fix(swap): 修复复利计算和部分平仓处理中的多个问题（算头算尾合约复利平仓）

- 修复合约名义本金规模模式下部分平仓时名义本金计算错误 - 修复最终全平时复利利息计算中历史平仓尾差处理问题 - 修复复利重置日处理中利息重复注入历史本金的错误 - 修复部分平仓后日终待实现利息计算中本金比例应用问题 - 修复全平且实际金额覆盖应结利息后待实现利息清零逻辑 - 新增复合复利交换服务用于单元测试验证 - 添加多个测试用例覆盖复利计算边界场景
2026-08-08 15:51:29 +08:00
parent c379e31b4d
commit 6fdc7d80b2
3 changed files with 538 additions and 21 deletions
@@ -48,6 +48,8 @@ namespace YLErp.Modules.SwapModule
            /// </summary>
            public List<swap_flow_event> AutoInterests { get; set; }

+            public SwapDealService DealService { get; set; }
+
            public eod_swap_position LastInterestCalculationEodPosition { get; private set; }

            public StubEodPositionService() : base(nameof(DealInterestsScenarioTest))
@@ -74,7 +76,7 @@ namespace YLErp.Modules.SwapModule
                    return AutoInterests;
                }

-                return new SwapDealService(this).GetInterests(td, tradeExtend, valueDate, unwindDate,
+                return (DealService ?? new SwapDealService(this)).GetInterests(td, tradeExtend, valueDate, unwindDate,
                    eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
                    closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
                    grossPrice, orginPv, add, settment, newCalcLast, closeList);
@@ -126,6 +128,27 @@ namespace YLErp.Modules.SwapModule
            }
        }

+        private sealed class StubCompoundSwapDealService : SwapDealService
+        {
+            private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
+
+            public StubCompoundSwapDealService(IReadOnlyDictionary<DateTime, double> floatRates = null)
+                : base(new OptUserInfo(0, nameof(StubCompoundSwapDealService), OptUserFrom.UnitTest))
+            {
+                _floatRates = floatRates ?? new Dictionary<DateTime, double>();
+            }
+
+            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
+            {
+                return _floatRates.TryGetValue(valueDate.Date, out rate);
+            }
+
+            public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
+            {
+                return 0m;
+            }
+        }
+
        #endregion

        #region 数据构建器
@@ -1085,6 +1108,437 @@ namespace YLErp.Modules.SwapModule
                MidpointRounding.AwayFromZero), "Final close cash interest must be 0.82");
        }

+        [TestMethod]
+        public void DI_MANUAL_CLOSE_007_CompoundFinalCloseSettlesFirstPartialCloseRoundingTail()
+        {
+            const decimal originalNotional = 10012.35m;
+            const decimal remainingNotional = originalNotional / 2m;
+            const decimal rate = 0.0299m;
+            var firstCloseDate = StartDate.AddDays(6);
+            var finalCloseDate = firstCloseDate.AddDays(6);
+            var td = CreateTrade();
+            td.trade_extend.ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+            {
+                AnnualDays = AnnualDays,
+                InterestCalcMode = "11",
+                SettlementRules = 0
+            });
+            var position = CreateInterestPosition();
+            position.InterestType = (int)InterestTypeEnum.复利;
+            position.InterestRateDefault = rate;
+            position.InterestPrincipalFix = originalNotional;
+            position.interest_rest_days = 1;
+            position.InterestSwapInterval = null;
+            var dealService = new StubCompoundSwapDealService();
+            var eodService = new StubEodPositionService { DealService = dealService };
+
+            var firstCloseInterest = dealService.GetInterests(
+                td, td.trade_extend, firstCloseDate, firstCloseDate,
+                new List<eod_swap_position>(), new List<swap_position> { position },
+                originalNotional, originalNotional, 0m, remainingNotional, 0.5m,
+                (int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
+                settment: false).Single();
