feat(swap): EQD-6977 新增 Penalty 罚息模块——冻结利率解析 + 罚息窗口计息器（复用 Accrual 纯函数，产出同构罚息利息流）
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hjhan
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using YLErp.Derivatives.Interest;
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using YLErp.Modules.SwapModule.Accrual;
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namespace YLErp.Modules.SwapModule.Penalty;
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/// <summary>
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/// EQD-6977 罚息冻结利率解析（纯函数）。
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///
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/// 规则（需求 2.2.2）：剩余期限利率冻结为「最后一个重置区间」的 FR007 定盘值——
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/// 终止日恰为重置日且下午已出新价时，仍取上一重置区间（边缘场景显式落地）。
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///
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/// 冻结来源优先级：
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/// 1. preEod.FloatRate——上一日终快照即昨日「实际在役」利率（GetFloatRate 非重置日正是沿用它），
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/// 天然覆盖重置日下午边缘；且避开 td.StartDate / PosiStartDate 双锚点推导（见 GetFloatDate 锚点注记）；
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/// 2. 无 preEod（首日平仓等）：取价日 = GetFixingDate(unwindDate-1)（-1 所在重置区间的定盘，
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/// interest_rule 0=当前营业日/-1=前一营业日由 IndexFixerBase 统一处理）。
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/// 固定腿利率本即冻结，直接 Fixed；剩余期限的加点利差由调用方按 SwapIntervalList 取 as-of 平仓日值传入。
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/// </summary>
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public static class PenaltyLegRateResolver
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{
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/// <summary>
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/// 解析罚息窗口的冻结 all-in 利率。
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/// </summary>
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/// <param name="position">利息腿（融资腿，非保证金）</param>
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/// <param name="spread">加点利差（调用方按 SwapIntervalList 取 as-of unwindDate 值，同 GetFixedRate 口径）</param>
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/// <param name="preEodFloatRate">上一日终快照 FloatRate；无 preEod 传 null</param>
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/// <param name="unwindDate">提前终止日</param>
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/// <param name="tryGetFixing">定盘取价委托（测试可注入）；入参=取价日，无价返回 null</param>
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public static FundingLegRate ResolveFrozenRate(
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swap_position position,
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decimal spread,
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decimal? preEodFloatRate,
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DateTime unwindDate,
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Func<DateTime, decimal?> tryGetFixing)
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{
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if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
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return FundingLegRate.Fixed(spread);
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if (preEodFloatRate.HasValue)
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return FundingLegRate.Floating(spread, preEodFloatRate.Value);
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var fixingDate = IndexFixerBase.GetFixingDate(unwindDate.AddDays(-1), position.interest_rule);
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var fixing = tryGetFixing(fixingDate);
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if (!fixing.HasValue)
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throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
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return FundingLegRate.Floating(spread, fixing.Value);
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}
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}
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.ReturnLegs;
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namespace YLErp.Modules.SwapModule.Penalty;
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/// <summary>
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/// EQD-6977 平仓罚息计算器（纯函数）。
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///
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/// 语义：提前终止时把利息端计息窗口从「平仓日」延长到「原始到期日」，剩余期限按冻结利率计息，
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/// 使利息端盈亏等同于持有至到期。金标准恒等式：
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///
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/// 全期利息 = 平仓日已结利息（正常平仓流） + 罚息窗口利息（本方法）
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///
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/// 边界规格（需求 2.2 / 评审 8.2，经金标准恒等式测试钉死）：
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/// - IncludeStart = !unwindDaySettled：正常结算已计平仓日（算尾）→ 罚息自次日起；不算尾 → 含平仓日；
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/// - IncludeEnd = maturityCalcLast：到期日沿用交易自身算尾约定（非本次平仓的 newCalcLast）；
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/// - 复利承接（平仓日落在重置段中间时与全期轨迹逐日对齐的两个量）：
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/// capitalizedInterest = 已并入最近重置日的累计利息 → 窗口首日起即加入计息基数
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/// （全期轨迹中当前重置段的滚动基数 = 本金 + 该量，段内每一天都在其上计息）；
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/// carryInInterest = 最近重置日之后已计至平仓日的利息 → 首个窗口重置日并入并持续留在基数。
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/// 二者之和 = 被平部分的平仓日已结利息（正常平仓流 InterestAmount）。
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///
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/// 产物：与正常利息流同构的 swap_flow_event（EventReason="罚息"），下游结算/报表无差别消费。
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/// 仅融资腿；保证金腿（MarginModes）与浮动端 P&L 不进入本模块。
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/// IsPenaltyInterest 列标记待 DB 迁移（阶段1）落地后由接缝层写入。
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/// </summary>
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public static class SwapPenaltyInterestCalculator
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{
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/// <summary>罚息利息流的事件原因（兼作判别字段，存量事件恒为"交易"）。</summary>
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public const string PenaltyEventReason = "罚息";
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/// <summary>
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/// 计算罚息窗口 [unwindDate, maturityDate] 的利息流。
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/// </summary>
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/// <param name="td">交易（SwapTradeId/SwapTradeNo/ClientId 载体）</param>
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/// <param name="position">被平的融资腿</param>
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/// <param name="closePrincipal">被平部分计息本金（部分平仓仅算被平份额）</param>
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/// <param name="capitalizedInterest">复利承接①：已并入最近重置日的累计利息（被平份额），窗口首日起即入基数；单利传 0</param>
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/// <param name="carryInInterest">复利承接②：最近重置日后已计至平仓日的利息（被平份额），首个窗口重置日并入；单利传 0</param>
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/// <param name="unwindDate">提前终止日（窗口起点）</param>
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/// <param name="maturityDate">合约原始到期日（窗口终点，= td.ExerciseDate）</param>
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/// <param name="unwindDaySettled">正常平仓利息是否已计平仓日（effectiveCalcLast = calcLast || newCalcLast）</param>
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/// <param name="maturityCalcLast">交易到期日算尾约定（tradeExtend.CalcLast）</param>
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/// <param name="carryInInterest">复利承接：被平部分已计至平仓日利息（正常平仓流 InterestAmount）；单利传 0</param>
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/// <param name="frozenRate">冻结利率（PenaltyLegRateResolver.ResolveFrozenRate 产物）</param>
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/// <param name="policy">计息政策（单复利/重置周期/年化天数；Convention 由本方法覆盖）</param>
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/// <param name="resetAnchor">重置日锚点（对齐 GetFloatRate 的 td.StartDate 口径；锚点二义性注记见其声明）</param>
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/// <param name="eventType">事件类型（平仓）</param>
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/// <param name="valueDate">操作日期</param>
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/// <param name="trace">计息轨迹（可选，SwapCalcTrace 落盘）</param>
