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refactor(accrual): 提取ResolveFloatRate收口FR007定盘逻辑

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EOD单日取率(CompoundEod/SimpleEod)与intraday多日取率(BuildSegmentRates)
原各有一份相同的GetFixingDate+TryGetFixing+throw逻辑(~8行/处,3处共24行)。

提取为私有 ResolveFloatRate(position, date, fallback):
- 无浮动标的返回fallback; 取到非零fixing返回fixing; 取不到抛异常
- EOD: isResetDay ? ResolveFloatRate(...) : floateRate (1行替代12行)
- BuildSegmentRates: 循环内直接调用(1行替代8行)

净减~15行, FR007定盘逻辑收口到一处
SwapModule零回归(7基线/510通过)
This commit is contained in:
hjhan
2026-08-12 13:37:40 +08:00
parent c86633479d
commit 57156feec1
1 changed files with 18 additions and 40 deletions
Download Patch File Download Diff File Expand all files Collapse all files
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+18 -40
View File
@@ -1326,6 +1326,19 @@ namespace YLErp.Modules.SwapModule
return interest;
}
/// <summary>
/// 按 interest_rule 取 FR007 定盘价。无浮动标的时返回 fallback；取不到抛异常。
/// EOD 单日取率 + BuildSegmentRates 多日取率共用此方法，FR007 定盘逻辑收口到一处。
/// </summary>
private decimal ResolveFloatRate(swap_position position, DateTime date, decimal fallback)
{
if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode)) return fallback;
var fixingDate = IndexFixerBase.GetFixingDate(date, position.interest_rule);
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
return fixing != 0m ? fixing : fallback;
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
}
/// <summary>
/// 按重置周期切分利率段，每段记录 all-in 利率(spread+fixing)。返回 (分段列表, 末段浮动利率)。
/// fetchAfterDate: 仅该日期之后的重置日才取 FR007（单利传 ValueDate，复利传 null 全程取）。
@@ -1341,19 +1354,8 @@ namespace YLErp.Modules.SwapModule
for (int i = 0; i <= calcDays; i += interestPeriod)
{
var resetDate = startDate.AddDays(i);
if ((fetchAfterDate == null || resetDate > fetchAfterDate.Value)
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fixingDate = IndexFixerBase.GetFixingDate(resetDate, position.interest_rule);
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
{
if (fixing != 0m) currentFloat = fixing;
}
else
{
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
}
}
if (fetchAfterDate == null || resetDate > fetchAfterDate.Value)
currentFloat = ResolveFloatRate(position, resetDate, currentFloat);
rates.Add((resetDate, spread + currentFloat));
}
return (rates, currentFloat);
@@ -1467,19 +1469,7 @@ namespace YLErp.Modules.SwapModule
// 重置日按 interest_rule 重新定盘浮动利率（GLMS-JIATT-20260805 根因——
// 重置日=平仓日必须用新利率，否则沿用旧周期利率并污染后续 EOD）。非重置日沿用 floateRate。
decimal effectiveFloat = floateRate;
if (isResetDay && !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fixingDate = IndexFixerBase.GetFixingDate(endDate, position.interest_rule);
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
{
if (fixing != 0m) effectiveFloat = fixing;
}
else
{
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
}
}
var effectiveFloat = isResetDay ? ResolveFloatRate(position, endDate, floateRate) : floateRate;
flowEvent.FloatRate = effectiveFloat;
// remainingFraction：重置日把上一日终待实现利息按本次平仓基数分摊（EOD 全量为 1）。
@@ -1537,21 +1527,9 @@ namespace YLErp.Modules.SwapModule
// 取率：重置日按 interest_rule 重新定盘浮动利率（GLMS-JIATT-20260805 根因——
// 重置日=平仓日必须用新利率，否则沿用旧周期利率并污染后续 EOD）。
decimal effectiveFloat = floateRate;
int interestPeriod = position.interest_rest_days ?? 1;
if ((endDate - tradeDate).Days % interestPeriod == 0
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
{
var fixingDate = IndexFixerBase.GetFixingDate(endDate, position.interest_rule);
if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
{
if (fixing != 0m) effectiveFloat = fixing;
}
else
{
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
}
}
var isResetDay = (endDate - tradeDate).Days % interestPeriod == 0;
var effectiveFloat = isResetDay ? ResolveFloatRate(position, endDate, floateRate) : floateRate;
flowEvent.FloatRate = effectiveFloat;