Merge branch 'glms/feature/1.4.2' into glms/feature/0812_zmr_divPower
# Conflicts: # YLErpDAL/Modules/EodModule/BondPaymentService.cs # YLErpDAL/Modules/SwapModule/SwapDealService.cs
This commit is contained in:
张名锐
@@ -65,6 +65,13 @@ namespace YLErp.DBModels
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[DisplayName("实际付息(兑付)日")]
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[Column("pay_date_act")]
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public DateTime? payment_date { get; set; }
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/// <summary>
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/// 债权登记日（除息/归属截止日）——票息归属按此判定，而非支付日
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/// </summary>
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[DisplayName("债权登记日")]
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[Column("reg_date")]
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public DateTime? reg_date { get; set; }
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/// <summary>
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/// 每张兑付利息额
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/// </summary>
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@@ -0,0 +1,32 @@
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using System.ComponentModel.DataAnnotations.Schema;
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namespace YLErp.DBModels
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{
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/// <summary>
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/// 客户黑名单审批及操作日志。
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/// </summary>
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[Table("client_blacklog")]
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public class ClientBlackLog
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{
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public long id { get; set; }
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public int ClientBlackId { get; set; }
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public string Changes { get; set; }
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public string OptType { get; set; }
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public string DataType { get; set; }
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public int OptId { get; set; }
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public string OptName { get; set; }
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public DateTime OptDate { get; set; }
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}
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[NotMapped]
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public class ClientBlackLogDto : ClientBlackLog
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{
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}
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}
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@@ -10,6 +10,13 @@ namespace YLErp.Model
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[Table("client_black")]
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public class client_black : DBModelWithOperator, IDataEntity, IDataTraceV2, IClonable<client_black>
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{
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public const string 未提交 = "未提交";
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public const string 新增审批中 = "新增审批中";
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public const string 新增已拒绝 = "新增已拒绝";
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public const string 已加入 = "已加入";
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public const string 删除审批中 = "删除审批中";
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public const string 删除已拒绝 = "删除已拒绝";
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/// <summary>
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/// 客户名称
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/// </summary>
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@@ -25,6 +32,26 @@ namespace YLErp.Model
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[DataChange]
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public string Remarks { get; set; }
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[DisplayName("提交审批时间")]
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public DateTime? ApprovalOptDate { get; set; }