+            var firstCloseCash = Math.Round(firstCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
+                MidpointRounding.AwayFromZero);
+            var firstCloseRoundingTail = firstCloseInterest.InterestAmount - firstCloseCash;
+            Assert.AreNotEqual(0m, firstCloseRoundingTail,
+                $"首次部分平仓高精度利息 {firstCloseInterest.InterestAmount:F12} 按两位实际结算 {firstCloseCash:F2}，尾差 {firstCloseRoundingTail:F12}");
+            var firstCloseFlow = CreateSwapFlowEvent(firstCloseDate, firstCloseCash);
+            firstCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
+            firstCloseFlow.InterestPrincipal = remainingNotional;
+            var firstCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
+                null, position, td, firstCloseDate, null, remainingNotional, 0m,
+                new List<swap_flow_event> { firstCloseFlow }, remainingNotional, false);
+
+            var replayAtPreviousEod = dealService.GetInterests(
+                td, td.trade_extend, firstCloseDate, firstCloseDate,
+                new List<eod_swap_position>(), new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
+                settment: false).Single();
+            var replayAtFinalClose = dealService.GetInterests(
+                td, td.trade_extend, finalCloseDate, finalCloseDate,
+                new List<eod_swap_position>(), new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
+                settment: false).Single();
+            var expectedFinalInterest = firstCloseEod.InterestIncomeSum
+                + replayAtFinalClose.InterestAmount - replayAtPreviousEod.InterestAmount;
+            var expectedFinalCash = Math.Round(expectedFinalInterest, ConsGlobal.MoneyRound,
+                MidpointRounding.AwayFromZero);
+            var expectedTotalCash = Math.Round(firstCloseCash + firstCloseEod.InterestIncomeSum
+                + replayAtFinalClose.InterestAmount - replayAtPreviousEod.InterestAmount,
+                ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
+
+            var finalCloseInterest = dealService.GetInterests(
+                td, td.trade_extend, finalCloseDate, finalCloseDate,
+                new List<eod_swap_position> { firstCloseEod }, new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
+                settment: false).Single();
+            var finalCloseCash = Math.Round(finalCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
+                MidpointRounding.AwayFromZero);
+            var finalCloseFlow = CreateSwapFlowEvent(finalCloseDate, finalCloseCash);
+            finalCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
+            finalCloseFlow.InterestPrincipal = remainingNotional;
+            var finalCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
+                firstCloseEod, position, td, finalCloseDate, null, 0m, 0m,
+                new List<swap_flow_event> { finalCloseFlow }, remainingNotional, false);
+
+            AssertDecimal(expectedFinalCash, finalCloseCash,
+                "最终全平现金必须带走上一日日终的待实现利息尾差");
+            AssertDecimal(expectedTotalCash,
+                firstCloseCash + finalCloseCash,
+                "两次实际结算现金必须守恒");
+            AssertDecimal(0m, finalCloseEod.InterestIncomeSum, "全平且实际金额覆盖应结利息后待实现应清零");
+            AssertDecimal(firstCloseCash + finalCloseCash, finalCloseEod.RealizedInterest,
+                "累计已实现利息必须等于历次实际结算金额之和");
+
+            var incompleteFinalCloseFlow = CreateSwapFlowEvent(finalCloseDate, finalCloseCash - 0.01m);
+            incompleteFinalCloseFlow.EventType = (int)SwapFlowEventTypeEnum.平仓;
+            incompleteFinalCloseFlow.InterestPrincipal = remainingNotional;
+            var incompleteFinalCloseEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
+                firstCloseEod, position, td, finalCloseDate, null, 0m, 0m,
+                new List<swap_flow_event> { incompleteFinalCloseFlow }, remainingNotional, false);
+            AssertDecimal(expectedFinalInterest - incompleteFinalCloseFlow.InterestAmount,
