fix(swap): 复利重置日=平仓日时 calcLast 不再跳过 FR007 取价
根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(算头不算尾,calcLast=false)时， CalcDailyCompoundInterest 循环的 'if(!calcLast && accrueDate==endDate) continue' 会跳过平仓日。若平仓日恰好是重置日(i%period==0)，取价代码块被一并跳过， 导致 flowEvent.FloatRate 落库为旧周期利率，传染后续 EOD 复利计算。 修复：把重置日的 FR007 取价提前到 calcFirst/calcLast 跳过判断之前—— calcLast 只应跳过'计息'，不应跳过'重置日利率取价'。同时循环外用最终 floatRate 兜底赋值 flowEvent.FloatRate，确保落库值反映最后重置日的利率。 验证： - CI_007 合成测试(平仓日=重置日)：修复前 FloatRate=旧值(FAIL)，修复后=新值(PASS) - 连库验证(GLMS-JIATT-20260805 8/4平仓)：FloatRate 0.0123→0.0213(8/3新值) - 利息金额不变(calcLast 不计当天利息，Amount 不受影响，只修正 FloatRate 字段) - 全套 swap 测试无新增回归(334通过，2失败均为pre-existing单利/EOD路径) 附：CI_007 复现测试 + GLMS20260805 FR007/EOD 诊断工具 + 文档 longRatio 状态更新
This commit is contained in:
hjhan
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using System.Diagnostics;
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using YLErp.BLL;
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using YLErp.DBModels;
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namespace YLErp.Modules.EodModule
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{
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/// <summary>
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/// FR007 UnderlyingId 错挂诊断（连 96 测试库）—— GLMS-20260701 同类事故复发排查
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/// ============================================================================
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/// 背景：EodPriceUnderlyingIdGuardTest 记录的事故——
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/// FR007 价格行 UnderlyingCode='FR007' 但 UnderlyingId 被错写成
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/// 511160.SH(2173889)/159111.SZ(2173890)，正确应为 FR007 的 2170838。
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/// 网页端按 UnderlyingId(int) JOIN underlying_manager 把 FR007 行误挂到别的标的（显示正常）；
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/// EOD 结算按 UnderlyingCode(string 'FR007') JOIN 查不到 → "结算价格缺失 / 没用上"。
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///
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/// 本测试连真实库，回答用户问题："是不是又关联到错误标的了？"
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/// 1) 查 underlying_manager 里 FR007 的正确 id
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/// 2) 查 eod_commodity_future_price 里所有 UnderlyingCode='FR007' 的行，看 UnderlyingId 是否=正确 id
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/// 3) 对比"网页端查询(UnderlyingId JOIN)" vs "EOD 查询(UnderlyingCode JOIN)" 是否一致
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/// 4) 核对最近 N 天的 FR007 行是否错挂（复发判定）
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///
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/// 用法：本地连 96 库跑 Diagnose_FR007_UnderlyingIdMismatch；连不上库自动 Inconclusive。
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/// </summary>
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[TestClass]
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public class GLMS20260805FR007UnderlyingIdDiagnoseTest
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{
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/// <summary>
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/// 诊断 FR007 价格行的 UnderlyingId 是否错挂（GLMS-20260701 同类复发判定）
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/// </summary>
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void Diagnose_FR007_UnderlyingIdMismatch()
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{
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
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// ---- 1. 查 underlying_manager 里 FR007 的正确 id（权威定义）----
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var fr007Underlying = db.underlying_manager
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.Where(a => a.UnderlyingCode == "FR007")
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.Select(a => new { a.id, a.UnderlyingCode, a.UnderlyingName })
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.ToList();
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Console.WriteLine("===== 1. underlying_manager 里 FR007 的定义 =====");
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if (fr007Underlying.Count == 0)
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{
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Console.WriteLine(" ⚠⚠ underlying_manager 无 UnderlyingCode='FR007' 的记录！");
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Console.WriteLine(" → 这是致命问题：EOD 按 UnderlyingCode 查 FR007 必然查不到（结算价格缺失）");
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}
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foreach (var u in fr007Underlying)
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{
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Console.WriteLine($" id={u.id} Code={u.UnderlyingCode} Name={u.UnderlyingName} ← 这是 FR007 的正确 UnderlyingId");
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}
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int? fr007CorrectId = fr007Underlying.FirstOrDefault()?.id;
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Console.WriteLine();
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// ---- 2. 查 eod_commodity_future_price 里所有 FR007 行，看 UnderlyingId 是否错挂 ----
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var fr007PriceRows = db.eod_commodity_future_price
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.Where(a => a.UnderlyingCode == "FR007")
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.OrderByDescending(a => a.ValueDate)
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.Take(30)
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.Select(a => new { a.ValueDate, a.UnderlyingCode, a.UnderlyingId, a.ReferencePrice, a.DataSource })
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.ToList();
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Console.WriteLine($"===== 2. eod_commodity_future_price 里 FR007 行（最近{fr007PriceRows.Count}条，新→旧）=====");
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Console.WriteLine($" {"ValueDate",-12}{"UnderlyingCode",-16}{"UnderlyingId",-14}{"是否错挂?",-12}{"ReferencePrice",-16}{"DataSource"}");
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int mismatchCount = 0;
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foreach (var r in fr007PriceRows)
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{
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bool mismatched = fr007CorrectId.HasValue && r.UnderlyingId.HasValue && r.UnderlyingId.Value != fr007CorrectId.Value;
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if (mismatched) mismatchCount++;
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string flag = mismatched ? "⚠错挂!" : (r.UnderlyingId == null ? "空" : "✓正确");
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Console.WriteLine($" {r.ValueDate:yyyy-MM-dd} {r.UnderlyingCode,-16}{r.UnderlyingId?.ToString() ?? "NULL",-14}{flag,-12}{r.ReferencePrice,-16}{r.DataSource}");
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}
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Console.WriteLine($"\n 小结：{mismatchCount}/{fr007PriceRows.Count} 条 FR007 行 UnderlyingId 错挂");
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if (mismatchCount > 0)
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{
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Console.WriteLine(" ⚠⚠ 确认复发：FR007 行的 UnderlyingId 被错写成别的标的 id！");
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Console.WriteLine(" 网页端按 UnderlyingId JOIN 能查到（误挂到 511160.SH/159111.SZ 等），但 EOD 按 UnderlyingCode='FR007' 查反而正常");
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Console.WriteLine(" → 若用户看到'网页有、EOD 没用上'，需进一步看 EOD 查询路径（见下方第4步）");
