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Merge branch 'glms/feature/1.4.2' of http://git.yiliantech.com/gitlab/otc-dev/zszq-trs into glms/feature/1.4.2

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hjhan
2026-08-21 08:07:39 +08:00
parent a5a78eab10 e8d0a76442
commit 7209ffc16b
11 changed files with 412 additions and 49 deletions
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YLErpDAL/Modules/SwapModule/Penalty/PenaltyInterestFeeMerger.cs
+53 -33
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@@ -93,39 +93,9 @@ public static class PenaltyInterestFeeMerger
}
// 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。
// 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）：
// 段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
// 段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
// 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；
// 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
// preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
decimal capitalized = 0m, carryIn = 0m;
if (isCompound)
{
var periodDays = position.interest_rest_days ?? 1;
var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
if (unwindOnResetDay)
{
capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
trace?.Note($"PENALTY|p{position.id} 注意 无preEod且平仓日=重置日：①退化0（此前重置并入额缺失，请核对日终归档完整性）");
}
else if (preEod != null)
{
capitalized = Math.Max(0m, preEod.TdInterestPrincipal * share - closePrincipal);
}
else
{
capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
}
// ① 不得超过实结金额（数据异常时钳制并留痕，避免负②进入计息）
if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
{
trace?.Note($"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）");
capitalized = Math.Max(0m, normalEvent.InterestAmount);
}
carryIn = normalEvent.InterestAmount - capitalized;
}
var (capitalized, carryIn) = isCompound
? ResolveCompoundCarry(position, normalEvent, preEod, closePrincipal, share, unwindDate, trace)
: (0m, 0m);
var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound);
// 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
@@ -149,4 +119,54 @@ public static class PenaltyInterestFeeMerger
$"罚息={penalty:F2} → InterestFee {feeBefore:F2}→{normalEvent.InterestFee:F2} PnL含罚息={normalEvent.InterestClosePnL:F2}");
}
}
/// <summary>
/// 复利承接量：① 实际滚动基数中已并入部分 + ② 最近重置日后实际已计利息（= 实结 − ①）。
///
/// ① 的取值依赖平仓日是否为重置日、有无日终快照（数据契约）：
/// 段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+①），直接作差；
/// 段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
/// 会把它写为末次并本金后的基数（=被平份额本金+①），同样是实际值而非推导值；
/// 重置日当天平仓：快照基数仍是【上一段】的（今日并入尚未发生），须改取
/// preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
/// </summary>
private static (decimal Capitalized, decimal CarryIn) ResolveCompoundCarry(
swap_position position, swap_flow_event normalEvent, eod_swap_position? preEod,
decimal closePrincipal, decimal share, DateTime unwindDate, AccrualTrace? trace)
{
var periodDays = position.interest_rest_days ?? 1;
var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
var capitalized = 0m;
if (unwindOnResetDay)
{
capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
trace?.Note($"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）");
}
else if (preEod != null)
{
capitalized = Math.Max(0m, preEod.TdInterestPrincipal * share - closePrincipal);
}
else
{
capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
// 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
// (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。
var ageDays = (unwindDate - position.PosiStartDate).Days;
if (capitalized == 0m && ageDays >= periodDays)
trace?.Note(
$"PENALTY|p{position.id} 注意 无preEod兜底①=0但账龄{ageDays}天≥重置周期{periodDays}天：" +
$"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，" +
$"请核对swap_flow_event.InterestPrincipal重放回写与eod_swap_position归档）");
}
// ① 不得超过实结金额（数据异常时钳制并留痕，避免负②进入计息）
if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
{
trace?.Note($"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）");
capitalized = Math.Max(0m, normalEvent.InterestAmount);
}
return (capitalized, normalEvent.InterestAmount - capitalized);
}
}