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refactor(swap-eod): L1 类内去重——CopyInterestLegFields/FinalizeInterestEodRoll 收口四 Save* 重复段（行为保真）

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- 腿字段拷贝 3 处×14 行 → 入参化 helper（FloatRate 来源随场景传入，勿统一）
- 滚存收尾 4 处 → FinalizeInterestEodRoll（方向源参数化：三处 position、Copy 一处 eodPayPosition，勿统一；Persist 与日志留调用点保持原序）
- 差异保真：WithClose 不设 InterestFeePending；勿缩放注释保留升级
- 安全网：InterestEodTailSnapshotTest 三格尾部快照（AutoSettle/AutoSettleWithClose/CloseOnly，钉值特征化）+ golden 两格 + DI_EXCEL 家族
- 验证：快照 3/3 逐字段一致；全量 SwapModule 576/566/10/0 与去重前基线完全相同
- 注：本提交为工作区被还原后按原编辑重放，验证结果与首次执行一致
This commit is contained in:
hjhan
2026-08-17 18:15:09 +08:00
parent 65a367e139
commit 09fa96a93f
2 changed files with 282 additions and 78 deletions
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YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+55 -78
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@@ -980,6 +980,46 @@ namespace YLErp.Modules.SwapModule
trans?.Dispose();
}
}
/// <summary>
/// 利息腿字段拷贝（SaveEodInterestPosition / SaveAutoEodInterestPosition / SaveAutoEodWithCloseInterestPosition 共用）。
/// FloatRate 来源随场景不同（手工互换=当日流水；自动互换/平仓=计息结果），由调用方算好传入，勿在本方法内统一。
/// 场景差异字段（PosiStatus / InterestFeePending / TdInterestPrincipal / TdInterestRate）留在各调用点。
/// </summary>
private static void CopyInterestLegFields(eod_swap_position newEodPayPosition, swap_position position, decimal floatRate)
{
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = floatRate;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
}
/// <summary>
/// 利息腿日终滚存收尾（四个 Save* 共用）：RollRealized 滚累计已实现 → SetFixedLegRealizedPnl → 汇率 → TdCurrency。
/// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
/// interestDirection 是 RateType 的方向来源——三个方法取 position.InterestDirection，
/// SaveEodInterestPositionCopy 取 eodPayPosition.InterestDirection（现状差异，勿统一）。
/// PersistEodSwapPosition 与各自日志留在调用点（持久化边界 + 日志顺序各不相同）。
/// </summary>
private void FinalizeInterestEodRoll(eod_swap_position eodPayPosition, eod_swap_position newEodPayPosition, int ratio, trade td, DateTime valueDate, int interestDirection)
{
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(interestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
}
/// <summary>
/// 产生互换用
/// </summary>
@@ -1023,20 +1063,8 @@ namespace YLErp.Modules.SwapModule
UpdateDbOption(newEodPayPosition);
newEodPayPosition.PosiStatus = 0;
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = flowEvents.FirstOrDefault()?.FloatRate ?? 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
//持仓内容-利息腿（FloatRate 取当日互换/平仓流水）
CopyInterestLegFields(newEodPayPosition, position, flowEvents.FirstOrDefault()?.FloatRate ?? 0);
newEodPayPosition.InterestFeePending = 0;
//利息端估值用信息
newEodPayPosition.TdInterestPrincipal = flowEvents.FirstOrDefault()?.InterestPrincipal ?? 0;
@@ -1074,14 +1102,8 @@ namespace YLErp.Modules.SwapModule
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
PersistEodSwapPosition(newEodPayPosition);
}
/// <summary>
@@ -1179,20 +1201,8 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
//持仓内容-利息腿（FloatRate 取计息结果）
CopyInterestLegFields(newEodPayPosition, position, interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0);
newEodPayPosition.InterestFeePending = 0;
//利息端估值用信息
newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode) ? eodPayPosition.InterestPrincipalFix : posiNotionalValue;
@@ -1216,14 +1226,8 @@ namespace YLErp.Modules.SwapModule
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
PersistEodSwapPosition(newEodPayPosition);
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
return interests;
@@ -1354,22 +1358,9 @@ namespace YLErp.Modules.SwapModule
newEodPayPosition.PositionId = position.id;
UpdateDbOption(newEodPayPosition);
newEodPayPosition.Invalid = false;
//持仓内容-利息腿
newEodPayPosition.InterestDirection = position.InterestDirection;
newEodPayPosition.InterestMode = position.InterestMode;
// ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减。
newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
// newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
newEodPayPosition.IsAnnualized = position.IsAnnualized;
newEodPayPosition.HappenDate = position.HappenDate;
newEodPayPosition.Currency = position.Currency;
newEodPayPosition.InterestType = position.InterestType;
newEodPayPosition.FloatRate = interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0;
newEodPayPosition.FloatRateUnderlyingCode = position.FloatRateUnderlyingCode;
newEodPayPosition.interest_rest_days = position.interest_rest_days;
newEodPayPosition.interest_rule = position.interest_rule;
//持仓内容-利息腿（FloatRate 取计息结果）。InterestPrincipalFix 保持腿现值：
// ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减（勿恢复 *(1-closePercent)）。
CopyInterestLegFields(newEodPayPosition, position, interests.Count > 0 ? interests.First().FloatRate ?? 0 : 0);
//利息端估值用信息
// TdInterestPrincipal 是“下一日继续计息的收盘后本金”，不是原始合同规模，也不是本次平仓本金。
// 模式9单利直接取剩余名义本金；复利还要保留重置时已经并入本金的待实现利息。
@@ -1491,16 +1482,8 @@ namespace YLErp.Modules.SwapModule
$",TdCloseInterest is {newEodPayPosition.TdCloseInterest}");
Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
$",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
//累计已实现
// RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
// 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(position.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存语义见 FinalizeInterestEodRoll：只增不回滚）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, position.InterestDirection);
Log.Info($"即将插入数据库的 newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
PersistEodSwapPosition(newEodPayPosition);
return interests;
@@ -1614,14 +1597,8 @@ namespace YLErp.Modules.SwapModule
//持仓价值
newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);
//累计已实现
var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
newEodPayPosition.RealizedInterest = rolled.Interest;
newEodPayPosition.RealizedInterestFee = rolled.Fee;
SetFixedLegRealizedPnl(newEodPayPosition);
var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
DirectionRatio.RateType(eodPayPosition.InterestDirection));
newEodPayPosition.TdCurrency = Convert.ToDecimal(currencyRate);
//累计已实现（滚存收尾见 FinalizeInterestEodRoll；方向源=eodPayPosition，与其他三方法不同，勿统一）
FinalizeInterestEodRoll(eodPayPosition, newEodPayPosition, ratio, td, valueDate, eodPayPosition.InterestDirection);
Log.Info($"the last newEodPayPosition is {JsonHelper.Serialize(newEodPayPosition, false)}");
PersistEodSwapPosition(newEodPayPosition);