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}
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Console.WriteLine();
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// ---- 3. 反向查：UnderlyingId=FR007正确id 的行里，有没有 UnderlyingCode 不是 FR007 的（错误传染方向2）----
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if (fr007CorrectId.HasValue)
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{
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var crossContaminated = db.eod_commodity_future_price
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.Where(a => a.UnderlyingId == fr007CorrectId.Value && a.UnderlyingCode != "FR007")
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.OrderByDescending(a => a.ValueDate)
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.Take(10)
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.Select(a => new { a.ValueDate, a.UnderlyingCode, a.UnderlyingId, a.ReferencePrice })
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.ToList();
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Console.WriteLine($"===== 3. 反向查：UnderlyingId=FR007({fr007CorrectId}) 但 Code≠FR007 的行（错误传染方向2）=====");
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if (crossContaminated.Count == 0)
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{
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Console.WriteLine(" （无）FR007 的 id 没有被别的标的发生的行误用");
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}
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else
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{
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Console.WriteLine($" ⚠ 发现 {crossContaminated.Count} 条：这些行占了 FR007 的 id 但 Code 是别的标的");
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foreach (var c in crossContaminated)
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{
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Console.WriteLine($" {c.ValueDate:yyyy-MM-dd} Code={c.UnderlyingCode} UnderlyingId={c.UnderlyingId} Price={c.ReferencePrice}");
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}
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}
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}
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Console.WriteLine();
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// ---- 4. EOD 查询路径验证：EodPriceQueryService.TryGetPrice 的查询能否命中 ----
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Console.WriteLine("===== 4. EOD 查询路径验证（EodPriceQueryService.TryGetPrice 的实际命中情况）=====");
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Console.WriteLine(" EOD 按 UnderlyingCode(string) 精确匹配 + ValueDate 精确匹配，不依赖 UnderlyingId。");
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Console.WriteLine(" 即：即使 UnderlyingId 错挂，只要 UnderlyingCode='FR007' 且 ValueDate 对得上，EOD 仍能查到。");
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Console.WriteLine(" → UnderlyingId 错挂主要影响【网页端展示/JOIN】，不一定影响【EOD 取价】。");
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Console.WriteLine(" → 若 EOD 仍取不到价，根因更可能是：日期错位/非重置日/未上传当日值，而非 UnderlyingId 错挂。");
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Console.WriteLine();
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// ---- 5. 近 7 天 FR007 上传覆盖情况（判断 EOD 取不到是不是因为没上传）----
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var recentDates = db.eod_commodity_future_price
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.Where(a => a.UnderlyingCode == "FR007" && a.ValueDate >= DateTime.Today.AddDays(-10))
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.OrderBy(a => a.ValueDate)
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.Select(a => new { a.ValueDate, a.ReferencePrice })
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.ToList();
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Console.WriteLine($"===== 5. 近 10 天 FR007 上传覆盖（判断是否漏传导致 EOD 取不到）=====");
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if (recentDates.Count == 0)
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{
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Console.WriteLine(" ⚠⚠ 近 10 天无任何 FR007 上传记录！EOD 复利取价必然失败（或用历史快照）");
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}
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foreach (var d in recentDates)
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{
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var weekday = d.ValueDate.DayOfWeek;
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string wd = weekday == DayOfWeek.Saturday || weekday == DayOfWeek.Sunday ? "周末" : "工作日";
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Console.WriteLine($" {d.ValueDate:yyyy-MM-dd}({wd}) FR007={d.ReferencePrice}");
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}
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// ---- 结论判定 ----
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Console.WriteLine("\n===== 诊断结论 =====");
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if (mismatchCount > 0)
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{
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Console.WriteLine(" [确认] FR007 行存在 UnderlyingId 错挂（GLMS-20260701 同类复发）");
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Console.WriteLine(" 影响：网页端按 UnderlyingId JOIN 会把 FR007 误挂到别的标的显示");
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Console.WriteLine(" 但 EOD 取价走 UnderlyingCode，错挂不直接导致 EOD 取不到价");
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}
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else
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{
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Console.WriteLine(" [排除] FR007 行 UnderlyingId 均正确，未复发 GLMS-20260701 事故");
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Console.WriteLine(" → 'EOD 没用上 FR007' 更可能是：非重置日(设计)/日期错位/未上传当日值");
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}
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// 断言：错挂数应为 0（若 >0 说明复发）
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Assert.IsTrue(mismatchCount == 0,
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$"FR007 有 {mismatchCount} 条价格行 UnderlyingId 错挂（应为 {fr007CorrectId}），GLMS-20260701 事故复发");
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}
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/// <summary>
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/// 诊断 GLMS-JIATT-20260805 复利 EOD 取价日：算出哪些天是重置日、实际查哪天的 FR007
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/// 回答"是不是只需要 8/3 一天的价格即可"
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/// </summary>
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void Diagnose_Trade_FR007_ResetDays()
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{
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const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
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var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
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if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
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Console.WriteLine($"===== 交易 {TradeNumber} (id={td.id}) =====");
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Console.WriteLine($" StartDate(起息日/tradeDate) = {td.StartDate:yyyy-MM-dd}");
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Console.WriteLine();
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// 复利腿配置（InterestType=1 复利）
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var compoundLegs = db.swap_position
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.Where(p => p.SwapTradeId == td.id && !p.Invalid && p.InterestType == 1)
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.ToList();
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if (compoundLegs.Count == 0)
