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
- 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
@@ -345,56 +345,6 @@ namespace YLErp.Modules.SwapModule
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/// <param name="tradeId"></param>
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/// <returns></returns>
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/// <exception cref="ServiceException"></exception>
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public UnwindData InitLongShortUnwind(int tradeId, SwapEventTypeEnum eventTypeEnum)
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{
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var td = DbContext.trade.Find(tradeId);
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if (td == null)
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{
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throw new ServiceException("未找到交易信息");
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}
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var positions = DbContext.swap_position.Where(x => x.SwapTradeId == tradeId && x.IsInitial && !x.Invalid);
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List<int> eventTyps = new List<int>() { (int)SwapEventTypeEnum.平仓, (int)SwapEventTypeEnum.互换, (int)SwapEventTypeEnum.自动互换 };
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var dealDate = valuedateBLL.ValueDate <= td.ExerciseDate.Value ? valuedateBLL.ValueDate : td.ExerciseDate.Value;
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//CheckLastEod(dealDate, td.TradeDate.Value, tradeId); //去掉平仓收盘限制
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var tradeExtend = DbContext.trade_extend.FirstOrDefault(x => x.TradeId == tradeId);
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td.trade_extend = tradeExtend;
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var preDealDate = GetPreDealDate(tradeId, dealDate, eventTyps);
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double stockEqvNotional = td.StockEqvNotional;//剩余名义本金
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var hasProcess = HasTradeProcess();
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swap_flow_event floatEvent = new swap_flow_event();
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UnwindData unwindData = new UnwindData();
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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))
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{
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var swapEvent = GetSwapEvent(tradeId, (int)eventTypeEnum);
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if (swapEvent == null)
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{
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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");
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}
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unwindData = swapEvent.unwindData;
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}
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else
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{
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unwindData.StartDate = td.TradeDate.Value;
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if (preDealDate.HasValue)
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{
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unwindData.StartDate = preDealDate.Value;
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}
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unwindData.ValueDate = dealDate;
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unwindData.UnwindDate = dealDate;
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unwindData.PayDate = QdpCalendarHelper.GetNonHoliday(dealDate.AddDays(td.trade_extend.ExtendObj.SettlementRules));
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unwindData.SwapTradeId = tradeId;
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unwindData.NotionalValue = Convert.ToDecimal(td.OriginalStockEqvNotional ?? 0);
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unwindData.NotionalQty = positions.Sum(s => s.PosiQuantity);
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unwindData.PosiNotionalValue = Convert.ToDecimal(stockEqvNotional);
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unwindData.PositionQty = 0;//平仓只做了结为0，互换用不上
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unwindData.AnnualDays = tradeExtend == null ? 365 : tradeExtend.ExtendObj.AnnualDays;
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if (eventTypeEnum == SwapEventTypeEnum.平仓)
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{
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unwindData.FlowEvents = GetUnwindInterests(dealDate, unwindData.UnwindDate.Value, tradeId, 1, (int)SwapEventTypeEnum.平仓);
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}
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}
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return unwindData;
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}
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/// <summary>
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/// 平仓初始化
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/// </summary>
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@@ -966,6 +916,118 @@ namespace YLErp.Modules.SwapModule
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return interest;
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}
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/// <summary>
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/// 保证金腿（InterestMode 5/6）专属计息——替代 CalcEodInterest/CalcUnwindInterest 对保证金的处理。
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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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/// </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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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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{
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// 当日是否计息（算头算尾）——同 CalcEodInterest
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bool calcToday = true;
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if (!calcFirst && valueDate == td.StartDate.Value) calcToday = false;
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if (!calcLast && valueDate == td.ExerciseDate.Value) calcToday = false;
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if (valueDate < position.PosiStartDate) calcToday = false;
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// 首日初始化 preEod——同 CalcEodInterest
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if (preEod.id == 0)
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{
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preEod.FloatRate = 0m;
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preEod.TdInterestPrincipal = posiPrincipal;
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preEod.PosiNotionalValue = posiPrincipal;
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}
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// 字段映射（保证金 FloatRate 恒 0；方向 position.InterestDirection 已由 GetInterests 翻转）
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var interest = new swap_flow_event
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{
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SwapTradeId = td.id,
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SwapTradeNo = td.TradeNumber,
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EventType = eventType,
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EventReason = "交易",
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EventDate = valueDate,
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PositionId = position.id,
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InterestDirection = position.InterestDirection,
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InterestRate = rate,
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InterestPrincipal = closePrincipal,
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InterestSwapInterval = position.InterestSwapInterval,
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InterestMode = position.InterestMode,
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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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};
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// 互换事件：利息归零（同 InitSwapDealInterest）
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if (swap && !settment)
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{
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interest.InterestAmount = 0m;
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interest.TdInterestAmount = 0m;
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interest.InterestClosePnL = 0m;
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if (add) UpdateDbOption(interest);
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return interest;
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}
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decimal interestAmount = 0m;
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decimal tdInterestAmount = 0m;
