feat(swap): 添加收益互换利息计算功能及Excel场景测试
- 新增ExecuteSaveEodInterestPositionCopy方法用于保存日终利息持仓副本 - 添加ExcelScenario4Case类和相关测试数据用于验证利息计算准确性 - 实现DI_EXCEL_SCENARIO4_PartialCloseAndFinalCloseMatchBlAndBn测试方法 - 优化SwapDealService中的利息计算逻辑和平仓处理 - 添加详细的注释说明利息计算的核心业务规则 - 完善SwapEodPositionService中的日终持仓处理逻辑 - 修复部分平仓和最终平仓时的利息金额计算问题
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张名锐
@@ -115,6 +115,16 @@ namespace YLErp.Modules.SwapModule
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return PersistedPositions.LastOrDefault();
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}
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public eod_swap_position ExecuteSaveEodInterestPositionCopy(
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eod_swap_position eodPayPosition, swap_position position, trade td,
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DateTime valueDate, decimal posiLongNotional, decimal posiShortNotional,
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decimal grossPrice, decimal orginPv)
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{
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SaveEodInterestPositionCopy(eodPayPosition, null, valueDate, td, position, null,
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false, posiLongNotional, posiShortNotional, grossPrice, orginPv);
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return PersistedPositions.LastOrDefault();
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}
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// public 包装：直接调用 protected virtual DealInterests（已改为 virtual，无需反射）
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public void ExecuteDealInterests(
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List<swap_position> interestList, List<eod_swap_position> eodPositions,
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@@ -258,6 +268,86 @@ namespace YLErp.Modules.SwapModule
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$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
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}
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public sealed class ExcelScenario4Case
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{
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public string TradeNumber { get; init; }
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public DateTime StartDate { get; init; }
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public int SettlementRules { get; init; }
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public int InterestMode { get; init; }
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public int InterestType { get; init; }
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public string InterestCalcMode { get; init; }
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public int InterestRule { get; init; }
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public decimal FixedRate { get; init; }
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public decimal ExpectedPartialInterest { get; init; }
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public decimal ExpectedFinalInterest { get; init; }
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public override string ToString() => TradeNumber;
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}
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public static IEnumerable<object[]> ExcelScenario4Cases => new List<ExcelScenario4Case>
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{
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ExcelCase("GLMS-20260421-0008", new DateTime(2026, 4, 22), 1, 2, 1, "11", 0, -0.021m, -37218.76m, -124093.74m),
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ExcelCase("GLMS-20260421-0007", new DateTime(2026, 4, 21), 0, 2, 1, "11", 0, 0.0025m, 84090.95m, 268428.73m),
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ExcelCase("GLMS-20260421-0006", new DateTime(2026, 4, 22), 1, 9, 1, "10", 0, -0.021m, -35375.54m, -119386.71m),
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ExcelCase("GLMS-20260421-0005", new DateTime(2026, 4, 21), 0, 2, 1, "10", 0, 0.0025m, 80002.31m, 259348.38m),
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ExcelCase("GLMS-20260421-0004", new DateTime(2026, 4, 22), 1, 9, 1, "11", -1, -0.021m, -37119.14m, -123280.17m),
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ExcelCase("GLMS-20260421-0003", new DateTime(2026, 4, 21), 0, 2, 1, "11", -1, 0.0025m, 83919.92m, 269717.13m),
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ExcelCase("GLMS-20260421-0002", new DateTime(2026, 4, 22), 1, 9, 1, "10", -1, -0.021m, -35350.65m, -118631.26m),
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ExcelCase("GLMS-20260421-0001", new DateTime(2026, 4, 21), 0, 9, 1, "10", -1, 0.0025m, 79831.29m, 260578.53m),
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ExcelCase("GLMS-20260421-0012", new DateTime(2026, 4, 22), 1, 9, 0, "11", -1, -0.021m, -37124.16m, -123307.03m),
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ExcelCase("GLMS-20260421-0011", new DateTime(2026, 4, 21), 0, 2, 0, "11", -1, 0.0025m, 83894.12m, 269586.02m),
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ExcelCase("GLMS-20260421-0010", new DateTime(2026, 4, 22), 1, 9, 0, "10", 0, -0.021m, -35380.07m, -119411.90m),
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ExcelCase("GLMS-20260421-0009", new DateTime(2026, 4, 21), 0, 9, 0, "10", -1, 0.0025m, 79807.97m, 260458.63m)
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}.Select(x => new object[] { x });
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private static ExcelScenario4Case ExcelCase(string tradeNumber, DateTime startDate,
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int settlementRules, int interestMode, int interestType, string interestCalcMode,
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int interestRule, decimal fixedRate, decimal expectedPartialInterest,
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decimal expectedFinalInterest)
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{
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return new ExcelScenario4Case
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{
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TradeNumber = tradeNumber,
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StartDate = startDate,
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SettlementRules = settlementRules,
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InterestMode = interestMode,
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InterestType = interestType,
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InterestCalcMode = interestCalcMode,
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InterestRule = interestRule,
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FixedRate = fixedRate,
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ExpectedPartialInterest = expectedPartialInterest,
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ExpectedFinalInterest = expectedFinalInterest
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};
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}
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private static IReadOnlyDictionary<DateTime, double> CreateExcelScenario4Fr007Rates()
