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)。
2026-08-12 09:27:20 +08:00
parent 217c2d5826
commit 963b5e66af
2 changed files with 221 additions and 0 deletions
@@ -100,4 +100,75 @@ public static class FundingLegAccrual
        trace?.MarkEnd(result.Accrued, result.AccruedToday);
        return result;
    }
+
+    /// <summary>
+    /// 单利多日计息（纯函数，替换 CalcDailySimpleInterest 的"纯数学"部分）。
+    ///
+    /// 单利特征：计息本金全程恒定（差分公式 = priorAccrualPrincipal + positionPrincipal - originalPv）。
+    /// 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）。
+    ///
+    /// 利率变化点由调用方通过 segmentRates 传入（已取好 FR007），本方法不取价。
+    /// </summary>
+    /// <param name="priorUnrealized">上一日终累计待实现利息（preEod.InterestProfitSum × closeRatio）。</param>
+    /// <param name="accrualPrincipal">计息本金（差分，全程恒定）。</param>
+    /// <param name="closeRatio">平仓比例。</param>
+    /// <param name="segmentRates">分段利率表：(段起日, all-in利率)，按日期升序。</param>
+    /// <param name="startDate">计息开始日（PosiStartDate）。</param>
+    /// <param name="endDate">计息结束日（平仓日）。</param>
+    /// <param name="priorValueDate">上一日终归档日（只算此日之后的利息）。</param>
+    /// <param name="boundary">算头算尾。</param>
+    /// <param name="annualDays">年化天数。</param>
+    /// <param name="isAnnualized">是否年化。</param>
+    public static InterestResult AccrueSimplePeriod(
+        decimal priorUnrealized,
+        decimal accrualPrincipal,
+        decimal closeRatio,
+        IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
+        DateTime startDate,
+        DateTime endDate,
+        DateTime priorValueDate,
+        AccrualBoundary boundary,
+        int annualDays,
+        bool isAnnualized)
+    {
+        var displayPrincipal = accrualPrincipal * closeRatio;
+        decimal interest = priorUnrealized;
+        decimal tdInterest = priorUnrealized;
+        var precision = SwapInterest.FundingLegPrecision;
+
+        // 按段累加：每段内利率恒定，用 AccrualDays 算天数 × 日利息
+        var segStart = startDate;
+        var segIncludeStart = boundary.IncludeStart;
+
+        for (int si = 0; si < segmentRates.Count; si++)
+        {
+            var (segRateStart, segRate) = segmentRates[si];
+            var segEnd = si < segmentRates.Count - 1
+                ? segmentRates[si + 1].StartDate
+                : endDate;
+
+            // 跳过 priorValueDate 之前的日期（续接上一日终）
+            var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
+            if (effectiveStart > segEnd) { segStart = segEnd; continue; }
+
+            // 算头算尾：首段用 boundary.IncludeStart，后续段不算头
+            var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
+            var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
+            if (days <= 0) { segStart = segEnd; segIncludeStart = false; continue; }
+
+            var dailyRate = isAnnualized ? segRate / annualDays : segRate;
+            var daily = Math.Round(displayPrincipal * dailyRate, precision, MidpointRounding.AwayFromZero);
+            var segInterest = Math.Round(daily * days, precision, MidpointRounding.AwayFromZero);
+
+            interest += segInterest;
+            tdInterest += segInterest;
+
+            segStart = segEnd;
+            segIncludeStart = false;
+        }
+
+        return new InterestResult(
+            Math.Round(interest, precision, MidpointRounding.AwayFromZero),
+            Math.Round(tdInterest, precision, MidpointRounding.AwayFromZero));
+    }
 }