feat(swap): 实现预付金利息腿实时剩余本金计算功能

- 新增 ResolveInterestLegPositionsAsOf 方法处理预付金利息腿实时本金计算 - 添加 FindCompletedFlowEvents 方法查询已完成的现金流事件 - 在日终持仓服务中集成实时剩余本金计算逻辑 - 移除日终重复扣减预付金本金的逻辑 - 优化利息端估值计算方式 - 添加部分平仓后预付金日终按实时剩余本金计息的测试用例 - 增加平仓日预付金日终不得重复扣减实时剩余本金的验证 - 完善历史回放场景下的本金调整功能
2026-08-06 14:32:38 +08:00
parent 6bbe9b1c13
commit 9ef45650c7
3 changed files with 233 additions and 6 deletions
@@ -36,6 +36,7 @@ namespace YLErp.Modules.SwapModule

            // 输出别名（转发到基类捕获属性）
            public List<eod_swap_position> CreatedEodPositions => PersistedPositions;
+            public List<swap_position> LastInterestCalculationPositions { get; private set; }

            public TestableSwapEodService(
                List<trade> trades, List<swap_position> positions,
@@ -80,7 +81,17 @@ namespace YLErp.Modules.SwapModule
                decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
                decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
                decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
-                List<swap_flow_event> closeList = null) => new List<swap_flow_event>();
+                List<swap_flow_event> closeList = null)
+            {
+                LastInterestCalculationPositions = positions;
+                return positions.Select(position => new swap_flow_event
+                {
+                    PositionId = position.id,
+                    InterestPrincipal = 1000m,
+                    InterestRate = 0.01m,
+                    FloatRate = 0.01m
+                }).ToList();
+            }