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[DisplayName("提交审批人")]
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public string ApprovalOptName { get; set; }
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public int ApprovalProcess { get; set; }
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[DisplayName("状态")]
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public string State { get; set; } = "";
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[DisplayName("创建人")]
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public int? creator_id { get; set; }
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[DisplayName("创建人")]
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public string creator_name { get; set; }
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[DisplayName("创建时间")]
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public DateTime? creator_time { get; set; }
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public client_black Clone()
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{
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return (client_black)MemberwiseClone();
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@@ -205,7 +205,7 @@ namespace YLErp.DBModels
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[DataChange]
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public int InterestDirection { get; set; }
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/// <summary>
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/// 计息基本类型 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值,5：初始预付金，6：追加预付金
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/// 计息基本类型 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息基本类型")]
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[DataChange]
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@@ -149,6 +149,11 @@ namespace YLErp.DBModels
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/// </summary>
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public decimal ClosePercent { get; set; }
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/// <summary>
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/// 是否计罚息（EQD-6977）：提前终止平仓时利息端按持有至到期计息。默认 false=否。
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/// 由平仓页“是否罚息”下拉写入，经 GetUnwindInterests 透传至罚息接缝层。
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/// </summary>
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public bool IsPenaltyInterest { get; set; }
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/// <summary>
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/// 平仓名义本金
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/// </summary>
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public decimal CloseNotionalValue { get; set; }
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@@ -280,7 +280,7 @@ namespace YLErp.DBModels
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}
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}
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/// <summary>
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/// 计息方式 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值
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/// 计息方式 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息方式")]
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[DataChange]
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@@ -163,7 +163,7 @@ namespace YLErp.DBModels
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/// </summary>
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public string FloatRateUnderlyingCode { get; set; }
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/// <summary>
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/// 计息基本类型 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值,5：初始预付金，6：追加预付金
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/// 计息基本类型 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息基本类型")]
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[DataChange]
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@@ -89,6 +89,21 @@ namespace YLErp.DBModels
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/// </summary>
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public string InterestCalcMode { get; set; } = "11";
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/// <summary>算头：InterestCalcMode 首位为 1；null/缺省视为算头。收口原 GetInterests/InitInterestDate/EOD三处 StartsWith 解析。</summary>
