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
@@ -44,18 +44,29 @@ namespace YLErp.Modules.SwapModule
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{
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private readonly double _floatRate;
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private readonly decimal _consumedInterest;
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private readonly Func<DateTime, double> _floatRateByDate;
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public StubSwapDealService(OptUserInfo optUser, double floatRate, decimal consumedInterest)
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: base(optUser)
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{
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_floatRate = floatRate;
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_consumedInterest = consumedInterest;
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_floatRateByDate = null;
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}
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/// <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>
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public StubSwapDealService(OptUserInfo optUser, Func<DateTime, double> floatRateByDate, decimal consumedInterest = 0m)
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: base(optUser)
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{
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_floatRate = 0;
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_consumedInterest = consumedInterest;
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_floatRateByDate = floatRateByDate;
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}
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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rate = _floatRate;
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return true; // 始终返回固定浮动利率
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rate = _floatRateByDate != null ? _floatRateByDate(valueDate) : _floatRate;
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return true;
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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@@ -260,5 +271,104 @@ namespace YLErp.Modules.SwapModule
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AssertDecimal(baseline - consumed * closePercent, result,
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$"partial close should deduct consumed interest by closePercent ({closePercent})");
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}
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// ================================================================
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// 场景7：复现"平仓日=重置日 + calcLast=false → 重置日跳过 FR007 取价"
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// ================================================================
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/// <summary>
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/// [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
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/// ----------------------------------------------------------------
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/// 背景(GLMS-JIATT-20260805 根因)：InterestCalcMode='10'(算头不算尾,calcLast=false)，
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/// CalcDailyCompoundInterest 循环里 `if(!calcLast && accrueDate==endDate) continue` 会跳过平仓日当天。
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/// 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，
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/// 沿用上一个重置周期的旧利率。
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///
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/// 构造：PosiStartDate=4/27, ResetPeriod=3, InterestCalcMode='10'(calcLast=false)
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/// - 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
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/// - 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
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/// - 对照B：平仓日=5/6(重置日,(5/6-4/27)=9, 9%3=0) → 应取新值 rateNew
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///
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/// 修复前：5/6 重置日被 calcLast 跳过 → 取到旧 rateOld → 与 5/5 相同
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/// 修复后：5/6 重置日正常取价 → 取到 rateNew → 与 5/5 不同
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/// ----------------------------------------------------------------
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/// </summary>
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/// <summary>
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/// [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
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/// ----------------------------------------------------------------
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/// 根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(calcLast=false)，
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/// CalcDailyCompoundInterest 循环 `if(!calcLast && accrueDate==endDate) continue` 跳过平仓日。
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/// 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。
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///
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/// 构造(避开周末，period=7)：
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/// PosiStartDate=4/27(周一), period=7, interest_rule=0, InterestCalcMode='10'
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/// 重置日：i=0→4/27(周一), i=7→5/4(周一,工作日)
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/// 平仓日=5/4(=重置日=endDate)
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/// FR007 分界：rateDate>=5/4 返回 rateNew，否则 rateOld
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///
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/// 修复前：i=7(5/4)被 calcLast 跳过 → FloatRate=rateOld(旧值)
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/// 修复后：i=7(5/4)正常取价 → FloatRate=rateNew(新值)
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/// ----------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_007_平仓日等于重置日_calcLast_false_仍应取新FR007()
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{
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const double rateOld = 0.001;
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const double rateNew = 0.002;
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// 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)
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DateTime posiStart = new DateTime(2026, 6, 1);
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DateTime unwindDate = new DateTime(2026, 6, 8); // (6/8-6/1)=7, 7%7=0 重置日
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DateTime newRateFrom = new DateTime(2026, 6, 8); // 6/8(查询日,周一工作日)起为新利率
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StubSwapDealService ServiceByDate() => new StubSwapDealService(
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new OptUserInfo(0, nameof(ConsumedInterestScenarioTest), OptUserFrom.UnitTest),
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d => d >= newRateFrom ? rateNew : rateOld);
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var td = new trade
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{
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id = 1, TradeNumber = "UT-CI007", ClientId = 999998,
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TradeType = "收益互换", TradeDate = posiStart, StartDate = posiStart,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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trade_extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
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})
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}
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};
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var position = new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
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PosiStartDate = posiStart, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
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})
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};
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var interests = ServiceByDate().GetInterests(td, td.trade_extend, unwindDate, unwindDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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add: false, settment: false, newCalcLast: false);
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Assert.AreEqual(1, interests.Count);
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var result = interests[0];
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Console.WriteLine($"6/8(重置日,周一)平仓：FloatRate={result.FloatRate} Amount={result.InterestAmount:F6}");
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Console.WriteLine($" 期望 FloatRate={rateNew}（6/8 重置日查询日=6/8工作日，应取新利率）");
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// 核心断言：6/8 是重置日，flowEvent.FloatRate 应反映新利率 rateNew
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Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateNew) < 0.0001m,
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$"平仓日=重置日时 FloatRate 应={rateNew}（取到新利率）。" +
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$"实际={result.FloatRate}，若={rateOld} 说明 calcLast=false 跳过了重置日取价（GLMS-JIATT-20260805 根因）");
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}
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}
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}
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