.deal.ValueDate = MaxIncomeValueDate;
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this.deal.UnwindDate = MaxIncomeValueDate;
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this.floatPosition.UnwindDate = MaxIncomeValueDate;
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$(this.$refs.incomeValueDatePicker.$el).val(MaxIncomeValueDate);
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return false;
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},
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getDeliveryPriceInputFormat() {
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return swapPricePrecision.getInputFormat(
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this.floatPosition && this.floatPosition.UnderlyingInstrumentType,
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'grossPrice',
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inputFormatSwapDeliveryPrice);
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},
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getStorageDeliveryPrice() {
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return swapPricePrecision.roundForSubmit(
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swapPricePrecision.shiftDecimal(this.floatPosition.TradingAmountAvg, this.multiplier === 100 ? -2 : 0),
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this.floatPosition && this.floatPosition.UnderlyingInstrumentType,
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'grossPrice',
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this.multiplier === 100 ? 2 : 0);
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},
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initDeal() {
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var positions = model.FlowEvents.filter((item) => {
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return item.UnderlyingCode;
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});
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this.floatPosition = positions[0];
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this.initPosiNetPrice = this.floatPosition.PosiNetPrice;
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this.initPosiGrossPrice = this.floatPosition.PosiGrossPrice;
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// 互换标的价格固定为期初净价，与平仓不同不需要用户填写
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// 期初净价入库为相对价(如1.02)，需转换为界面百分比形态(102)，与平仓页保持一致
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// 普通打开时用期初全价作为默认值；审批打开时必须保留已提交的期末全价，不能再被期初全价覆盖。
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// 两种来源入库时都是相对价，债券统一 ×100 还原为界面百分比态。
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this.floatPosition.TradingAmountAvg = SwapCalc.resolveIncomeTradingAmountAvg(
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this.initPosiGrossPrice,
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this.floatPosition.TradingAmountAvg,
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this.multiplier,
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isUseApproval);
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this.interestList = model.FlowEvents.filter((item) => {
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return item.InterestMode == 1 || item.InterestMode == 2 || item.InterestMode == 7 || item.InterestMode == 8 || item.InterestMode == 9;
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});
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this.marginList = model.FlowEvents.filter((item) => {
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return item.InterestMode == 5 || item.InterestMode == 6;
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});
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this.TradeStartDate = model.TradeStartDate;
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},
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IsBond(instType) {
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return tradeHelper.IsBond(instType);
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},
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priceFormat(price) {
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price = swapPricePrecision.shiftDecimal(price, this.multiplier === 100 ? 2 : 0);
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var pricef = swapPricePrecision.format(price, this.floatPosition && this.floatPosition.UnderlyingInstrumentType, 'grossPrice');
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return pricef;
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},
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dataFormat() {
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this.deal.NotionalValue = formatSwapAmount(this.deal.NotionalValue);
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this.deal.PosiNotionalValue = formatSwapAmount(this.deal.PosiNotionalValue);
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this.deal.NotionalQty = formatSwapQuantity(this.deal.NotionalQty);
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this.deal.PositionQty2 = formatSwapQuantity(this.deal.PositionQty);
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this.floatPosition.Quantity = formatSwapQuantity(this.floatPosition.Quantity);
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this.floatPosition.PositionQty = formatSwapQuantity(this.floatPosition.PositionQty);
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this.deal.SwapCloseAmount = formatSwapAmount(this.deal.SwapCloseAmount);
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//this.floatPosition.PosiNetPrice = otcformat.trading.umprice(this.floatPosition.PosiNetPrice);
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//this.floatPosition.PosiGrossPrice = otcformat.trading.umprice(this.floatPosition.PosiGrossPrice);
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this.floatPosition.TradingFee = formatSwapAmount(this.floatPosition.TradingFee);
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this.floatPosition.DividendIn = formatSwapAmount(this.floatPosition.DividendIn);
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this.floatPosition.MarkClosePnl = formatSwapAmount(this.floatPosition.MarkClosePnl);
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this.interestList.forEach(x => {
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//x.Principal = formatSwapAmount(x.Principal);
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//x.Rate = otcformat.fixed6(x.Rate);
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x.InterestFee = formatSwapAmount(x.InterestFee);
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x.InterestAmount = formatSwapAmount(x.InterestAmount);
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x.InterestClosePnL = formatSwapAmount(x.InterestClosePnL);