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[JsonIgnore]
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public bool CalcFirst => InterestCalcMode?.StartsWith("1") ?? true;
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/// <summary>算尾：InterestCalcMode 末位为 1；null/缺省视为算尾（EQD-6968 取价依赖判定的核心开关之一）。</summary>
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[JsonIgnore]
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public bool CalcLast => InterestCalcMode?.EndsWith("1") ?? true;
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/// <summary>
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/// 是否罚息（EQD-6977）：提前终止平仓时利息端按持有至到期计息的簿记默认值。
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/// 平仓页默认带出此值、可修改，以平仓时选择为准（当次选择经 UnwindData.IsPenaltyInterest 走请求，不回写）。
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/// 存量 JSON 无此键 → 反序列化默认 false（"否"），零回填。
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/// </summary>
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public bool IsPenaltyInterest { get; set; }
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/// <summary>
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///多空组合浮动端 收取方向 1：收取，2：支付
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/// </summary>
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@@ -1,29 +0,0 @@
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namespace YLErp.Core.Interest;
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/// <summary>
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/// 计息执行上下文：把"与具体金额/利率无关"的横向参数（年化天数、精度、trace 收集器）
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/// 打包成一个<b>只读值对象</b>，避免每个计息方法都重复携带这些参数。
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///
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/// <para><b>为何 trace 是"成员"而非散落参数</b>：利息纯函数（AccrueSimple / AccrueCompoundInArrears）
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/// 的核心职责是算账，trace 只是可观测性的旁路。把 trace 作为上下文的成员传入，
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/// 调用点只需传一个 ctx，签名更干净；同时 ctx 是只读值对象，不破坏纯函数
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/// （无共享可变状态 → 线程安全、可重入、可测）。<b>切勿</b>把 trace 设成类的实例/静态字段，
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/// 那会让并发的两笔交易共用同一 trace、并使函数带隐藏状态。</para>
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///
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/// <para>与 AccrualState（跨日滚动本金状态）/ AccrualPolicy（EOD 会计政策）正交：
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/// 本上下文只描述"如何算 + 往哪记"，不持有任何交易进度。</para>
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/// </summary>
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public readonly struct AccrualContext
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{
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/// <summary>年化天数（365 / 360）。</summary>
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public int AnnualDays { get; }
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/// <summary>舍入精度位数。默认 11（保证金腿）；资金腿调用方应显式传 FundingLegPrecision=12。</summary>
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public int Precision { get; }
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/// <summary>可选 trace 收集器；为 null 时不记录（纯计算场景直接传 null，与开关无关）。</summary>
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public AccrualTrace? Trace { get; }
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public AccrualContext(int annualDays, int precision = 11, AccrualTrace? trace = null)
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=> (AnnualDays, Precision, Trace) = (annualDays, precision, trace);
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}
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@@ -1,89 +0,0 @@
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using YLErp.Derivatives.Interest;
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namespace YLErp.Core.Interest;
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/// <summary>
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/// 计息过程追踪收集器（值对象，非日志）。
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///
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/// <para><b>为什么是收集器而不是日志调用</b>：计息数学（SwapInterest / FundingLegAccrual）必须保持纯函数、
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/// 可单测、不依赖 NLog；但按工程铁律，关键路径日志须<b>无条件常驻落盘</b>（出问题时事后翻日志定位，不能依赖开关）。
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/// 折中：纯函数把"发生了什么"记录为结构化条目写入本收集器，由<b>适配器(IO 边界)</b>统一经
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/// <c>SwapCalcTrace.Write</c> 常驻落盘。落盘职责归一处，计息代码零日志依赖、保持干净。</para>
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///
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/// <para><b>可 diff</b>：<see cref="ToString"/> 产出稳定、有序、与 SwapCalcTrace.Day 对齐的逐行文本，
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/// 新旧引擎对同一笔交易跑出的 trace 可直接 diff，定位"是计算变了还是重构引入了漂移"。</para>
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///
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/// <para>所有记录方法均为语义化命名（Day / ResetBefore / Rollover …），调用点一眼即懂，不污染数学可读性。</para>
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/// </summary>
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public sealed class AccrualTrace
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{
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private readonly List<AccrualTraceEntry> _entries = new();
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/// <summary>已记录的追踪条目（只读）。</summary>
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public IReadOnlyList<AccrualTraceEntry> Entries => _entries;
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/// <summary>计息区间起点：标记本次计算的整体边界与年化口径。</summary>
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public void MarkStart(DateTime start, DateTime end, AccrualBoundary boundary, int annualDays, bool annualized)
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=> Add(AccrualTraceEvent.Start, start,
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$"START 区间[{start:yyyy-MM-dd},{end:yyyy-MM-dd}] {boundary} annualDays={annualDays} annualized={annualized}");
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/// <summary>逐日明细：当日生效利率、计息基数、当日利息、累计利息。这是"为何 accrued N 天而非 M 天"的直接证据。</summary>
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public void Day(int idx, DateTime date, decimal rate, decimal basePrincipal, decimal dayInterest, decimal accumulated)
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=> Add(AccrualTraceEvent.DayAccrual, date,
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$" [{idx}] {date:yyyy-MM-dd} rate={rate:P6} base={basePrincipal:F4} day={dayInterest:F6} acc={accumulated:F6}");
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/// <summary>分段明细（多日计息，按重置日分段）：段区间[segStart,segEnd)、天数、生效利率、计息基数、段利息、累计利息。
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/// 这是分段模型与旧逐日循环对账的核心证据——每段的"前后日期/基数/利率"一目了然。</summary>
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public void Segment(int idx, DateTime segStart, DateTime segEnd, int days, decimal rate, decimal basis, decimal segInterest, decimal accumulated)
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=> Add(AccrualTraceEvent.DayAccrual, segStart,
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$" [seg{idx}] [{segStart:yyyy-MM-dd},{segEnd:yyyy-MM-dd}) days={days} rate={rate:P6} basis={basis:F4} segInterest={segInterest:F6} acc={accumulated:F6}");
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/// <summary>EOD 上下文：计息日、重置日标志、平仓比例、基数各分量。供日终单日计息定位"重置日分支选对了吗"。</summary>
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public void EodContext(DateTime eodDate, bool isResetDay, decimal unwindFraction, decimal priorAccrued, decimal priorNotional, decimal notional, decimal remainingFraction)
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=> Add(AccrualTraceEvent.Start, eodDate,
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$" CTX {eodDate:yyyy-MM-dd} reset={isResetDay} unwind={unwindFraction:P2} priorAccrued={priorAccrued:F4} priorNotional={priorNotional:F4} notional={notional:F4} remainingFrac={remainingFraction:P4}");
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/// <summary>重置日<b>前</b>：生效利率(旧)与计息本金(滚动前)。利率/本金切换的"因"。</summary>
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public void ResetBefore(DateTime resetDate, decimal rateOld, decimal principalBefore)
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=> Add(AccrualTraceEvent.ResetBefore, resetDate,
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$" RESET↓ {resetDate:yyyy-MM-dd} rate(old)={rateOld:P6} principal(before)={principalBefore:F4}");
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/// <summary>重置日<b>后</b>：生效利率(新)与计息本金(滚动后，已并本金)。利率/本金切换的"果"。</summary>
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public void ResetAfter(DateTime resetDate, decimal rateNew, decimal principalAfter)
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=> Add(AccrualTraceEvent.ResetAfter, resetDate,
