feat(swap): EQD-6977 罚息计息接缝——GetIntradayUnwindInterests 按 IsPenaltyInterest 在 GetInterests 返回后追加同构罚息流

2026-08-20 13:23:10 +08:00
parent 10a12b7eef
commit 35a84cd60d
4 changed files with 155 additions and 2 deletions
@@ -67,6 +67,10 @@ public sealed class AccrualTrace
        => Add(AccrualTraceEvent.End, default,
            $"END accrued={totalAccrued:F6} today={totalToday:F6}");

+    /// <summary>自由文本注解（如罚息接缝的诊断行），不绑定特定计息语义。</summary>
+    public void Note(string message)
+        => Add(AccrualTraceEvent.Note, default, message);
+
    private void Add(AccrualTraceEvent step, DateTime date, string line)
        => _entries.Add(new AccrualTraceEntry(step, date, line));

@@ -78,7 +82,7 @@ public sealed class AccrualTrace
 /// <summary>追踪条目的语义类别（对应 QuantLib/Strata 的"事件"概念），便于程序化筛选（如"只看重置日"）。</summary>
 public enum AccrualTraceEvent
 {
-    Start, DayAccrual, ResetBefore, ResetAfter, Rollover, Unwind, End
+    Start, DayAccrual, ResetBefore, ResetAfter, Rollover, Unwind, End, Note
 }

