refactor(margin): 保证金计息切换到 CalcMarginInterest + 删 orginPv 外部维度 hack
- GetInterests 保证金分支(5/6)切到 CalcMarginInterest，不再走融资腿通用 CalcEodInterest/CalcUnwindInterest - 删除 InitSwapDealInterest 的保证金 orginPv 维度 hack（保证金已不走该方法，成为死代码） - CalcMarginInterest 修正三处与旧管线的对齐（全量回归发现）： · 加 endDate 参数（盘中用 InitInterestDate 的 endDate，否则少算天数） · calcLast 合并 newCalcLast（与 CalcUnwindInterest 一致，算尾） · 盘中保留 accrualBasis 差分（posiPrincipal 对齐状态路径相关，单一本金变量无法覆盖；orginPv 内部按 PreviousBalance 算，消除外部维度 hack） - 更新 Shadow/GoldenReplay 测试调用点（加 endDate） 修正说明：盘中“消除差分”不可行——SPC_006(position 已对齐) 与 PrepaidPrincipalCloseTrace(position 未对齐) 期望相反，差分 accrualBasis 经 orginPv 自适应两种状态。CalcMarginInterest 真实收益收敛为：保证金领域独立 + orginPv 内聚 + 消除浮动/分段/复利死分支，而非消除差分。EOD 路径无差分（用昨日终本金）。 验证：全量 SwapModule 522/522 通过（0 失败）；真实库黄金回放 60 条 0 差异。
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hjhan
@@ -125,7 +125,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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swap_flow_event newEvt;
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try
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{
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newEvt = svc.CalcMarginInterest(td, valueDate, posClone, rate,
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newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, posClone, rate,
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pos.InterestPrincipalFix, pos.InterestPrincipalFix, 1.0m,
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annualDays, calcFirst, calcLast, preEod,
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(int)SwapEventTypeEnum.自动互换, add: false, settment: true, swap: false);
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@@ -90,7 +90,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
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// 新方法（独立 preEod，相同初始值）
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var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: true,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, swap: false);
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@@ -114,7 +114,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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valueDate, td.StartDate.Value, position, Principal, Principal,
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
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var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: true,
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new eod_swap_position { id = 0 }, 0, add: false, settment: true, swap: false);
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@@ -143,7 +143,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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calcFirst: true, calcLast: false, ref oldI, ref oldTd);
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// 新方法：notional = posiPrincipal（无差分、无 orginPv）
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var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
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@@ -171,7 +171,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, closePct, orginPv,
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calcFirst: true, calcLast: false, ref oldI, ref oldTd);
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var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate,
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate,
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Principal * closePct, Principal, closePct,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
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@@ -191,7 +191,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
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var valueDate = StartDate.AddDays(5);
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var svc = new StubSvc();
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var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, swap: true);
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@@ -697,7 +697,13 @@ namespace YLErp.Modules.SwapModule
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decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone);
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// 根据场景计算利息
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if (settment)
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if (MarginModes.Contains(position.InterestMode))
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{
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// 保证金腿(5/6)：专属计息，notional 直接取保证金余额，无融资腿差分公式与 orginPv 维度 hack
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interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate, closePrincipal, posiPrincipal,
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newClosePercent, annualDays, calcFirst, calcLast||newCalcLast, preEodPosition, eventType, add, settment, swap));
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}
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else if (settment)
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{
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// 收盘归档场景，使用 CalcEodInterest
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interests.Add(CalcEodInterest(td, valueDate, positionClone, rate, floatRate, closePrincipal, posiPrincipal, annualDays, calcFirst, calcLast, preEodPosition, eventType, add));
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@@ -921,17 +927,18 @@ namespace YLErp.Modules.SwapModule
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///
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/// 保证金是纯固定利率单利：浮动利率(FR007)/分段利率/复利对其均为死分支（前端无入口、
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/// 确认书不含、FundingLegRate.Build 对空 FloatRateUnderlyingCode 恒返回 Fixed）。故本方法直接用
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/// SimpleInterestAccrual 纯函数计息，notional 取保证金余额本身：
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/// EOD = 昨日终本金 preEod.TdInterestPrincipal（与旧 CalcDailySimpleInterestByEod 同源）
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/// 盘中 = 今日本金 posiPrincipal（InterestPrincipalFix）
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/// 消除融资腿差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv 与 orginPv 维度
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/// hack——对保证金 accrualBasis 恒等于 posiPrincipal，差分冗余。保留累计语义（priorAccrued + 增量），
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/// 满足下游 SwapEodPositionService 字段契约（InterestAmount=缩放累计、TdInterestAmount=单日参考等）。
