fix(swap): 修复利息互换平仓结算中的尾差处理和本金计算问题
- 修复ExecuteSaveAutoEodInterestPosition方法参数传递，添加lastEodSwap、posiLongNotional和orginPv参数 - 修正平仓利息计算逻辑，区分手动结算和平仓后自动结算的利息处理 - 新增ResolveUnwindPreviousNotional静态方法，优化平仓前本金计算逻辑 - 修复部分平仓后利息累积边界问题，确保仅从上次EOD快照后开始计算 - 完善自动结算利息的四舍五入处理，避免精度丢失 - 修正支付端方向符号应用，确保方向只应用一次 - 更新TdInterestPrincipal计算逻辑，处理不同利息模式下的本金赋值 - 修复TdCloseInterest计算，合并手动和自动结算利息金额 - 优化InterestIncomeSum计算，正确处理结算后剩余未实现利息
This commit is contained in:
张名锐
@@ -92,10 +92,12 @@ namespace YLErp.Modules.SwapModule
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// public 包装：验证自动互换时的“高精度应结 -> 两位实际结算 -> 待实现尾差”链路。
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public eod_swap_position ExecuteSaveAutoEodInterestPosition(
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eod_swap_position eodPayPosition, swap_position position, trade td,
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DateTime valueDate, IntervalModel interval)
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DateTime valueDate, IntervalModel interval, eod_swap lastEodSwap = null,
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decimal posiLongNotional = DealInterestsScenarioTest.Principal,
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decimal orginPv = DealInterestsScenarioTest.Principal)
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{
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SaveAutoEodInterestPosition(eodPayPosition, null, position, td, valueDate, interval,
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null, DealInterestsScenarioTest.Principal, 0m, 1m, DealInterestsScenarioTest.Principal);
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lastEodSwap, posiLongNotional, 0m, 1m, orginPv);
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return PersistedPositions.LastOrDefault();
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}
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@@ -697,10 +699,10 @@ namespace YLErp.Modules.SwapModule
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var firstCloseFlow = CreateSwapFlowEvent(firstCloseDate, 0.01m);
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firstCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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firstCloseFlow.InterestPrincipal = 50m;
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// 模拟 CalcUnwindInterest: 上日尾差 + 本次平仓后的高精度待实现。
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// 模拟 CalcUnwindInterest：上日尾差加当日新增，尚未扣除本次 0.01 平仓结算。
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service.AutoInterests = new List<swap_flow_event>
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{
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CreateAutoSwapFlowEvent(firstCloseDate, 0.006383561644m)
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CreateAutoSwapFlowEvent(firstCloseDate, 0.016383561644m)
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};
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service.AutoInterests[0].InterestPrincipal = 50m;
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var firstCloseResult = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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@@ -733,6 +735,239 @@ namespace YLErp.Modules.SwapModule
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"全平后累计已实现应包含自动互换和两次平仓");
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}
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[TestMethod]
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public void DI_AUTO_SETTLEMENT_004_PartialCloseAccruesOnlyAfterPreviousEod()
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{
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const decimal originalNotional = 10012.35m;
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const decimal remainingNotional = 5006.17m;
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const decimal closeNotional = 5006.172835m;
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const decimal rate = 0.0299m;
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const decimal pendingInterest = 0.820379534246m;
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const decimal settledInterest = 0.82m;
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const decimal expectedPendingInterest = 0.820569301369m;
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var service = new StubEodPositionService();
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var td = CreateTrade();
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td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "01",
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestRateDefault = rate;
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position.InterestSwapInterval = null;
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var previousEodDate = StartDate.AddDays(2);
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var closeDate = previousEodDate.AddDays(1);
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var previousEod = CreatePreEod(previousEodDate, pendingInterest, settledInterest);
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previousEod.TdInterestPrincipal = originalNotional;
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var closeFlow = CreateSwapFlowEvent(closeDate, settledInterest);
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closeFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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closeFlow.InterestPrincipal = 5006.18m;
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closeFlow.InterestRate = rate;
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var result = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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previousEod, position, td, closeDate, null,
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remainingNotional, 0m, new List<swap_flow_event> { closeFlow },
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closeNotional, false);
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AssertDecimal(expectedPendingInterest, result.InterestIncomeSum,
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"Partial close must accrue only the day after the previous EOD snapshot");
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AssertDecimal(remainingNotional, result.TdInterestPrincipal,
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"The close-day snapshot must carry the remaining principal into the next EOD");
