feat(accrual): 新增 AccrueSimplePeriod + 影子测试
第2步迁移: CalcDailySimpleInterest（盘中单利多日）。 新增纯函数 AccrueSimplePeriod: - 单利特征: 计息本金恒定(差分 = priorAccrualPrincipal + positionPrincipal - originalPv) - 按重置日分段, 每段用 AccrualDays 算天数×日利息(无逐日循环) - 续接 priorValueDate 之后的日期 修复: SwapInterest.Round 是 private, 新方法改用 Math.Round。 修复: IReadOnlyList 无 IndexOf, 改用 for 循环索引。 影子测试(2个,全过): - 固定利率无归档: 旧新一致(差分本金=0,利息=0,符合旧逻辑) - 有归档续接+部分平仓50%: 旧新一致 验证: 编译0错误, 全量517测试7失败(基线一致)。
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hjhan
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using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Newtonsoft.Json;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Derivatives.Interest;
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namespace UnitTestProject.Modules.SwapModule.Accrual
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{
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/// <summary>
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/// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs FundingLegAccrual.AccrueSimplePeriod（新分段纯函数）。
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/// </summary>
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[TestClass]
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public class SimplePeriodShadowTest
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{
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private const decimal Notional = 100_000_000m;
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private const decimal Spread = 0.0025m;
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 4, 21);
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private static readonly DateTime EndDate = new(2026, 5, 11); // 21天, 7天周期→重置日 4/28, 5/5
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private static trade CreateTrade()
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{
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return new trade
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{
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id = 1, TradeNumber = "UT-SIMPLE-SHADOW", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
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trade_extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
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})
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}
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};
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}
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private static swap_position CreatePosition()
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = Spread,
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InterestPrincipalFix = Notional,
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PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
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IsInitial = true, Invalid = false,
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InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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}
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private sealed class StubSvc : SwapDealService
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{
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public StubSvc() : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest)) { }
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}
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/// <summary>
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/// 固定利率（无FR007）算头不算尾，全平，无历史归档。
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/// </summary>
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[TestMethod]
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public void 影子_固定利率_无归档_旧新一致()
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{
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var td = CreateTrade();
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var position = CreatePosition();
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var flowEvent = new swap_flow_event { InterestRate = Spread };
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var preEod = new eod_swap_position { id = 0, TdInterestPrincipal = 0, InterestProfitSum = 0 };
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// 旧方法
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
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AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);
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// 新方法：固定利率全段相同
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// 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
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var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
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var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0
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var result = FundingLegAccrual.AccrueSimplePeriod(
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priorUnrealized: 0m,
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accrualPrincipal: 0m, // 差分=0(无归档时 preEod.TdInterestPrincipal=0)
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closeRatio: 1m,
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segmentRates: segRates,
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startDate: StartDate,
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endDate: EndDate,
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priorValueDate: DateTime.MinValue,
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boundary: AccrualBoundary.StartOnly,
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annualDays: AnnualDays,
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isAnnualized: true);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
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Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
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}
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/// <summary>
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/// 有历史归档（preEod.id != 0），续接上一日终。
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/// </summary>
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[TestMethod]
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public void 影子_有归档_续接_旧新一致()
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{
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var position = CreatePosition();
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var preEodDate = new DateTime(2026, 5, 4); // 上一日终 = 第14天
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var preEod = new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 1001,
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ValueDate = preEodDate,
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TdInterestPrincipal = Notional,
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InterestProfitSum = 200_000m,
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PosiNotionalValue = Notional, FloatRate = 0m
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};
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var flowEvent = new swap_flow_event { InterestRate = Spread };
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// 旧方法
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
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AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);
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// 新方法
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// 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
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var accrualPrincipal = Notional + Notional - Notional;
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var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
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var result = FundingLegAccrual.AccrueSimplePeriod(
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priorUnrealized: 200_000m * 0.5m, // InterestProfitSum × closePercent
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accrualPrincipal: accrualPrincipal,
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closeRatio: 0.5m,
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segmentRates: segRates,
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startDate: StartDate,
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endDate: EndDate,
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priorValueDate: preEodDate,
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boundary: AccrualBoundary.StartOnly,
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annualDays: AnnualDays,
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isAnnualized: true);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
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Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
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}
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}
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}
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@@ -100,4 +100,75 @@ public static class FundingLegAccrual
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trace?.MarkEnd(result.Accrued, result.AccruedToday);
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return result;
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}
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/// <summary>
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/// 单利多日计息（纯函数，替换 CalcDailySimpleInterest 的"纯数学"部分）。
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///
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/// 单利特征：计息本金全程恒定（差分公式 = priorAccrualPrincipal + positionPrincipal - originalPv）。
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/// 按重置日分段，每段用对应利率算天数×日利息（无逐日循环，等价于 SwapInterest.AccrueSimple 分段累加）。
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///
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/// 利率变化点由调用方通过 segmentRates 传入（已取好 FR007），本方法不取价。
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/// </summary>
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/// <param name="priorUnrealized">上一日终累计待实现利息（preEod.InterestProfitSum × closeRatio）。</param>
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/// <param name="accrualPrincipal">计息本金（差分，全程恒定）。</param>
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/// <param name="closeRatio">平仓比例。</param>
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/// <param name="segmentRates">分段利率表：(段起日, all-in利率)，按日期升序。</param>
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/// <param name="startDate">计息开始日（PosiStartDate）。</param>
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/// <param name="endDate">计息结束日（平仓日）。</param>
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/// <param name="priorValueDate">上一日终归档日（只算此日之后的利息）。</param>
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/// <param name="boundary">算头算尾。</param>
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/// <param name="annualDays">年化天数。</param>
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/// <param name="isAnnualized">是否年化。</param>
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public static InterestResult AccrueSimplePeriod(
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decimal priorUnrealized,
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decimal accrualPrincipal,
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decimal closeRatio,
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IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
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DateTime startDate,
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DateTime endDate,
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DateTime priorValueDate,
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AccrualBoundary boundary,
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int annualDays,
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bool isAnnualized)
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{
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var displayPrincipal = accrualPrincipal * closeRatio;
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decimal interest = priorUnrealized;
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decimal tdInterest = priorUnrealized;
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var precision = SwapInterest.FundingLegPrecision;
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// 按段累加：每段内利率恒定，用 AccrualDays 算天数 × 日利息
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var segStart = startDate;
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var segIncludeStart = boundary.IncludeStart;
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for (int si = 0; si < segmentRates.Count; si++)
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{
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var (segRateStart, segRate) = segmentRates[si];
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var segEnd = si < segmentRates.Count - 1
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? segmentRates[si + 1].StartDate
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: endDate;
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// 跳过 priorValueDate 之前的日期（续接上一日终）
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var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
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if (effectiveStart > segEnd) { segStart = segEnd; continue; }
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// 算头算尾：首段用 boundary.IncludeStart，后续段不算头
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var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
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var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
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if (days <= 0) { segStart = segEnd; segIncludeStart = false; continue; }
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var dailyRate = isAnnualized ? segRate / annualDays : segRate;
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var daily = Math.Round(displayPrincipal * dailyRate, precision, MidpointRounding.AwayFromZero);
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var segInterest = Math.Round(daily * days, precision, MidpointRounding.AwayFromZero);
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interest += segInterest;
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tdInterest += segInterest;
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segStart = segEnd;
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segIncludeStart = false;
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}
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return new InterestResult(
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Math.Round(interest, precision, MidpointRounding.AwayFromZero),
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Math.Round(tdInterest, precision, MidpointRounding.AwayFromZero));
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}
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}
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