+                incompleteFinalCloseEod.InterestIncomeSum,
+                "最终全平流水少结 0.01 时，日终必须保留未结利息而非清零");
+        }
+
+        [TestMethod]
+        public void DI_GLMS_20260421_0007_ContractNotionalCompoundPartialCloseScalesAndFinalCloseUsesRemainingPrincipal()
+        {
+            const decimal notional = 303139117.8m;
+            const decimal partialPercent = 0.3m;
+            const decimal partialNotional = notional * partialPercent;
+            const decimal remainingNotional = notional - partialNotional;
+            const decimal spread = 0.0025m;
+            var startDate = new DateTime(2026, 4, 21);
+            var maturityDate = new DateTime(2026, 5, 19);
+            var partialCloseDate = new DateTime(2026, 5, 11);
+            var td = new trade
+            {
+                id = 7007,
+                TradeNumber = "GLMS-20260421-0007",
+                ClientId = 999998,
+                TradeType = "收益互换",
+                TradeDate = startDate,
+                StartDate = startDate,
+                ExerciseDate = maturityDate,
+                TradeStatus = "确认成交",
+                ValidState = "Valid",
+                trade_extend = new trade_extend
+                {
+                    TradeId = 7007,
+                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                    {
+                        AnnualDays = AnnualDays,
+                        InterestCalcMode = "11",
+                        SettlementRules = 0
+                    })
+                }
+            };
+            var position = new swap_position
+            {
+                id = 70071,
+                SwapTradeId = td.id,
+                PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.合约名义本金规模,
+                InterestRateDefault = spread,
+                InterestPrincipalFix = notional,
+                PosiStartDate = startDate,
+                PosiMatuirityDate = maturityDate,
+                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 = maturityDate, Rate = spread, Settlement = 0 }
+                })
+            };
+            var service = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
+            {
+                [new DateTime(2026, 4, 20)] = 0.0132,
+                [new DateTime(2026, 4, 21)] = 0.0132,
+                [new DateTime(2026, 4, 22)] = 0.0132,
+                [new DateTime(2026, 4, 23)] = 0.0132,
+                [new DateTime(2026, 4, 24)] = 0.0131,
+                [new DateTime(2026, 4, 27)] = 0.013502,
+                [new DateTime(2026, 4, 28)] = 0.0136,
+                [new DateTime(2026, 4, 29)] = 0.0138,
+                [new DateTime(2026, 4, 30)] = 0.0139,
+                [new DateTime(2026, 5, 4)] = 0.0139,
+                [new DateTime(2026, 5, 5)] = 0.0139,
+                [new DateTime(2026, 5, 6)] = 0.0136,
+                [new DateTime(2026, 5, 7)] = 0.0136,
+                [new DateTime(2026, 5, 8)] = 0.0135,
+                [new DateTime(2026, 5, 9)] = 0.0131,
+                [new DateTime(2026, 5, 11)] = 0.0134,
+                [new DateTime(2026, 5, 12)] = 0.013,
+                [new DateTime(2026, 5, 13)] = 0.0129,
+                [new DateTime(2026, 5, 14)] = 0.013,
+                [new DateTime(2026, 5, 15)] = 0.013,
+                [new DateTime(2026, 5, 18)] = 0.0132,
+                [new DateTime(2026, 5, 19)] = 0.0131
+            });
+            var previousEod = new eod_swap_position
+            {
+                id = 70072,
+                SwapTradeId = td.id,
+                PositionId = position.id,
+                ValueDate = new DateTime(2026, 5, 10),
+                TdInterestPrincipal = 303324019.3183441374m,
+                InterestIncomeSum = 266674.349853521170m,
+                InterestProfitSum = 266674.349853521170m,
+                FloatRate = 0.0139m
+            };
+
+            var partial = service.GetInterests(
+                td, td.trade_extend, partialCloseDate, partialCloseDate,