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AssertDecimal(1.64m, result.RealizedInterest,
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"Realized interest must include the previous and current settlements");
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Assert.AreEqual(previousEodDate, service.LastInterestCalculationEodPosition.ValueDate,
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"The previous EOD ValueDate must be preserved for accrual boundaries");
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Assert.AreEqual(previousEod.id, service.LastInterestCalculationEodPosition.id,
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"The previous EOD identity must not be reset to a new position");
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}
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[TestMethod]
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public void DI_AUTO_SETTLEMENT_005_AutoSettlementKeepsRemainingPrincipal()
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{
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const decimal originalNotional = 10012.35m;
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const decimal remainingNotional = 5006.17m;
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const decimal rate = 0.0299m;
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var settlementDate = new DateTime(2026, 7, 14);
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var service = new StubEodPositionService();
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var td = CreateTrade();
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td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "01",
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestRateDefault = rate;
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position.InterestSwapInterval = null;
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var previousEod = CreatePreEod(settlementDate.AddDays(-1), 2.460947197259m, 1.64m);
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previousEod.TdInterestPrincipal = remainingNotional;
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var staleAggregate = new eod_swap { NotionalValue = originalNotional };
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var result = service.ExecuteSaveAutoEodInterestPosition(
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previousEod, position, td, settlementDate,
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new IntervalModel { Date = settlementDate, Rate = rate, Settlement = 1 },
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staleAggregate, remainingNotional, originalNotional);
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AssertDecimal(2.87m, result.TdCloseInterest,
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"Automatic settlement must round the half-position interest to 2.87");
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AssertDecimal(remainingNotional, result.TdInterestPrincipal,
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"Automatic settlement must not restore the original principal from eod_swap");
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}
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[TestMethod]
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public void DI_AUTO_SETTLEMENT_006_CloseAndAutoSettlementOnlySettlesRemainder()
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{
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var settleDate = new DateTime(2026, 7, 16);
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var autoFlow = CreateAutoSwapFlowEvent(settleDate, 1.2345m);
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var service = new StubEodPositionService
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{
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AutoInterests = new List<swap_flow_event> { autoFlow }
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};
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var closeFlow = CreateSwapFlowEvent(settleDate, 0.50m);
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closeFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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var result = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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CreatePreEod(settleDate.AddDays(-1), 0m), CreateInterestPosition(), CreateTrade(),
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settleDate, new IntervalModel { Date = settleDate, Rate = FixedRate, Settlement = 1 },
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50m, 0m, new List<swap_flow_event> { closeFlow }, 50m, true);
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AssertDecimal(0.73m, autoFlow.InterestAmount,
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"Automatic settlement must deduct the 0.50 already settled by the close");
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AssertDecimal(0.73m, autoFlow.InterestClosePnL,
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"The automatic flow PnL must use the actual 2-decimal remainder");
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AssertDecimal(1.23m, result.TdCloseInterest,
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"EOD realized interest must include both manual and automatic settlements");
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AssertDecimal(0.0045m, result.InterestIncomeSum,
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"The high-precision total less actual settlements must remain unrealized");
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AssertDecimal(1.23m, result.RealizedInterest,
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"Cumulative realized interest must add the combined actual settlement once");
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}
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[TestMethod]
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public void DI_AUTO_SETTLEMENT_007_PayLegKeepsUnsignedSettlementAndAppliesDirectionOnce()
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{
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var settleDate = new DateTime(2026, 7, 16);
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var autoFlow = CreateAutoSwapFlowEvent(settleDate, 1.2345m);
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autoFlow.InterestDirection = (int)SwapDirectionEnum.支付;
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autoFlow.InterestClosePnL = -1.2345m;
