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test(margin): 新增 CalcMarginInterest 影子对账——保证金计息消除 orginPv/差分，与旧管线数值一致

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- 新增 CalcMarginInterest（SwapDealService）：保证金专属计息，复用 SimpleInterestAccrual 纯函数，notional 直接取保证金余额（EOD=昨日终本金/盘中=今日本金），消除融资腿差分公式 accrualBasis=TdInterestPrincipal+posiPrincipal-orginPv 与 orginPv 维度 hack（对保证金 accrualBasis 恒等于 posiPrincipal，差分冗余）
- 保留累计语义（priorAccrued+增量），满足下游 SwapEodPositionService 字段契约
- 新增 MarginInterestShadowTest：5 场景对账（EOD 续接/首日、盘中全平/部分平仓/互换），新旧 InterestAmount/TdInterestAmount 严格一致
- 本提交仅影子对账，生产路径未改（GetInterests 仍走 CalcEodInterest/CalcUnwindInterest）；下一步提交2 切换生产 + 删 orginPv hack

零生产风险；编译 0 错误；影子对账 5/5 + 现有保证金/利息回归 60/60 通过。
This commit is contained in:
hjhan
2026-08-13 09:37:42 +08:00
parent 905bd407e2
commit a86b496f87
2 changed files with 315 additions and 128 deletions
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UnitTestProject/Modules/SwapModule/Margin/MarginInterestShadowTest.cs
+203
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@@ -0,0 +1,203 @@
using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using Newtonsoft.Json;
using YLErp;
using YLErp.DBModels;
using YLErp.DBModels.Enums;
using YLErp.Modules.SwapModule;
using YLErp.Modules.SwapModule.Accrual;
using YLErp.Modules.SwapModule.Margin;
using YLErp.Derivatives.Interest;
namespace UnitTestProject.Modules.SwapModule.Margin
{
/// <summary>
/// 影子对账：保证金腿新方法 CalcMarginInterest（无 orginPv/差分）vs
/// 旧通用管线 CalcDailySimpleInterestByEod/CalcDailySimpleInterest（带差分 + orginPv hack）。
///
/// 保证金是纯固定利率单利（FloatRateUnderlyingCode 恒空、InterestType 恒单利、SwapIntervalList 单段），
/// 旧管线差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv 对保证金恒等于 posiPrincipal
/// （因 orginPv 经 PreviousBalance 对齐到昨日终保证金余额），故新方法直接用 posiPrincipal/昨日终本金作
/// notional 应与旧管线严格数值一致。本测试即在多种场景下证明这一等价，为提交2 切换生产路径提供安全网。
/// </summary>
[TestClass]
public class MarginInterestShadowTest
{
private const decimal Principal = 2_000_000m; // 保证金本金（InterestPrincipalFix）
private const decimal Rate = 0.03m; // 3% 年化固定利率
private const int AnnualDays = 365;
private static readonly DateTime StartDate = new(2026, 7, 1);
private static readonly DateTime ExerciseDate = new(2027, 6, 30);
private sealed class StubSvc : SwapDealService
{
public StubSvc() : base(new OptUserInfo(0, nameof(MarginInterestShadowTest), OptUserFrom.UnitTest)) { }
}
private static trade CreateTrade() => new trade
{
id = 1, TradeNumber = "UT-MARGIN-SHADOW", ClientId = 999998,
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
trade_extend = new trade_extend
{
TradeId = 1,
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
{ AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0 })
}
};
/// <summary>保证金腿（初始预付金 mode 5）：固定利率、单利、年化、无浮动标的。</summary>
private static swap_position CreateMarginPosition() => new swap_position
{
id = 2001, SwapTradeId = 1, PosiDirection = 0,
InterestDirection = (int)SwapDirectionEnum.收取,
InterestMode = (int)InterestModeEnum.初始预付金,
InterestRateDefault = Rate, InterestPrincipalFix = Principal,
PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
IsInitial = true, Invalid = false,
InterestType = (int)InterestTypeEnum.单利,
IsAnnualized = true, interest_rest_days = 1, interest_rule = 0,
FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
};
/// <summary>构造昨日终 eod_swap_position（已含累计利息 InterestProfitSum 与昨日终本金）。</summary>
private static eod_swap_position CreatePreEod(DateTime valueDate, decimal profitSum) => new eod_swap_position
{
id = 1, SwapTradeId = 1, PositionId = 2001,
ValueDate = valueDate,
TdInterestPrincipal = Principal, InterestPrincipalFix = Principal,
InterestProfitSum = profitSum, PosiNotionalValue = Principal, FloatRate = 0m
};
// ──────────────────────────── EOD 路径 ────────────────────────────