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$" RESET↑ {resetDate:yyyy-MM-dd} rate(new)={rateNew:P6} principal(after)={principalAfter:F4}");
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/// <summary>本金增加（利息滚入计息基数）：复利段末并本金的瞬间，记录滚入额与并本金后的新基数。</summary>
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public void Rollover(DateTime resetDate, decimal accruedRolled, decimal newBasis)
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=> Add(AccrualTraceEvent.Rollover, resetDate,
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$" ROLLOVER {resetDate:yyyy-MM-dd} accrued(rolled)={accruedRolled:F6} newBasis={newBasis:F4}");
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/// <summary>平仓缩放：平仓比例、累计已实现、剩余未实现。</summary>
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public void Unwind(DateTime date, decimal unwindPercent, decimal realized, decimal remainingUnrealized)
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=> Add(AccrualTraceEvent.Unwind, date,
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$" UNWIND {date:yyyy-MM-dd} pct={unwindPercent:P2} realized={realized:F6} remaining={remainingUnrealized:F6}");
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/// <summary>收尾：最终累计利息与当日利息。</summary>
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public void MarkEnd(decimal totalAccrued, decimal totalToday)
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=> Add(AccrualTraceEvent.End, default,
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$"END accrued={totalAccrued:F6} today={totalToday:F6}");
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private void Add(AccrualTraceEvent step, DateTime date, string line)
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=> _entries.Add(new AccrualTraceEntry(step, date, line));
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/// <summary>稳定可 diff 的逐行文本（与 SwapCalcTrace.Day 格式对齐）。</summary>
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public override string ToString()
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=> _entries.Count == 0 ? "<empty trace>" : string.Join(Environment.NewLine, _entries.Select(e => e.Line));
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}
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/// <summary>追踪条目的语义类别（对应 QuantLib/Strata 的"事件"概念），便于程序化筛选（如"只看重置日"）。</summary>
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public enum AccrualTraceEvent
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{
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||||
Start, DayAccrual, ResetBefore, ResetAfter, Rollover, Unwind, End
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||||
}
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||||
|
||||
/// <summary>单条追踪记录：类别 + 日期 + 已渲染文本。</summary>
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||||
public readonly record struct AccrualTraceEntry(AccrualTraceEvent Step, DateTime Date, string Line);
|
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@@ -1,71 +0,0 @@
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using System;
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||||
|
||||
namespace YLErp.Core.Interest;
|
||||
|
||||
/// <summary>
|
||||
/// 利率 + 计息方式（单利 / 复利 / 连续复利）。
|
||||
///
|
||||
/// <para><b>通用金融原语，与互换、衍生品、任何具体业务均无耦合</b>——谁需要算利息都能用。
|
||||
/// 利息计算不是互换特有的，所以它不住在 SwapModule，也不带任何 swap 词汇。</para>
|
||||
///
|
||||
/// <para>用法（年化时间 t，如 30天/365）：</para>
|
||||
/// <list type="bullet">
|
||||
/// <item><description>计息因子 = <see cref="CompoundFactor(decimal)"/>；含息额 = 本金 × 因子；</description></item>
|
||||
/// <item><description>利息 = 本金 × (因子 − 1) = <see cref="Interest(decimal, decimal)"/>。</description></item>
|
||||
/// </list>
|
||||
///
|
||||
/// <para>与 QuantLib 模型一致：单利 / 复利 / 连续复利只是 <see cref="Compounding"/> 的一个分支，
|
||||
/// 不是三套独立方法。TRS 的"重置日并本金"属于离散复利，用 <see cref="Compounding.Simple"/>
|
||||
/// 按段计息、段末把利息滚入本金即可（见 SwapInterest.AccrueCompoundInArrears），无需 Pow/Exp，decimal 精度无损。</para>
|
||||
///
|
||||
/// <para>互换特有的会计态（每日先舍入再乘天数、平仓缩放、跨日滚动本金）不属于本原语，
|
||||
/// 请在各自的 accrual 层处理。</para>
|
||||
/// </summary>
|
||||
public enum Compounding
|
||||
{
|
||||
/// <summary>单利：因子 = 1 + r·t。</summary>
|
||||
Simple,
|
||||
/// <summary>复利（理想化闭式）：因子 = (1 + r/f)^(f·t)，f 为年复利频次。</summary>
|
||||
Compounded,
|
||||
/// <summary>连续复利：因子 = e^(r·t)。</summary>
|
||||
Continuous
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 不可变利率值对象。构造即完整，无副作用。
|
||||
/// </summary>
|
||||
public readonly struct InterestRate
|
||||
{
