fix(swap): 修复重置日期利息计算逻辑
- 修正了 calcLast=false 时重置日取价被跳过的问题 - 确保重置日之前的复利能够正确并入本金 - 调整了计息日判断逻辑的位置以保证本金重置正常执行 - 修复了重置日当天利息不应被计入的逻辑错误
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张名锐
@@ -369,6 +369,67 @@ namespace YLErp.Modules.SwapModule
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Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateNew) < 0.0001m,
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$"平仓日=重置日时 FloatRate 应={rateNew}（取到新利率）。" +
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$"实际={result.FloatRate}，若={rateOld} 说明 calcLast=false 跳过了重置日取价（GLMS-JIATT-20260805 根因）");
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var interestBeforeResetDate = Principal * (FixedRate + (decimal)rateOld) * 7m / AnnualDays;
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AssertDecimal(Principal + interestBeforeResetDate, result.InterestPrincipal,
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"calcLast=false 的重置日仍应将前 7 天复利并入本金");
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AssertDecimal(interestBeforeResetDate, result.InterestAmount,
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"calcLast=false 不应计入重置日当天利息");
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}
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[TestMethod]
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public void CI_008_ResetDayPartialCloseCarriesRemainingInterestIntoPrincipal()
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{
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const decimal previousPrincipal = 50061728.39m;
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const decimal remainingPrincipal = 30037037.04m;
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const decimal previousInterest = 7425.050203320057m;
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const decimal fixedRate = 0.001234m;
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const double oldFloatRate = 0.0123;
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const double newFloatRate = 0.0213;
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var startDate = new DateTime(2026, 7, 28);
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var resetDate = new DateTime(2026, 8, 4);
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var service = new StubSwapDealService(
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new OptUserInfo(0, nameof(ConsumedInterestScenarioTest), OptUserFrom.UnitTest),
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d => d >= resetDate ? newFloatRate : oldFloatRate);
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var td = CreateTrade();
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td.StartDate = startDate;
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td.TradeDate = startDate;
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var position = new swap_position
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{
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id = 1001, SwapTradeId = td.id,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestType = (int)InterestTypeEnum.复利,
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InterestRateDefault = fixedRate,
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PosiStartDate = startDate, PosiMatuirityDate = ExerciseDate,
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IsAnnualized = true, interest_rest_days = 7, 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 = ExerciseDate, Rate = fixedRate, Settlement = 0 }
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})
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};
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var preEod = new eod_swap_position
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{
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id = 1, PositionId = position.id, ValueDate = resetDate.AddDays(-1),
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TdInterestPrincipal = previousPrincipal,
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InterestIncomeSum = previousInterest,
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InterestProfitSum = previousInterest,
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FloatRate = (decimal)oldFloatRate
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};
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var result = service.GetInterests(td, td.trade_extend, resetDate, resetDate,
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new List<eod_swap_position> { preEod }, new List<swap_position> { position },
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remainingPrincipal, remainingPrincipal, 0m, remainingPrincipal, 1m,
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(int)SwapEventTypeEnum.平仓, true, false, 0m, remainingPrincipal,
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add: false, settment: false, newCalcLast: false).Single();
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var remainingInterest = previousInterest * remainingPrincipal / previousPrincipal;
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var expectedPrincipal = remainingPrincipal + remainingInterest;
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var expectedDailyInterest = expectedPrincipal * (fixedRate + (decimal)newFloatRate) / AnnualDays;
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AssertDecimal(expectedPrincipal, result.InterestPrincipal);
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AssertDecimal(expectedDailyInterest,
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result.InterestPrincipal * (result.InterestRate + result.FloatRate.Value) / AnnualDays);
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}
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}
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}
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@@ -1205,7 +1205,14 @@ namespace YLErp.Modules.SwapModule
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var floateRate = preEodPosition.FloatRate;
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if (position.InterestType == (int)InterestTypeEnum.复利)
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{
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CalcDailyCompoundInterest( endDate, position, closePosiNotionalValue, interest, annualDays, needPrice, floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount, consumedInterest);
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var remainingPercent = preEodPosition.TdInterestPrincipal > 0m
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? closePosiNotionalValue / preEodPosition.TdInterestPrincipal
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: 1m;
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remainingPercent = Math.Max(0m, Math.Min(1m, remainingPercent));
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var resetCarryInterest = preEodPosition.InterestIncomeSum * remainingPercent;
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CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue, interest, annualDays, needPrice,
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floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount,
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consumedInterest, resetCarryInterest);
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}
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else
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{
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@@ -1233,7 +1240,7 @@ namespace YLErp.Modules.SwapModule
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/// <param name="isAnnualized">是否年化</param>
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/// <param name="annualDays">年化天数</param>
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/// <returns></returns>
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public void CalcDailyCompoundInterest( DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
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public void CalcDailyCompoundInterest(DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m)
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{
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var startDate = position.PosiStartDate;
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decimal interestProfitSum = 0;
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@@ -1265,15 +1272,14 @@ namespace YLErp.Modules.SwapModule
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throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fr007RateDate:yyyy年MM月dd日}的价格");
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}
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}
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if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
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if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾（只跳过计息，取价已在上方完成）
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if (accrueDate >= startDate)
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{
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if (i % interestPeriod == 0)
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{
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// 复利时：利息并入本金（FR007 取价已提前到 calcFirst/calcLast 跳过之前完成）
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dynomicPrincipal = principal + interest;
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tdDynomicPrincipal = principal + interest;
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var interestToReset = i == 0 || resetCarryInterest == 0m ? interest : resetCarryInterest;
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dynomicPrincipal = principal + interestToReset;
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tdDynomicPrincipal = principal + interestToReset;
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flowEvent.InterestPrincipal = tdDynomicPrincipal;
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TdInterestPrincipal = tdDynomicPrincipal;
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}
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@@ -1283,6 +1289,11 @@ namespace YLErp.Modules.SwapModule
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flowEvent.InterestPrincipal = tdDynomicPrincipal;
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TdInterestPrincipal = tdDynomicPrincipal;
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}
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}
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if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
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if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾（只跳过计息，重置本金已在上方完成）
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if (accrueDate >= startDate)
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{
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flowEvent.FloatRate = Convert.ToDecimal(floatRate);
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var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
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var tdinterest1 = TdInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
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@@ -1391,7 +1402,11 @@ namespace YLErp.Modules.SwapModule
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var days = (endDate - tradeDate).Days;
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if (days % interestPeriod == 0)
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{
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tdDynomicPrincipal = tdDynomicPrincipal + interestProfitSum;
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var remainingPercent = preEodPosition.TdInterestPrincipal > 0m
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? principal / preEodPosition.TdInterestPrincipal
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: 1m;
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remainingPercent = Math.Max(0m, Math.Min(1m, remainingPercent));
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tdDynomicPrincipal = tdDynomicPrincipal + interestProfitSum * remainingPercent;
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if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
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{
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// 获取合适的 rateDate
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