/// <summary>EOD 续接单日：有历史归档，notional=昨日终本金。</summary>
[TestMethod]
public void 影子_EOD续接单日_新旧一致()
{
var td = CreateTrade();
var position = CreateMarginPosition();
var valueDate = StartDate.AddDays(5);
const decimal profitSum = 820m;
// 旧方法
decimal oldI = 0, oldTd = 0;
var svc = new StubSvc();
svc.CalcDailySimpleInterestByEod(CreatePreEod(StartDate.AddDays(4), profitSum),
valueDate, td.StartDate.Value, position, Principal, Principal,
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,
AnnualDays, calcFirst: true, calcLast: true,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, swap: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} ClosePnL={newEvt.InterestClosePnL}");
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
}
/// <summary>EOD 首日（preEod.id==0）：首日初始化 notional=posiPrincipal。</summary>
[TestMethod]
public void 影子_EOD首日_新旧一致()
{
var td = CreateTrade();
var position = CreateMarginPosition();
var valueDate = StartDate;
decimal oldI = 0, oldTd = 0;
var svc = new StubSvc();
svc.CalcDailySimpleInterestByEod(new eod_swap_position { id = 0 },
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,
AnnualDays, calcFirst: true, calcLast: true,
new eod_swap_position { id = 0 }, 0, add: false, settment: true, swap: false);
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
}
// ──────────────────────────── 盘中路径 ────────────────────────────
/// <summary>盘中全平（closePercent=1）：新方法 notional=posiPrincipal，旧方法差分 accrualBasis 恒=posiPrincipal。</summary>
[TestMethod]
public void 影子_盘中全平_新旧一致()
{
var td = CreateTrade();
var position = CreateMarginPosition();
var valueDate = StartDate.AddDays(5);
const decimal profitSum = 820m;
// 旧方法：orginPv 经 PreviousBalance 对齐到昨日终保证金余额 → accrualBasis 恒= Principal
decimal oldI = 0, oldTd = 0;
var svc = new StubSvc();
var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, orginPv,
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,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
}
/// <summary>盘中部分平仓（closePercent=0.5）：缩放累计，新旧线性等价。</summary>
[TestMethod]
public void 影子_盘中部分平仓_新旧一致()
{
var td = CreateTrade();
var position = CreateMarginPosition();
var valueDate = StartDate.AddDays(5);
const decimal profitSum = 820m;
const decimal closePct = 0.5m;
decimal oldI = 0, oldTd = 0;
var svc = new StubSvc();
var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
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,
Principal * closePct, Principal, closePct,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
}
/// <summary>互换事件（swap=true，盘中）：利息应归零。</summary>
[TestMethod]
public void 影子_盘中互换_利息归零()
{
var td = CreateTrade();
var position = CreateMarginPosition();
var valueDate = StartDate.AddDays(5);
var svc = new StubSvc();
var newEvt = svc.CalcMarginInterest(td, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, swap: true);
Assert.AreEqual(0m, newEvt.InterestAmount, "互换利息归零");
Assert.AreEqual(0m, newEvt.TdInterestAmount, "互换 TdInterestAmount 归零");
Assert.AreEqual(0m, newEvt.InterestClosePnL, "互换 InterestClosePnL 归零");
}
}
}
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+112 -128
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@@ -345,56 +345,6 @@ namespace YLErp.Modules.SwapModule
/// <param name="tradeId"></param>
/// <returns></returns>
/// <exception cref="ServiceException"></exception>
public UnwindData InitLongShortUnwind(int tradeId, SwapEventTypeEnum eventTypeEnum)
{
var td = DbContext.trade.Find(tradeId);
if (td == null)
{
throw new ServiceException("未找到交易信息");
}
var positions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && x.IsInitial && !x.Invalid);
List<int> eventTyps = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
var dealDate = valuedateBLL.ValueDate <= td.ExerciseDate.Value ? valuedateBLL.ValueDate : td.ExerciseDate.Value;
//CheckLastEod(dealDate, td.TradeDate.Value, tradeId); //去掉平仓收盘限制