+                new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
+                notional, notional, 0m, partialNotional, partialPercent,
+                (int)SwapEventTypeEnum.平仓, false, false, 0m, notional,
+                settment: false).Single();
+            AssertDecimal(84090.95m, Math.Round(partial.InterestAmount, ConsGlobal.MoneyRound,
+                MidpointRounding.AwayFromZero),
+                "GLMS-20260421-0007 30% 复利合约名义本金平仓必须按比例结算");
+
+            var final = service.GetInterests(
+                td, td.trade_extend, maturityDate, maturityDate,
+                new List<eod_swap_position>(), new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
+                settment: false, newCalcLast: true).Single();
+            AssertDecimal(268428.73m, Math.Round(final.InterestAmount, ConsGlobal.MoneyRound,
+                MidpointRounding.AwayFromZero),
+                "后续全平必须只结算剩余70%本金的复利，不重复结算原始全额");
+            Assert.AreNotEqual(280303.16m,
+                Math.Round(final.InterestAmount, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero),
+                "后续全平不得再次使用原始全额本金");
+        }
+
+        [TestMethod]
+        public void DI_GLMS_20260421_0007_EodPartialCloseCarriesRemainingCompoundAccrual()
+        {
+            const decimal originalNotional = 303139117.8m;
+            const decimal partialNotional = 90941735.34m;
+            const decimal remainingNotional = 212197382.46m;
+            const decimal spread = 0.0025m;
+            var partialCloseDate = new DateTime(2026, 5, 11);
+            var intermediateDate = new DateTime(2026, 5, 18);
+            var finalCloseDate = new DateTime(2026, 5, 19);
+            var td = new trade
+            {
+                id = 7007,
+                TradeNumber = "GLMS-20260421-0007-EOD",
+                ClientId = 999998,
+                TradeType = "收益互换",
+                TradeDate = new DateTime(2026, 4, 21),
+                StartDate = new DateTime(2026, 4, 21),
+                ExerciseDate = finalCloseDate,
+                TradeStatus = "确认成交",
+                ValidState = "Valid",
+                StructureType = "单标的",
+                QuoteCurrency = "CNY",
+                SettlementCurrency = "CNY",
+                trade_extend = new trade_extend
+                {
+                    TradeId = 7007,
+                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                    {
+                        AnnualDays = AnnualDays,
+                        InterestCalcMode = "11",
+                        SettlementRules = 0
+                    })
+                }
+            };
+            var position = new swap_position
+            {
+                id = 70071,
+                SwapTradeId = td.id,
+                PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.合约名义本金规模,
+                InterestRateDefault = spread,
+                InterestPrincipalFix = originalNotional,
+                PosiStartDate = td.StartDate.Value,
+                PosiMatuirityDate = finalCloseDate,
+                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 = finalCloseDate, Rate = spread, Settlement = 0 }
+                })
+            };
+            var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
+            {
+                [new DateTime(2026, 4, 21)] = 0.0132,
+                [new DateTime(2026, 4, 28)] = 0.0136,
+                [new DateTime(2026, 4, 30)] = 0.0139,
+                [new DateTime(2026, 5, 4)] = 0.0139,
+                [new DateTime(2026, 5, 5)] = 0.0139,
+                [new DateTime(2026, 5, 6)] = 0.0136,
+                [new DateTime(2026, 5, 11)] = 0.0134,
+                [new DateTime(2026, 5, 12)] = 0.013,
+                [new DateTime(2026, 5, 13)] = 0.0129,
+                [new DateTime(2026, 5, 19)] = 0.0131
+            });
+            var eodService = new StubEodPositionService { DealService = dealService };
+            var previousEod = new eod_swap_position
+            {
