diff --git a/YLErpDAL/Modules/SwapModule/SwapDealService.cs b/YLErpDAL/Modules/SwapModule/SwapDealService.cs
index f720dd8a..b7c87cbd 100644
--- a/YLErpDAL/Modules/SwapModule/SwapDealService.cs
+++ b/YLErpDAL/Modules/SwapModule/SwapDealService.cs
@@ -644,6 +644,8 @@ namespace YLErp.Modules.SwapModule
var annualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
bool calcFirst = tradeExtend?.ExtendObj.InterestCalcMode?.StartsWith("1") ?? true;
bool calcLast = tradeExtend?.ExtendObj.InterestCalcMode.EndsWith("1") ?? true;
+ // 计息到尾日(含平仓场景覆盖)：交易本身算尾 或 本次平仓指定算尾(newCalcLast)
+ bool effectiveCalcLast = calcLast || newCalcLast;
foreach (var position in positions)
{
// 初始化持仓信息
@@ -668,7 +670,7 @@ namespace YLErp.Modules.SwapModule
// 保证金腿: 计息基数 = InterestPrincipalFix(保证金余额)，无融资腿差分公式与 orginPv 维度 hack
interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate,
position.InterestPrincipalFix * closePrecent, position.InterestPrincipalFix,
- closePrecent, annualDays, calcFirst, calcLast || newCalcLast, preEodPosition, eventType, add, settment, swap));
+ closePrecent, annualDays, calcFirst, effectiveCalcLast, preEodPosition, eventType, add, settment, swap));
continue;
}
@@ -695,7 +697,7 @@ namespace YLErp.Modules.SwapModule
closePrincipal = closePosiNotionalValue;
}
- decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone, calcLast || newCalcLast);
+ decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone, effectiveCalcLast);
// 根据场景计算利息
if (settment)
@@ -712,7 +714,7 @@ namespace YLErp.Modules.SwapModule
: 0m;
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal,
closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst,
- calcLast || newCalcLast, consumedInterest));
+ effectiveCalcLast, consumedInterest));
}
}
//当日有平仓或互换记录时，避免重复结算
@@ -732,7 +734,7 @@ namespace YLErp.Modules.SwapModule
item.InterestClosePnL = 0;
}
}
- else if (!calcLast && !newCalcLast)
+ else if (!effectiveCalcLast)
{
// 平仓不算尾：扣除已结算的利息（算尾时利息已包含关闭日，无重叠）
var closePnl = closeEvent.Sum(s => s.InterestClosePnL);
@@ -868,12 +870,13 @@ namespace YLErp.Modules.SwapModule
}
if (!swap)
{
- // EQD-6968：不算尾时平仓日 FR007 缺失不拦截（该日利率不参与计息），回退期初定盘；算尾(calcLast=true)仍抛(正确依赖)。
- if (!calcLast && IndexFixer.TryGetFixing(IndexFixerBase.GetFixingDate(startDate, position.interest_rule), position.FloatRateUnderlyingCode, out decimal fb))
+ // EQD-6968：算尾(calcLast=true)时结算日 FR007 必须落表，缺失即依赖报错(既有正确行为)；
+ // 不算尾(calcLast=false)时结算日 FR007 不强制，缺失则回退期初定盘，避免上午未发布误拦平仓。
+ if (calcLast)
+ throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{rateDate:yyyy年MM月dd日}的价格");
+ if (IndexFixer.TryGetFixing(IndexFixerBase.GetFixingDate(startDate, position.interest_rule), position.FloatRateUnderlyingCode, out decimal fb))
return fb;
- if (!calcLast)
- return position.FloatRate;
- throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{rateDate:yyyy年MM月dd日}的价格");
+ return position.FloatRate;
}
return 0m;
}
@@ -1257,7 +1260,7 @@ namespace YLErp.Modules.SwapModule
// 计算截至本次平仓日的累计利息 amountAtEnd
CalcDailyCompoundInterest(replayEndDate, position, closePosiNotionalValue,
interestAtEnd, annualDays, floateRate, closePrecent,
- calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest, exclusionEndDate: endDate);
+ calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest, relaxedFixingFromDate: endDate);
var interestAtPreviousEod = new swap_flow_event { InterestRate = rate };
decimal amountAtPreviousEod = 0m;
decimal tdAmountAtPreviousEod = 0m;
@@ -1311,7 +1314,7 @@ namespace YLErp.Modules.SwapModule
private (List<(DateTime StartDate, decimal Rate)> Segments, decimal LastFloat) BuildSegmentRates(