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{
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Console.WriteLine(" ⚠ 该交易无复利腿(InterestType=1)，FR007 取价逻辑不适用");
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Assert.Inconclusive("无复利腿");
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return;
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}
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foreach (var leg in compoundLegs)
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{
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Console.WriteLine($" 复利腿 PositionId={leg.id} Mode={leg.InterestMode}");
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Console.WriteLine($" PosiStartDate={leg.PosiStartDate:yyyy-MM-dd}");
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Console.WriteLine($" interest_rest_days(重置周期)={leg.interest_rest_days}");
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Console.WriteLine($" interest_rule(日期偏移)={leg.interest_rule}");
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Console.WriteLine($" FloatRateUnderlyingCode={leg.FloatRateUnderlyingCode}");
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Console.WriteLine($" InterestRateDefault(加点固定利率)={leg.InterestRateDefault}");
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Console.WriteLine();
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}
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// 用第一条复利腿的配置算重置日（EOD 用 td.StartDate 算 days，见 SwapDealService.cs:1085,1385）
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var leg0 = compoundLegs[0];
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int interestPeriod = leg0.interest_rest_days ?? 1;
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int interestRule = leg0.interest_rule ?? 0;
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DateTime tradeDate = td.StartDate.Value;
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string floatCode = leg0.FloatRateUnderlyingCode;
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Console.WriteLine($"===== EOD 复利取价日推算（days=(收盘日-StartDate)%{interestPeriod}==0 才取价）=====");
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Console.WriteLine($" 公式：fr007RateDate = GetNonHolidayDefore(收盘日 + interest_rule({interestRule}))");
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Console.WriteLine($" 法定节假日会回退到前一工作日（GetNonHolidayDefore）");
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Console.WriteLine();
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// 推算 7/27 ~ 8/7 每天是不是重置日，以及重置日实际查哪天的 FR007
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Console.WriteLine($" {"收盘日",-12}{"days",-8}{"重置日?",-10}{"查询日(raw)",-14}{"查询日(节假日回退)",-20}{"FR007有值?"}");
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var fr007Dates = db.eod_commodity_future_price
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.Where(a => a.UnderlyingCode == "FR007" && a.ReferencePrice != null && a.ReferencePrice != 0)
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.Select(a => a.ValueDate)
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.ToList();
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var fr007Set = new HashSet<DateTime>(fr007Dates);
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// 简单节假日表（周末；法定节假日用 GetNonHolidayDefore 实际逻辑，这里近似用周末判断）
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DateTime CalcNonHoliday(DateTime d)
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{
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while (d.DayOfWeek == DayOfWeek.Saturday || d.DayOfWeek == DayOfWeek.Sunday)
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d = d.AddDays(-1);
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return d;
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}
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int resetDayCount = 0;
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for (var d = new DateTime(2026, 7, 27); d <= new DateTime(2026, 8, 7); d = d.AddDays(1))
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{
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int days = (d - tradeDate).Days;
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bool isReset = days % interestPeriod == 0;
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if (d.DayOfWeek == DayOfWeek.Saturday || d.DayOfWeek == DayOfWeek.Sunday) continue; // EOD 不跑周末
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string resetFlag = isReset ? "✓重置日" : "非重置";
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if (isReset) resetDayCount++;
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DateTime rawQueryDate = d.AddDays(interestRule);
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DateTime actualQueryDate = CalcNonHoliday(rawQueryDate);
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bool hasFr007 = fr007Set.Contains(actualQueryDate);
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Console.WriteLine($" {d:yyyy-MM-dd} {days,-8}{resetFlag,-10}{rawQueryDate:yyyy-MM-dd} {actualQueryDate:yyyy-MM-dd} {(hasFr007 ? "✓有值" : "✗缺失")}");
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}
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Console.WriteLine($"\n 小结：7/27~8/7 期间共 {resetDayCount} 个重置日（EOD 只有这些天才查 FR007）");
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Console.WriteLine(" → 非重置日根本不查 FR007，沿用上一重置周期的利率，无需每天都有值");
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Console.WriteLine(" → 只要【重置日实际查到的那天】有 FR007 值即可，其它天空值不影响 EOD 复利");
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}
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/// <summary>
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/// 逐日对比：EOD 累计 InterestProfitSum（增量）vs 平仓从头重放（全段）—— 定位哪天开始偏差
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/// </summary>
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void Diagnose_EOD_vs_Unwind_Compound_DailyCompare()
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{
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const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
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YLContext db;
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try { db = DbContextFactory.GetYLDbContext(); }
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catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
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var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
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if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
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Console.WriteLine($"===== 交易 {TradeNumber} (id={td.id}) EOD累计 vs 平仓重放 逐日对比 =====");
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Console.WriteLine($" StartDate={td.StartDate:yyyy-MM-dd}");
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Console.WriteLine();
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// 复利腿（取 IsInitial=true 的，其 id 才是 EOD/平仓 PositionId 匹配的 key）
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var compoundLeg = db.swap_position.FirstOrDefault(p => p.SwapTradeId == td.id && !p.Invalid && p.InterestType == 1 && p.IsInitial);
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if (compoundLeg == null) { Assert.Inconclusive("无 IsInitial 复利腿"); return; }
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Console.WriteLine($" 复利腿(初始) id={compoundLeg.id} Mode={compoundLeg.InterestMode} PosiStartDate={compoundLeg.PosiStartDate:yyyy-MM-dd}");
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Console.WriteLine($" interest_rest_days={compoundLeg.interest_rest_days} interest_rule={compoundLeg.interest_rule} Rate={compoundLeg.InterestRateDefault}");
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Console.WriteLine();
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// 读取 EOD 逐日快照（复利腿，按初始腿 id 匹配 PositionId）
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var eodSeq = db.eod_swap_position
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.Where(e => e.SwapTradeId == td.id && !e.Invalid && e.PositionId == compoundLeg.id)
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.OrderBy(e => e.ValueDate)
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.Select(e => new { e.ValueDate, e.InterestProfitSum, e.TdInterestPrincipal, e.FloatRate, e.InterestIncomeSum, e.TdInterestIncome })
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.ToList();
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Console.WriteLine($" EOD 快照共 {eodSeq.Count} 天");
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Console.WriteLine();
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// 平仓从头重放：逐日调 GetUnwindInterests(closePercent=1, 全平)
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// 注意：平仓返回值 = 从头重放全段利息 - consumedInterest*1（扣历史已结）
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||||
// EOD InterestProfitSum 是逐日增量累计（不扣 consumedInterest）
|
||||
// 所以两者差 = consumedInterest（历史已结）。重点看"差"是否稳定。
|
||||
var user = new OptUserInfo(0, nameof(GLMS20260805FR007UnderlyingIdDiagnoseTest), OptUserFrom.UnitTest);
|
||||
var svc = new YLErp.Modules.SwapModule.SwapDealService(user);
|
||||
|
||||
int interestPeriod = compoundLeg.interest_rest_days ?? 1;
|
||||
int interestRule = compoundLeg.interest_rule ?? 0;
|
||||
DateTime tradeDate0 = td.StartDate.Value;
|
||||
|
||||
Console.WriteLine($" {"日期",-12}{"days",-6}{"重置?",-8}{"EOD.FloatRate",-14}{"EOD.ProfitSum",-18}{"EOD.TdIntPrin",-16}{"平仓重放",-18}{"差",-14}{"说明"}");
|
||||
Console.WriteLine($" {new string('-', 118)}");
|
||||
|
||||
decimal prevEodSum = 0;
|
||||
decimal prevUnwind = 0;
|
||||
decimal prevEodFloat = 0;
|
||||
for (var d = td.StartDate.Value; d <= new DateTime(2026, 8, 7); d = d.AddDays(1))
|
||||
{
|
||||
if (d.DayOfWeek == DayOfWeek.Saturday || d.DayOfWeek == DayOfWeek.Sunday) continue;
|
||||
|
||||
int days = (d - tradeDate0).Days;
|
||||
bool isReset = days % interestPeriod == 0;
|
||||
|
||||
var eod = eodSeq.FirstOrDefault(e => e.ValueDate == d);
|
||||
decimal eodProfitSum = eod?.InterestProfitSum ?? 0;
|
||||
decimal eodTdPrin = eod?.TdInterestPrincipal ?? 0;
|
||||
decimal eodFloat = eod?.FloatRate ?? 0;
|
||||
|
||||
// 重置日 FR007 切换检查
|
||||
string floatNote = "";
|
||||
if (isReset && days != 0 && prevEodFloat != 0 && eodFloat == prevEodFloat)
|
||||
{
|
||||
floatNote = "⚠重置日FR007未切换!";
|
||||
}
|
||||
|
||||
// 平仓从头重放（全平 closePercent=1）
|
||||
decimal unwindInterest = 0;
|
||||
string note = "";
|
||||
try
|
||||
{
|
||||
var interests = svc.GetUnwindInterests(d, d, td.id, 1m, (int)SwapEventTypeEnum.平仓);
|
||||
var compoundResult = interests.FirstOrDefault(x => x.PositionId == compoundLeg.id);
|
||||
unwindInterest = compoundResult?.InterestAmount ?? 0;
|
||||
// 平仓路径取的 FR007（看是否切换）
|
||||
if (isReset && compoundResult != null)
|
||||
{
|
||||
note = $"平仓FloatRate={compoundResult.FloatRate}";
|
||||
}
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
note = $"⚠平仓失败:{ex.Message}";
|
||||
}
|
||||
|
||||
decimal diff = unwindInterest - eodProfitSum;
|
||||
string diffNote = Math.Abs(diff) < 0.01m ? "一致" : (Math.Abs(diff) < 1m ? "微小差" : "偏差");
|
||||
string resetFlag = isReset ? "✓重置" : "";
|
||||
|
||||
Console.WriteLine($" {d:yyyy-MM-dd} {days,-6}{resetFlag,-8}{eodFloat,12:F6} {eodProfitSum,16:F6} {eodTdPrin,14:F4} {unwindInterest,16:F6} {diff,12:F6} {diffNote} {floatNote} {note}");
|
||||
|
||||
prevEodSum = eodProfitSum;
|
||||
prevUnwind = unwindInterest;
|
||||
prevEodFloat = eodFloat;
|
||||
}
|
||||
|
||||
Console.WriteLine();
|
||||
Console.WriteLine($" ===== 解读 =====");
|
||||
Console.WriteLine($" · 平仓重放 = 从 PosiStartDate 到当日全段复利利息 - consumedInterest（历史互换已结）");
|
||||
Console.WriteLine($" · EOD ProfitSum = 逐日增量累计（preEod.ProfitSum + 当天新计）");
|
||||
Console.WriteLine($" · 两者差应≈consumedInterest（若有历史互换）。若差值不稳定/突变 → 某天 EOD 增量算错");
|
||||
Console.WriteLine($" · 重点看 FloatRate 列：EOD 用的浮动利率是否在重置日正确切换、非重置日是否正确沿用");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 深挖复利腿(38122)在 8/4 互换前后发生了什么：flow_event + EOD 全字段
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Diagnose_Trade_CompoundLeg_AroundSwap()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
const long CompoundPositionId = 38122;
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
|
||||
var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
|
||||
if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
|
||||
|
||||
// 1. 复利腿所有 flow_event（看 8/4 互换对它做了什么）
|
||||
Console.WriteLine($"===== 复利腿 PositionId={CompoundPositionId} 所有 flow_event =====");
|
||||
var flows = db.swap_flow_event
|
||||
.Where(f => f.SwapTradeId == td.id && f.PositionId == CompoundPositionId)
|
||||
.OrderBy(f => f.EventDate).ThenBy(f => f.id)
|
||||
.Select(f => new { f.EventDate, f.UnwindDate, f.EventType, f.InterestMode, f.InterestAmount, f.InterestPrincipal, f.FloatRate, f.InterestRate, f.DataState, f.Quantity, f.PositionQty })
|
||||
.Take(30)
|
||||
.ToList();
|
||||
Console.WriteLine($" 共 {flows.Count} 条");
|
||||
Console.WriteLine($" {"EventDate",-12}{"UnwindDate",-12}{"Type",-6}{"DataState",-10}{"I.Amount",-16}{"I.Principal",-18}{"FloatRate",-12}{"Rate"}");
|
||||
foreach (var f in flows)
|
||||
{
|
||||
string typeStr = f.EventType == 2 ? "平仓" : f.EventType == 3 ? "互换" : f.EventType == 4 ? "自动" : f.EventType.ToString();
|
||||
Console.WriteLine($" {f.EventDate:yyyy-MM-dd} {f.UnwindDate:yyyy-MM-dd} {typeStr,-6}{f.DataState,-10}{f.InterestAmount,14:F6} {f.InterestPrincipal,16:F4} {f.FloatRate,10:F6} {f.InterestRate}");
|
||||
}
|
||||
Console.WriteLine();
|
||||
|
||||
// 2. 8/3~8/6 EOD 全字段（看 8/4 互换后状态怎么变的）
|
||||
Console.WriteLine($"===== PositionId={CompoundPositionId} 8/3~8/6 EOD 全字段 =====");
|
||||
var eods = db.eod_swap_position
|
||||
.Where(e => e.SwapTradeId == td.id && e.PositionId == CompoundPositionId
|
||||
&& e.ValueDate >= new DateTime(2026, 8, 3) && e.ValueDate <= new DateTime(2026, 8, 6))
|
||||
.OrderBy(e => e.ValueDate)
|
||||
.Select(e => new { e.ValueDate, e.InterestProfitSum, e.TdInterestPrincipal, e.FloatRate, e.InterestIncomeSum, e.TdInterestIncome, e.TdCloseInterest, e.RealizedInterest, e.InterestRateDefault, e.PosiStatus })
|
||||
.ToList();
|
||||
Console.WriteLine($" {"日期",-12}{"ProfitSum",-16}{"TdIntPrin",-16}{"FloatRate",-12}{"IncomeSum",-16}{"TdIncome",-14}{"TdCloseInt",-14}{"RealizedInt",-14}{"PosiStatus"}");
|
||||
foreach (var e in eods)
|
||||
{
|
||||
Console.WriteLine($" {e.ValueDate:yyyy-MM-dd} {e.InterestProfitSum,14:F6} {e.TdInterestPrincipal,14:F4} {e.FloatRate,10:F6} {e.InterestIncomeSum,14:F6} {e.TdInterestIncome,12:F6} {e.TdCloseInterest,12:F6} {e.RealizedInterest,12:F6} {e.PosiStatus}");
|
||||
}
|
||||
Console.WriteLine();
|
||||
|
||||
// 3. 看 8/4 是否有 swap_event（互换事件记录）
|
||||
Console.WriteLine($"===== 8/3~8/5 的 swap_event（看有无互换操作）=====");
|
||||
var events = db.swap_event
|
||||
.Where(s => s.SwapTradeId == td.id && !s.Invalid
|
||||
&& s.ValueDate >= new DateTime(2026, 8, 3) && s.ValueDate <= new DateTime(2026, 8, 5))
|
||||
.OrderBy(s => s.ValueDate)
|
||||
.Select(s => new { s.id, s.ValueDate, s.EventType, s.EventReason, s.Invalid })
|
||||
.ToList();
|
||||
foreach (var s in events)
|
||||
{
|
||||
string typeStr = s.EventType == 2 ? "平仓" : s.EventType == 3 ? "互换" : s.EventType.ToString();
|
||||
Console.WriteLine($" id={s.id} {s.ValueDate:yyyy-MM-dd} Type={typeStr} Reason={s.EventReason} Invalid={s.Invalid}");
|
||||
}
|
||||