+                id = 70072,
+                SwapTradeId = td.id,
+                PositionId = position.id,
+                ValueDate = new DateTime(2026, 5, 10),
+                InterestDirection = position.InterestDirection,
+                InterestMode = position.InterestMode,
+                InterestType = position.InterestType,
+                InterestRateDefault = spread,
+                InterestIncomeSum = 266674.349853521170m,
+                InterestProfitSum = 266674.349853521170m,
+                TdInterestPrincipal = 303324019.3183441374m,
+                PosiNotionalValue = originalNotional,
+                FloatRate = 0.0139m,
+                IsAnnualized = true,
+                interest_rest_days = 7,
+                interest_rule = 0
+            };
+            var partialCloseFlow = new swap_flow_event
+            {
+                SwapTradeId = td.id,
+                PositionId = position.id,
+                EventType = (int)SwapFlowEventTypeEnum.平仓,
+                EventDate = partialCloseDate,
+                UnwindDate = partialCloseDate,
+                InterestDirection = position.InterestDirection,
+                InterestRate = spread,
+                InterestPrincipal = partialNotional,
+                InterestAmount = 84090.95m,
+                InterestClosePnL = 84090.95m,
+                DataState = (int)SwapFlowDateStateEnum.完成
+            };
+
+            var partialEod = eodService.ExecuteSaveAutoEodWithCloseInterestPosition(
+                previousEod, position, td, partialCloseDate, null, remainingNotional, 0m,
+                new List<swap_flow_event> { partialCloseFlow }, partialNotional, false);
+            AssertDecimal(13628.805251563956m, partialEod.TdInterestIncome,
+                "5/11 EOD 当日新增复利必须按平仓前全额本金计提");
+            AssertDecimal(196212.205105085126m, partialEod.InterestIncomeSum,
+                "5/11 EOD 应保留部分平仓后的待实现复利");
+
+            var intermediateInterest = dealService.GetInterests(
+                td, td.trade_extend, intermediateDate, intermediateDate,
+                new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
+                settment: false, newCalcLast: true).Single();
+            Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
+                $"5/18 复利平仓应承接 5/11 日终剩余本金的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}");
+
+        }
+
+        [TestMethod]
+        public void DI_GLMS_20260421_0006_FinalCloseCarriesPreviousEodInterest()
+        {
+            const decimal remainingNotional = 212197382.46m;
+            const decimal expectedInterest = -119386.71m;
+            var finalCloseDate = new DateTime(2026, 5, 19);
+            var td = new trade
+            {
+                id = 6006,
+                TradeNumber = "GLMS-20260421-0006",
+                ClientId = 999998,
+                TradeType = "收益互换",
+                TradeDate = new DateTime(2026, 4, 21),
+                StartDate = new DateTime(2026, 4, 22),
+                ExerciseDate = finalCloseDate,
+                TradeStatus = "确认成交",
+                ValidState = "Valid",
+                StructureType = "单标的",
+                QuoteCurrency = "CNY",
+                SettlementCurrency = "CNY",
+                trade_extend = new trade_extend
+                {
+                    TradeId = 6006,
+                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                    {
+                        AnnualDays = AnnualDays,
+                        InterestCalcMode = "10",
+                        SettlementRules = 0
+                    })
+                }
+            };
+            var position = new swap_position
+            {
+                id = 60061,
+                SwapTradeId = td.id,
+                PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.标的期初全价,
+                InterestRateDefault = -0.021m,
+                InterestPrincipalFix = remainingNotional,
+                PosiStartDate = td.StartDate.Value,