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//x.InterestStartDate = x.InterestStartDate ? x.InterestStartDate.substr(0, 10) : "";
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//x.InterestEndDate = x.InterestEndDate ? x.InterestEndDate.substr(0, 10) : "";
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});
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this.marginList.forEach(x => {
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x.InterestFee = formatSwapAmount(x.InterestFee);
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x.InterestAmount = formatSwapAmount(x.InterestAmount);
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x.InterestClosePnL = formatSwapAmount(x.InterestClosePnL);
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});
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},
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setValueDate(e) {//修改平仓日期
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if (e) {
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if (!this.validateIncomeValueDate(e)) {
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e = MaxIncomeValueDate;
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}
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this.deal.ValueDate = e;
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this.deal.UnwindDate = e;
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this.floatPosition.UnwindDate = e;
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}
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if (!isUseApproval) {
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this.getInterestList();
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} else {
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this.dataFormat();
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}
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},
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changeUnderlyingPrice() {//修改标的价格
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this.calcFloatClosePnl();
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},
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refreshUnderlyingPrice() {//刷新标的价格
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var thisObj = this;
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main.post("/underlying_manager/GetUnderlyingPriceByCode",
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{ code: thisObj.floatPosition.UnderlyingCode, valuedate: thisObj.deal.ValueDate })
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.done(function (res) {
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thisObj.floatPosition.TradingAmountAvg = swapPricePrecision.roundForSubmit(
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swapPricePrecision.shiftDecimal(res.obj, thisObj.multiplier === 100 ? 2 : 0),
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thisObj.floatPosition.UnderlyingInstrumentType,
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'grossPrice');
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thisObj.calcFloatClosePnl();
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});
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},
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changeTradingFee() {//修改交易费用
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this.calcFloatClosePnl();
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},
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changeInterestAmount(item) {//修改利息金额
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let InterestFee = item.InterestFee == "" ? 0 : parseFloat(item.InterestFee);
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let interestRatio = item.InterestDirection == 1 ? 1 : -1;
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item.InterestClosePnL = formatSwapAmount(parseFloat(item.InterestAmount) * interestRatio + InterestFee * interestRatio);
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this.calcCloseAmount();
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},
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calcFloatClosePnl() {//计算浮动端平仓盈亏
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var thisObj = this;
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let floatRatio = thisObj.floatPosition.PayDirection == 1 ? 1 : -1;
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let longRatio = thisObj.floatPosition.PositionType == 1 ? 1 : -1;
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let TradingFee = thisObj.floatPosition.TradingFee == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFee);
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let TradingFeePending = thisObj.floatPosition.TradingFeePending == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFeePending);
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let DividendIn = thisObj.floatPosition.DividendIn == "" ? 0 : parseFloat(thisObj.floatPosition.DividendIn ?? 0);
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let deliveryPrice = thisObj.getStorageDeliveryPrice();
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// 债券全价是单位价格，价差盈亏应按持仓数量×合约乘数计算；
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// CloseNotionalValue 是期初全价折算后的名义本金，直接乘价差会重复包含期初价格。
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let positionAmount = parseFloat(thisObj.floatPosition.Quantity) * parseFloat(thisObj.floatPosition.ContractSize || 1);
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thisObj.floatPosition.MarkClosePnl = positionAmount * (deliveryPrice - thisObj.initPosiGrossPrice) * floatRatio * longRatio;
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thisObj.floatPosition.MarkClosePnl = formatSwapAmount(thisObj.floatPosition.MarkClosePnl);//MarkClosePnl 纯盯市不要计算交易费用和分红
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// 守卫: 浮动盈亏合计必须保留 2 位小数 → 对应历史 bug 3c5f25a5(原代码缺精度保留)
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// 数值由 swapCalc.calcFloatPnlSum 计算, 此处 .toFixed(2) 仅保留字符串类型以兼容下游
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thisObj.floatPosition.FloatPnlSum = SwapCalc.calcFloatPnlSum(thisObj.floatPosition.MarkClosePnl, TradingFee, TradingFeePending, DividendIn).toFixed(2);
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thisObj.calcCloseAmount();
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},
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//calcClosePnL() {//计算浮动端平仓盈亏
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// let pnl = parseFloat(this.floatPosition.ClosePnL) - parseFloat(this.floatPosition.TradingFee);
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// this.floatPosition.ClosePnL = formatSwapAmount(pnl);
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// this.calcCloseAmount();
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//},