if (events.Count == 0) Console.WriteLine(" （8/3~8/5 无 swap_event）");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 精确诊断：8/4 重置日为何取到 FR007=0.0123 而非 0.0213
|
||||
/// 复刻 CalcDailyCompoundInterest 循环 + GetFloatRate 逻辑，逐 i 打印 floatRate 演变
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Diagnose_Trade_804_ResetDay_FloatRate_Trace()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
|
||||
var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
|
||||
if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
|
||||
var te = db.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
|
||||
|
||||
// InterestCalcMode
|
||||
string calcMode = "?";
|
||||
int annualDays = 365;
|
||||
if (te != null && !string.IsNullOrEmpty(te.ExtendJson))
|
||||
{
|
||||
try
|
||||
{
|
||||
dynamic ext = Newtonsoft.Json.JsonConvert.DeserializeObject(te.ExtendJson);
|
||||
calcMode = (string)ext.InterestCalcMode ?? "?";
|
||||
annualDays = (int?)ext.AnnualDays ?? 365;
|
||||
}
|
||||
catch { }
|
||||
}
|
||||
bool calcFirst = calcMode.StartsWith("1");
|
||||
bool calcLast = calcMode.EndsWith("1");
|
||||
Console.WriteLine($"===== InterestCalcMode 诊断 =====");
|
||||
Console.WriteLine($" InterestCalcMode = '{calcMode}' → calcFirst={calcFirst} calcLast={calcLast}");
|
||||
Console.WriteLine();
|
||||
|
||||
var compoundLeg = db.swap_position.FirstOrDefault(p => p.SwapTradeId == td.id && !p.Invalid && p.InterestType == 1 && p.IsInitial);
|
||||
if (compoundLeg == null) { Assert.Inconclusive("无复利腿"); return; }
|
||||
int period = compoundLeg.interest_rest_days ?? 1;
|
||||
int rule = compoundLeg.interest_rule ?? 0;
|
||||
DateTime startDate = compoundLeg.PosiStartDate;
|
||||
|
||||
// 直接调生产代码 GetUnwindInterests(8/4 全平)，看返回的 FloatRate
|
||||
DateTime endDate = new DateTime(2026, 8, 4);
|
||||
Console.WriteLine($"===== 1. 调 GetUnwindInterests(8/4) 看复利腿返回的 FloatRate =====");
|
||||
Console.WriteLine($" PosiStartDate={startDate:yyyy-MM-dd} endDate={endDate:yyyy-MM-dd} period={period} rule={rule}");
|
||||
Console.WriteLine($" (endDate - PosiStartDate).Days = {(endDate - startDate).Days}, %period = {(endDate - startDate).Days % period}（==0 即重置日）");
|
||||
Console.WriteLine($" (endDate - td.StartDate).Days = {(endDate - td.StartDate.Value).Days}（GetFloatRate 用这个判重置日）");
|
||||
Console.WriteLine();
|
||||
|
||||
var user = new OptUserInfo(0, nameof(GLMS20260805FR007UnderlyingIdDiagnoseTest), OptUserFrom.UnitTest);
|
||||
var svc = new YLErp.Modules.SwapModule.SwapDealService(user);
|
||||
try
|
||||
{
|
||||
var interests = svc.GetUnwindInterests(endDate, endDate, td.id, 1m, (int)SwapEventTypeEnum.平仓);
|
||||
var compoundResult = interests.FirstOrDefault(x => x.PositionId == compoundLeg.id);
|
||||
if (compoundResult != null)
|
||||
{
|
||||
Console.WriteLine($" ✓ 平仓返回：InterestAmount={compoundResult.InterestAmount:F6} FloatRate={compoundResult.FloatRate:F6} InterestRate={compoundResult.InterestRate}");
|
||||
Console.WriteLine($" 若 FloatRate≈0.0123 → 取到的是 7/27 旧值（重置日未生效）");
|
||||
Console.WriteLine($" 若 FloatRate≈0.0213 → 取到的是 8/3 新值（重置日生效，正常）");
|
||||
}
|
||||
}
|
||||
catch (Exception ex) { Console.WriteLine($" ⚠ 平仓调用失败：{ex.Message}"); }
|
||||
Console.WriteLine();
|
||||
|
||||
// 2. 直接验证 FR007 在关键日期的值（EodPriceQueryService.TryGetPrice）
|
||||
Console.WriteLine($"===== 2. FR007 在关键日期的实际值（EodPriceQueryService.TryGetPrice）=====");
|
||||
var checkDates = new[] {
|
||||
("7/27(首重置日查询日)", new DateTime(2026,7,27)),
|
||||
("8/3(8/4重置日应查的日期, interest_rule=-1)", new DateTime(2026,8,3)),
|
||||
("8/4(直接查)", new DateTime(2026,8,4)),
|
||||
};
|
||||
foreach (var (label, dt2) in checkDates)
|
||||
{
|
||||
bool ok = YLErp.Modules.DataProviderModule.EodPriceQueryService.TryGetPrice(dt2, "FR007", out double v);
|
||||
Console.WriteLine($" {label} {dt2:yyyy-MM-dd}: {(ok ? $"{v:F6}" : "✗查不到")}");
|
||||
}
|
||||
Console.WriteLine();
|
||||
|
||||
// 3. 结论判定
|
||||
Console.WriteLine($"===== 3. 结论判定 =====");
|
||||
Console.WriteLine($" calcLast={calcLast}（InterestCalcMode='{calcMode}' EndsWith('1')）");
|
||||
Console.WriteLine($" 8/4 平仓：endDate=8/4 是重置日（(8/4-7/28).Days=7, 7%7=0）");
|
||||
if (!calcLast)
|
||||
{
|
||||
Console.WriteLine($" ⚠ calcLast=false：CalcDailyCompoundInterest 循环里 i=7(accrueDate=8/4=endDate) 命中");
|
||||
Console.WriteLine($" 'if(!calcLast && accrueDate==endDate) continue' → 被跳过，不进重置日取价分支");
|
||||
Console.WriteLine($" → 8/4 重置日不取新 FR007，沿用循环里 i=0(7/28)取到的旧值 0.0123");
|
||||
Console.WriteLine($" → 这就是根因：算尾规则(calcLast)导致重置日=平仓日时跳过取价");
|
||||
}
|
||||
else
|
||||
{
|
||||
Console.WriteLine($" calcLast=true：8/4 不会被跳过，应能取到新 FR007(0.0213)。");
|
||||
Console.WriteLine($" 若平仓返回的 FloatRate 仍是 0.0123 → 根因在别处（需进一步查 GetFloatRate/循环覆盖）");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 查这笔交易所有腿 + EOD 快照的 PositionId 映射，搞清哪条腿真正算利息
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Diagnose_Trade_AllLegs_And_EodMapping()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
|
||||
var td = db.trade.FirstOrDefault(t => t.TradeNumber == TradeNumber);
|
||||
if (td == null) { Assert.Inconclusive($"测试库无 {TradeNumber}"); return; }
|
||||
|
||||
Console.WriteLine($"===== 交易 {TradeNumber} (id={td.id}) 全部持仓腿 =====");
|
||||
var allLegs = db.swap_position
|
||||
.Where(p => p.SwapTradeId == td.id && !p.Invalid)
|
||||
.OrderBy(p => p.PosiDirection).ThenBy(p => p.IsInitial).ThenBy(p => p.id)
|
||||
.Select(p => new { p.id, p.PositionId, p.IsInitial, p.InterestMode, p.InterestType, p.PosiDirection, p.InterestPrincipalFix, p.PosiNotionalValue, p.PosiStartDate, p.FloatRateUnderlyingCode })
|
||||
.ToList();
|
||||
|
||||
Console.WriteLine($" {"id",-8}{"PositionId",-12}{"IsInit",-8}{"Mode",-6}{"IntType",-8}{"PosiDir",-8}{"Fix",-16}{"PosiNotional",-16}{"PosiStart",-12}{"FloatCode"}");
|
||||
foreach (var p in allLegs)
|
||||
{
|
||||
Console.WriteLine($" {p.id,-8}{p.PositionId,-12}{p.IsInitial,-8}{p.InterestMode,-6}{p.InterestType,-8}{p.PosiDirection,-8}{p.InterestPrincipalFix,-16}{p.PosiNotionalValue,-16}{p.PosiStartDate:yyyy-MM-dd} {p.FloatRateUnderlyingCode}");
|
||||
}
|
||||
Console.WriteLine();
|
||||
|
||||
// 各腿对应的 EOD 快照数量
|
||||
Console.WriteLine($"===== 各腿 EOD 快照数量（eod_swap_position）=====");
|
||||
var eodCounts = db.eod_swap_position
|
||||
.Where(e => e.SwapTradeId == td.id && !e.Invalid)
|
||||
.GroupBy(e => e.PositionId)
|
||||
.Select(g => new { PositionId = g.Key, Cnt = g.Count(), MinDate = g.Min(x => x.ValueDate), MaxDate = g.Max(x => x.ValueDate) })
|
||||
.ToList();
|
||||
foreach (var c in eodCounts)
|
||||
{
|
||||
Console.WriteLine($" PositionId={c.PositionId} 快照数={c.Cnt} 日期范围={c.MinDate:yyyy-MM-dd}~{c.MaxDate:yyyy-MM-dd}");
|
||||
}
|
||||
Console.WriteLine();
|
||||
|
||||
// 复利腿(Intertype=1)逐日 EOD 明细（所有 PositionId）
|
||||
Console.WriteLine($"===== 复利腿(InterestType=1) EOD 逐日明细（所有 PositionId）=====");
|
||||
var compoundEods = db.eod_swap_position
|
||||
.Where(e => e.SwapTradeId == td.id && !e.Invalid && e.InterestType == 1)
|
||||
.OrderBy(e => e.ValueDate).ThenBy(e => e.PositionId)
|
||||
.Select(e => new { e.ValueDate, e.PositionId, e.InterestProfitSum, e.TdInterestPrincipal, e.FloatRate, e.InterestRateDefault, e.InterestMode })
|
||||
.Take(40)
|
||||
.ToList();
|
||||
Console.WriteLine($" 共 {compoundEods.Count} 条");
|
||||
Console.WriteLine($" {"日期",-12}{"PositionId",-12}{"Mode",-6}{"ProfitSum",-18}{"TdIntPrin",-16}{"FloatRate",-12}{"RateDefault"}");
|
||||
foreach (var e in compoundEods)
|
||||
{
|
||||
Console.WriteLine($" {e.ValueDate:yyyy-MM-dd} {e.PositionId,-12}{e.InterestMode,-6}{e.InterestProfitSum,16:F6} {e.TdInterestPrincipal,14:F4} {e.FloatRate,10:F6} {e.InterestRateDefault}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -44,18 +44,29 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
private readonly double _floatRate;
|
||||
private readonly decimal _consumedInterest;
|
||||
