refactor(eod): 提取InterestIncomeCalc.DailyAccrual/RollRealized + MtmCalc.ReturnLegProfitSum

候选B: 3处日利息 principal*(rate+float)/annualDays → InterestIncomeCalc.DailyAccrual 候选D: 4处 PosiProfitSum=Mtm+Div+Fee → MtmCalc.ReturnLegProfitSum 候选E: 4对 RealizedInterest/RealizedInterestFee 滚存 → InterestIncomeCalc.RollRealized SwapModule零回归(7基线/510通过)
2026-08-12 14:50:24 +08:00
parent 1aa0579fbd
commit aeb55a01ad
3 changed files with 50 additions and 28 deletions
@@ -0,0 +1,21 @@
+namespace YLErp.Modules.SwapModule.ReturnLegs;
+
+/// <summary>
+/// EOD 利息腿展示值计算——轻量单日公式（非 SwapDealService 的分段计息引擎）。
+/// </summary>
+public static class InterestIncomeCalc
+{
+    /// <summary>日应计利息 = 本金 × (固定利率 + 浮动利差) ÷ 年化天数(若年化)。
+    /// 原 3 处内联 `principal*(rate+float); if(annualized) /=annualDays` 收口到此。</summary>
+    public static decimal DailyAccrual(decimal principal, decimal rate, decimal floatRate, bool isAnnualized, int annualDays)
+    {
+        var amount = principal * (rate + floatRate);
+        return isAnnualized ? amount / annualDays : amount;
+    }
+
+    /// <summary>已实现利息滚存。(prev + today×ratio, prevFee + todayFee)。
+    /// 原 4 处内联 2 行赋值收口到此。</summary>
+    public static (decimal Interest, decimal Fee) RollRealized(
+        decimal prevInterest, decimal prevFee, decimal closeInterest, decimal closeInterestFee, int ratio)
+        => (prevInterest + closeInterest * ratio, prevFee + closeInterestFee);
+}
@@ -19,4 +19,8 @@ public static class MtmCalc
    /// <param name="ratio">收取=1, 支付=-1。</param>
    public static decimal UnrealizedPnl(decimal price, decimal costGrossPrice, decimal qty, decimal contractSize, int shortRatio, int ratio)
        => (price - costGrossPrice) * qty * contractSize * shortRatio * ratio;
+
+    /// <summary>浮动端总未实现盈亏 = 盯市盈亏 + 分红 + 待结费用。原 4 处内联收口到此。</summary>
+    public static decimal ReturnLegProfitSum(decimal mtmPnl, decimal dividendSum, decimal feePending)
+        => mtmPnl + dividendSum + feePending;
 }
@@ -1081,11 +1081,9 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.TdCloseInterest = flowEvents.Sum(x => x.InterestAmount);
            newEodPayPosition.TdCloseInterestFee = newEodPayPosition.TdInterestFee;
            //持仓内容-利息腿-损益统计(本方视角）
-            var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
-            if (position.IsAnnualized)
-            {
-                intersetAcmount /= tradeExtend.AnnualDays;
-            }
+            var intersetAcmount = InterestIncomeCalc.DailyAccrual(
+                newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
+                newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
            newEodPayPosition.TdInterestIncome = intersetAcmount;// 要算一下当天产生的利息
            var interestIncomeBeforeSettlement = eodPayPosition.InterestIncomeSum + newEodPayPosition.TdInterestIncome;
            var interestFeeBeforeSettlement = eodPayPosition.InterestFeeSum + newEodPayPosition.TdInterestFee;
@@ -1111,8 +1109,9 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);

            //累计已实现
-            newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
-            newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
+            var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
+            newEodPayPosition.RealizedInterest = rolled.Interest;
+            newEodPayPosition.RealizedInterestFee = rolled.Fee;
            SetFixedLegRealizedPnl(newEodPayPosition);
            var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
                DirectionRatio.RateType(position.InterestDirection));
@@ -1250,8 +1249,9 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);