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calcCloseAmount() {//计算平仓总额=浮动收取+利息收取-浮动支付-利息支付
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var floatRatio = this.floatPosition.PayDirection == 1 ? 1 : -1;
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var thisObj = this;
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let pnl = parseFloat(this.floatPosition.FloatPnlSum);
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let TradingFee = thisObj.floatPosition.TradingFee == "" ? 0 : parseFloat(thisObj.floatPosition.TradingFee);
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thisObj.deal.SwapCloseAmount = pnl;
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thisObj.deal.SwapRealizedPnL = pnl;
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thisObj.deal.SwapMarginRebatePnl = 0;
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thisObj.deal.SwapMarginAmount = 0;
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let deliveryPrice = thisObj.getStorageDeliveryPrice();
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thisObj.floatPosition.TradingAmount = deliveryPrice * parseFloat(thisObj.deal.CloseNotionalValue);
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thisObj.floatPosition.CloseFee = TradingFee;
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if (thisObj.deal.CloseQty > 0) {
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thisObj.floatPosition.TradingAmountFeeAvg = deliveryPrice + (TradingFee / thisObj.deal.CloseQty) * floatRatio;
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} else {
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thisObj.floatPosition.TradingAmountFeeAvg = deliveryPrice;
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}
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this.interestList.forEach(x => {
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//let interestRatio = x.InterestDirection == 1 ? 1 : -1;
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let interestAmount = parseFloat(x.InterestClosePnL) ;
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thisObj.deal.SwapCloseAmount = parseFloat(thisObj.deal.SwapCloseAmount) + interestAmount;
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thisObj.deal.SwapRealizedPnL = parseFloat(thisObj.deal.SwapRealizedPnL) + interestAmount;
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});
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this.marginList.forEach(x => {
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let interestAmount = parseFloat(x.InterestClosePnL) ;
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thisObj.deal.SwapCloseAmount = parseFloat(thisObj.deal.SwapCloseAmount) + interestAmount;
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thisObj.deal.SwapMarginRebatePnl = parseFloat(thisObj.deal.SwapMarginRebatePnl) + interestAmount;
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thisObj.deal.SwapRealizedPnL = parseFloat(thisObj.deal.SwapRealizedPnL) + interestAmount;
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});
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thisObj.deal.SwapCloseAmount = formatSwapAmount(thisObj.deal.SwapCloseAmount);
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thisObj.deal.SwapRealizedPnL = formatSwapAmount(thisObj.deal.SwapRealizedPnL);
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thisObj.deal.SwapMarginRebatePnl = formatSwapAmount(thisObj.deal.SwapMarginRebatePnl);
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},
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getInterestList() {//根据平仓日期获取利息腿信息
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var thisObj = this;
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var postData = { ValueDate: thisObj.deal.ValueDate, unwindDate: thisObj.deal.UnwindDate, tradeId: thisObj.deal.SwapTradeId, closePercent: 1, eventType:3 }
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main.post("/swaptrade2/GetUnwindInterestList", postData, { async: true }).done(function (resp) {
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thisObj.interestList = resp.obj.filter((item) => {
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return item.InterestMode == 1 || item.InterestMode == 2 || item.InterestMode == 7 || item.InterestMode == 8 || item.InterestMode == 9;
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});
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thisObj.marginList = resp.obj.filter((item) => {
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return item.InterestMode == 5 || item.InterestMode == 6;
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});
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thisObj.calcCloseAmount();
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thisObj.dataFormat();
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thisObj.getDivindIn();
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});
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},
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getDivindIn() {
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var thisObj = this;
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// 方案C：分红改由后端 InitIncome 读 EOD PosiDividendSum 填入 floatPosition.DividendIn（单一可信源）。
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// 前端不再调用 GetBondPayMentInterest 自算——消除"期初持仓×totalInterest"对已平仓部分的重复计入。
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// floatPosition.DividendIn 保持后端返回值不动（=本次互换要落袋的全量待实现）。
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// DividendPending（待结算）互换页保持 0：互换=全量结清，结清后账上无待结算。
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// ↳ 与平仓页不同：平仓只拿走一部分，剩余持仓仍有待结算 → 平仓页 DividendPending=PosiDividendSum（后端值）。
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thisObj.floatPosition.DividendPending = 0;
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thisObj.calcFloatClosePnl();
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thisObj.dataFormat();
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},
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incomeTrade() {//互换
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var thisObj = this;
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if (main.isEmpty(thisObj.deal.ValueDate)) {
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main.message("请输入平仓日期");
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return;
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}
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if (!thisObj.validateIncomeValueDate(thisObj.deal.ValueDate)) {
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return;
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}
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let reqObj = _.cloneDeep(thisObj.deal);
