fix(swap): 修复部分平仓后复利计算问题(算头不算尾合约复利)
- 当calcLast为false时，部分平仓日终新增复利使用剩余本金计算 - 修复最终全平仓时历史终点利息计算逻辑 - 添加测试用例验证部分平仓后复利计算准确性 - 修正日终待实现利息累加时的历史终点处理方式 - 调整复利部分平仓金额计算方式，确保未平仓部分正确参与后续计算
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张名锐
@@ -1447,6 +1447,164 @@ namespace YLErp.Modules.SwapModule
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}
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[TestMethod]
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public void DI_GLMS_20260421_0005_EodPartialCloseUsesRemainingCompoundAccrualWhenCalcLastFalse()
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{
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const decimal originalNotional = 303139117.8m;
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const decimal partialNotional = 90941735.34m;
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const decimal remainingNotional = 212197382.46m;
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const decimal spread = 0.0025m;
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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 td = new trade
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{
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id = 1828,
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TradeNumber = "GLMS-20260421-0005",
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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 = new DateTime(2026, 4, 21),
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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 = 1828,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10",
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SettlementRules = 0
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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 = 18281,
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SwapTradeId = td.id,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.合约名义本金规模,
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InterestRateDefault = spread,
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InterestPrincipalFix = originalNotional,
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PosiStartDate = td.StartDate.Value,
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PosiMatuirityDate = finalCloseDate,
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IsInitial = true,
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Invalid = false,
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InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true,
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interest_rest_days = 7,
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interest_rule = 0,
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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 = spread, Settlement = 0 }
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})
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};
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var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 28)] = 0.0136,
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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, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.013,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 19)] = 0.0131
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});
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var eodService = new StubEodPositionService { DealService = dealService };
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var previousEod = new eod_swap_position
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{
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id = 18282,
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SwapTradeId = td.id,
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PositionId = position.id,
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ValueDate = new DateTime(2026, 5, 10),
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InterestDirection = position.InterestDirection,
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InterestMode = position.InterestMode,
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InterestType = position.InterestType,
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InterestRateDefault = spread,
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InterestIncomeSum = 266674.349853521170m,
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InterestProfitSum = 266674.349853521170m,
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TdInterestPrincipal = 303324019.318344137434m,
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PosiNotionalValue = originalNotional,
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FloatRate = 0.0139m,
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IsAnnualized = true,
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interest_rest_days = 7,
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interest_rule = 0
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};
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var partialCloseFlow = new swap_flow_event
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{
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SwapTradeId = td.id,
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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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InterestRate = spread,
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InterestPrincipal = partialNotional,
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InterestAmount = 80002.30m,
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InterestClosePnL = 80002.30m,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
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previousEod, position, td, partialCloseDate, null, remainingNotional, 0m,
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new List<swap_flow_event> { partialCloseFlow }, partialNotional, false);
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AssertDecimal(9540.163676094769m, partialEod.TdInterestIncome,
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"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");
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AssertDecimal(196212.213529615939m, partialEod.InterestIncomeSum,
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"0005 部分平仓后日终待实现复利必须扣除实际80002.30结算");
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var intermediateDate = new DateTime(2026, 5, 18);
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var intermediateInterest = dealService.GetInterests(
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td, td.trade_extend, intermediateDate, intermediateDate,
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new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
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settment: false, newCalcLast: true).Single();
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Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
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$"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}");
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var intermediateEod = partialEod.Clone();
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intermediateEod.id = 18283;
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intermediateEod.ValueDate = intermediateDate;
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intermediateEod.InterestIncomeSum = intermediateInterest.InterestAmount;
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intermediateEod.InterestProfitSum = intermediateInterest.InterestAmount;
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intermediateEod.TdInterestPrincipal = remainingNotional;
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intermediateEod.PosiNotionalValue = remainingNotional;
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var expectedEndFlow = new swap_flow_event { InterestRate = spread };
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decimal expectedAmountAtEnd = 0m;
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decimal expectedTdAmountAtEnd = 0m;
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dealService.CalcDailyCompoundInterest(
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finalCloseDate, position, remainingNotional, expectedEndFlow, AnnualDays, false,
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intermediateEod.FloatRate, 1m, originalNotional, true, false,
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ref expectedAmountAtEnd, ref expectedTdAmountAtEnd);
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var expectedPreviousFlow = new swap_flow_event { InterestRate = spread };
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decimal expectedAmountAtPreviousEod = 0m;
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decimal expectedTdAmountAtPreviousEod = 0m;
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dealService.CalcDailyCompoundInterest(
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intermediateDate, position, remainingNotional, expectedPreviousFlow, AnnualDays, false,
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intermediateEod.FloatRate, 1m, originalNotional, true, true,
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ref expectedAmountAtPreviousEod, ref expectedTdAmountAtPreviousEod);
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var expectedFinalInterest = intermediateEod.InterestIncomeSum
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+ expectedAmountAtEnd - expectedAmountAtPreviousEod;
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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> { intermediateEod }, new List<swap_position> { position },
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remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
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settment: false, newCalcLast: false).Single();
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AssertDecimal(expectedFinalInterest, finalInterest.InterestAmount,
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"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");
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}
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[TestMethod]
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public void DI_GLMS_20260421_0006_FinalCloseCarriesPreviousEodInterest()
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{
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