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/// SimpleInterestAccrual 纯函数计息，本金取保证金余额：
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/// EOD = 昨日终本金 preEod.TdInterestPrincipal（与旧 CalcDailySimpleInterestByEod 同源，无差分）
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/// 盘中 = accrualBasis（preEod.TdInterestPrincipal + posiPrincipal - orginPv）
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/// 盘中保留差分是必要的：posiPrincipal 是否经 ResolveInterestLegPositions 对齐到实时剩余是路径相关的
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/// （生产对齐 / 诊断测试用原始腿），单一本金变量无法覆盖两种状态，差分经 orginPv 自适应。orginPv 在
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/// 本方法内部按保证金维度计算（PreviousBalance），消除原 InitSwapDealInterest 的外部维度 hack
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/// （融资腿 orginPv=浮动端名义本金）。保留累计语义（priorAccrued + 增量），满足下游字段契约。
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/// </summary>
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/// <param name="settment">true=收盘归档(EOD)，false=盘中平仓/互换。</param>
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/// <param name="swap">互换事件（仅盘中生效，true 时利息归零，同 InitSwapDealInterest）。</param>
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public swap_flow_event CalcMarginInterest(
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trade td, DateTime valueDate, swap_position position, decimal rate,
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trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate,
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decimal closePrincipal, decimal posiPrincipal, decimal closePercent,
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int annualDays, bool calcFirst, bool calcLast,
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eod_swap_position preEod, int eventType, bool add, bool settment, bool swap)
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@@ -967,7 +974,7 @@ namespace YLErp.Modules.SwapModule
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FloatRate = 0m,
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DataState = (int)SwapFlowDateStateEnum.完成,
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ClientId = td.ClientId,
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UnwindDate = valueDate
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UnwindDate = settment ? valueDate : endDate
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};
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// 互换事件：利息归零（同 InitSwapDealInterest）
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@@ -1000,22 +1007,27 @@ namespace YLErp.Modules.SwapModule
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}
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else
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{
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// 盘中：notional = 今日本金 posiPrincipal（无差分、无 orginPv）
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// 盘中：accrualBasis 自适应"实时剩余本金"——posiPrincipal 已对齐(ResolveInterestLegPositions)
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// 时 = posiPrincipal；未对齐的原始腿经 orginPv(=PreviousBalance 昨日终) 修正回昨日终剩余。
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// 单一本金变量无法覆盖两种 position 状态，故保留差分（与 EOD 直接用 preEod.TdInterestPrincipal 不同）。
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// orginPv 在此内部按保证金维度计算，消除原 InitSwapDealInterest 的外部维度 hack。
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var orginPv = MarginCalc.PreviousBalance(preEod, posiPrincipal);
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var accrualBasis = preEod.TdInterestPrincipal + posiPrincipal - orginPv;
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var segmentRates = new List<(DateTime, decimal)> { (position.PosiStartDate, rate) };
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var r = SimpleInterestAccrual.AccruePeriod(
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priorAccrued: preEod.InterestProfitSum * closePercent,
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notional: posiPrincipal,
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notional: accrualBasis,
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unwindFraction: closePercent,
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segmentRates: segmentRates,
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startDate: position.PosiStartDate,
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endDate: valueDate,
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endDate: endDate,
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priorValueDate: preEod.ValueDate,
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boundary: AccrualBoundary.Of(calcFirst, calcLast),
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annualDays: annualDays,
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isAnnualized: position.IsAnnualized);
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interestAmount = r.Accrued;
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tdInterestAmount = r.AccruedToday;
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interest.InterestPrincipal = posiPrincipal * closePercent; // 同 CalcDailySimpleInterest:1304
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interest.InterestPrincipal = accrualBasis * closePercent; // 同 CalcDailySimpleInterest:1304
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}
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}
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@@ -1135,11 +1147,8 @@ namespace YLErp.Modules.SwapModule
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interest.ClientId = td.ClientId;
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interest.UnwindDate = endDate;
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// 保证金腿的 orginPv 对齐到保证金本金维度，避免差分公式维度不匹配算出巨负值
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if (MarginModes.Contains(position.InterestMode))
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{
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orginPv = MarginCalc.PreviousBalance(preEodPosition, position.InterestPrincipalFix);
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}
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// 保证金腿已走 CalcMarginInterest（不经过本方法），orginPv 维度重映射不再需要；
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// orginPv 此处仅对融资腿生效（差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv）。
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if (swap)
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{
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