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var service = new StubEodPositionService
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{
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AutoInterests = new List<swap_flow_event> { autoFlow }
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};
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var position = CreateInterestPosition();
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position.InterestDirection = (int)SwapDirectionEnum.支付;
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var closeFlow = CreateSwapFlowEvent(settleDate, 0.50m);
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closeFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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closeFlow.InterestDirection = (int)SwapDirectionEnum.支付;
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closeFlow.InterestClosePnL = -0.50m;
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var result = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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CreatePreEod(settleDate.AddDays(-1), 0m), position, CreateTrade(), settleDate,
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new IntervalModel { Date = settleDate, Rate = FixedRate, Settlement = 1 },
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50m, 0m, new List<swap_flow_event> { closeFlow }, 50m, true);
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AssertDecimal(0.73m, autoFlow.InterestAmount);
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AssertDecimal(-0.73m, autoFlow.InterestClosePnL);
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AssertDecimal(1.23m, result.TdCloseInterest,
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"TdCloseInterest follows the unsigned settlement convention used by other interest branches");
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AssertDecimal(0.0045m, result.InterestIncomeSum);
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AssertDecimal(-1.23m, result.RealizedInterest,
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"The pay direction must be applied exactly once when cumulative realized interest is stored");
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}
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[TestMethod]
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public void DI_AUTO_SETTLEMENT_008_MarginLegAppliesReversedDirectionOnce()
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{
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var settleDate = new DateTime(2026, 7, 16);
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var autoFlow = CreateAutoSwapFlowEvent(settleDate, 1.2345m);
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autoFlow.InterestMode = (int)InterestModeEnum.初始预付金;
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var service = new StubEodPositionService
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{
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AutoInterests = new List<swap_flow_event> { autoFlow }
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};
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var position = CreateInterestPosition();
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position.InterestMode = (int)InterestModeEnum.初始预付金;
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position.InterestPrincipalFix = 50m;
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var closeFlow = CreateSwapFlowEvent(settleDate, 0.50m);
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closeFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
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closeFlow.InterestMode = (int)InterestModeEnum.初始预付金;
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var result = service.ExecuteSaveAutoEodWithCloseInterestPosition(
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CreatePreEod(settleDate.AddDays(-1), 0m), position, CreateTrade(), settleDate,
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new IntervalModel { Date = settleDate, Rate = FixedRate, Settlement = 1 },
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50m, 0m, new List<swap_flow_event> { closeFlow }, 50m, true);
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AssertDecimal(0.73m, autoFlow.InterestAmount);
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AssertDecimal(0.73m, autoFlow.InterestClosePnL);
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AssertDecimal(1.23m, result.TdCloseInterest);
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AssertDecimal(0.0045m, result.InterestIncomeSum);
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AssertDecimal(-1.23m, result.RealizedInterest,
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"A received margin principal produces payable interest, so the margin ratio reverses once");
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}
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[TestMethod]
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public void DI_MANUAL_CLOSE_006_FinalCloseIncludesCloseDateInterest()
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{
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const decimal originalNotional = 10012.35m;
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const decimal remainingNotional = 5006.17m;
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const decimal rate = 0.0299m;
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const decimal pendingInterest = 0.411136145205m;
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const decimal expectedInterest = 0.821230619178m;
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var closeDate = new DateTime(2026, 7, 16);
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var service = new StubEodPositionService();
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var td = CreateTrade();
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td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "01",
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestRateDefault = rate;
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position.InterestSwapInterval = null;
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var previousEod = CreatePreEod(closeDate.AddDays(-1), pendingInterest, 4.51m);
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previousEod.TdInterestPrincipal = remainingNotional;
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var previousFloatingPosition = new eod_swap_position