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{
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return new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 20)] = 0.0132,
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 22)] = 0.0132,
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[new DateTime(2026, 4, 23)] = 0.0132,
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[new DateTime(2026, 4, 24)] = 0.0131,
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[new DateTime(2026, 4, 27)] = 0.013502,
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[new DateTime(2026, 4, 28)] = 0.0136,
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[new DateTime(2026, 4, 29)] = 0.0138,
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[new DateTime(2026, 4, 30)] = 0.0139,
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[new DateTime(2026, 5, 4)] = 0.0139,
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[new DateTime(2026, 5, 5)] = 0.0139,
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[new DateTime(2026, 5, 6)] = 0.0136,
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[new DateTime(2026, 5, 7)] = 0.0136,
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[new DateTime(2026, 5, 8)] = 0.0135,
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[new DateTime(2026, 5, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.0130,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.0130,
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[new DateTime(2026, 5, 15)] = 0.0130,
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[new DateTime(2026, 5, 18)] = 0.0132,
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[new DateTime(2026, 5, 19)] = 0.0131
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};
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}
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#endregion
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// ================================================================
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@@ -1753,6 +1843,154 @@ namespace YLErp.Modules.SwapModule
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/// [DI_MATURITY_SETTLEMENT_001] 到期日存在手动互换但未带齐待实现时不能清零；
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/// 当前事件按两位覆盖全部可结金额后，才可视为最终结算并清零。
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/// </summary>
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[DataTestMethod]
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[DynamicData(nameof(ExcelScenario4Cases), DynamicDataSourceType.Property)]
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public void DI_EXCEL_SCENARIO4_PartialCloseAndFinalCloseMatchBlAndBn(ExcelScenario4Case scenario)
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{
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// 本测试对应主流程文档 16.13 节。四个规模字段按以下恒等式变化：
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// 原始本金 303139117.80 = 本次平仓 90941735.34 + 收盘后剩余 212197382.46。
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const decimal originalNotional = 303139117.80m;
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const decimal partialClosePercent = 0.30m;
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const decimal partialNotional = 90941735.34m;
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const decimal remainingNotional = 212197382.46m;
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var partialCloseDate = new DateTime(2026, 5, 11);
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var finalCloseDate = new DateTime(2026, 5, 19);
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var tradeId = 10000 + int.Parse(scenario.TradeNumber[^4..]);
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var td = new trade
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{
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id = tradeId,
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TradeNumber = scenario.TradeNumber,
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ClientId = 999998,
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TradeType = "收益互换",
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TradeDate = new DateTime(2026, 4, 21),
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StartDate = scenario.StartDate,
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ExerciseDate = finalCloseDate,
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TradeStatus = "确认成交",
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ValidState = "Valid",
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StructureType = "单标的",
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QuoteCurrency = "CNY",
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SettlementCurrency = "CNY",
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trade_extend = new trade_extend
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{
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TradeId = tradeId,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = scenario.InterestCalcMode,
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SettlementRules = scenario.SettlementRules
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})
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}
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};
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var position = new swap_position
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{
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id = tradeId * 10L + 1,
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SwapTradeId = tradeId,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = scenario.InterestMode,
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InterestRateDefault = scenario.FixedRate,
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InterestPrincipalFix = originalNotional,
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PosiStartDate = scenario.StartDate,
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PosiMatuirityDate = finalCloseDate,
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IsInitial = true,
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Invalid = false,
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InterestType = scenario.InterestType,
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IsAnnualized = true,
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interest_rest_days = 7,
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interest_rule = scenario.InterestRule,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = finalCloseDate, Rate = scenario.FixedRate, Settlement = 0 }
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})
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};
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var dealService = new StubCompoundSwapDealService(CreateExcelScenario4Fr007Rates());
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var eodService = new StubEodPositionService { DealService = dealService };
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// Excel 操作在 5/8 完成收盘；系统随后仍会生成 5/9、5/10 自动日终，
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// 5/11 平仓读取的是 5/10 快照。漏掉周末快照会让平仓后待实现少两天全额利息。
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var preCloseEodDates = Enumerable.Range(0,
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(partialCloseDate.AddDays(-1) - scenario.StartDate).Days + 1)