+                PosiMatuirityDate = td.ExerciseDate.Value,
+                IsInitial = true,
+                Invalid = false,
+                InterestType = (int)InterestTypeEnum.复利,
+                IsAnnualized = true,
+                interest_rest_days = 7,
+                interest_rule = 0,
+                FloatRateUnderlyingCode = "FR007",
+                InterestSwapInterval = null
+            };
+            var previousEod = new eod_swap_position
+            {
+                id = 60062,
+                SwapTradeId = td.id,
+                PositionId = position.id,
+                ValueDate = new DateTime(2026, 5, 18),
+                InterestDirection = position.InterestDirection,
+                InterestMode = position.InterestMode,
+                InterestType = position.InterestType,
+                InterestRateDefault = position.InterestRateDefault,
+                FloatRate = 0.0132m,
+                InterestIncomeSum = expectedInterest,
+                InterestProfitSum = expectedInterest,
+                TdInterestPrincipal = remainingNotional,
+                PosiNotionalValue = remainingNotional,
+                IsAnnualized = true,
+                interest_rest_days = 7,
+                interest_rule = 0
+            };
+            var dealService = new StubCompoundSwapDealService(new Dictionary<DateTime, double>
+            {
+                [new DateTime(2026, 4, 22)] = 0.0132,
+                [new DateTime(2026, 4, 29)] = 0.0138,
+                [new DateTime(2026, 5, 6)] = 0.0136,
+                [new DateTime(2026, 5, 13)] = 0.0129,
+                [new DateTime(2026, 5, 19)] = 0.0131
+            });
+
+            var result = dealService.GetInterests(
+                td, td.trade_extend, finalCloseDate, finalCloseDate,
+                new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
+                remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
+                (int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
+                settment: false).Single();
+
+            AssertDecimal(expectedInterest, result.InterestAmount,
+                "GLMS-20260421-0006 最终全平应承接 5/18 日终待实现利息");
+            Assert.AreNotEqual(-123072.67m, result.InterestAmount,
+                "不得回归旧库错误的 -123072.67 最终利息");
+        }
+
        /// <summary>
        /// [DI_MATURITY_SETTLEMENT_001] 到期日存在手动互换但未带齐待实现时不能清零；
        /// 当前事件按两位覆盖全部可结金额后，才可视为最终结算并清零。
@@ -830,6 +830,12 @@ namespace YLErp.Modules.SwapModule

                // 计算名义本金
                var (closePrincipal, posiPrincipal, newClosePercent) = CalcNotionalByMode(position, closePrecent, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue);
+                if ((InterestModeEnum)position.InterestMode == InterestModeEnum.合约名义本金规模
+                    || (InterestModeEnum)position.InterestMode == InterestModeEnum.标的期初全价
+                    && posiNotionalValue == 0m)
+                {
+                    closePrincipal = closePosiNotionalValue;
+                }
                if ((InterestModeEnum)position.InterestMode == InterestModeEnum.追加预付金 || (InterestModeEnum)position.InterestMode == InterestModeEnum.初始预付金)
                {
                    positionClone.InterestDirection = position.InterestDirection == (int)SwapDirectionEnum.收取 ? (int)SwapDirectionEnum.支付 : (int)SwapDirectionEnum.收取;
@@ -910,6 +916,9 @@ namespace YLErp.Modules.SwapModule
                    closePrincipal = posiShort * closePercent;
                    posiPrincipal = posiShort;
                    break;
+                case InterestModeEnum.合约名义本金规模:
+                    closePrincipal = posiNotional * closePercent;
+                    break;
                case InterestModeEnum.标的期初全价:
                    closePrincipal = posiNotional * closePercent;
                    break;
@@ -1228,6 +1237,24 @@ namespace YLErp.Modules.SwapModule
                    CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue, interest, annualDays, needPrice,
