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refactor(margin): 保证金计息切换到 CalcMarginInterest + 删 orginPv 外部维度 hack

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- 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。
This commit is contained in:
hjhan
2026-08-13 10:39:03 +08:00
parent 7243684839
commit 9b29211d3c
3 changed files with 33 additions and 24 deletions
Download Patch File Download Diff File Expand all files Collapse all files
UnitTestProject/Modules/SwapModule/Margin/MarginInterestGoldenReplayTest.cs
+1 -1
View File
@@ -125,7 +125,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
swap_flow_event newEvt;
try
{
newEvt = svc.CalcMarginInterest(td, valueDate, posClone, rate,
newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, posClone, rate,
pos.InterestPrincipalFix, pos.InterestPrincipalFix, 1.0m,
annualDays, calcFirst, calcLast, preEod,
(int)SwapEventTypeEnum.自动互换, add: false, settment: true, swap: false);
UnitTestProject/Modules/SwapModule/Margin/MarginInterestShadowTest.cs
+5 -5
View File
@@ -90,7 +90,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
// 新方法（独立 preEod，相同初始值）
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: true,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, swap: false);
@@ -114,7 +114,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
valueDate, td.StartDate.Value, position, Principal, Principal,
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: true,
new eod_swap_position { id = 0 }, 0, add: false, settment: true, swap: false);
@@ -143,7 +143,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
calcFirst: true, calcLast: false, ref oldI, ref oldTd);
// 新方法：notional = posiPrincipal（无差分、无 orginPv）
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
@@ -171,7 +171,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, closePct, orginPv,
calcFirst: true, calcLast: false, ref oldI, ref oldTd);
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate,
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate,
Principal * closePct, Principal, closePct,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
@@ -191,7 +191,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
var valueDate = StartDate.AddDays(5);
var svc = new StubSvc();
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, swap: true);