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let marginCloneList = _.cloneDeep(thisObj.marginList);
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reqObj.FlowEvents = _.cloneDeep(thisObj.interestList);
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marginCloneList.forEach((item) => {
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reqObj.FlowEvents.push(item);
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})
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thisObj.floatPosition.EventDate = thisObj.deal.ValueDate;
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let floatPosition = _.cloneDeep(thisObj.floatPosition);
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floatPosition.Quantity = 0;
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floatPosition.TradingAmountAvg = thisObj.getStorageDeliveryPrice();
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reqObj.FlowEvents.push(floatPosition);
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var postData = { unwindData: reqObj };
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var msg = "确认提交收益结算？";
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var postUrl = "/swaptrade2/SwapIncomeJson";
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if (g_isShowReCheckClose) {
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msg = "确认提交收益结算审核？";
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postUrl = "/swaptrade2/ApplyUnwind";
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postData.eventType = 3;//互换3，平仓2
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}
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main.confirm(msg,
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function () {
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//重新计算百分比
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var thisObj2 = thisObj;
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main.post(postUrl, postData).done(function (res) {
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if (res.success) {
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thisObj2.closetrade_cashWindow();
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}
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else {
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try {
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thisObj2.closetrade_cashWindow();
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} catch (e) {
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}
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}
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});
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});
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},
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getSumbitText: function () {
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return g_isShowReCheckClose ? "审核提交" : "保存";
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},
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submitApproval(status) {
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var pop = '';
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if (status === 'pass') {
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pop = "确认通过审批？";
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}
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if (status === 'reject') {
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pop = "确认拒绝？";
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}
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let thisObj = this;
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var confirmFunc = function (additionalProcessing) {
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var pData = { tradeId: thisObj.deal.SwapTradeId, status: status, text: "" };
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if (!main.isEmpty(additionalProcessing)) {
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pData.additionalProcessing = additionalProcessing;
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}
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var thisObj2 = thisObj;
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main.post("/processtradelog/UpdateTradeProcessLog", pData).done(
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function (data) {
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if (data.obj && data.obj.proccessType == "AdditionalProcessing") {
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if (data.obj.type == "LackOfMoney") {
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var htmlContent = `<div style="padding:10px">${data.obj.message}</div>`;
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var lackMoneyConfirmLayer = main.open2("提示",
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htmlContent,
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{
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area: ["430px", "175px"],
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btn: ['交易特批', '取消'],
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yes: function (index, layero) {
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var layerIndex = lackMoneyConfirmLayer;
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main.confirm("客户资金或授信不足，强制成交会导致本机构产生风险！要继续审批通过？", function () {
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layer.close(layerIndex);
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confirmFunc("LackOfMoney");
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});
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},
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cancel: function (index, layero) {
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if (window.parent && window.parent.reloadtrade) {
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thisObj2.closetrade_cashWindow();
|
|
}
|
|
(parent || window).layer.closeAll();
|
|
}
|
|
});
|
|
}
|
|
return;
|
|
}
|
|
(parent || window).main.message(data.msg);
|
|
try { thisObj2.closetrade_cashWindow(); }
|
|
catch (e) { }
|
|
if (parent) {
|
|
parent.layer.closeAll();
|
|
}
|
|
});
|
|
}
|
|
main.confirm(pop, confirmFunc);
|
|
},
|
|
closetrade_cashWindow: function () {
|
|
layer.closeMe('reloadData');
|
|
},
|
|
closeCurrentWindow: function () {
|
|
try {
|
|
if (window.parent && window.parent.reload) window.parent.reload();
|
|
} catch (e) {
|
|
}
|
|
try {
|
|
var layer = window.parent.layer;
|
|
layer.close(layer.getFrameIndex(window.name));
|
|
} catch (e) {
|
|
}
|
|
}
|
|
},
|
|
components: {
|
|
'vue-datepicker': FastVue.vueDatePicker(),
|
|
'vue-number-input': FastVue.vueNumberInput(),
|
|
'vue-swap-price-input': swapPricePrecision.createVueInputComponent(),
|
|
}
|
|
});
|
|
|
|
$(function () {
|
|
$("#baseTable").width($("#floatTable").width());
|
|
});
|