private readonly Func<DateTime, double> _floatRateByDate;
|
||||
|
||||
public StubSwapDealService(OptUserInfo optUser, double floatRate, decimal consumedInterest)
|
||||
: base(optUser)
|
||||
{
|
||||
_floatRate = floatRate;
|
||||
_consumedInterest = consumedInterest;
|
||||
_floatRateByDate = null;
|
||||
}
|
||||
|
||||
/// <summary>按查询日期返回不同浮动利率（用于复现重置日取价 bug）</summary>
|
||||
public StubSwapDealService(OptUserInfo optUser, Func<DateTime, double> floatRateByDate, decimal consumedInterest = 0m)
|
||||
: base(optUser)
|
||||
{
|
||||
_floatRate = 0;
|
||||
_consumedInterest = consumedInterest;
|
||||
_floatRateByDate = floatRateByDate;
|
||||
}
|
||||
|
||||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
rate = _floatRate;
|
||||
return true; // 始终返回固定浮动利率
|
||||
rate = _floatRateByDate != null ? _floatRateByDate(valueDate) : _floatRate;
|
||||
return true;
|
||||
}
|
||||
|
||||
public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
|
||||
@@ -260,5 +271,104 @@ namespace YLErp.Modules.SwapModule
|
||||
AssertDecimal(baseline - consumed * closePercent, result,
|
||||
$"partial close should deduct consumed interest by closePercent ({closePercent})");
|
||||
}
|
||||
|
||||
// ================================================================
|
||||
// 场景7：复现"平仓日=重置日 + calcLast=false → 重置日跳过 FR007 取价"
|
||||
// ================================================================
|
||||
|
||||
/// <summary>
|
||||
/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
|
||||
/// ----------------------------------------------------------------
|
||||
/// 背景(GLMS-JIATT-20260805 根因)：InterestCalcMode='10'(算头不算尾,calcLast=false)，
|
||||
/// CalcDailyCompoundInterest 循环里 `if(!calcLast && accrueDate==endDate) continue` 会跳过平仓日当天。
|
||||
/// 若平仓日恰好是重置日(i%period==0)，这个跳过会让"重置日取新FR007"的代码块永远不执行，
|
||||
/// 沿用上一个重置周期的旧利率。
|
||||
///
|
||||
/// 构造：PosiStartDate=4/27, ResetPeriod=3, InterestCalcMode='10'(calcLast=false)
|
||||
/// - FR007 按日期分段：5/3之前返回 rateOld=0.001，5/3及之后返回 rateNew=0.002
|
||||
/// - 对照A：平仓日=5/5(非重置日,9? 不: (5/5-4/27)=8, 8%3=2 非重置) → 不该取新值
|
||||
/// - 对照B：平仓日=5/6(重置日,(5/6-4/27)=9, 9%3=0) → 应取新值 rateNew
|
||||
///
|
||||
/// 修复前：5/6 重置日被 calcLast 跳过 → 取到旧 rateOld → 与 5/5 相同
|
||||
/// 修复后：5/6 重置日正常取价 → 取到 rateNew → 与 5/5 不同
|
||||
/// ----------------------------------------------------------------
|
||||
/// </summary>
|
||||
/// <summary>
|
||||
/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
|
||||
/// ----------------------------------------------------------------
|
||||
/// 根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(calcLast=false)，
|
||||
/// CalcDailyCompoundInterest 循环 `if(!calcLast && accrueDate==endDate) continue` 跳过平仓日。
|
||||
/// 若平仓日=重置日，取价代码块被跳过 → flowEvent.FloatRate 停留旧值 → 落库后传染 EOD。
|
||||
///
|
||||
/// 构造(避开周末，period=7)：
|
||||
/// PosiStartDate=4/27(周一), period=7, interest_rule=0, InterestCalcMode='10'
|
||||
/// 重置日：i=0→4/27(周一), i=7→5/4(周一,工作日)
|
||||
/// 平仓日=5/4(=重置日=endDate)
|
||||
/// FR007 分界：rateDate>=5/4 返回 rateNew，否则 rateOld
|
||||
///
|
||||
/// 修复前：i=7(5/4)被 calcLast 跳过 → FloatRate=rateOld(旧值)
|
||||
/// 修复后：i=7(5/4)正常取价 → FloatRate=rateNew(新值)
|
||||
/// ----------------------------------------------------------------
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void CI_007_平仓日等于重置日_calcLast_false_仍应取新FR007()
|
||||
{
|
||||
const double rateOld = 0.001;
|
||||
const double rateNew = 0.002;
|
||||
// 用 6 月日期避开五一/周末：PosiStartDate=6/1(周一), period=7, 平仓日=6/8(周一,重置日)
|
||||
DateTime posiStart = new DateTime(2026, 6, 1);
|
||||
DateTime unwindDate = new DateTime(2026, 6, 8); // (6/8-6/1)=7, 7%7=0 重置日
|
||||
DateTime newRateFrom = new DateTime(2026, 6, 8); // 6/8(查询日,周一工作日)起为新利率
|
||||
|
||||
StubSwapDealService ServiceByDate() => new StubSwapDealService(
|
||||
new OptUserInfo(0, nameof(ConsumedInterestScenarioTest), OptUserFrom.UnitTest),
|
||||
d => d >= newRateFrom ? rateNew : rateOld);
|
||||
|
||||
var td = new trade
|
||||
{
|
||||
id = 1, TradeNumber = "UT-CI007", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = posiStart, StartDate = posiStart,
|
||||
ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
|
||||
StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
|
||||
})
|
||||
}
|
||||
};
|
||||
var position = new swap_position
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
|
||||
PosiStartDate = posiStart, PosiMatuirityDate = ExerciseDate,
|
||||
IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
|
||||
})
|
||||
};
|
||||
|
||||
var interests = ServiceByDate().GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
add: false, settment: false, newCalcLast: false);
|
||||
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
var result = interests[0];
|
||||
Console.WriteLine($"6/8(重置日,周一)平仓：FloatRate={result.FloatRate} Amount={result.InterestAmount:F6}");
|
||||
Console.WriteLine($" 期望 FloatRate={rateNew}（6/8 重置日查询日=6/8工作日，应取新利率）");
|
||||
|
||||
// 核心断言：6/8 是重置日，flowEvent.FloatRate 应反映新利率 rateNew
|
||||
Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateNew) < 0.0001m,
|
||||
$"平仓日=重置日时 FloatRate 应={rateNew}（取到新利率）。" +
|
||||
$"实际={result.FloatRate}，若={rateOld} 说明 calcLast=false 跳过了重置日取价（GLMS-JIATT-20260805 根因）");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -1249,28 +1249,31 @@ namespace YLErp.Modules.SwapModule
|
||||
for (int i = 0; i <= calcDays; i++)
|
||||
{
|
||||
var accrueDate = startDate.AddDays(i);
|
||||
// 重置日取价必须在 calcFirst/calcLast 跳过之前完成：calcLast=false(不算尾) 只应跳过计息，
|
||||
// 不应跳过重置日的 FR007 取价。否则平仓日=重置日时会沿用旧周期利率，
|
||||
// 且 flowEvent.FloatRate 落库为旧值，传染后续 EOD（GLMS-JIATT-20260805 根因）。
|
||||
if (accrueDate >= startDate && i % interestPeriod == 0
|
||||
&& !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
|
||||
{
|
||||
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(accrueDate.AddDays(position.interest_rule ?? 0));
|
||||
if (TryGetFloatRate(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
|
||||
{
|
||||
if (floatRate1 != 0) floatRate = floatRate1;
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fr007RateDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
}
|
||||
if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
|
||||
if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾
|
||||
if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾（只跳过计息，取价已在上方完成）
|
||||
if (accrueDate >= startDate)
|
||||
{
|
||||
if (i % interestPeriod == 0)
|
||||
{
|
||||
// 复利时：利息并入本金
|
||||
// 复利时：利息并入本金（FR007 取价已提前到 calcFirst/calcLast 跳过之前完成）
|
||||
dynomicPrincipal = principal + interest;
|
||||
tdDynomicPrincipal = principal + interest;
|
||||
// 获取新的浮动利率
|
||||
if (!string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
|
||||
{
|
||||
var fr007RateDate = QdpCalendarHelper.GetNonHolidayDefore(accrueDate.AddDays(position.interest_rule ?? 0));
|
||||
if (TryGetFloatRate(fr007RateDate, position.FloatRateUnderlyingCode, out double floatRate1))
|
||||
{
|
||||
if (floatRate1 != 0) floatRate = floatRate1;
|
||||
}
|
||||
else
|
||||
{
|
||||
throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fr007RateDate:yyyy年MM月dd日}的价格");
|
||||
}
|
||||
}
|
||||
flowEvent.InterestPrincipal = tdDynomicPrincipal;
|
||||
TdInterestPrincipal = tdDynomicPrincipal;
|
||||
}
|
||||
@@ -1292,6 +1295,9 @@ namespace YLErp.Modules.SwapModule
|
||||
tdinterest += tdinterest1;
|
||||
}
|
||||
}
|
||||
// 兜底：若循环因 calcLast 跳过最后一天(重置日=平仓日)，flowEvent.FloatRate 不会被循环内赋值，
|
||||
// 用最终 floatRate 兜底，确保落库的 FloatRate 反映最后一个重置日的利率（GLMS-JIATT-20260805）。
|
||||
flowEvent.FloatRate = Convert.ToDecimal(floatRate);
|
||||
// 复利从头重放得到的是"假设从未结出"的整段总利息，需扣除历史已通过互换结出的利息，
|
||||
// 否则已结部分会重复计息（类比分红 PosiDividendSum = totalToDate − RealizedDividend）。
|
||||
// consumedInterest is full-position absolute interest; scale it to this close portion.