|
||||
/// <summary>年化利率 r。</summary>
|
||||
public decimal Rate { get; }
|
||||
|
||||
/// <summary>计息方式。</summary>
|
||||
public Compounding Compounding { get; }
|
||||
|
||||
/// <summary>年复利频次（仅 <see cref="Compounding.Compounded"/> 使用，其余忽略，默认 1）。</summary>
|
||||
public int Frequency { get; }
|
||||
|
||||
public InterestRate(decimal rate, Compounding compounding, int frequency = 1)
|
||||
=> (Rate, Compounding, Frequency) = (rate, compounding, frequency);
|
||||
|
||||
/// <summary>
|
||||
/// 计息因子（输入年化时间 t）。
|
||||
/// <list type="bullet">
|
||||
/// <item><description><see cref="Compounding.Simple"/>：decimal 精确运算。</description></item>
|
||||
/// <item><description><see cref="Compounding.Compounded"/> / <see cref="Compounding.Continuous"/>：闭式（double 计算后回 decimal），
|
||||
/// 满足通用定价 / 保证金场景；若要 decimal 精度的离散重置日复利，请用 Simple 按段计息并滚动本金。</description></item>
|
||||
/// </list>
|
||||
/// </summary>
|
||||
public decimal CompoundFactor(decimal t)
|
||||
=> Compounding switch
|
||||
{
|
||||
Compounding.Simple => 1m + Rate * t,
|
||||
Compounding.Compounded => (decimal)Math.Pow((double)(1m + Rate / Frequency), (double)(Frequency * t)),
|
||||
Compounding.Continuous => (decimal)Math.Exp((double)(Rate * t)),
|
||||
_ => throw new ArgumentOutOfRangeException(nameof(Compounding))
|
||||
};
|
||||
|
||||
/// <summary>利息 = 本金 × (因子 − 1)。</summary>
|
||||
public decimal Interest(decimal principal, decimal t)
|
||||
=> principal * (CompoundFactor(t) - 1m);
|
||||
}
|
||||
@@ -1,291 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using YLErp.Core.Interest;
|
||||
|
||||
namespace YLErp.Derivatives.Interest;
|
||||
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
// 词汇表（本文件只允许出现下列用词，同一概念不得出现第二种叫法）
|
||||
//
|
||||
// 概念 唯一用词 与既有代码的对应
|
||||
// ───────────────────────────────────────────────────────────────────
|
||||
// 区间起点/终点 Start / End startDate / endDate
|
||||
// 计息 Accrue CalcDailySimpleInterest / CalcDailyCompoundInterest
|
||||
// 平仓 Unwind unwindPercent（既有字段 closePercent）
|
||||
// 已实现利息 Realized realizedInterest（legacy 字段 consumedInterest）
|
||||
// 待实现收益 Unrealized 预付金模式下的待实现收益余额
|
||||
// 计息基数 principal principal / dynomicPrincipal
|
||||
// 年化天数 annualDays tradeExtend.ExtendObj.AnnualDays
|
||||
//
|
||||
// 入参一律沿用既有代码的字段名，调用点两边读起来同名，不产生心智翻译成本。
|
||||
// 出参改用自描述名（Accrued / AccruedToday），因为 "Td" 对新读者是黑话。
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
|
||||
/// <summary>
|
||||
/// 计息区间边界（算头 / 算尾）。
|
||||
/// 用具名值取代两个相邻 bool，物理上杜绝 calcFirst / calcLast 传反这一类历史缺陷。
|
||||
/// </summary>
|
||||
public readonly struct AccrualBoundary
|
||||
{
|
||||
/// <summary>算头：含 startDate。</summary>
|
||||
public bool IncludeStart { get; }
|
||||
|
||||
/// <summary>算尾：含 endDate。</summary>
|
||||
public bool IncludeEnd { get; }
|
||||
|
||||
private AccrualBoundary(bool includeStart, bool includeEnd)
|
||||
=> (IncludeStart, IncludeEnd) = (includeStart, includeEnd);
|
||||
|
||||
/// <summary>算头算尾 [start, end]。</summary>
|
||||
public static readonly AccrualBoundary Both = new(true, true);
|
||||
|
||||
/// <summary>算头不算尾 [start, end)。</summary>
|
||||
public static readonly AccrualBoundary StartOnly = new(true, false);
|
||||
|
||||
/// <summary>不算头算尾 (start, end]。</summary>
|
||||
public static readonly AccrualBoundary EndOnly = new(false, true);
|
||||
|
||||
/// <summary>不算头不算尾 (start, end)。</summary>
|
||||
public static readonly AccrualBoundary None = new(false, false);
|
||||
|
||||
/// <summary>由既有 calcFirst / calcLast 布尔对构造，供旧调用方渐进迁移。</summary>
|
||||
public static AccrualBoundary Of(bool includeStart, bool includeEnd) => new(includeStart, includeEnd);
|
||||
|
||||
public override string ToString()
|
||||
=> $"{(IncludeStart ? "算头" : "不算头")}{(IncludeEnd ? "算尾" : "不算尾")}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计息结果。Accrued → 记账字段 InterestAmount / InterestProfitSum；AccruedToday → TdInterestAmount。
|
||||
/// </summary>
|
||||
public readonly struct InterestResult
|
||||
{
|
||||
/// <summary>区间累计应计利息。</summary>
|
||||
public decimal Accrued { get; }
|
||||
|
||||
/// <summary>末日（当日）应计利息。</summary>
|
||||
public decimal AccruedToday { get; }
|
||||
|
||||
public InterestResult(decimal accrued, decimal accruedToday)
|
||||
=> (Accrued, AccruedToday) = (accrued, accruedToday);
|
||||
|
||||
public static readonly InterestResult Zero = new(0m, 0m);
|
||||
|
||||
public override string ToString() => $"Accrued={Accrued}, AccruedToday={AccruedToday}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 收益互换（TRS）利息腿计算——纯函数。
