fix(swap): EQD-6977 无preEod兜底①=0且账龄超重置周期补退化告警trace——interestWindowEmpty(当日已结息)早退不重放覆盖种子值时①静默0(重置日分支本有同类告警,段中分支漏)复利每周期并本理应①>0；trace含事件基数/平仓本金两侧对比值+账龄天数+重置周期+疑似成因指向(interestWindowEmpty种子未重放/日终归档缺失)足够事后定位根因；承接块抽为ResolveCompoundCarry私有纯方法(Merge瘦身,三分支数据契约注释随行,行为零变化)；TDD先行3例trace钉子:退化必告警(先红)/兜底>0不告警/真首日不告警；罚息域27例+GetInterests入口语义9例全绿
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hjhan
@@ -50,7 +50,8 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
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private static void RunMerge(
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swap_position p, swap_flow_event normalEvent, eod_swap_position? preEod,
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Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null)
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Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null,
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AccrualTrace? trace = null)
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{
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getSpread ??= _ => Rate;
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tryGetFixing ??= (d, code) => Rate;
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@@ -61,7 +62,8 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
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posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
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getSpread: getSpread,
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getPreEod: _ => preEod,
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tryGetFixing: tryGetFixing);
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tryGetFixing: tryGetFixing,
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trace: trace);
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}
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/// <summary>复利重放 [StartDate, endDate]，重置段=每 7 天；分段利率由 rates 决定（rates.Count=1 时为常率）。</summary>
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@@ -152,6 +154,45 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
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Assert.IsTrue(e.InterestFee > 0m, "无 preEod（首日平仓等）仍可计算罚息");
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}
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[TestMethod]
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public void 无preEod复利段中兜底为零且账龄超重置周期_留退化告警trace()
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{
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// 场景：无日终快照 + 复利 + 段中平仓，事件 InterestPrincipal 仍是种子值(=平仓本金)→兜底①=0。
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// 账龄 25 天 ≥ 7 天重置周期：复利每周期并本理应①>0，①=0 属退化——
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// 典型成因=interestWindowEmpty(当日已结息)早退未重放覆盖种子、或日终归档缺失。
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var e = NormalEvent(settledAmount: 50_000m);
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e.InterestPrincipal = Notional; // GetInterests 种子值：interestWindowEmpty 早退路径不会用重放基数覆盖它
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var trace = new AccrualTrace();
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RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null, trace: trace);
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StringAssert.Contains(trace.ToString(), "无preEod兜底①=0",
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"①=0 且账龄超周期必须留告警，供事后核对日终归档/计息窗口根因");
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}
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[TestMethod]
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public void 无preEod兜底为正_不留退化告警()
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{
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var e = NormalEvent(settledAmount: 50_000m);
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e.InterestPrincipal = Notional + 100_000m; // 重放末次并本金后基数 → ①=100000 正常路径
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var trace = new AccrualTrace();
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RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null, trace: trace);
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Assert.IsFalse(trace.ToString().Contains("兜底①=0"), "①>0 是正常兜底路径，不得告警");
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}
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[TestMethod]
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public void 无preEod真首日兜底为零_不留退化告警()
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{
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var p = Leg(InterestTypeEnum.复利);
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p.PosiStartDate = UnwindDate; // 起息日当天平仓：账龄 0 < 重置周期，①=0 是设计内约定(类头注)
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var e = NormalEvent(settledAmount: 50_000m);
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e.InterestPrincipal = Notional;
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var trace = new AccrualTrace();
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RunMerge(p, e, preEod: null, trace: trace);
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Assert.IsFalse(trace.ToString().Contains("兜底①=0"), "真首日 ①=0 合法，不得告警");
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}
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[TestMethod]
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public void 冻结利率解析失败_跳过该腿不阻断()
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{
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@@ -93,39 +93,9 @@ public static class PenaltyInterestFeeMerger
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}
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// 复利承接：实际滚动基数中已并入部分（①）+ 段内实际已计利息（②）。单利无并本金语义恒 0。
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// ① 的取值依赖平仓日是否为重置日、有无日终快照（数据契约）：
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// 段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
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// 段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
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// 会把它写为末次并本金后的基数（=被平份额本金+①），同样是实际值而非推导值；
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// 重置日当天平仓：快照基数仍是【上一段】的（今日并入尚未发生），须改取
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// preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
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decimal capitalized = 0m, carryIn = 0m;
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if (isCompound)
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{
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var periodDays = position.interest_rest_days ?? 1;
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var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
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if (unwindOnResetDay)
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{
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capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
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if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