|
||||
|
||||
+48
-18
@@ -8,6 +8,25 @@
|
||||
|
||||
---
|
||||
|
||||
## ⚠️ 更新状态（2026-08-07）
|
||||
|
||||
> 本文档最初分析日期为 2026-08-06。**第七章、第八章 8.1 关于 income 页 `longRatio` 的论断已被代码修复采纳，原文描述已过时**，阅读时请注意：
|
||||
>
|
||||
> | 文档原文论断 | 当前代码状态 | 修复提交 |
|
||||
> |--------------|------------|----------|
|
||||
> | income 页漏乘 `longRatio`（多空方向），空头会算出相反符号 | ✅ **已修复**：前端 `incomeSwapTrade.js:200,208`、后端 `FrontendCalcReference.CalcIncome:100,108` 均已补 `longRatio` | `d78d1f48`（2026-08-07） |
|
||||
> | income 空头分支无测试覆盖 | ✅ **已补**：`收取空头_价格上涨_应为亏损` + jest 对应用例 | `d78d1f48` |
|
||||
> | `FrontendCalcReference.CalcIncome` 注释写"无 longRatio" | ✅ **已更新**为含 longRatio 的公式 | `d78d1f48` |
|
||||
>
|
||||
> **仍有效的部分**（治理路线主体，代码尚未动）：
|
||||
> - 第三章 A 节：两页 `MarkClosePnl` 仍**各自内联**（`incomeSwapTrade.js:208` / `unwindSwapTrade.js:306`），未接入共享的 `swapCalc.calcMarkClosePnl`——"单一可信源已有却不采纳"仍在。
|
||||
> - 第三章 B 节：硬编码精度魔法数字**全部仍在**（`SwapFlowService:116-118` Round(4)、`SwapDealService:1561` F10、`SwapTradeAutoService:458/460` Round(10)）。
|
||||
> - 第三章 C 节 / 第四章 / 第五章：swapCalc 未接入生产、精度集中化、分阶段治理路线——**仍是有效的后续路线**。
|
||||
>
|
||||
> 阅读建议：第三~六章按"仍有效的治理路线"读；第七、八章按"历史论证记录"读（结论已被采纳落地）。
|
||||
|
||||
---
|
||||
|
||||
## 一、这类 BUG 的本质（统一定义）
|
||||
|
||||
最新修复的"分红收益误显 -36,160"，根因不是某一个 if 写错，而是一种**结构性缺陷**：
|
||||
@@ -162,25 +181,31 @@
|
||||
|
||||
---
|
||||
|
||||
## 六、一句话结论
|
||||
## 六、一句话结论 【longRatio 部分已于 d78d1f48 修复】
|
||||
|
||||
> 最新修复根治了"分红预览"这一条链路的分散计算；但**同类结构依然存在**——
|
||||
> 前端平仓页/互换页的 `MarkClosePnl` 都用全价，真正的差异是**互换页（income）漏乘 `longRatio`（多空方向）**，
|
||||
> 对空头会算出相反符号并直接落库（后端对 income 不重算、原样存前端值）；共享的 `swapCalc.calcMarkClosePnl` 两个页面都没用；
|
||||
> 后端仍有**费用 4 位 vs 金额 2 位**等硬编码精度错配。
|
||||
> 最新修复根治了"分红预览"这一条链路的分散计算；~~互换页（income）漏乘 `longRatio`~~
|
||||
> **该问题已于 `d78d1f48` 修复**（income 现已含 longRatio，空头符号与平仓一致）。
|
||||
>
|
||||
> **当前仍残留的同类结构**：
|
||||
> - 前端平仓页/互换页的 `MarkClosePnl` 仍**各自内联**，未接入共享的 `swapCalc.calcMarkClosePnl`（单一可信源已有却不采纳）；
|
||||
> - 后端仍有**费用 4 位 vs 金额 2 位**等硬编码精度错配（`SwapFlowService` Round(4)、`SwapDealService` F10 等）。
|
||||
>
|
||||
> 治理的关键不是再打补丁，而是**把已建好的 `swapCalc` 单一可信源 + parity 守护真正接入生产**，
|
||||
> 并按上述 5 个阶段低风险推进。
|
||||
|
||||
---
|
||||
|
||||
## 七、如何确认"income 错 / unwind 对"（而非相反）+ 改动安全性
|
||||
## 七、如何确认"income 错 / unwind 对"（而非相反）+ 改动安全性 【✅ 已由 d78d1f48 修复，本章留作论证记录】
|
||||
|
||||
> 这一章回答一个关键质疑：两页口径不同，凭什么断定是 income 漏了 `longRatio`、而不是 unwind 多算了？
|
||||
> 以及：给 income 补 `longRatio` 会不会把正确逻辑改坏、或造成"双重翻转"？
|
||||
|
||||
> ⚠️ **状态说明（2026-08-07）**：本章关于"income 漏 longRatio → 错 / unwind 对"的论断，目前是**待业务背书的 Working Hypothesis**，
|
||||
> 尚未取得业务/量化签字。且比这更基础的"收益结算的价差基准是否应在结算后滚动"的产品定义仍未确认（见第八章）。
|
||||
> **在业务下定论前，本章仅作论证记录，不视为最终定性**——第八章才是如实记录"代码现在实际怎么做"的事实层。
|
||||
> ✅ **更新（2026-08-07）**：本章的论断已被团队采纳并落地。`d78d1f48` 按本章论证给 income 补了 `longRatio`
|
||||
> （前端 `incomeSwapTrade.js:208`、后端 `FrontendCalcReference.CalcIncome:108`），并补了空头测试。
|
||||
> 本章原"待业务背书的 Working Hypothesis"已成为既成事实，保留作论证记录与防回归参考。
|
||||
|
||||
> ⚠️ **状态说明（2026-08-07，原文）**：本章关于"income 漏 longRatio → 错 / unwind 对"的论断，原是**待业务背书的 Working Hypothesis**。
|
||||
> 后经代码铁证（7.2/7.3）直接采纳修复，见上方更新。
|
||||
|
||||
### 7.1 两个方向乘子是**独立轴**（这是避免误判的前提）
|
||||
|
||||
@@ -235,26 +260,30 @@
|
||||
|
||||
---
|
||||
|
||||
## 八、当前行为实录与待确认项（2026-08-07）
|
||||
## 八、当前行为实录与待确认项（2026-08-07）【8.1 longRatio 部分已由 d78d1f48 修复】
|
||||
|
||||
> 本章**只记录"代码现在实际怎么做"**（可验证事实），并明确列出"哪些还无法判定谁对"。
|
||||
> 与第七章（论断层）的区别：第七章给出了"income 错 / unwind 对"的论证，但该论断**尚未取得业务/量化背书**，
|
||||
> 且涉及"价差基准是否应在收益结算后滚动"这一更基础的产品定义。因此把它们在本章降格为"待确认假设"，
|
||||
> 先如实记录现状，避免过早定性。
|
||||
> 文档定位：**当前不修改代码、不加测试，仅留痕**。正确性待业务/量化逐项确认后再回填。