|
||||
///
|
||||
/// <para><b>层级关系</b>：计息数学（单利/复利/连续复利）是通用金融原语，已抽到
|
||||
/// <see cref="InterestRate"/>（<c>YLErp.Core.Interest</c>，与互换无关，谁都能用）。
|
||||
/// 本类只负责 TRS 特有的<b>会计态</b>：每日先舍入再乘天数的对账口径、平仓缩放、
|
||||
/// 跨日滚动本金、预付金/授信模式——这些不是"利率数学"，不应塞进通用原语。</para>
|
||||
///
|
||||
/// <para>设计约束：
|
||||
/// 1. 无副作用——不读写 flowEvent、不取利率、不连库、不碰任何共享可变状态；
|
||||
/// 2. 同 input → 同 output，结果仅通过返回值流出；
|
||||
/// 3. 正交轴（算头算尾 / 单利复利 / 平仓 / 待实现收益）各自独立，互不耦合；
|
||||
/// 4. 调用方负责「取利率 + 构造日期区间 + 落库」，本类只算账。
|
||||
/// 由此，corp action 调整价格 / 数量时只需把新的 principal 与 rate 喂入，计息逻辑一行不动。</para>
|
||||
///
|
||||
/// <para>领域口径：本系统利息腿是单边融资腿，任一时点只有一个生效利率（见 SwapDealService 的
|
||||
/// floateRate 单一入参），<b>不存在</b> IRS 那种 fixedRate − floatingRate 轧差；
|
||||
/// 权益腿盈亏与平仓费用属三腿汇总层，不在本类职责内。</para>
|
||||
///
|
||||
/// <para>TRS 的"复利"是<b>离散重置日复利</b>：按重置日切段，每段用 <see cref="InterestRate.Simple"/>
|
||||
/// 计息、段末把利息滚入本金——本质就是单利按段叠加，decimal 精度无损，无需 Pow/Exp
|
||||
/// （见 <see cref="AccrueCompoundInArrears"/>）。所以本类不另立复利方法，计息只有一种，区别在于"是否滚动本金"。</para>
|
||||
///
|
||||
/// 为何不复用 Qdp 的 IDayCount：
|
||||
/// a. 语义——Qdp 的 DaysInPeriod = end − start 是写死的半开区间，只能表达四种算头算尾中的一种；
|
||||
/// b. 精度——Qdp 返回 double 年化系数，本系统 decimal 且日息先 Round 再乘天数，
|
||||
/// Round(P*r/365, 11) * n ≠ P*r*(n/365)，与 Excel 对账口径不同；
|
||||
/// c. 依赖方向——Qdp 用自有 Date 类型，引入会让 YLErp.Core 反向依赖定价库。
|
||||
/// </summary>
|
||||
public static class SwapInterest
|
||||
{
|
||||
/// <summary>系统统一价格精度位数（保证金腿）。</summary>
|
||||
public const int Precision = 11;
|
||||
|
||||
/// <summary>资金腿计息精度（生产口径）。资金腿所有落库/对账均以 12 位为准，
|
||||
/// 与保证金腿的 Precision=11 不同。提升至公共常量，消除 SwapDealService 与 FundingLegAccrual 的重复定义。</summary>
|
||||
public const int FundingLegPrecision = 12;
|
||||
|
||||
/// <summary>年化天数常量（合约字段存的是 int，故不用 enum）。</summary>
|
||||
public const int Act365 = 365;
|
||||
|
||||
public const int Act360 = 360;
|
||||
|
||||
/// <summary>应计天数。边界规则由日期区间表达，计息函数内不再出现 flag 分支。</summary>
|
||||
public static int AccrualDays(DateTime startDate, DateTime endDate, AccrualBoundary boundary)
|
||||
{
|
||||
var s = boundary.IncludeStart ? startDate : startDate.AddDays(1);
|
||||
var e = boundary.IncludeEnd ? endDate : endDate.AddDays(-1);
|
||||
var days = (int)(e - s).TotalDays + 1; // 含两端
|
||||
return days < 0 ? 0 : days;
|
||||
}
|
||||
|
||||
/// <summary>把 TRS 年化利率收敛为通用利率原语。
|
||||
/// TRS 计息按段均为单利——离散重置日复利靠"段末把利息滚入本金"实现，不引入 Compounded 闭式。</summary>
|
||||
public static InterestRate ToInterestRate(decimal annualRate)
|
||||
=> new(annualRate, Compounding.Simple);
|
||||
|
||||
/// <summary>单利：计息基数固定，每日利息相同，无逐日循环。</summary>
|
||||
public static InterestResult AccrueSimple(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
decimal rate,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary)
|
||||
{
|
||||
var days = AccrualDays(startDate, endDate, boundary);
|
||||
var daily = Round(principal * rate / ctx.AnnualDays, ctx.Precision);
|
||||
return new InterestResult(Round(daily * days, ctx.Precision), daily);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 离散重置日<b>复利（compounded-in-arrears）</b>：按重置日切段，段间把累计利息并入计息基数（滚动本金）。
|
||||
/// 每段计息即 <see cref="ToInterestRate"/> 得到的 <see cref="InterestRate.Simple"/>（无逐日循环）；
|
||||
/// 重置日是唯一并本金的地方。复利与单利只有"是否滚动本金"这一个区别。
|
||||
///
|
||||
/// <para>此模型即 OIS / SOFR / FR007 的 <b>compounded-in-arrears</b>：每个子区间取一次定盘 rᵢ、增长因子
|
||||
/// 1 + rᵢ·yfᵢ，段末把 accrued 折进下一期本金——比闭式 <see cref="InterestRate.Compounding.Compounded"/>
|
||||
/// 更贴合 FR007 约定且 decimal 无损。<b>注意：它<b>不是</b> InterestRate 的 Compounded 闭式分支（TRS 下该分支为死路径）。</para>
|
||||
///
|
||||
/// <para>每段可有<b>独立利率</b>（FR007 浮动逐段不同），由适配器按段取定盘后封装为
|
||||
/// <paramref name="resetSchedule"/> 传入——取价永远在编排层，原语只吃一个数（与 QuantLib/Strata 同范）。
|
||||
/// <paramref name="resetSchedule"/> 必须含一条 <c>ResetDate ≤ startDate</c> 的起始利率。</para>
|
||||
///
|
||||
/// <para>trace：经 <see cref="AccrualContext.Trace"/> 发射 Start / ResetBefore·ResetAfter(利率切换时) /
|
||||
/// Rollover(段末并本金) / End，完整记录"重置日前后、利率切换、本金增加前后"。纯函数保持无日志依赖。</para>
|
||||
/// </summary>
|
||||
/// <param name="resetSchedule">重置日 → 该段生效利率（段起点 = 重置日）。</param>
|
||||
public static InterestResult AccrueCompoundInArrears(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
IReadOnlyList<(DateTime ResetDate, decimal Rate)> resetSchedule,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary)
|
||||
{
|
||||
var trace = ctx.Trace;
|
||||
trace?.MarkStart(startDate, endDate, boundary, ctx.AnnualDays, annualized: false);
|
||||
|
||||
var basis = principal;
|
||||
decimal accrued = 0m, accruedToday = 0m;
|