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{
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PosiDirection = (int)SwapDirectionEnum.支付,
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PosiNotionalValue = remainingNotional
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};
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var previousAggregate = new eod_swap
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{
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NotionalValue = originalNotional,
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NotionalValueLong = remainingNotional
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};
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var orginPv = SwapDealService.ResolveUnwindPreviousNotional(
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previousAggregate, new List<eod_swap_position> { previousEod, previousFloatingPosition },
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remainingNotional);
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AssertDecimal(remainingNotional, SwapDealService.ResolveUnwindPreviousNotional(
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previousAggregate, Array.Empty<eod_swap_position>(), originalNotional),
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"Missing details must fall back to the aggregate directional notionals");
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AssertDecimal(remainingNotional, SwapDealService.ResolveUnwindPreviousNotional(
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null, null, remainingNotional),
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"Missing EOD data must fall back to the current notional");
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AssertDecimal(remainingNotional, SwapDealService.ResolveUnwindPreviousNotional(
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new eod_swap { NotionalValue = originalNotional }, Array.Empty<eod_swap_position>(),
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remainingNotional),
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"Zero directional notionals must not override a non-zero current remaining notional");
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var result = new SwapDealService(service).GetInterests(
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td, td.trade_extend, closeDate, closeDate,
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new List<eod_swap_position> { previousEod }, 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, orginPv,
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false, settment: false, newCalcLast: false, closeList: null).Single();
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AssertDecimal(remainingNotional, result.InterestPrincipal,
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"Final close must accrue on the remaining principal");
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AssertDecimal(expectedInterest, result.InterestAmount,
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"InterestCalcMode 01 must include the final close date");
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AssertDecimal(0.82m, Math.Round(result.InterestAmount, ConsGlobal.MoneyRound,
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MidpointRounding.AwayFromZero), "Final close cash interest must be 0.82");
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}
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/// <summary>
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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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@@ -565,7 +565,7 @@ namespace YLErp.Modules.SwapModule
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var posiShortNotionalValue = shortPositions.Sum(s => s.PosiNotionalValue);// 剩余名义本金
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var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue);
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var posiNotionalValue = stockEqvNotional * closePercent;//剩余名义本金
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var orginPv = lastEod != null ? lastEod.NotionalValue : stockEqvNotional;
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var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional);
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var grossPrice = realPostitions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice;
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var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId && x.UnwindDate == unwindDate && eventTypes.Contains(x.EventType) && x.DataState == (int)SwapFlowDateStateEnum.完成).ToList();
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bool tdClose = closeList.Count > 0;
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@@ -607,6 +607,29 @@ namespace YLErp.Modules.SwapModule
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}).ToList();
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}
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public static decimal ResolveUnwindPreviousNotional(
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eod_swap lastEod,
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IEnumerable<eod_swap_position> lastEodPositions,
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decimal currentNotional)
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{
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var floatingPositions = lastEodPositions?.Where(x => x.PosiDirection > 0).ToList();
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decimal previousNotional;
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if (floatingPositions?.Count > 0)
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{
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previousNotional = floatingPositions.Sum(x => x.PosiNotionalValue);
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}
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else
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{
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previousNotional = lastEod == null
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? currentNotional
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: Math.Abs(lastEod.NotionalValueLong) + Math.Abs(lastEod.NotionalValueShort);
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}
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return previousNotional == 0m && currentNotional != 0m