            public void ExecuteSwapPositionCompose(DateTime settleDate, DateTime preSettleDate)
                => SwapPositionCompose(settleDate, preSettleDate, null);
@@ -250,5 +261,154 @@ namespace YLErp.Modules.SwapModule
            Assert.IsTrue(ex.Message.Contains("未收盘"), $"异常消息应含'未收盘'，实际：{ex.Message}");
            Console.WriteLine($"SPC_004: 抛异常'{ex.Message}' ✅");
        }
+
+        [TestMethod]
+        public void SPC_005_部分平仓后_预付金日终按实时剩余本金计息()
+        {
+            const long initialPrepayId = 2;
+            var td = CreateTrade();
+            var initialPrepay = new swap_position
+            {
+                id = initialPrepayId, SwapTradeId = SwapTradeId, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 1000m, IsInitial = true, Invalid = false,
+                PosiStartDate = SettleDate.AddDays(-1), PosiMatuirityDate = td.ExerciseDate.Value,
+                InterestSwapInterval = "[]"
+            };
+            var realPrepay = new swap_position
+            {
+                id = 3, PositionId = initialPrepayId, SwapTradeId = SwapTradeId, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 700m, IsInitial = false, Invalid = false
+            };
+            var prepayEod = new eod_swap_position
+            {
+                id = 200, SwapTradeId = SwapTradeId, PositionId = initialPrepayId,
+                ValueDate = PreSettleDate, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 700m, TdInterestPrincipal = 700m
+            };
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { CreateFloatPosition(1, 1000), initialPrepay, realPrepay },
+                new List<eod_swap_position> { CreateFloatEodPosition(1, 1000, 1.0020m), prepayEod },
+                new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = PreSettleDate } },
+                new List<trade_extend> { CreateExtend() }, new List<swap_flow_event>());
+
+            service.ExecuteSwapPositionCompose(SettleDate, PreSettleDate);
+
+            var calculatedPrepay = service.LastInterestCalculationPositions
+                .Single(x => x.id == initialPrepayId);
+            Assert.AreEqual(700m, calculatedPrepay.InterestPrincipalFix);
+            Assert.AreEqual(initialPrepayId, calculatedPrepay.id);
+        }
+
+        [TestMethod]
+        public void SPC_006_平仓日_预付金日终不得重复扣减实时剩余本金()
+        {
+            const long initialPrepayId = 2;
+            var td = CreateTrade();
+            var initialPrepay = new swap_position
+            {
+                id = initialPrepayId, SwapTradeId = SwapTradeId, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 1000m, IsInitial = true, Invalid = false,
+                IsAnnualized = true,
+                PosiStartDate = SettleDate.AddDays(-1), PosiMatuirityDate = td.ExerciseDate.Value,
+                InterestSwapInterval = "[]"
+            };
+            var realPrepay = new swap_position
+            {
+                id = 3, PositionId = initialPrepayId, SwapTradeId = SwapTradeId, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 700m, IsInitial = false, Invalid = false
+            };
+            var prepayEod = new eod_swap_position
+            {
+                id = 200, SwapTradeId = SwapTradeId, PositionId = initialPrepayId,
+                ValueDate = PreSettleDate, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 1000m, TdInterestPrincipal = 1000m
+            };
+            var closeFlow = CreateCloseFlowEvent(1, 300);
+            closeFlow.InterestRate = 0.01m;
+            var service = new TestableSwapEodService(
+                new List<trade> { td },
+                new List<swap_position> { CreateFloatPosition(1, 1000), initialPrepay, realPrepay },
+                new List<eod_swap_position> { CreateFloatEodPosition(1, 1000, 1.0020m), prepayEod },
+                new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = PreSettleDate } },
+                new List<trade_extend> { CreateExtend() },
+                new List<swap_flow_event> { closeFlow });
+
+            service.ExecuteSwapPositionCompose(SettleDate, PreSettleDate);
+
+            var persistedPrepay = service.CreatedEodPositions
+                .Single(x => x.PositionId == initialPrepayId);
+            Assert.AreEqual(700m, persistedPrepay.InterestPrincipalFix,
+                "实时腿已经扣减到700，日终不得再次按平仓比例扣减");
+            Assert.AreEqual(700m, persistedPrepay.TdInterestPrincipal,
+                "平仓日预付金计息本金应立即切换为实时剩余本金");
+            Assert.AreEqual(700m * 0.01m / 365m, persistedPrepay.TdInterestIncome,
+                "平仓日新增利息应按实时剩余本金计算");
+        }
+
+        [TestMethod]
+        public void SPC_007_HistoricalReplayUsesAsOfPrincipal()
+        {
+            const long originalPositionId = 2;
+            var original = new swap_position
+            {
+                id = originalPositionId, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 10000m
+            };
+            var realtime = new swap_position
+            {
+                PositionId = originalPositionId,
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipalFix = 7000m
+            };
+            var close = new swap_flow_event
+            {
+                PositionId = originalPositionId,
+                PositionType = 0,
+                EventType = (int)SwapEventTypeEnum.平仓,
+                EventDate = new DateTime(2026, 7, 9),
+                InterestMode = (int)InterestModeEnum.初始预付金,
+                InterestPrincipal = 3000m
+            };
+            var floatClose = new swap_flow_event
+            {
+                PositionId = 1,
+                PositionType = 1,
+                EventType = (int)SwapEventTypeEnum.平仓,
+                EventDate = new DateTime(2026, 7, 9),
+                TradingAmount = 3000000m
+            };
+            var originalWithFloat = new List<swap_position>
+            {
+                original,
+                new swap_position { id = 1, PosiDirection = 1, PosiNotionalValue = 10000000m }
+            };
+
+            var beforeClose = SwapDealService.ResolveInterestLegPositionsAsOf(
+                originalWithFloat, new List<swap_position> { realtime },
+                new[] { close, floatClose }, new DateTime(2026, 7, 8))
+                .Single(x => x.id == originalPositionId);
+            var onCloseDate = SwapDealService.ResolveInterestLegPositionsAsOf(
+                originalWithFloat, new List<swap_position> { realtime },
+                new[] { close, floatClose }, new DateTime(2026, 7, 9))
+                .Single(x => x.id == originalPositionId);
+
+            Assert.AreEqual(10000m, beforeClose.InterestPrincipalFix);
+            Assert.AreEqual(7000m, onCloseDate.InterestPrincipalFix);
+        }
    }
 }
@@ -665,6 +665,58 @@ namespace YLErp.Modules.SwapModule
                return p;
            }).ToList();
        }
+        
+        /// <summary>
+        /// 计算预付金腿当前真实持仓 （当前持仓+未来持仓）
+        /// </summary>
+        /// <param name="origPositions"></param>
+        /// <param name="realPositions"></param>
+        /// <param name="completedFlowEvents"></param>
+        /// <param name="settleDate"></param>
+        /// <returns></returns>
+        public static List<swap_position> ResolveInterestLegPositionsAsOf(
+            List<swap_position> origPositions, List<swap_position> realPositions,
+            IEnumerable<swap_flow_event> completedFlowEvents, DateTime settleDate)
+        {
+            realPositions ??= new List<swap_position>();
+            var futureFlows = (completedFlowEvents ?? Enumerable.Empty<swap_flow_event>())
+                .Where(x => x.EventType == (int)SwapEventTypeEnum.平仓 && x.EventDate > settleDate)
+                .ToList();
+            var originalNotional = origPositions.Where(x => x.PosiDirection > 0)
+                .Sum(x => x.PosiNotionalValue);
+            var futureCloseNotional = futureFlows.Where(x => x.PositionType > 0)
+                .Sum(x => x.TradingAmount);
+            var hasNotionalFlows = futureCloseNotional > 0 && originalNotional > 0;
+            var futureClosePrincipal = futureFlows
+                .Where(x => x.InterestMode == (int)InterestModeEnum.初始预付金
+                    || x.InterestMode == (int)InterestModeEnum.追加预付金)
+                .GroupBy(x => x.PositionId)
+                .ToDictionary(x => x.Key, x => x.Sum(v => v.InterestPrincipal));
+
+            return origPositions.Where(x => x.PosiDirection == 0).Select(p =>
+            {
+                if (p.InterestMode == (int)InterestModeEnum.初始预付金
+                    || p.InterestMode == (int)InterestModeEnum.追加预付金)
+                {
+                    var realLeg = realPositions.FirstOrDefault(r => r.PositionId == p.id);
+                    if (realLeg != null)
+                    {
+                        var futurePrincipal = hasNotionalFlows
+                            ? p.InterestPrincipalFix * futureCloseNotional / originalNotional
+                            : futureClosePrincipal.TryGetValue(p.id, out var flowPrincipal) ? flowPrincipal : 0m;
+                        var asOfPrincipal = realLeg.InterestPrincipalFix + futurePrincipal;
+                        asOfPrincipal = Math.Min(p.InterestPrincipalFix, Math.Max(0m, asOfPrincipal));
+                        if (asOfPrincipal != p.InterestPrincipalFix)
+                        {
+                            var clone = p.Clone();
+                            clone.InterestPrincipalFix = asOfPrincipal;
+                            return clone;
+                        }
+                    }
+                }
+                return p;
+            }).ToList();
+        }