||||
|
||||
var segEnds = (resetSchedule ?? Array.Empty<(DateTime, decimal)>())
|
||||
.Select(s => s.ResetDate)
|
||||
.Where(d => d > startDate && d < endDate)
|
||||
.OrderBy(d => d)
|
||||
.Append(endDate)
|
||||
.ToArray();
|
||||
|
||||
// 段起点生效利率：取"不晚于该段起点"的最近一次重置利率。
|
||||
decimal RateAt(DateTime segStart)
|
||||
=> (resetSchedule ?? Array.Empty<(DateTime, decimal)>())
|
||||
.Where(s => s.ResetDate <= segStart)
|
||||
.OrderByDescending(s => s.ResetDate)
|
||||
.Select(s => s.Rate)
|
||||
.FirstOrDefault();
|
||||
|
||||
var segStart = startDate;
|
||||
var segIncludeStart = boundary.IncludeStart;
|
||||
var prevRate = RateAt(startDate);
|
||||
|
||||
foreach (var segEnd in segEnds)
|
||||
{
|
||||
var segRate = RateAt(segStart);
|
||||
var rateSwitched = segStart != startDate && segRate != prevRate;
|
||||
if (rateSwitched) trace?.ResetBefore(segStart, prevRate, basis);
|
||||
|
||||
var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
|
||||
var seg = AccrueSimple(ctx, basis, segRate, segStart, segEnd, segBoundary);
|
||||
|
||||
accrued += seg.Accrued;
|
||||
accruedToday = seg.AccruedToday;
|
||||
var newBasis = basis + seg.Accrued; // 仅在重置日并本金
|
||||
// 重置日本身不动本金：RESET↑ 的本金应是"重置边界基数"(basis)，与 RESET↓ 一致；
|
||||
// 段末并本金后的 newBasis 由下方的 ROLLOVER 单独表达，避免重复/误导。
|
||||
if (rateSwitched) trace?.ResetAfter(segStart, segRate, basis);
|
||||
|
||||
trace?.Rollover(segEnd, seg.Accrued, newBasis);
|
||||
basis = newBasis;
|
||||
prevRate = segRate;
|
||||
segStart = segEnd;
|
||||
segIncludeStart = false; // 后续段不算头
|
||||
}
|
||||
|
||||
var result = new InterestResult(accrued, accruedToday);
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 固定利率复利便捷重载（每段同一 rate），向后兼容旧调用方。
|
||||
/// 内部把 resetDates 展平为"每段同率"的 schedule 后委托主方法。
|
||||
/// </summary>
|
||||
public static InterestResult AccrueCompoundInArrears(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
decimal rate,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary,
|
||||
IReadOnlyList<DateTime>? resetDates = null)
|
||||
{
|
||||
var schedule = new List<(DateTime, decimal)> { (startDate, rate) };
|
||||
if (resetDates != null)
|
||||
foreach (var d in resetDates)
|
||||
if (d > startDate && d < endDate)
|
||||
schedule.Add((d, rate));
|
||||
return AccrueCompoundInArrears(ctx, principal, schedule, startDate, endDate, boundary);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 平仓（Unwind）缩放——全仓唯一缩放点，物理上杜绝 unwindPercent 被重复相乘。
|
||||
/// 全平即 unwindPercent = 1，不另设方法。
|
||||
///
|
||||
/// 已实现 / 未实现边界：传入的 <paramref name="accrued"/> 是平仓前仍「未实现（unrealized）」的
|
||||
/// 累计应计利息；本方法按比例缩放后返回「平仓后剩余未实现」部分，并扣除历史累计「已实现（realized）」
|
||||
/// 的 <paramref name="realizedInterest"/>。被平仓比例 unwindPercent 对应的那一份 accrued，
|
||||
/// 即在此刻「实现（realized）」，由调用方记入 realizedInterest。
|
||||
/// </summary>
|
||||
/// <param name="accrued">平仓前累计应计利息（未实现）。</param>
|
||||
/// <param name="unwindPercent">
|
||||
/// 平仓比例（0~1，实为 ratio 非百分数）。
|
||||
/// 对应既有字段 closePercent；分母口径必须与传入 <paramref name="accrued"/> 所依据的持仓数量一致——
|
||||
/// 是「本次计算依据的持仓」而非「初始建仓」，历史缺陷正来自这个歧义。
|
||||
/// </param>
|
||||
/// <param name="realizedInterest">已实现利息累计（legacy 字段 consumedInterest）：历史各次 unwind 已确认、应从剩余未实现中扣除的部分。</param>
|
||||
/// <param name="precision">舍入精度。⚠️ 默认 11（Precision），资金腿务必显式传 <see cref="FundingLegPrecision"/>=12。</param>
|
||||
public static InterestResult ApplyUnwind(
|
||||
InterestResult accrued,
|
||||
decimal unwindPercent,
|
||||
decimal realizedInterest = 0m,
|
||||
int precision = Precision)
|
||||
{
|
||||
var remaining = 1m - unwindPercent;
|
||||
return new InterestResult(
|
||||
Round(accrued.Accrued * remaining - realizedInterest, precision),
|
||||
Round(accrued.AccruedToday * remaining, precision));
|
||||
}
|
||||
|
||||
/// <summary>待实现收益余额滚动（预付金 / 授信模式）。</summary>
|
||||
/// <param name="openingUnrealized">上期待实现收益余额。</param>
|
||||
/// <param name="todayIncome">本期新增。</param>
|
||||
/// <param name="unwindDeduction">本期 unwind 应扣减（即本期实现的份额）。</param>
|
||||
public static decimal AccrueUnrealized(
|
||||
decimal openingUnrealized,
|
||||
decimal todayIncome,
|
||||
decimal unwindDeduction,
|
||||
int precision = Precision)
|
||||
=> Round(openingUnrealized + todayIncome - unwindDeduction, precision);
|
||||
|
||||
/// <summary>统一舍入：MidpointRounding.AwayFromZero。所有计息路径收口到此处，避免散落的 Math.Round 不一致。</summary>
|
||||
public static decimal Round(decimal value, int precision)
|
||||
=> Math.Round(value, precision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
Reference in New Issue
Block a user