diff --git a/UnitTestProject/Modules/SwapModule/DealInterestsScenarioTest.cs b/UnitTestProject/Modules/SwapModule/DealInterestsScenarioTest.cs index c5a79f9f..42a9efec 100644 --- a/UnitTestProject/Modules/SwapModule/DealInterestsScenarioTest.cs +++ b/UnitTestProject/Modules/SwapModule/DealInterestsScenarioTest.cs @@ -1447,6 +1447,164 @@ namespace YLErp.Modules.SwapModule } + [TestMethod] + public void DI_GLMS_20260421_0005_EodPartialCloseUsesRemainingCompoundAccrualWhenCalcLastFalse() + { + const decimal originalNotional = 303139117.8m; + const decimal partialNotional = 90941735.34m; + const decimal remainingNotional = 212197382.46m; + const decimal spread = 0.0025m; + var partialCloseDate = new DateTime(2026, 5, 11); + var finalCloseDate = new DateTime(2026, 5, 19); + var td = new trade + { + id = 1828, + TradeNumber = "GLMS-20260421-0005", + ClientId = 999998, + TradeType = "收益互换", + TradeDate = new DateTime(2026, 4, 21), + StartDate = new DateTime(2026, 4, 21), + ExerciseDate = finalCloseDate, + TradeStatus = "确认成交", + ValidState = "Valid", + StructureType = "单标的", + QuoteCurrency = "CNY", + SettlementCurrency = "CNY", + trade_extend = new trade_extend + { + TradeId = 1828, + ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson + { + AnnualDays = AnnualDays, + InterestCalcMode = "10", + SettlementRules = 0 + }) + } + }; + var position = new swap_position + { + id = 18281, + SwapTradeId = td.id, + PositionType = (int)PositionTypeFlag.Unknown, + InterestDirection = (int)SwapDirectionEnum.收取, + InterestMode = (int)InterestModeEnum.合约名义本金规模, + InterestRateDefault = spread, + InterestPrincipalFix = originalNotional, + PosiStartDate = td.StartDate.Value, + PosiMatuirityDate = finalCloseDate, + IsInitial = true, + Invalid = false, + InterestType = (int)InterestTypeEnum.复利, + IsAnnualized = true, + interest_rest_days = 7, + interest_rule = 0, + FloatRateUnderlyingCode = "FR007", + InterestSwapInterval = JsonConvert.SerializeObject(new List + { + new IntervalModel { Date = finalCloseDate, Rate = spread, Settlement = 0 } + }) + }; + var dealService = new StubCompoundSwapDealService(new Dictionary + { + [new DateTime(2026, 4, 21)] = 0.0132, + [new DateTime(2026, 4, 28)] = 0.0136, + [new DateTime(2026, 4, 30)] = 0.0139, + [new DateTime(2026, 5, 4)] = 0.0139, + [new DateTime(2026, 5, 5)] = 0.0139, + [new DateTime(2026, 5, 6)] = 0.0136, + [new DateTime(2026, 5, 11)] = 0.0134, + [new DateTime(2026, 5, 12)] = 0.013, + [new DateTime(2026, 5, 13)] = 0.0129, + [new DateTime(2026, 5, 19)] = 0.0131 + }); + var eodService = new StubEodPositionService { DealService = dealService }; + var previousEod = new eod_swap_position + { + id = 18282, + SwapTradeId = td.id, + PositionId = position.id, + ValueDate = new DateTime(2026, 5, 10), + InterestDirection = position.InterestDirection, + InterestMode = position.InterestMode, + InterestType = position.InterestType, + InterestRateDefault = spread, + InterestIncomeSum = 266674.349853521170m, + InterestProfitSum = 266674.349853521170m, + TdInterestPrincipal = 303324019.318344137434m, + PosiNotionalValue = originalNotional, + FloatRate = 0.0139m, + IsAnnualized = true, + interest_rest_days = 7, + interest_rule = 0 + }; + var partialCloseFlow = new swap_flow_event + { + SwapTradeId = td.id, + PositionId = position.id, + EventType = (int)SwapFlowEventTypeEnum.平仓, + EventDate = partialCloseDate, + UnwindDate = partialCloseDate, + InterestDirection = position.InterestDirection, + InterestRate = spread, + InterestPrincipal = partialNotional, + InterestAmount = 80002.30m, + InterestClosePnL = 80002.30m, + DataState = (int)SwapFlowDateStateEnum.完成 + }; + + var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition( + previousEod, position, td, partialCloseDate, null, remainingNotional, 0m, + new List { partialCloseFlow }, partialNotional, false); + + AssertDecimal(9540.163676094769m, partialEod.TdInterestIncome, + "0005 计算不算尾时，部分平仓日终新增复利必须按剩余70%本金计提"); + AssertDecimal(196212.213529615939m, partialEod.InterestIncomeSum, + "0005 部分平仓后日终待实现复利必须扣除实际80002.30结算"); + + var intermediateDate = new DateTime(2026, 5, 18); + var intermediateInterest = dealService.GetInterests( + td, td.trade_extend, intermediateDate, intermediateDate, + new List { partialEod }, new List { position }, + remainingNotional, remainingNotional, 0m, remainingNotional, 1m, + (int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional, + settment: false, newCalcLast: true).Single(); + Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m, + $"0005 5/18 复利应承接部分平仓后的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}"); + + var intermediateEod = partialEod.Clone(); + intermediateEod.id = 18283; + intermediateEod.ValueDate = intermediateDate; + intermediateEod.InterestIncomeSum = intermediateInterest.InterestAmount; + intermediateEod.InterestProfitSum = intermediateInterest.InterestAmount; + intermediateEod.TdInterestPrincipal = remainingNotional; + intermediateEod.PosiNotionalValue = remainingNotional; + + var expectedEndFlow = new swap_flow_event { InterestRate = spread }; + decimal expectedAmountAtEnd = 0m; + decimal expectedTdAmountAtEnd = 0m; + dealService.CalcDailyCompoundInterest( + finalCloseDate, position, remainingNotional, expectedEndFlow, AnnualDays, false, + intermediateEod.FloatRate, 1m, originalNotional, true, false, + ref expectedAmountAtEnd, ref expectedTdAmountAtEnd); + var expectedPreviousFlow = new swap_flow_event { InterestRate = spread }; + decimal expectedAmountAtPreviousEod = 0m; + decimal expectedTdAmountAtPreviousEod = 0m; + dealService.CalcDailyCompoundInterest( + intermediateDate, position, remainingNotional, expectedPreviousFlow, AnnualDays, false, + intermediateEod.FloatRate, 1m, originalNotional, true, true, + ref expectedAmountAtPreviousEod, ref expectedTdAmountAtPreviousEod); + var expectedFinalInterest = intermediateEod.InterestIncomeSum + + expectedAmountAtEnd - expectedAmountAtPreviousEod; + var finalInterest = dealService.GetInterests( + td, td.trade_extend, finalCloseDate, finalCloseDate, + new List { intermediateEod }, new List { position }, + remainingNotional, remainingNotional, 0m, remainingNotional, 1m, + (int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional, + settment: false, newCalcLast: false).Single(); + AssertDecimal(expectedFinalInterest, finalInterest.InterestAmount, + "0005 最终全平重放时，历史5/18终点必须包含当日利息后再做差额"); + } + [TestMethod] public void DI_GLMS_20260421_0006_FinalCloseCarriesPreviousEodInterest() { diff --git a/YLErpDAL/Modules/SwapModule/SwapDealService.cs b/YLErpDAL/Modules/SwapModule/SwapDealService.cs index 5598bc63..b39fe7de 100644 --- a/YLErpDAL/Modules/SwapModule/SwapDealService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapDealService.cs @@ -1249,9 +1249,11 @@ namespace YLErp.Modules.SwapModule var interestAtPreviousEod = new swap_flow_event { InterestRate = rate }; decimal amountAtPreviousEod = 0m; decimal tdAmountAtPreviousEod = 0m; + // The previous EOD is a historical endpoint, not the contract tail. + // Include that day's accrual even when the final contract date omits its tail. CalcDailyCompoundInterest(preEodPosition.ValueDate, position, closePosiNotionalValue, interestAtPreviousEod, annualDays, needPrice, floateRate, closePrecent, orginPv, - calcFirst, calcLast, ref amountAtPreviousEod, ref tdAmountAtPreviousEod, consumedInterest); + calcFirst, true, ref amountAtPreviousEod, ref tdAmountAtPreviousEod, consumedInterest); InterestAmount = preEodPosition.InterestIncomeSum + amountAtEnd - amountAtPreviousEod; TdInterestAmount = preEodPosition.InterestIncomeSum + tdAmountAtEnd - tdAmountAtPreviousEod; } diff --git a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs index deebf999..4d9b1b48 100644 --- a/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs +++ b/YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs @@ -1415,22 +1415,21 @@ namespace YLErp.Modules.SwapModule ? intersetAcmount : TdInterestAmount - lastInterestIncomeSum; if (!autoSwap - && calcLast && closePercent > 0m && closePercent < 1m && posiNotionalValue > 0m && position.InterestType == (int)InterestTypeEnum.复利 && position.InterestMode == (int)InterestModeEnum.合约名义本金规模) { - // 算尾的复利部分平仓：平仓金额只结算“上日待实现 * 平仓比例 - // + 已平本金当日利息”，但日终待实现必须按“上日待实现 - // + 平仓前全额本金当日利息 - 实际平仓结算”递推。 - // 通用路径的 intersetAcmount 此时基于已平本金：0007 只得到 30% 的 - // 4,088.64，会漏记剩余 70% 的 9,540.16；因此改用上日终全额复利本金， - // 得到当日总利息 13,628.81，剩余部分才能继续参与后续复利。 + // 部分平仓日终的当日新增复利要保留未平仓本金的贡献。 + // 算尾时用平仓前全额本金；不算尾时只保留剩余本金，避免把 + // 30% 已平仓部分的当日利息再次带入后续日终。 var fullPrincipal = lastTdInterestPrincipal > 0m ? lastTdInterestPrincipal : oriPosiNotionalValue; - newEodPayPosition.TdInterestIncome = fullPrincipal + var accrualPrincipal = calcLast + ? fullPrincipal + : fullPrincipal * (1m - closePercent); + newEodPayPosition.TdInterestIncome = accrualPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate); if (position.IsAnnualized) {