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trace?.Note($"PENALTY|p{position.id} 注意 无preEod且平仓日=重置日：①退化0（此前重置并入额缺失，请核对日终归档完整性）");
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}
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else if (preEod != null)
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{
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capitalized = Math.Max(0m, preEod.TdInterestPrincipal * share - closePrincipal);
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}
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else
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{
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capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
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}
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// ① 不得超过实结金额（数据异常时钳制并留痕，避免负②进入计息）
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if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
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{
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trace?.Note($"PENALTY|p{position.id} 注意 承接①钳制：推导 {capitalized:F4} > 实结 {normalEvent.InterestAmount:F4}（快照/事件数据异常，请核对 preEod.TdInterestPrincipal/InterestIncomeSum）");
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capitalized = Math.Max(0m, normalEvent.InterestAmount);
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}
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carryIn = normalEvent.InterestAmount - capitalized;
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}
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var (capitalized, carryIn) = isCompound
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? ResolveCompoundCarry(position, normalEvent, preEod, closePrincipal, share, unwindDate, trace)
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: (0m, 0m);
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var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound);
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// 锚点 = PosiStartDate：与正常计息重放（CalcDailyCompoundInterest 的分段网格）一致，延期腿勿用 td.StartDate
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@@ -149,4 +119,54 @@ public static class PenaltyInterestFeeMerger
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$"罚息={penalty:F2} → InterestFee {feeBefore:F2}→{normalEvent.InterestFee:F2} PnL含罚息={normalEvent.InterestClosePnL:F2}");
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}
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}
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/// <summary>
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/// 复利承接量：① 实际滚动基数中已并入部分 + ② 最近重置日后实际已计利息（= 实结 − ①）。
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///
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/// ① 的取值依赖平仓日是否为重置日、有无日终快照（数据契约）：
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/// 段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
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/// 段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
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/// 会把它写为末次并本金后的基数（=被平份额本金+①），同样是实际值而非推导值；
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/// 重置日当天平仓：快照基数仍是【上一段】的（今日并入尚未发生），须改取
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/// preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
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/// </summary>
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private static (decimal Capitalized, decimal CarryIn) ResolveCompoundCarry(
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swap_position position, swap_flow_event normalEvent, eod_swap_position? preEod,
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decimal closePrincipal, decimal share, DateTime unwindDate, AccrualTrace? trace)
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{
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var periodDays = position.interest_rest_days ?? 1;
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var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
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var capitalized = 0m;
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if (unwindOnResetDay)
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{
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capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
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if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
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trace?.Note($"PENALTY|p{position.id} 注意 无preEod且平仓日=重置日：①退化0（此前重置并入额缺失，请核对日终归档完整性）");
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}
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else if (preEod != null)
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{
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capitalized = Math.Max(0m, preEod.TdInterestPrincipal * share - closePrincipal);
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}
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else
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{
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capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
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// 兜底①=0 但账龄已过重置周期：复利每周期并本，理应 ①>0——多为 interestWindowEmpty
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// (当日已结息)早退未重放覆盖种子值、或日终归档缺失。留痕含两侧基数与账龄，供直接定位根因。
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var ageDays = (unwindDate - position.PosiStartDate).Days;
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if (capitalized == 0m && ageDays >= periodDays)
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trace?.Note(
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$"PENALTY|p{position.id} 注意 无preEod兜底①=0但账龄{ageDays}天≥重置周期{periodDays}天：" +
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$"事件基数{normalEvent.InterestPrincipal:F2}=平仓本金{closePrincipal:F2}（疑似interestWindowEmpty种子未重放/日终归档缺失，" +
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$"请核对swap_flow_event.InterestPrincipal重放回写与eod_swap_position归档）");
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}
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// ① 不得超过实结金额（数据异常时钳制并留痕，避免负②进入计息）
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if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
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{
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trace?.Note($"PENALTY|p{position.id} 注意 承接①钳制：推导 {capitalized:F4} > 实结 {normalEvent.InterestAmount:F4}（快照/事件数据异常，请核对 preEod.TdInterestPrincipal/InterestIncomeSum）");
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capitalized = Math.Max(0m, normalEvent.InterestAmount);
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}
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return (capitalized, normalEvent.InterestAmount - capitalized);
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}
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}
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