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.Select(day => scenario.StartDate.AddDays(day));
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eod_swap_position preCloseEod = null;
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foreach (var eodDate in preCloseEodDates)
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{
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preCloseEod = eodService.ExecuteSaveEodInterestPositionCopy(
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preCloseEod, position, td, eodDate, originalNotional, 0m, 1m,
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originalNotional);
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}
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// partialInterest 是页面平仓时的理论结果：
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// InterestPrincipal=本次关闭部分的计息本金，InterestAmount=本次应结利息，
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// TdInterestAmount=同一计算区间的全腿参考金额。BL 只核对实际要结的 InterestAmount。
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// 例如 0004：InterestPrincipal=90915227.13，InterestAmount=-37119.14。
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var partialInterest = dealService.GetInterests(
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td, td.trade_extend, partialCloseDate, partialCloseDate,
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new List<eod_swap_position> { preCloseEod }, new List<swap_position> { position },
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originalNotional, originalNotional, 0m, partialNotional, partialClosePercent,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
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settment: false).Single();
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AssertExcelMoney(scenario.ExpectedPartialInterest, partialInterest.InterestAmount,
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$"{scenario.TradeNumber} 5/11 部分平仓利息应匹配 Excel BL 列");
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// 流水代表“已经结算”的事实，必须按金额两位保存；更高精度的差额留在 EOD 待实现中。
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var partialCashInterest = Math.Round(partialInterest.InterestAmount,
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ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
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var partialFlow = new swap_flow_event
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{
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SwapTradeId = tradeId,
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PositionId = position.id,
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EventType = (int)SwapFlowEventTypeEnum.平仓,
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EventDate = partialCloseDate,
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UnwindDate = partialCloseDate,
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InterestDirection = position.InterestDirection,
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InterestMode = position.InterestMode,
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InterestRate = partialInterest.InterestRate,
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FloatRate = partialInterest.FloatRate,
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InterestPrincipal = partialInterest.InterestPrincipal,
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InterestAmount = partialCashInterest,
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TdInterestAmount = Math.Round(partialInterest.TdInterestAmount,
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ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero),
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InterestClosePnL = partialCashInterest,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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// partialEod 是 5/11 收盘后的状态，不是流水副本。以 0004 为例：
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// TdCloseInterest=-37119.14，InterestIncomeSum=-86611.313284，
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// RealizedInterest=-37119.14，TdInterestPrincipal=212135529.974418。
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var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
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preCloseEod, position, td, partialCloseDate, null, remainingNotional, 0m,
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new List<swap_flow_event> { partialFlow }, partialNotional, false);
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// 5/11 部分平仓收盘后继续逐自然日归档到 5/18，保留剩余 70% 仓位的完整利息。
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var postCloseEodDates = Enumerable.Range(1, 7)
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.Select(day => partialCloseDate.AddDays(day));
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var finalPreEod = partialEod;
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foreach (var eodDate in postCloseEodDates)
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{
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finalPreEod = eodService.ExecuteSaveEodInterestPositionCopy(
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finalPreEod, position, td, eodDate, remainingNotional, 0m, 1m,
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remainingNotional);
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}
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// finalInterest 读取 5/18 的剩余仓位 EOD：历史待实现 + 5/19 是否算尾的新增利息。
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// 最终 closePercent=100%，因此 InterestAmount 必须带走此前部分平仓留下的全部尾差。
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var finalInterest = dealService.GetInterests(
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td, td.trade_extend, finalCloseDate, finalCloseDate,
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new List<eod_swap_position> { finalPreEod }, new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 1m, remainingNotional,
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settment: false).Single();
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AssertExcelMoney(scenario.ExpectedFinalInterest, finalInterest.InterestAmount,
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$"{scenario.TradeNumber} 5/19 全部平仓利息应匹配 Excel BN 列");
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}
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private static void AssertExcelMoney(decimal expected, decimal actual, string message)
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{
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var roundedActual = Math.Round(actual, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero);
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Assert.IsTrue(Math.Abs(expected - roundedActual) <= 0.01m,
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$"{message}。Expected={expected}, Actual={actual}, Rounded={roundedActual}, Diff={expected - roundedActual}");
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}
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[TestMethod]
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public void DI_MATURITY_SETTLEMENT_001_到期手动互换仅在结清后清零()
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{
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