        public static decimal ResolveUnwindPreviousNotional(
            eod_swap lastEod,
@@ -307,6 +307,14 @@ namespace YLErp.Modules.SwapModule
            return DbContext.swap_flow_event.Where(eventExpression).ToList();
        }

+        protected virtual List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds)
+        {
+            return DbContext.swap_flow_event
+                .Where(x => tradeIds.Contains(x.SwapTradeId)
+                    && x.DataState == (int)SwapFlowDateStateEnum.完成)
+                .ToList();
+        }
+
        #endregion

        /// <summary>
@@ -352,6 +360,7 @@ namespace YLErp.Modules.SwapModule
            var tradeRealPositionList = allTradePositionList.Where(t => !t.IsInitial).ToList();
            var tradeExtendList = FindTradeExtends(tradeIds);
            var eodSwapList = FindEodSwapsByDate(preSettleDate);
+            var completedFlowEvents = FindCompletedFlowEvents(tradeIds);
            List<int> eventTyps = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
            foreach (var td in tradeQueryList)
            {
@@ -364,7 +373,10 @@ namespace YLErp.Modules.SwapModule
                    var realPositions = tradeRealPositionList.Where(s => s.SwapTradeId == td.id);
                    var posiList = positions.Where(x => x.PosiQuantity > 0).ToList();
                    var realPosiList = realPositions.ToList();
-                    var interestList = positions.Where(x => x.InterestDirection > 0).ToList();
+                    var tradeCompletedFlowEvents = completedFlowEvents.Where(x => x.SwapTradeId == td.id).ToList();
+                    var interestList = SwapDealService.ResolveInterestLegPositionsAsOf(
+                            positions.ToList(), realPosiList, tradeCompletedFlowEvents, settleDate)
+                        .Where(x => x.InterestDirection > 0).ToList();
                    DateTime posiDate = td.TradeDate.Value;//交易日期
                    var lastEodSwap = eodSwapList.FirstOrDefault(x => x.SwapTradeId == td.id);
                    //上一交易日无日终归档，且不是交易日期，且当前收盘日期不是交易日期，报错
@@ -1351,8 +1363,9 @@ namespace YLErp.Modules.SwapModule
            //持仓内容-利息腿
            newEodPayPosition.InterestDirection = position.InterestDirection;
            newEodPayPosition.InterestMode = position.InterestMode;
+            // ResolveInterestLegPositions 已提供平仓后的实时剩余本金，日终不再重复扣减。
            newEodPayPosition.InterestPrincipalFix = position.InterestPrincipalFix;
-            newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
+            // newEodPayPosition.InterestPrincipalFix *= (1 - closePercent);
            newEodPayPosition.InterestRateDefault = position.InterestRateDefault;
            newEodPayPosition.InterestSwapInterval = position.InterestSwapInterval;
            newEodPayPosition.IsAnnualized = position.IsAnnualized;
@@ -1364,9 +1377,11 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.interest_rest_days = position.interest_rest_days;
            newEodPayPosition.interest_rule = position.interest_rule;
            //利息端估值用信息
-            newEodPayPosition.TdInterestPrincipal = position.InterestMode == (int)InterestModeEnum.标的期初全价
-                ? posiNotionalValue
-                : interests.Count > 0 ? interests.First().InterestPrincipal : 0;
+            newEodPayPosition.TdInterestPrincipal = interestModes.Contains(position.InterestMode)
+                ? position.InterestPrincipalFix
+                : position.InterestMode == (int)InterestModeEnum.标的期初全价
+                    ? posiNotionalValue
+                    : interests.Count > 0 ? interests.First().InterestPrincipal : 0;
            if (interval != null)
            {
                newEodPayPosition.TdInterestRate = interval.Rate;