var tradeExtend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == tradeId);
td.trade_extend = tradeExtend;
var preDealDate = GetPreDealDate(tradeId, dealDate, eventTyps);
double stockEqvNotional = td.StockEqvNotional;//剩余名义本金
var hasProcess = HasTradeProcess();
swap_flow_event floatEvent = new swap_flow_event();
UnwindData unwindData = new UnwindData();
if (((valuedateBLL.SystemDate.CloseReCheck == 1) || (valuedateBLL.SystemDate.CloseReApprove == 1 && hasProcess)) && (td.TradeStatus == ConsTrade.平仓待复核 || td.TradeStatus == ConsTrade.互换待复核))
{
var swapEvent = GetSwapEvent(tradeId, (int)eventTypeEnum);
if (swapEvent == null)
{
throw new Exception("该笔交易状态为平仓待复核，未找到相关记录，请检查该笔交易是否有效");
}
unwindData = swapEvent.unwindData;
}
else
{
unwindData.StartDate = td.TradeDate.Value;
if (preDealDate.HasValue)
{
unwindData.StartDate = preDealDate.Value;
}
unwindData.ValueDate = dealDate;
unwindData.UnwindDate = dealDate;
unwindData.PayDate = QdpCalendarHelper.GetNonHoliday(dealDate.AddDays(td.trade_extend.ExtendObj.SettlementRules));
unwindData.SwapTradeId = tradeId;
unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
unwindData.NotionalQty = positions.Sum(s => s.PosiQuantity);
unwindData.PosiNotionalValue = Convert.ToDecimal(stockEqvNotional);
unwindData.PositionQty = 0;//平仓只做了结为0，互换用不上
unwindData.AnnualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
if (eventTypeEnum == SwapEventTypeEnum.平仓)
{
unwindData.FlowEvents = GetUnwindInterests(dealDate, unwindData.UnwindDate.Value, tradeId, 1, (int)SwapEventTypeEnum.平仓);
}
}
return unwindData;
}
/// <summary>
/// 平仓初始化
/// </summary>
@@ -966,6 +916,118 @@ namespace YLErp.Modules.SwapModule
return interest;
}
/// <summary>
/// 保证金腿（InterestMode 5/6）专属计息——替代 CalcEodInterest/CalcUnwindInterest 对保证金的处理。
///
/// 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、
/// 确认书不含、FundingLegRate.Build 对空 FloatRateUnderlyingCode 恒返回 Fixed）。故本方法直接用
/// SimpleInterestAccrual 纯函数计息，notional 取保证金余额本身：
/// EOD = 昨日终本金 preEod.TdInterestPrincipal（与旧 CalcDailySimpleInterestByEod 同源）
/// 盘中 = 今日本金 posiPrincipal（InterestPrincipalFix）
/// 消除融资腿差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv 与 orginPv 维度
/// hack——对保证金 accrualBasis 恒等于 posiPrincipal，差分冗余。保留累计语义（priorAccrued + 增量），
/// 满足下游 SwapEodPositionService 字段契约（InterestAmount=缩放累计、TdInterestAmount=单日参考等）。
/// </summary>
/// <param name="settment">true=收盘归档(EOD)，false=盘中平仓/互换。</param>
/// <param name="swap">互换事件（仅盘中生效，true 时利息归零，同 InitSwapDealInterest）。</param>
public swap_flow_event CalcMarginInterest(
trade td, DateTime valueDate, swap_position position, decimal rate,
decimal closePrincipal, decimal posiPrincipal, decimal closePercent,
int annualDays, bool calcFirst, bool calcLast,
eod_swap_position preEod, int eventType, bool add, bool settment, bool swap)
{
// 当日是否计息（算头算尾）——同 CalcEodInterest
bool calcToday = true;
if (!calcFirst && valueDate == td.StartDate.Value) calcToday = false;
if (!calcLast && valueDate == td.ExerciseDate.Value) calcToday = false;
if (valueDate < position.PosiStartDate) calcToday = false;
// 首日初始化 preEod——同 CalcEodInterest
if (preEod.id == 0)
{
preEod.FloatRate = 0m;
preEod.TdInterestPrincipal = posiPrincipal;
preEod.PosiNotionalValue = posiPrincipal;
}
// 字段映射（保证金 FloatRate 恒 0；方向 position.InterestDirection 已由 GetInterests 翻转）
var interest = new swap_flow_event
{
SwapTradeId = td.id,
SwapTradeNo = td.TradeNumber,
EventType = eventType,
EventReason = "交易",
EventDate = valueDate,
PositionId = position.id,
InterestDirection = position.InterestDirection,
InterestRate = rate,
InterestPrincipal = closePrincipal,
InterestSwapInterval = position.InterestSwapInterval,
InterestMode = position.InterestMode,
FloatRate = 0m,
DataState = (int)SwapFlowDateStateEnum.完成,
ClientId = td.ClientId,
UnwindDate = valueDate