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? currentNotional
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: previousNotional;
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}
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/// <summary>
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/// 获取利息腿"已通过历史互换结出的累计利息"（用于复利重算时扣除，类比分红的 CalcConsumedDividend）。
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/// 数据源为事件级 swap_flow_event.InterestAmount（互换/自动互换 完成态事件，互换当时即落库，不依赖日终归档）。
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@@ -1161,13 +1161,7 @@ namespace YLErp.Modules.SwapModule
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}
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var tradeExtend = td.trade_extend.ExtendObj;
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decimal oriPosiNotionalValue = posiLongNotional + posiShortNational;
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decimal posiNotionalValue = oriPosiNotionalValue;
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bool longShort = td.StructureType == ClientMarginTypeEnum.多空组合.ToString();
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if (lastEodSwap != null)
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{
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posiNotionalValue = lastEodSwap.NotionalValue;
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}
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decimal posiNotionalValue = posiLongNotional + posiShortNational;
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decimal closePercent = 1;
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decimal ratio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;//收取为正，支付为负
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if (marginTypes.Contains(position.InterestMode))
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@@ -1293,10 +1287,11 @@ namespace YLErp.Modules.SwapModule
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var lastInterestFeeSum = eodPayPosition?.InterestFeeSum ?? 0m;
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var lastRealizedInterest = eodPayPosition?.RealizedInterest ?? 0m;
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var lastRealizedInterestFee = eodPayPosition?.RealizedInterestFee ?? 0m;
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eodPayPosition = new eod_swap_position();
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// 保留上一日日终标识和计息上下文，部分平仓只从 ValueDate 之后续算，不能重置到交易起始日。
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eodPayPosition = eodPayPosition?.Clone() ?? new eod_swap_position();
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eodPayPosition.ClientId = td.ClientId;
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eodPayPosition.SwapTradeId = td.id;
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// CalcSwapInterests 按 PositionId 查找上一日日终；id 仍保持 0，沿用盘中平仓的原有计息日期语义。
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// CalcSwapInterests 按 PositionId 匹配上一日日终。
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eodPayPosition.PositionId = position.id;
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eodPayPosition.PosiStartDate = td.StartDate.Value;
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eodPayPosition.PosiMatuirityDate = td.ExerciseDate.Value;
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@@ -1338,7 +1333,17 @@ namespace YLErp.Modules.SwapModule
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preEodPositions.Add(eodPayPosition);
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var interests = CalcSwapInterests(td, td.trade_extend, valueDate, valueDate, preEodPositions, positions, posiNotionalValue, posiLongNotional, posiShortNational, closeNational, 1, eventType, false, true, grossPrice, orginPv, true, settment: false, newCalcLast: true);
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decimal TdInterestAmount = interests.Sum(x => x.TdInterestAmount);
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decimal InterestAmount = interests.Sum(x => x.InterestAmount);
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decimal interestAmountBeforeSettlement = interests.Sum(x => x.InterestAmount);
|
||||
decimal manualSettledInterestAmount = flowEvents.Sum(x => x.InterestAmount);
|
||||
decimal autoSettledInterestAmount = 0m;
|
||||
if (autoSwap && interests.Count > 0)
|
||||
{
|
||||
autoSettledInterestAmount = RoundMoney(interestAmountBeforeSettlement - manualSettledInterestAmount);
|
||||
var autoInterest = interests[0];
|
||||
autoInterest.InterestAmount = autoSettledInterestAmount;
|
||||
autoInterest.InterestClosePnL = autoSettledInterestAmount
|
||||
* (autoInterest.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m);
|
||||
}
|
||||
newEodPayPosition.ValueDate = valueDate;
|
||||
newEodPayPosition.PositionId = position.id;
|
||||
UpdateDbOption(newEodPayPosition);
|
||||
@@ -1359,7 +1364,9 @@ namespace YLErp.Modules.SwapModule
|
||||
newEodPayPosition.interest_rest_days = position.interest_rest_days;
|
||||
newEodPayPosition.interest_rule = position.interest_rule;
|
||||
//利息端估值用信息
|
||||
newEodPayPosition.TdInterestPrincipal = interests.Count > 0 ? interests.First().InterestPrincipal : 0;
|
||||
newEodPayPosition.TdInterestPrincipal = position.InterestMode == (int)InterestModeEnum.标的期初全价
|
||||
? posiNotionalValue
|
||||
: interests.Count > 0 ? interests.First().InterestPrincipal : 0;
|
||||
if (interval != null)
|
||||
{
|
||||
newEodPayPosition.TdInterestRate = interval.Rate;
|
||||
@@ -1371,7 +1378,7 @@ namespace YLErp.Modules.SwapModule
|
||||
//当日已实现，平仓时已处理
|
||||
newEodPayPosition.TdInterestFee = flowEvents.Sum(s => s.InterestFee);
|
||||
newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
|
||||
newEodPayPosition.TdCloseInterest = flowEvents.Sum(s => s.InterestClosePnL);
|
||||
newEodPayPosition.TdCloseInterest = manualSettledInterestAmount + autoSettledInterestAmount;
|
||||
var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
|
||||
if (position.IsAnnualized)
|
||||
{
|
||||
@@ -1390,7 +1397,8 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
else
|
||||
{
|
||||
newEodPayPosition.InterestIncomeSum = InterestAmount;
|
||||
newEodPayPosition.InterestIncomeSum = RoundEodInterest(
|
||||
interestAmountBeforeSettlement - newEodPayPosition.TdCloseInterest);
|
||||
newEodPayPosition.InterestFeeSum = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee;
|
||||
}
|
||||
//持仓内容-利息腿-损益统计(本方视角）
|
||||
|
||||
Reference in New Issue
Block a user