Merge branch 'glms/feature/1.4.2' into glms/feature/0812_zmr_divPower

UnitTestProject/Modules/SwapModule/Penalty/PenaltyBoundaryMatrixTest.cs

@@ -11,7 +11,9 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
     ///   ② 重置日前一日平仓（② 几乎整段、窗口首段 0 天）；
     ///   ③ 到期日恰为重置日（末段 [到期,到期] 1 天）；
     ///   ④ 锚点偏离（td.StartDate=7/31 但腿 PosiStartDate=8/3 的延期/存续腿——重置网格整体不同）；
-    ///   ⑤ 起息日当天平仓（无 preEod）。
+    ///   ⑤ 起息日当天平仓（无 preEod）；
+    ///   ⑥ 部分平仓 share<1 + 无 preEod 兜底——钉 merger 复刻 GetInterests 本金口径的接缝
+    ///     （现有用例全部 closePercent=1m，重放基数与复刻本金的口径偏差在 share=1 下不可见）。
     ///
     /// 一致性前提（与现实世界对齐）：冻结利率 = 当前重置区间（含 unwind-1 的区间）的在役利率，
     /// 即"历史末段利率 = 冻结利率"；历史各段定盘不同（体现真实 FR007 利率历史）。
@@ -67,7 +69,7 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
 
         private static decimal RunFee(trade td, swap_position p, decimal settledAmount,
             eod_swap_position? preEod, DateTime unwind, bool settled, decimal spread,
-            decimal interestPrincipal = 0m, bool maturityCalcLast = true)
+            decimal interestPrincipal = 0m, bool maturityCalcLast = true, decimal closePercent = 1m)
         {
             var e = new swap_flow_event
             {
@@ -78,7 +80,8 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
             PenaltyInterestFeeMerger.Merge(
                 td, new List<swap_position> { p }, new List<swap_flow_event> { e },
                 unwind, AnnualDays, settled, maturityCalcLast: maturityCalcLast,
-                posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
+                posiNotionalValue: Notional, closePosiNotionalValue: Notional * closePercent,
+                closePercent: closePercent,
                 getSpread: _ => spread, getPreEod: _ => preEod, tryGetFixing: (d, c) => spread);
             return e.InterestFee;
         }
@@ -192,6 +195,30 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
                 "无preEod+已有重置：兜底取事件基数后 ① 精确，全期=实结+罚息（修复前差≈3.17元）");
         }
 
+        [TestMethod]
+        public void 部分平仓无preEod兜底_share对齐本金口径_恒等式成立()
+        {
+            // 接缝守卫：merger 的 closePrincipal 走 CalcNotional 复刻 GetInterests 口径
+            // （标的期初全价 = posiNotional×closePercent），而重放基数由调用方以
+            // closePosiNotionalValue 缩放——两处口径若有偏差，share=1 时不可见、
+            // share<1 时 ① 里会混入本金差。本用例以 50% 平仓钉死该对齐。
+            var start = new DateTime(2026, 8, 5); var unwind = new DateTime(2026, 8, 20); var maturity = new DateTime(2026, 9, 30);
+            var hist = new decimal[] { 0.0216m, 0.0144m }; // 8/5 段 2.16% / 8/19 段 1.44%(=冻结)，14 天重置
+            var share = 0.5m;
+            var closedNotional = Notional * share;
+            // 被平份额的实结与重放基数：复利对 notional 线性，直接按半额本金重放
+            var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, hist, notional: closedNotional, period: 14);
+            var replayFinalBasis = closedNotional + AccrueOnGrid(start, new DateTime(2026, 8, 18), AccrualBoundary.Both, hist, notional: closedNotional, period: 14);
+
+            var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1], periodDays: 14), elapsed,
+                preEod: null, unwind: unwind, settled: false, spread: hist[^1],
+                interestPrincipal: replayFinalBasis, maturityCalcLast: false, closePercent: share);
+
+            var full = AccrueOnGrid(start, maturity, AccrualBoundary.StartOnly, hist, notional: closedNotional, period: 14);
+            Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
+                "部分平仓+无preEod：兜底①按被平份额缩放精确，全期(被平份额)=实结+罚息（口径漂移时此式必挂）");
+        }
+
         [TestMethod]
         public void 起息日当天平仓_无preEod_恒等式成立()
         {

UnitTestProject/Modules/SwapModule/Penalty/PenaltyInterestFeeMergerTest.cs

@@ -50,7 +50,8 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
 
         private static void RunMerge(
             swap_position p, swap_flow_event normalEvent, eod_swap_position? preEod,
-            Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null)
+            Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null,
+            AccrualTrace? trace = null)
         {
             getSpread ??= _ => Rate;
             tryGetFixing ??= (d, code) => Rate;
@@ -61,7 +62,8 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
                 posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
                 getSpread: getSpread,
                 getPreEod: _ => preEod,
-                tryGetFixing: tryGetFixing);
+                tryGetFixing: tryGetFixing,
+                trace: trace);
         }
 
         /// <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>
@@ -152,6 +154,45 @@ namespace UnitTestProject.Modules.SwapModule.Penalty
             Assert.IsTrue(e.InterestFee > 0m, "无 preEod（首日平仓等）仍可计算罚息");
         }
 
+        [TestMethod]
+        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()
+        {
+            // 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)→兜底已并复利本金=0。
+            // 账龄 25 天 ≥ 7 天重置周期：复利每周期并本理应>0，已并复利本金=0 属退化——
+            // 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。
+            var e = NormalEvent(settledAmount: 50_000m);
+            e.InterestPrincipal = Notional; // GetInterests 种子值：interestWindowEmpty 早退路径不会用重放基数覆盖它
+            var trace = new AccrualTrace();
+            RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null, trace: trace);
+
+            StringAssert.Contains(trace.ToString(), "无preEod兜底已并复利本金=0",
+                "已并复利本金=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");
+        }
+
+        [TestMethod]
+        public void 无preEod兜底为正_不留退化告警()
+        {
+            var e = NormalEvent(settledAmount: 50_000m);
+            e.InterestPrincipal = Notional + 100_000m; // 重放末次并本金后基数 → 已并复利本金=100000 正常路径
+            var trace = new AccrualTrace();
+            RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null, trace: trace);
+
+            Assert.IsFalse(trace.ToString().Contains("兜底已并复利本金=0"), "已并复利本金>0 是正常兜底路径，不得告警");
+        }
+
+        [TestMethod]
+        public void 无preEod真首日兜底为零_不留退化告警()
+        {
+            var p = Leg(InterestTypeEnum.复利);
+            p.PosiStartDate = UnwindDate; // 起息日当天平仓：账龄 0 < 重置周期，已并复利本金=0 是设计内约定(类头注)
+            var e = NormalEvent(settledAmount: 50_000m);
+            e.InterestPrincipal = Notional;
+            var trace = new AccrualTrace();
+            RunMerge(p, e, preEod: null, trace: trace);
+
+            Assert.IsFalse(trace.ToString().Contains("兜底已并复利本金=0"), "真首日 已并复利本金=0 合法，不得告警");
+        }
+
         [TestMethod]
         public void 冻结利率解析失败_跳过该腿不阻断()
         {