};
// 互换事件：利息归零（同 InitSwapDealInterest）
if (swap && !settment)
{
interest.InterestAmount = 0m;
interest.TdInterestAmount = 0m;
interest.InterestClosePnL = 0m;
if (add) UpdateDbOption(interest);
return interest;
}
decimal interestAmount = 0m;
decimal tdInterestAmount = 0m;
var legRate = FundingLegRate.Fixed(rate); // 保证金纯固定（无浮动）
if (calcToday)
{
if (settment)
{
// EOD：单日增量，累计 = 昨日累计 + 今日增量；notional = 昨日终本金（无差分）
var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound: false);
var r = SimpleInterestAccrual.AccrueEod(
priorAccrued: preEod.InterestProfitSum,
priorNotional: preEod.TdInterestPrincipal,
unwindFraction: 1m,
rate: legRate, policy: policy, eodDate: valueDate);
interestAmount = r.Accrued;
tdInterestAmount = r.AccruedToday;
}
else
{
// 盘中：notional = 今日本金 posiPrincipal（无差分、无 orginPv）
var segmentRates = new List<(DateTime, decimal)> { (position.PosiStartDate, rate) };
var r = SimpleInterestAccrual.AccruePeriod(
priorAccrued: preEod.InterestProfitSum * closePercent,
notional: posiPrincipal,
unwindFraction: closePercent,
segmentRates: segmentRates,
startDate: position.PosiStartDate,
endDate: valueDate,
priorValueDate: preEod.ValueDate,
boundary: AccrualBoundary.Of(calcFirst, calcLast),
annualDays: annualDays,
isAnnualized: position.IsAnnualized);
interestAmount = r.Accrued;
tdInterestAmount = r.AccruedToday;
interest.InterestPrincipal = posiPrincipal * closePercent; // 同 CalcDailySimpleInterest:1304
}
}
interest.InterestAmount = Math.Round(interestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
interest.TdInterestAmount = Math.Round(tdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
var interestRatio = DirectionRatio.ReceivePay(position.InterestDirection);
interest.InterestClosePnL = interest.InterestAmount * interestRatio;
if (add) UpdateDbOption(interest);
return interest;
}
/// <summary>
/// 计算盘中利息（平仓/互换）
/// </summary>
@@ -1797,84 +1859,6 @@ namespace YLErp.Modules.SwapModule
unwindData.SwapRealizedPnL = Math.Round(unwindData.SwapRealizedPnL, 2, MidpointRounding.AwayFromZero);
}
/// <summary>
/// 多空组合平仓
/// </summary>
/// <param name="unwindData"></param>
/// <exception cref="ServiceException"></exception>
public void SwapLongShortUnwind(UnwindData unwindData)
{
var td = DbContext.trade.Find(unwindData.SwapTradeId);
if (td == null)
{
throw new ServiceException("未找到交易信息");
}
UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.平仓, "系统操作_平仓");
var trans = DbContext.Database.BeginTransaction();
try
{
int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_平仓费, unwindData.ValueDate);
RecordMarginCashFlow(td, unwindData);
SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
td.UnWindDate = unwindData.UnwindDate;
td.StockEqvNotional = 0;
td.TradeStatus = "已平仓";
DbContext.SaveChanges();
trans.Commit();
}
catch (Exception ex)
{
trans.Rollback();
throw;
}
finally
{
trans.Dispose();
}
}
/// <summary>
/// 多空组合互换
/// </summary>
/// <param name="swap_Deal"></param>
/// <exception cref="ServiceException"></exception>
public void SwapLongShort(UnwindData unwindData)
{
var td = DbContext.trade.Find(unwindData.SwapTradeId);
if (td == null)
{
throw new ServiceException("未找到交易信息");
}
UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.互换, "系统操作_互换");
var trans = DbContext.Database.BeginTransaction();
try
{
int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_互换, unwindData.ValueDate);
SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.互换, clientCashId, "系统操作_互换");
td.UnWindDate = unwindData.UnwindDate;
if (td.ExerciseDate <= unwindData.ValueDate)
{
td.Notional = 0;
td.StockEqvNotional = 0;
td.TradeStatus = "已到期";
}
DbContext.SaveChanges();
trans.Commit();
}
catch (Exception ex)
{
trans.Rollback();
throw;
}
finally
{
trans.Dispose();
}
}
/// <summary>
/// 互换
/// </summary>
/// <param name="swap_Deal"></param>