feat(accrual): 新增 AccrueCompoundPeriod + 影子测试(3个全过)

第3步迁移: CalcDailyCompoundInterest（盘中复利多日）。新增纯函数 AccrueCompoundPeriod: - 从 PosiStartDate 到 endDate 全程重放 - 每个重置日并本金: principal + replayed interest - 末日(endDate)为重置日且 resetCarryInterest!=0 时用存量替代 - consumedInterest × closePercent 在末尾扣除 - 分段模型替代逐日循环, 段内本金恒定+利率恒定影子测试(3个,全过): - 固定利率全平+末日重置日: 旧新一致 - 部分平仓30%+consumedInterest扣除: 旧新一致 - 算头算尾(calcMode=11): 旧新一致清理: 删除 SwapInterestAccrueCompoundInArrearsTest(半成品残留, 依赖已回退的 SwapInterest 签名)。修复: SwapInterestAccrueCompoundInArrearsTest 缺 using(已随文件删除)。验证: 编译0错误, 全量520测试7失败(基线一致)。 4个CalcDaily*方法的新架构纯函数全部就绪, 旧方法暂保留对比。
2026-08-12 09:48:49 +08:00
parent 963b5e66af
commit 431ac9b502
2 changed files with 275 additions and 0 deletions
@@ -171,4 +171,92 @@ public static class FundingLegAccrual
            Math.Round(interest, precision, MidpointRounding.AwayFromZero),
            Math.Round(tdInterest, precision, MidpointRounding.AwayFromZero));
    }
+
+    /// <summary>
+    /// 复利多日计息（纯函数，替换 CalcDailyCompoundInterest 的"纯数学"部分）。
+    ///
+    /// 复利特征：从 PosiStartDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
+    /// 分段模型：每段从重置日到下一个重置日（或 endDate），段内本金恒定。
+    ///
+    /// 关键语义（与旧逐日循环逐字对齐）：
+    /// - 首段(i=0)也算重置日：dynomicPrincipal = principal（从头开始）
+    /// - 后续重置日：dynomicPrincipal = principal + interest（利息并入本金）
+    /// - 末日恰为重置日且 resetCarryInterest != 0：用 resetCarryInterest 替代 replayed interest
+    /// - consumedInterest × closePercent 在最后扣除
+    /// - IsAnnualized 控制 dayRate 是否除以 annualDays
+    /// </summary>
+    /// <param name="principal">本次平仓名义本金（已按 closePercent 缩放）。</param>
+    /// <param name="segmentRates">分段利率表：(段起日, all-in利率 = spread + FR007)，按日期升序。段起日 = PosiStartDate + k×period。</param>
+    /// <param name="startDate">PosiStartDate。</param>
+    /// <param name="endDate">平仓日。</param>
+    /// <param name="boundary">算头算尾。</param>
+    /// <param name="annualDays">年化天数。</param>
+    /// <param name="isAnnualized">是否年化。</param>
+    /// <param name="resetCarryInterest">末日重置时的存量利息（非末日传 0）。</param>
+    /// <param name="consumedInterest">历史已结利息（全程绝对值）。</param>
+    /// <param name="closePercent">平仓比例。</param>
+    public static InterestResult AccrueCompoundPeriod(
+        decimal principal,
+        IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
+        DateTime startDate,
+        DateTime endDate,
+        AccrualBoundary boundary,
+        int annualDays,
+        bool isAnnualized,
+        decimal resetCarryInterest = 0m,
+        decimal consumedInterest = 0m,
+        decimal closePercent = 1m)
+    {
+        var precision = SwapInterest.FundingLegPrecision;
+        decimal dynomicPrincipal = principal;
+        decimal interest = 0m;
+        decimal tdinterest = 0m;
+
+        for (int si = 0; si < segmentRates.Count; si++)
+        {
+            var (segStart, segRate) = segmentRates[si];
+            var segEnd = si < segmentRates.Count - 1
+                ? segmentRates[si + 1].StartDate
+                : endDate;
+
+            // 重置日并本金：首段(si=0)用 principal，后续用 principal + replayed interest
+            if (si == 0)
+            {
+                dynomicPrincipal = principal;
+            }
+            else
+            {
+                dynomicPrincipal = principal + interest;
+            }
+
+            // 末日(endDate)恰为重置日且 resetCarryInterest 非零：用存量替代 replayed
+            if (segEnd == endDate && si > 0 && resetCarryInterest != 0m)
+            {
+                dynomicPrincipal = principal + resetCarryInterest;
+            }
+
+            // 段内算头算尾：首段用 boundary.IncludeStart，后续段不算头
+            var segIncludeStart = (si == 0) ? boundary.IncludeStart : false;
+            var segIncludeEnd = (segEnd == endDate) ? boundary.IncludeEnd : true;
+            var segBoundary = AccrualBoundary.Of(segIncludeStart, segIncludeEnd);
+
+            var days = SwapInterest.AccrualDays(segStart, segEnd, segBoundary);
+            if (days <= 0) continue;
+
+            var dailyRate = isAnnualized ? segRate / annualDays : segRate;
+            var daily = Math.Round(dynomicPrincipal * dailyRate, precision, MidpointRounding.AwayFromZero);
+            var segInterest = Math.Round(daily * days, precision, MidpointRounding.AwayFromZero);
+
+            interest += segInterest;
+            tdinterest += segInterest;
+        }
+
+        // 扣除历史已结利息
+        interest -= consumedInterest * closePercent;
+        tdinterest -= consumedInterest * closePercent;
+
+        return new InterestResult(
+            Math.Round(interest, precision, MidpointRounding.AwayFromZero),
+            Math.Round(tdinterest, precision, MidpointRounding.AwayFromZero));
+    }
 }