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var legRate = FundingLegRate.Fixed(rate); // 保证金纯固定（无浮动）
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if (calcToday)
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{
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if (settment)
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{
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// EOD：单日增量，累计 = 昨日累计 + 今日增量；notional = 昨日终本金（无差分）
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var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound: false);
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var r = SimpleInterestAccrual.AccrueEod(
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priorAccrued: preEod.InterestProfitSum,
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priorNotional: preEod.TdInterestPrincipal,
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unwindFraction: 1m,
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rate: legRate, policy: policy, eodDate: valueDate);
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interestAmount = r.Accrued;
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tdInterestAmount = r.AccruedToday;
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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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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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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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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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}
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}
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interest.InterestAmount = Math.Round(interestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
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interest.TdInterestAmount = Math.Round(tdInterestAmount, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
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var interestRatio = DirectionRatio.ReceivePay(position.InterestDirection);
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interest.InterestClosePnL = interest.InterestAmount * interestRatio;
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if (add) UpdateDbOption(interest);
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return interest;
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}
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/// <summary>
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/// 计算盘中利息（平仓/互换）
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/// </summary>
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@@ -1797,84 +1859,6 @@ namespace YLErp.Modules.SwapModule
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unwindData.SwapRealizedPnL = Math.Round(unwindData.SwapRealizedPnL, 2, MidpointRounding.AwayFromZero);
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}
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/// <summary>
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/// 多空组合平仓
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/// </summary>
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/// <param name="unwindData"></param>
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/// <exception cref="ServiceException"></exception>
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public void SwapLongShortUnwind(UnwindData unwindData)
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{
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var td = DbContext.trade.Find(unwindData.SwapTradeId);
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if (td == null)
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{
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throw new ServiceException("未找到交易信息");
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}
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UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
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unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
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NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.平仓, "系统操作_平仓");
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var trans = DbContext.Database.BeginTransaction();
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try
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{
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int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_平仓费, unwindData.ValueDate);
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RecordMarginCashFlow(td, unwindData);
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SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.平仓, clientCashId, "系统操作_平仓");
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td.UnWindDate = unwindData.UnwindDate;
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td.StockEqvNotional = 0;
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td.TradeStatus = "已平仓";
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DbContext.SaveChanges();
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trans.Commit();
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}
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catch (Exception ex)
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{
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trans.Rollback();
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throw;
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}
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finally
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{
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trans.Dispose();
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}
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}
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/// <summary>
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/// 多空组合互换
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/// </summary>
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/// <param name="swap_Deal"></param>
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/// <exception cref="ServiceException"></exception>
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public void SwapLongShort(UnwindData unwindData)
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{
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var td = DbContext.trade.Find(unwindData.SwapTradeId);
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if (td == null)
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{
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throw new ServiceException("未找到交易信息");
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}
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UnwindNormalizer.NormalizeEventUnwindDate(unwindData);
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unwindData.SwapRealizedPnL = unwindData.SwapCloseAmount;
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NormalizeManualSettlementAmounts(unwindData, (int)SwapEventTypeEnum.互换, "系统操作_互换");
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var trans = DbContext.Database.BeginTransaction();
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try
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{
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int clientCashId = AddClientCashInCashOut(td, Convert.ToDouble(unwindData.SwapCloseAmount), ClientCashInCashOut.系统操作_互换, unwindData.ValueDate);
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SaveSwapDeal(unwindData, (int)SwapEventTypeEnum.互换, clientCashId, "系统操作_互换");
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td.UnWindDate = unwindData.UnwindDate;
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if (td.ExerciseDate <= unwindData.ValueDate)
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{
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td.Notional = 0;
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td.StockEqvNotional = 0;
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td.TradeStatus = "已到期";
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}
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DbContext.SaveChanges();
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trans.Commit();
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}
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catch (Exception ex)
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{
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trans.Rollback();
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throw;
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}
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finally
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{
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trans.Dispose();
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}
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}
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/// <summary>
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/// 互换
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/// </summary>
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/// <param name="swap_Deal"></param>
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