                        floateRate, closePrecent, orginPv, calcFirst, calcLast, ref InterestAmount, ref TdInterestAmount,
                        consumedInterest, resetCarryInterest);
+                    if (preEodPosition.id != 0 && closePrecent == 1m)
+                    {
+                        // 最终全平只重放上一日终之后的新增利息；历史部分平仓的两位结算尾差已在日终待实现中。
+                        var interestAtEnd = new swap_flow_event { InterestRate = rate };
+                        decimal amountAtEnd = 0m;
+                        decimal tdAmountAtEnd = 0m;
+                        CalcDailyCompoundInterest(endDate, position, closePosiNotionalValue,
+                            interestAtEnd, annualDays, needPrice, floateRate, closePrecent, orginPv,
+                            calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest);
+                        var interestAtPreviousEod = new swap_flow_event { InterestRate = rate };
+                        decimal amountAtPreviousEod = 0m;
+                        decimal tdAmountAtPreviousEod = 0m;
+                        CalcDailyCompoundInterest(preEodPosition.ValueDate, position, closePosiNotionalValue,
+                            interestAtPreviousEod, annualDays, needPrice, floateRate, closePrecent, orginPv,
+                            calcFirst, calcLast, ref amountAtPreviousEod, ref tdAmountAtPreviousEod, consumedInterest);
+                        InterestAmount = preEodPosition.InterestIncomeSum + amountAtEnd - amountAtPreviousEod;
+                        TdInterestAmount = preEodPosition.InterestIncomeSum + tdAmountAtEnd - tdAmountAtPreviousEod;
+                    }
                }
                else
                {
@@ -1291,8 +1318,13 @@ namespace YLErp.Modules.SwapModule
                {
                    if (i % interestPeriod == 0)
                    {
-                        // 复利时：利息并入本金（FR007 取价已提前到 calcFirst/calcLast 跳过之前完成）
-                        var interestToReset = i == 0 || resetCarryInterest == 0m ? interest : resetCarryInterest;
+                        // resetCarryInterest 是上一日终待实现按本次平仓比例分摊后的存量，
+                        // 只能在 endDate 恰好是当前复利重置日时并入本金。历史重置点必须使用
+                        // 重放到当时的 interest，否则会把上一日终存量反复注入历史本金，
+                        // 例如 0007 的 5/11 部分平仓会由 84,090.95 被多算为 84,114.88。
+                        var interestToReset = i > 0 && accrueDate == endDate && resetCarryInterest != 0m
+                            ? resetCarryInterest
+                            : interest;
                        dynomicPrincipal = principal + interestToReset;
                        tdDynomicPrincipal = principal + interestToReset;
                        flowEvent.InterestPrincipal = tdDynomicPrincipal;
@@ -1295,10 +1295,14 @@ namespace YLErp.Modules.SwapModule
            // 首次日终结算可能包含当日收盘，因此尚无先前的日终利息持仓。
            // 部分平仓仍要续接上一日日终：CalcUnwindInterest 会将 InterestProfitSum
            // 加入本次待实现，已实现字段也必须按日累计，不能从新建的临时对象重新开始。
+            var hasPreviousEod = eodPayPosition != null && eodPayPosition.id != 0;
            var lastInterestIncomeSum = eodPayPosition?.InterestIncomeSum ?? 0m;
            var lastInterestFeeSum = eodPayPosition?.InterestFeeSum ?? 0m;
            var lastRealizedInterest = eodPayPosition?.RealizedInterest ?? 0m;
            var lastRealizedInterestFee = eodPayPosition?.RealizedInterestFee ?? 0m;
+            // 先保留平仓前的复利本金；后面 interests.First().InterestPrincipal 是本次已平部分，
+            // 不能用它代表平仓前全额本金计算当日总利息。
+            var lastTdInterestPrincipal = eodPayPosition?.TdInterestPrincipal ?? 0m;
            // 保留上一日日终标识和计息上下文，部分平仓只从 ValueDate 之后续算，不能重置到交易起始日。
            eodPayPosition = eodPayPosition?.Clone() ?? new eod_swap_position();
            eodPayPosition.ClientId = td.ClientId;
@@ -1401,28 +1405,55 @@ namespace YLErp.Modules.SwapModule
            {
                intersetAcmount /= tradeExtend.AnnualDays;
            }
-            newEodPayPosition.TdInterestIncome = !autoSwap && calcLast
-                ? TdInterestAmount - lastInterestIncomeSum
