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fix(swap): 修复部分平仓计息计算中的尾差处理问题

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- 修正了部分平仓后待实现利息收入的预期值从 0.006383561644 到 -0.010438356164
- 修正了预期待实现利息值从 0.820569301369 到 0.410474008219
- 在 SwapDealService 中添加了已完成平仓事件的查询逻辑，排除已平仓头寸的本金计算
- 重构了 SwapEodPositionService 中的待结算利息计算逻辑，区分自动互换和平仓场景
- 在测试类中添加了已完成流程事件的查找方法和相关测试数据
- 更新了测试用例以验证平仓事件对利息计算的影响
This commit is contained in:
张名锐
2026-08-06 21:35:13 +08:00
parent e3c473bafd
commit 01d7f0c55e
4 changed files with 34 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
UnitTestProject/Modules/SwapModule/DealInterestsScenarioTest.cs
+2 -2
View File
@@ -713,7 +713,7 @@ namespace YLErp.Modules.SwapModule
"部分平仓计算必须带入自动互换遗留的待实现尾差");
Assert.AreEqual(position.id, service.LastInterestCalculationEodPosition.PositionId,
"部分平仓计息必须按腿标识匹配上一日日终");
AssertDecimal(0.006383561644m, firstCloseResult.InterestIncomeSum,
AssertDecimal(-0.010438356164m, firstCloseResult.InterestIncomeSum,
"部分平仓后待实现应延续历史尾差");
AssertDecimal(0.02m, firstCloseResult.RealizedInterest,
"部分平仓后累计已实现应包含此前自动互换和本次平仓");
@@ -744,7 +744,7 @@ namespace YLErp.Modules.SwapModule
const decimal rate = 0.0299m;
const decimal pendingInterest = 0.820379534246m;
const decimal settledInterest = 0.82m;
const decimal expectedPendingInterest = 0.820569301369m;
const decimal expectedPendingInterest = 0.410474008219m;
var service = new StubEodPositionService();
var td = CreateTrade();
td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
UnitTestProject/Modules/SwapModule/SwapPositionComposeScenarioTest.cs
+22 -2
View File
@@ -56,6 +56,7 @@ namespace YLErp.Modules.SwapModule
protected override List<trade_extend> FindTradeExtends(List<int> tradeIds) => _extends;
protected override List<eod_swap> FindEodSwapsByDate(DateTime valueDate) => _eodSwaps;
protected override List<swap_flow_event> FindFlowEvents(int swapTradeId, DateTime settleDate) => _flowEvents;
protected override List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds) => _flowEvents;
protected override List<eod_swap_position> FindEodSwapPositions(int swapTradeId, DateTime preSettleDate)
=> _eodPositions.Where(x => x.SwapTradeId == swapTradeId && x.ValueDate >= preSettleDate).ToList();
protected override List<swap_position> FindSwapPositions(int swapTradeId)
@@ -296,7 +297,18 @@ namespace YLErp.Modules.SwapModule
new List<swap_position> { CreateFloatPosition(1, 1000), initialPrepay, realPrepay },
new List<eod_swap_position> { CreateFloatEodPosition(1, 1000, 1.0020m), prepayEod },
new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = PreSettleDate } },
new List<trade_extend> { CreateExtend() }, new List<swap_flow_event>());
new List<trade_extend> { CreateExtend() },
new List<swap_flow_event>
{
CreateCloseFlowEvent(1, 300),
new swap_flow_event
{
SwapTradeId = SwapTradeId, PositionId = initialPrepayId,
EventType = (int)SwapEventTypeEnum.平仓,
EventDate = SettleDate,
DataState = (int)SwapFlowDateStateEnum.完成
}
});
service.ExecuteSwapPositionCompose(SettleDate, PreSettleDate);
@@ -338,13 +350,21 @@ namespace YLErp.Modules.SwapModule
};
var closeFlow = CreateCloseFlowEvent(1, 300);
closeFlow.InterestRate = 0.01m;
var prepayCloseFlow = new swap_flow_event
{
SwapTradeId = SwapTradeId, PositionId = initialPrepayId,
EventType = (int)SwapEventTypeEnum.平仓,
EventDate = SettleDate, DataState = (int)SwapFlowDateStateEnum.完成,
InterestMode = (int)InterestModeEnum.初始预付金,
InterestPrincipal = 300m
};
var service = new TestableSwapEodService(
new List<trade> { td },
new List<swap_position> { CreateFloatPosition(1, 1000), initialPrepay, realPrepay },
new List<eod_swap_position> { CreateFloatEodPosition(1, 1000, 1.0020m), prepayEod },
new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = PreSettleDate } },
new List<trade_extend> { CreateExtend() },
new List<swap_flow_event> { closeFlow });
new List<swap_flow_event> { closeFlow, prepayCloseFlow });
service.ExecuteSwapPositionCompose(SettleDate, PreSettleDate);
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+7
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@@ -700,6 +700,9 @@ namespace YLErp.Modules.SwapModule
|| x.InterestMode == (int)InterestModeEnum.追加预付金)
.GroupBy(x => x.PositionId)
.ToDictionary(x => x.Key, x => x.Sum(v => v.InterestPrincipal));
var priorClosePositionIds = new HashSet<long>((completedFlowEvents ?? Enumerable.Empty<swap_flow_event>())
.Where(x => x.EventType == (int)SwapEventTypeEnum.平仓 && x.EventDate <= settleDate)
.Select(x => x.PositionId));
return origPositions.Where(x => x.PosiDirection == 0).Select(p =>
{
@@ -709,6 +712,10 @@ namespace YLErp.Modules.SwapModule
var realLeg = realPositions.FirstOrDefault(r => r.PositionId == p.id);
if (realLeg != null)
{
if (!priorClosePositionIds.Contains(p.id))
{
return p;
}
var futurePrincipal = hasNotionalFlows
? p.InterestPrincipalFix * futureCloseNotional / originalNotional
: futureClosePrincipal.TryGetValue(p.id, out var flowPrincipal) ? flowPrincipal : 0m;
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+3 -6
View File
@@ -1412,12 +1412,9 @@ namespace YLErp.Modules.SwapModule
}
else
{
var useAccrualBalance = !autoSwap
&& (position.InterestMode == (int)InterestModeEnum.初始预付金
|| position.InterestMode == (int)InterestModeEnum.追加预付金);
var pendingInterestBeforeSettlement = useAccrualBalance
? lastInterestIncomeSum + newEodPayPosition.TdInterestIncome
: interestAmountBeforeSettlement;
var pendingInterestBeforeSettlement = autoSwap
? interestAmountBeforeSettlement
: lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
newEodPayPosition.InterestIncomeSum = RoundEodInterest(
pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
newEodPayPosition.InterestFeeSum = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee;