fix(swap): EQD-6977 无日终快照时承接①兜底取事件基数——复利重放把 normalEvent.InterestPrincipal 写为末次并本金后基数(=被平份额本金+①)，同为实际值；UAT实测(无快照+已有8/19重置)原①=0少算≈3.17元已消除；重置日+无快照退化场景补告警trace；新增兜底路径恒等式测试(23/23)

2026-08-20 16:09:43 +08:00
parent 8d7bc1b457
commit 286a834aa5
2 changed files with 45 additions and 10 deletions
@@ -49,14 +49,14 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
                ExerciseDate = maturity, TradeStatus = "确认成交", ValidState = "Valid"
            };

-        private static swap_position CompoundLeg(DateTime posiStart, DateTime maturity, decimal spread)
+        private static swap_position CompoundLeg(DateTime posiStart, DateTime maturity, decimal spread, int periodDays = 7)
            => new()
            {
                id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
                InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = spread,
                InterestPrincipalFix = Notional, PosiStartDate = posiStart, PosiMatuirityDate = maturity,
                IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
-                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
+                IsAnnualized = true, interest_rest_days = periodDays, interest_rule = 0,
                FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
            };

@@ -66,16 +66,18 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
                       TdInterestPrincipal = rollingBasis, InterestIncomeSum = incomeSum };

        private static decimal RunFee(trade td, swap_position p, decimal settledAmount,
-            eod_swap_position? preEod, DateTime unwind, bool settled, decimal spread)
+            eod_swap_position? preEod, DateTime unwind, bool settled, decimal spread,
+            decimal interestPrincipal = 0m, bool maturityCalcLast = true)
        {
            var e = new swap_flow_event
            {
                PositionId = p.id, InterestAmount = settledAmount, InterestFee = 0m,
-                InterestDirection = 1, InterestClosePnL = settledAmount
+                InterestDirection = 1, InterestClosePnL = settledAmount,
+                InterestPrincipal = interestPrincipal // 复利主路径下=重放末次并本金后基数(=被平份额本金+①)
            };
            PenaltyInterestFeeMerger.Merge(
                td, new List<swap_position> { p }, new List<swap_flow_event> { e },
-                unwind, AnnualDays, settled, maturityCalcLast: true,
+                unwind, AnnualDays, settled, maturityCalcLast: maturityCalcLast,
                posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
                getSpread: _ => spread, getPreEod: _ => preEod, tryGetFixing: (d, c) => spread);
            return e.InterestFee;
@@ -170,6 +172,26 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
                "锚点偏离：罚息分段/重置日判定必须用 position.PosiStartDate 网格（误用 td.StartDate 网格必挂）");
        }

+        [TestMethod]
+        public void 无preEod且此前已有重置_经事件基数兜底_恒等式精确成立()
+        {
+            // UAT 实测场景（tradeId=2447）：环境无日终快照、起息后已发生 8/19 重置并本。
+            // 兜底① = normalEvent.InterestPrincipal − 本金（复利重放末次并本金后基数）；
+            // 修复前 ①=0 少算 ≈3.17 元（并入额×冻结利率×段尾天数），本用例钉死兜底路径的精确性。
+            var start = new DateTime(2026, 8, 5); var unwind = new DateTime(2026, 8, 20); var maturity = new DateTime(2026, 9, 30);
+            var hist = new decimal[] { 0.0216m, 0.0144m }; // 8/5 段 2.16% / 8/19 段 1.44%(=冻结)，14 天重置
+            var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, hist, period: 14); // 已结 [8/5..8/19]
+            var replayFinalBasis = Notional + AccrueOnGrid(start, new DateTime(2026, 8, 18), AccrualBoundary.Both, hist, period: 14); // 8/19 重置并本后基数
+
+            var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1], periodDays: 14), elapsed,
+                preEod: null, unwind: unwind, settled: false, spread: hist[^1],
+                interestPrincipal: replayFinalBasis, maturityCalcLast: false); // 不算尾合约、14天重置（对应 UAT tradeId=2447 口径）
+
+            var full = AccrueOnGrid(start, maturity, AccrualBoundary.StartOnly, hist, period: 14);
+            Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
+                "无preEod+已有重置：兜底取事件基数后 ① 精确，全期=实结+罚息（修复前差≈3.17元）");
+        }
+
        [TestMethod]
        public void 起息日当天平仓_无preEod_恒等式成立()
        {
@@ -89,8 +89,10 @@ public static class PenaltyInterestFeeMerger
            }

            // 复利承接：实际滚动基数中已并入部分（①）+ 段内实际已计利息（②）。单利无并本金语义恒 0。
-            // ① 的取值依赖平仓日是否为重置日（数据契约）：
-            //   段中平仓：昨日快照 TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
+            // ① 的取值依赖平仓日是否为重置日、有无日终快照（数据契约）：
+            //   段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
+            //   段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
+            //     会把它写为末次并本金后的基数（=被平份额本金+①），同样是实际值而非推导值；
            //   重置日当天平仓：快照基数仍是【上一段】的（今日并入尚未发生），须改取
            //     preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
            decimal capitalized = 0m, carryIn = 0m;
@@ -98,9 +100,20 @@ public static class PenaltyInterestFeeMerger
            {
                var periodDays = position.interest_rest_days ?? 1;
                var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
-                capitalized = unwindOnResetDay
-                    ? (preEod?.InterestIncomeSum ?? 0m) * share
-                    : Math.Max(0m, (preEod?.TdInterestPrincipal ?? 0m) * share - closePrincipal);
+                if (unwindOnResetDay)
+                {
+                    capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
+                    if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
+                        trace?.Note($"PENALTY|p{position.id} 注意 无preEod且平仓日=重置日：①退化0（此前重置并入额缺失，请核对日终归档完整性）");
+                }
+                else if (preEod != null)
+                {
+                    capitalized = Math.Max(0m, preEod.TdInterestPrincipal * share - closePrincipal);
+                }
+                else
+                {
+                    capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
+                }
                // ① 不得超过实结金额（数据异常时钳制并留痕，避免负②进入计息）
                if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
                {