 /// <summary>单条追踪记录：类别 + 日期 + 已渲染文本。</summary>
@@ -0,0 +1,83 @@
+using YLErp.Modules.SwapModule.Accrual;
+using YLErp.Modules.SwapModule.FundingLegs;
+
+namespace YLErp.Modules.SwapModule.Penalty;
+
+/// <summary>
+/// EQD-6977 罚息接缝（纯函数，不含 DB 依赖）：把罚息利息流追加进盘中平仓利息列表。
+///
+/// 设计：上帝类（SwapDealService.GetIntradayUnwindInterests）仅需把三个外部依赖以委托注入——
+///   getSpread（加点利差）/ getPreEodFloatRate（上一日终快照利率）/ tryGetFixing（定盘取价），
+/// 本类自身零 DB 耦合、可 headless 单测。罚息事件经 CalcPenalty 产出，置 IsPenaltyInterest=1。
+///
+/// 仅作用融资腿（调用方已预过滤保证金腿 MarginModes）；浮动端 P&amp;L 不进入。
+/// 取不到冻结利率（浮动腿缺价且无 preEod）时跳过该腿罚息（不阻断正常平仓），并留 trace。
+/// </summary>
+public static class PenaltyInterestAppender
+{
+    public static void Append(
+        trade td,
+        List<swap_position> fundingPositions,
+        List<swap_flow_event> interests,
+        DateTime unwindDate,
+        int annualDays,
+        bool unwindDaySettled,
+        bool maturityCalcLast,
+        decimal posiNotionalValue,
+        decimal closePosiNotionalValue,
+        decimal closePercent,
+        Func<swap_position, decimal> getSpread,
+        Func<swap_position, decimal?> getPreEodFloatRate,
+        Func<DateTime, string, decimal?> tryGetFixing,
+        AccrualTrace? trace = null)
+    {
+        if (td.ExerciseDate == null)
+        {
+            trace?.Note("PENALTY|跳过 交易无到期日(ExerciseDate=null)");
+            return;
+        }
+        var maturityDate = td.ExerciseDate.Value;
+        var resetAnchor = td.StartDate ?? td.TradeDate ?? unwindDate;
+        var eventType = (int)SwapEventTypeEnum.平仓;
+
+        foreach (var position in fundingPositions)
+        {
+            // 复用 GetInterests 的本金口径（mode2 无条件覆盖 / mode9 全平兜底，见其根因位置注释）
+            var mode = (InterestModeEnum)position.InterestMode;
+            var r = FundingLegStrategyFactory.Get(mode)
+                .CalcNotional(position.InterestPrincipalFix, posiNotionalValue, closePercent);
+            decimal closePrincipal = r.ClosePrincipal;
+            if (mode == InterestModeEnum.合约名义本金规模
+                || (mode == InterestModeEnum.标的期初全价 && posiNotionalValue == 0m))
+            {
+                closePrincipal = closePosiNotionalValue;
+            }
+
+            FundingLegRate frozenRate;
+            try
+            {
+                Func<DateTime, decimal?> posTryGetFixing = d => tryGetFixing(d, position.FloatRateUnderlyingCode);
+                frozenRate = PenaltyLegRateResolver.ResolveFrozenRate(
+                    position, getSpread(position), getPreEodFloatRate(position), unwindDate, posTryGetFixing);
+            }
+            catch (Exception ex)
+            {
+                trace?.Note($"PENALTY|跳过 p{position.id} 冻结利率解析失败：{ex.Message}");
+                continue;
+            }
+
+            var policy = AccrualPolicy.BuildEod(position, annualDays, position.InterestType == (int)InterestTypeEnum.复利);
+            var (capitalized, carryIn) = SwapPenaltyInterestCalculator.ComputeCarryBreakdown(
+                position, unwindDate, resetAnchor, frozenRate, policy, closePrincipal);
+
+            var penalty = SwapPenaltyInterestCalculator.CalcPenalty(
+                td, position, closePrincipal, unwindDate, maturityDate,
+                unwindDaySettled, maturityCalcLast, capitalized, carryIn,
+                frozenRate, policy, resetAnchor, eventType, unwindDate);
+            penalty.IsPenaltyInterest = 1;
+            interests.Add(penalty);
+
+            trace?.Note($"PENALTY|p{position.id} 完成 本金={closePrincipal:F2} 承接 已资本化={capitalized:F4} 段内={carryIn:F4} 罚息={penalty.InterestAmount:F2}");
+        }
+    }
+}
@@ -171,4 +171,48 @@ public static class SwapPenaltyInterestCalculator
        }
        return segments;
    }
+
+    /// <summary>
+    /// 复利承接量推导（冻结率重放，自洽的“冻结率持有至到期”语义，与金标准测试模型一致）：
+    ///   capitalizedInterest = 已并入最近重置日的累计利息 → 窗口首日起即入基数；
+    ///   carryInInterest     = 最近重置日之后已计至平仓日的利息 → 首个窗口重置日并入。
+    /// 二者之和 = 被平部分平仓日已结利息（正常平仓流 InterestAmount 在冻结率下的重放值）。
+    /// 重放采用与 AccrueCompound 相同的 BuildFrozenSegments + AccruePeriod，保证轨迹严格一致。
+    /// 单利（无重置）时窗口无 carry：capitalized=全段利息、carryIn=0。
+    /// </summary>
+    public static (decimal Capitalized, decimal CarryIn) ComputeCarryBreakdown(
+        swap_position position, DateTime unwindDate, DateTime resetAnchor,