-                : intersetAcmount;
+            newEodPayPosition.TdInterestIncome = autoSwap
+                ? intersetAcmount
+                : !hasPreviousEod
+                    ? interestAmountBeforeSettlement
+                    : posiNotionalValue == 0m
+                        ? interestAmountBeforeSettlement - lastInterestIncomeSum
+                        : lastRealizedInterest != 0m || lastRealizedInterestFee != 0m || !calcLast
+                        ? intersetAcmount
+                        : TdInterestAmount - lastInterestIncomeSum;
+            if (!autoSwap
+                && calcLast
+                && closePercent > 0m && closePercent < 1m
+                && posiNotionalValue > 0m
+                && position.InterestType == (int)InterestTypeEnum.复利
+                && position.InterestMode == (int)InterestModeEnum.合约名义本金规模)
+            {
+                // 算尾的复利部分平仓：平仓金额只结算“上日待实现 * 平仓比例
+                // + 已平本金当日利息”，但日终待实现必须按“上日待实现
+                // + 平仓前全额本金当日利息 - 实际平仓结算”递推。
+                // 通用路径的 intersetAcmount 此时基于已平本金：0007 只得到 30% 的
+                // 4,088.64，会漏记剩余 70% 的 9,540.16；因此改用上日终全额复利本金，
+                // 得到当日总利息 13,628.81，剩余部分才能继续参与后续复利。
+                var fullPrincipal = lastTdInterestPrincipal > 0m
+                    ? lastTdInterestPrincipal
+                    : oriPosiNotionalValue;
+                newEodPayPosition.TdInterestIncome = fullPrincipal
+                    * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
+                if (position.IsAnnualized)
+                {
+                    newEodPayPosition.TdInterestIncome /= tradeExtend.AnnualDays;
+                }
+            }
            Log.Info($"InterestIncomeSum is {lastInterestIncomeSum},TdInterestIncome is {newEodPayPosition.TdInterestIncome}" +
                     $",TdCloseInterest is {newEodPayPosition.TdCloseInterest}");
            Log.Info($"InterestFeeSum is {eodPayPosition.InterestFeeSum},TdInterestFee is {newEodPayPosition.TdInterestFee}" +
                     $",TdCloseInterestFee is {newEodPayPosition.TdCloseInterestFee}");
-            if (closePercent == 1)
-            {
-                // 全量平仓后不应把待实现利息或费用带入下一交易日。
-                newEodPayPosition.InterestIncomeSum = 0;
-                newEodPayPosition.InterestFeeSum = 0;
-            }
-            else
-            {
-                var pendingInterestBeforeSettlement = autoSwap
-                    ? interestAmountBeforeSettlement
-                    : lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
-                newEodPayPosition.InterestIncomeSum = RoundEodInterest(
-                    pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
-                newEodPayPosition.InterestFeeSum = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee - newEodPayPosition.TdCloseInterestFee;
-            }
+            var pendingInterestBeforeSettlement = autoSwap
+                ? interestAmountBeforeSettlement
+                : lastInterestIncomeSum + newEodPayPosition.TdInterestIncome;
+            var pendingInterestFeeBeforeSettlement = eodPayPosition.InterestFeeSum
+                + newEodPayPosition.TdInterestFee;
+            newEodPayPosition.InterestIncomeSum = closePercent == 1
+                && RoundMoney(pendingInterestBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterest)
+                ? 0m
+                : RoundEodInterest(pendingInterestBeforeSettlement - newEodPayPosition.TdCloseInterest);
+            newEodPayPosition.InterestFeeSum = closePercent == 1
+                && RoundMoney(pendingInterestFeeBeforeSettlement) == RoundMoney(newEodPayPosition.TdCloseInterestFee)
+                ? 0m
+                : RoundEodInterest(pendingInterestFeeBeforeSettlement - newEodPayPosition.TdCloseInterestFee);
            //持仓内容-利息腿-损益统计(本方视角）
            newEodPayPosition.InterestProfitSum = newEodPayPosition.InterestIncomeSum + newEodPayPosition.InterestFeeSum;
            //持仓价值