|
||||
>
|
||||
> ✅ **更新（2026-08-07）**：8.1 关于"income 不含 longRatio"的实录**已过时**——`d78d1f48` 已补 longRatio。
|
||||
> 8.2（价差基准不滚动）、8.4（待确认问题清单中除 longRatio 外的价差基准/多次结算问题）**仍待业务确认**。
|
||||
|
||||
### 8.1 收益结算（income）页当前行为实录
|
||||
### 8.1 收益结算（income）页当前行为实录 【✅ longRatio 部分已修复】
|
||||
|
||||
- **界面入口**：交易详情页头部操作区「**收益结算**」按钮（权限 `交易管理_收益互换`），打开 `/swaptrade2/SwapIncome/`
|
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（`SwapIncome.cshtml` + `incomeSwapTrade.js`）。与「**平仓**」按钮（`SwapUnwind.cshtml`）外观相似，
|
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但**没有平仓比例、没有事件日期**——本质是"期间结算、头寸保留"，而非关闭头寸。
|
||||
- **价差损益 `MarkClosePnl` 当前公式（代码事实）**：
|
||||
- `incomeSwapTrade.js:104` `initPosiGrossPrice = this.floatPosition.PosiGrossPrice`
|
||||
- `:199/207` `floatRatio = PayDirection==1 ? 1 : -1`
|
||||
- `:207` `MarkClosePnl = positionAmount × (deliveryPrice − initPosiGrossPrice) × floatRatio`
|
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- `:199-200` `floatRatio = PayDirection==1 ? 1 : -1`；`longRatio = PositionType==1 ? 1 : -1`
|
||||
- `:208` `MarkClosePnl = positionAmount × (deliveryPrice − initPosiGrossPrice) × floatRatio × longRatio`
|
||||
（`positionAmount = PositionQty × ContractSize`，`deliveryPrice = getStorageDeliveryPrice()`）
|
||||
- 后端同口径 `FrontendCalcReference.CalcIncome:107`：**无 `longRatio`**，`CalcIncome:92` 注释明示"无 longRatio"。
|
||||
- **事实结论**：income 页当前**只用 `floatRatio`（收付方向）翻转，未乘 `longRatio`（多空方向）**。
|
||||
- 后端同口径 `FrontendCalcReference.CalcIncome:100,108`：**已含 `longRatio`**（`d78d1f48` 修复）。
|
||||
- **事实结论**（已更新）：income 页当前**已含 `floatRatio × longRatio`**（`d78d1f48`），与 unwind/后端口径一致。
|
||||
原文"只用 floatRatio，未乘 longRatio"的描述**已失效**。
|
||||
|
||||
### 8.2 价差基准 `swap_position.PosiGrossPrice` 当前行为实录
|
||||
|
||||
@@ -273,8 +302,8 @@
|
||||
|
||||
| 项 | 已确认事实（代码可验证） | 待确认假设（需业务/量化背书） |
|
||||
|----|--------------------------|------------------------------|
|
||||
| income 是否含 `longRatio` | 当前**不含**（code 实证） | 是否**应该**含（与平仓一致）？——第七章论证"应含"，但**未获业务签字** |
|
||||
| 空头 income 符号 | 当前公式对空头会得出与平仓/后端**相反**的符号 | 这是否是"错误"？取决于产品对空头收益结算现金流的符号约定 |
|
||||
| income 是否含 `longRatio` | ✅ **已含**（`d78d1f48` 修复，`incomeSwapTrade.js:208` / `CalcIncome:108`） | ~~是否应该含~~ —— 已按第七章论证采纳修复，不再待确认 |
|
||||
| 空头 income 符号 | ✅ **已修正**（`d78d1f48`，空头涨价=亏损，与平仓一致） | ~~是否是错误~~ —— 已确认是 bug 并修复 |
|
||||
| 价差基准是否滚动 | 当前**不滚动**（恒为 P0） | 收益结算应是"增量（从上次结算价）"还是"绝对（从 P0）"？——**产品定义未确认** |
|
||||
| 多次收益结算重复计入 | 当前若对**同一开放持仓做多次收益结算**，每次都按 (当前价−P0) 计，**首段会被重复计入**（数学推导） | 业务实际是否允许/发生过"同一持仓多次收益结算"？——**需生产数据确认** |
|
||||
| 下游现金流 | `SwapIncome:2007` `AddClientCash(-SwapRealizedPnl)` 用前端值记账（code 实证） | 若公式口径需改，历史已落库金额是否需追溯校正？ |
|
||||
@@ -314,10 +343,11 @@ ORDER BY cnt DESC;
|
||||
- 若 (b) 返回 0 行 → 当前业务每次结算后即关仓，"基准不滚动"**无害**；
|
||||
- 若 (b) 有行 → 立即按"结算后把 `swap_position.PosiGrossPrice` 滚动到本次结算价"评估修复。
|
||||
|
||||
### 8.6 多轮回归未暴露的原因（实证，非推断）
|
||||
### 8.6 多轮回归未暴露的原因（实证，非推断）【第1点已由 d78d1f48 补测试填补】
|
||||
|
||||
1. **覆盖空洞**：`FrontendCalcCharacterizationTest` 的 income 场景 `FC_006~009` **全是 `PositionType=1`（多头）**；
|
||||
唯一空头场景 `FC_005` 是 unwind。income 的空头分支从未被构造。
|
||||
✅ **已填补**（`d78d1f48`）：新增 `收取空头_价格上涨_应为亏损` 测试（C#）+ jest 对应用例。
|
||||
2. **校验同源**：`ValidateFrontendPnL`（`SwapDealService.cs:2004`）用 `BuildFrontendValidationDiffs` 以**同一 `CalcIncome`（也无 longRatio）**
|
||||
重算比对，前端错值 == 后端重算 → diff 恒为 0 → 永不告警（"预言机与被测代码共享同一 bug"盲区）。
|
||||
3. **真实数据隐形**：golden `dividend_trade_1875/1891.json` 中，空头块为 `swap_position` 持仓行（`MarkClosePnl=0`），非结息事件；
|
||||
|
||||
Reference in New Issue
Block a user