DateTime startDate, DateTime endDate, int interestPeriod,
swap_position position, decimal spread, decimal initialFloat,
- DateTime? fetchAfterDate, bool includeEnd = true, DateTime? exclusionEndDate = null)
+ DateTime? fetchAfterDate, bool calcLast = true, DateTime? relaxedFixingFromDate = null)
{
var rates = new List<(DateTime, decimal)>();
var calcDays = (endDate - startDate).Days;
@@ -1320,12 +1323,13 @@ namespace YLErp.Modules.SwapModule
{
var resetDate = startDate.AddDays(i);
bool needFetch = (fetchAfterDate == null || resetDate > fetchAfterDate.Value);
- // EQD-6968：不算尾(includeEnd=false)的排除日(真实平仓日)重置——优先取新利率(满足 GLMS-JIATT-20260805
- // 重置日=平仓日用新利率)，缺失则沿用上一重置日利率(该日利率不参与计息)，不抛异常以免上午 FR007 未发布误拦平仓。
- bool isExcludedEnd = !includeEnd && resetDate >= (exclusionEndDate ?? endDate);
+ // EQD-6968：不算尾(calcLast=false)时，从真实平仓日(relaxedFixingFromDate，缺省取 endDate)起的重置
+ // 优先取新利率(满足 GLMS-JIATT-20260805 重置日=平仓日用新利率)；缺失则沿用上一重置利率，
+ // 不抛异常，以免上午 FR007 未发布误拦平仓。算尾(calcLast=true)时尾日定盘照常强制。
+ bool relaxEndFixing = !calcLast && resetDate >= (relaxedFixingFromDate ?? endDate);
if (needFetch)
{
- if (!isExcludedEnd)
+ if (!relaxEndFixing)
{
currentFloat = ResolveFloatRate(position, resetDate, currentFloat);
}
@@ -1355,16 +1359,17 @@ namespace YLErp.Modules.SwapModule
///
public void CalcDailyCompoundInterest(DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent,
int annualDays, decimal floateRate, decimal closePercent, bool calcFirst, bool calcLast,
- ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m, DateTime? exclusionEndDate = null)
+ ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m, DateTime? relaxedFixingFromDate = null)
{
var startDate = position.PosiStartDate;
int interestPeriod = position.interest_rest_days ?? 1;
// 分段取率：复利全程重放，每个重置日(含 startDate)取 FR007（fetchAfterDate=null）。
- // EQD-6968：includeEnd 透传 calcLast，与下方 AccruePeriod 的边界同源，避免两处漂移。
+ // EQD-6968：calcLast 透传，与下方 AccruePeriod 的边界同源，避免两处漂移；
+ // relaxedFixingFromDate 仅重放补计不算尾漏计利息时非 null(=真实平仓日)，锚定尾日定盘放松点。
var (segmentRates, currentFloat) = BuildSegmentRates(
startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
- fetchAfterDate: null, includeEnd: calcLast, exclusionEndDate: exclusionEndDate);
+ fetchAfterDate: null, calcLast: calcLast, relaxedFixingFromDate: relaxedFixingFromDate);
// 纯函数复利计息：分段重置日并本金 + resetCarryInterest + 扣 consumedInterest
var interestTrace = new AccrualTrace();
@@ -1394,7 +1399,7 @@ namespace YLErp.Modules.SwapModule
///
/// 计算单利 盘中（按重置天数分段，每段使用对应浮动利率）
///
- public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, DateTime? exclusionEndDate = null)
+ public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, DateTime? relaxedFixingFromDate = null)
{
var startDate = position.PosiStartDate;
int interestPeriod = position.interest_rest_days ?? 1;
@@ -1404,10 +1409,10 @@ namespace YLErp.Modules.SwapModule
var accrualBasis = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
// 分段取率：仅 ValueDate 之后的重置日才取 FR007（fetchAfterDate=ValueDate）。
- // EQD-6968：includeEnd 透传 calcLast，与下方 AccruePeriod 的边界同源，避免两处漂移。
+ // EQD-6968：calcLast 透传，与下方 AccruePeriod 的边界同源，避免两处漂移。
var (segmentRates, currentFloat) = BuildSegmentRates(
startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
- fetchAfterDate: preEodPosition.ValueDate, includeEnd: calcLast, exclusionEndDate: exclusionEndDate);
+ fetchAfterDate: preEodPosition.ValueDate, calcLast: calcLast, relaxedFixingFromDate: relaxedFixingFromDate);
// 纯函数计息：Accrued=缩放累计(InterestAmount)，AccruedToday=未缩放累计(TdInterestAmount)
var interestTrace = new AccrualTrace();