+        FundingLegRate frozenRate, AccrualPolicy policy, decimal closePrincipal)
+    {
+        if (policy.ResetPeriodDays <= 1)
+        {
+            var full = AccrueFrom(resetAnchor, unwindDate, frozenRate, policy, closePrincipal, AccrualBoundary.Both);
+            return (full, 0m);
+        }
+        var lastReset = LastResetBefore(unwindDate, resetAnchor, policy.ResetPeriodDays);
+        var elapsed = AccrueFrom(resetAnchor, unwindDate, frozenRate, policy, closePrincipal, AccrualBoundary.Both);
+        var capitalized = AccrueFrom(resetAnchor, lastReset.AddDays(-1), frozenRate, policy, closePrincipal, AccrualBoundary.Both);
+        return (capitalized, elapsed - capitalized);
+    }
+
+    /// <summary>冻结率下 [start, end] 复利重放利息（notional 线性，故以 closePrincipal 直接重放即可）。</summary>
+    private static decimal AccrueFrom(DateTime start, DateTime end, FundingLegRate frozenRate, AccrualPolicy policy, decimal notional, AccrualBoundary boundary)
+    {
+        if (end <= start) return 0m;
+        var segs = BuildFrozenSegments(start, end, policy.ResetPeriodDays, start, frozenRate.AllInRate);
+        return CompoundInterestAccrual.AccruePeriod(
+            notional: notional, segmentRates: segs, startDate: start, endDate: end,
+            boundary: boundary, annualDays: policy.AnnualDays, isAnnualized: policy.IsAnnualized,
+            resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
+            finalBasis: out _, carryInInterest: 0m).Accrued;
+    }
+
+    /// <summary>最近重置日（≤ date）。重置日判定与 SwapDealService.IsResetDay 同公式，避免跨类耦合。</summary>
+    private static DateTime LastResetBefore(DateTime date, DateTime anchor, int period)
+    {
+        var days = (date - anchor).Days;
+        if (days <= 0) return anchor;
+        var offset = days % period;
+        return anchor.AddDays(days - offset);
+    }
 }
@@ -10,6 +10,7 @@ using YLErp.Modules.EodModule;
 using YLErp.Modules.SwapModule.Accrual;
 using YLErp.Modules.SwapModule.FundingLegs;
 using YLErp.Modules.SwapModule.Margin;
+using YLErp.Modules.SwapModule.Penalty;
 using YLErp.Modules.SwapModule.ReturnLegs;
 using YLErp.Modules.TradeModule;
 using YLErp.Modules.TradeModule.DealModule;
@@ -619,10 +620,31 @@ namespace YLErp.Modules.SwapModule
        /// 语义契约见 InterestCalcRequest.IntradayUnwind 工厂注释；计息走 CalcUnwindInterest 全区间重放。
        /// </summary>
        public List<swap_flow_event> GetIntradayUnwindInterests(InterestCalcRequest req)
-            => GetInterests(req.Td, req.TradeExtend, req.ValueDate, req.UnwindDate, req.EodPositions, req.Positions,
+        {
+            var interests = GetInterests(req.Td, req.TradeExtend, req.ValueDate, req.UnwindDate, req.EodPositions, req.Positions,
                req.PosiNotionalValue, req.ClosePosiNotionalValue,
                req.ClosePercent, req.EventType, req.TdClose,
                req.OrginPv, req.Add, settment: false, req.NewCalcLast, req.CloseList);
+            // EQD-6977 罚息：在 GetInterests 返回后追加（避开其 closeList 去重块），仅手动平仓路径(isPenaltyInterest)触发。
+            if (req.IsPenaltyInterest)
+            {
+                var fundingPositions = req.Positions.Where(p => !MarginModes.Contains(p.InterestMode)).ToList();
+                var annualDays = req.TradeExtend == null ? 365 : req.TradeExtend.ExtendObj.AnnualDays;
+                var calcLast = req.TradeExtend?.ExtendObj.CalcLast ?? true;
+                var trace = new AccrualTrace();
+                PenaltyInterestAppender.Append(
+                    req.Td, fundingPositions, interests, req.UnwindDate, annualDays,
+                    unwindDaySettled: calcLast || req.NewCalcLast,
+                    maturityCalcLast: calcLast,
+                    req.PosiNotionalValue, req.ClosePosiNotionalValue, req.ClosePercent,
+                    getSpread: p => GetFixedRate(p, req.UnwindDate),
+                    getPreEodFloatRate: p => req.EodPositions.FirstOrDefault(x => x.PositionId == p.id)?.FloatRate,
+                    tryGetFixing: (d, code) => IndexFixer.TryGetFixing(d, code, out decimal r) ? (decimal?)r : null,
+                    trace: trace);
+                SwapCalcTrace.Write(trace); // 与既有 4 处 SwapCalcTrace.Write 同款常驻落盘
+            }
+            return interests;
+        }

        public List<swap_flow_event> GetInterests(
            trade td,