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public static swap_flow_event CalcPenalty(
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trade td,
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swap_position position,
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decimal closePrincipal,
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DateTime unwindDate,
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DateTime maturityDate,
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bool unwindDaySettled,
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bool maturityCalcLast,
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decimal capitalizedInterest,
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decimal carryInInterest,
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FundingLegRate frozenRate,
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AccrualPolicy policy,
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DateTime resetAnchor,
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int eventType,
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DateTime valueDate,
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AccrualTrace? trace = null)
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{
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var boundary = AccrualBoundary.Of(includeStart: !unwindDaySettled, includeEnd: maturityCalcLast);
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var allInRate = frozenRate.AllInRate;
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decimal amount;
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decimal finalBasis;
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if (policy.IsCompound)
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{
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// 复利：即使利率冻结为单值，也须按重置日分段（并本金发生在分段边界），每段同一冻结利率。
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// notional = 本金 + 已并入最近重置日的利息：全期轨迹中当前重置段的滚动基数，
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// 段内（含罚息窗口首段）每一天都在其上计息——平仓日落在段中间时与全期逐日对齐的关键。
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var segments = BuildFrozenSegments(unwindDate, maturityDate, policy.ResetPeriodDays, resetAnchor, allInRate);
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var r = CompoundInterestAccrual.AccruePeriod(
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notional: closePrincipal + capitalizedInterest,
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segmentRates: segments,
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startDate: unwindDate,
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endDate: maturityDate,
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boundary: boundary,
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annualDays: policy.AnnualDays,
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isAnnualized: policy.IsAnnualized,
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resetCarryInterest: 0m,
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realizedInterest: 0m,
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unwindFraction: 1m,
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finalBasis: out finalBasis,
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trace: trace,
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carryInInterest: carryInInterest);
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amount = r.Accrued;
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}
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else
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{
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// 单利：无并本金语义，冻结利率即单段全程
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var r = SimpleInterestAccrual.AccruePeriod(
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priorAccrued: 0m,
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notional: closePrincipal,
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unwindFraction: 1m,
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segmentRates: new List<(DateTime StartDate, decimal Rate)> { (unwindDate, allInRate) },
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startDate: unwindDate,
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endDate: maturityDate,
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priorValueDate: unwindDate.AddDays(-1),
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boundary: boundary,
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annualDays: policy.AnnualDays,
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isAnnualized: policy.IsAnnualized,
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trace: trace);
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amount = r.Accrued;
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finalBasis = closePrincipal;
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}
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var rounded = InterestMath.Round(amount, InterestMath.FundingLegPrecision);
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var interest = new swap_flow_event
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{
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SwapTradeId = td.id,
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SwapTradeNo = td.TradeNumber,
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EventType = eventType,
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EventReason = PenaltyEventReason,
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EventDate = valueDate,
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UnwindDate = unwindDate,
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PositionId = position.id,
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InterestDirection = position.InterestDirection,
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InterestRate = allInRate,
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InterestPrincipal = finalBasis,
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InterestSwapInterval = position.InterestSwapInterval,
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InterestMode = position.InterestMode,
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FloatRate = string.IsNullOrEmpty(position.FloatRateUnderlyingCode) ? position.FloatRate : allInRate,
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DataState = (int)SwapFlowDateStateEnum.完成,
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ClientId = td.ClientId,
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InterestAmount = rounded,
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TdInterestAmount = rounded
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};
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interest.InterestClosePnL = interest.InterestAmount * DirectionRatio.ReceivePay(position.InterestDirection);
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return interest;
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}
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/// <summary>
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/// 复利冻结分段：段边界 = 窗口内重置日（(d - anchor) % period == 0，对齐 IsResetDay 公式），
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/// 每段填同一冻结利率。首段必为 (unwindDate, rate)；[start,end] 含端点的重置日也生成段
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/// （末段起点==到期日时由 AccruePeriod 的边界决定是否计息）。
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/// </summary>
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private static List<(DateTime StartDate, decimal Rate)> BuildFrozenSegments(
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DateTime start, DateTime end, int periodDays, DateTime anchor, decimal rate)
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{
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if (periodDays <= 1)
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return new List<(DateTime, decimal)> { (start, rate) };
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var segments = new List<(DateTime StartDate, decimal Rate)> { (start, rate) };
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for (var d = start.AddDays(1); d <= end; d = d.AddDays(1))
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{
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if (SwapDealService.IsResetDay(d, anchor, periodDays))
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segments.Add((d, rate));
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}
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return segments;
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}
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}
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