            //累计已实现
-            newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
-            newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
+            var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
+            newEodPayPosition.RealizedInterest = rolled.Interest;
+            newEodPayPosition.RealizedInterestFee = rolled.Fee;
            SetFixedLegRealizedPnl(newEodPayPosition);
            var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
                DirectionRatio.RateType(position.InterestDirection));
@@ -1408,11 +1408,9 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.TdCloseInterest = manualSettledInterestAmount + autoSettledInterestAmount;
            // intersetAcmount 是收盘后本金的一天应计展示值。算尾部分平仓时，下面的复利分支会改用
            // 平仓前全额本金重算当天新增，但跨日携带的 TdInterestPrincipal 仍只能是剩余本金。
-            var intersetAcmount = newEodPayPosition.TdInterestPrincipal * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
-            if (position.IsAnnualized)
-            {
-                intersetAcmount /= tradeExtend.AnnualDays;
-            }
+            var intersetAcmount = InterestIncomeCalc.DailyAccrual(
+                newEodPayPosition.TdInterestPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
+                newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
            newEodPayPosition.TdInterestIncome = autoSwap
                ? intersetAcmount
                : !hasPreviousEod
@@ -1462,12 +1460,9 @@ namespace YLErp.Modules.SwapModule
                var accrualPrincipal = calcLast
                    ? fullPrincipal
                    : newEodPayPosition.TdInterestPrincipal;
-                newEodPayPosition.TdInterestIncome = accrualPrincipal
-                    * (newEodPayPosition.TdInterestRate + newEodPayPosition.FloatRate);
-                if (position.IsAnnualized)
-                {
-                    newEodPayPosition.TdInterestIncome /= tradeExtend.AnnualDays;
-                }
+                newEodPayPosition.TdInterestIncome = InterestIncomeCalc.DailyAccrual(
+                    accrualPrincipal, newEodPayPosition.TdInterestRate, newEodPayPosition.FloatRate,
+                    newEodPayPosition.IsAnnualized, tradeExtend.AnnualDays);
            }
            if (!autoSwap
                && closePercent > 0m && closePercent < 1m
@@ -1513,8 +1508,9 @@ namespace YLErp.Modules.SwapModule
            //累计已实现
            // RealizedInterest 只增不回滚：上日累计已实现 + 当日结息按方向后的金额。
            // 收取腿的 -37119.14 会把累计已实现更新为 -37119.14；后续普通 EOD 保持该值。
-            newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
-            newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
+            var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
+            newEodPayPosition.RealizedInterest = rolled.Interest;
+            newEodPayPosition.RealizedInterestFee = rolled.Fee;
            SetFixedLegRealizedPnl(newEodPayPosition);
            var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
                DirectionRatio.RateType(position.InterestDirection));
@@ -1631,8 +1627,9 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum, (int)ratio);

            //累计已实现
-            newEodPayPosition.RealizedInterest = eodPayPosition.RealizedInterest + newEodPayPosition.TdCloseInterest * ratio;
-            newEodPayPosition.RealizedInterestFee = eodPayPosition.RealizedInterestFee + newEodPayPosition.TdCloseInterestFee;
+            var rolled = InterestIncomeCalc.RollRealized(eodPayPosition.RealizedInterest, eodPayPosition.RealizedInterestFee, newEodPayPosition.TdCloseInterest, newEodPayPosition.TdCloseInterestFee, ratio);
+            newEodPayPosition.RealizedInterest = rolled.Interest;
+            newEodPayPosition.RealizedInterestFee = rolled.Fee;
            SetFixedLegRealizedPnl(newEodPayPosition);
            var currencyRate = GetCurrencyRate(td.QuoteCurrency, td.SettlementCurrency, valueDate, true,
                DirectionRatio.RateType(eodPayPosition.InterestDirection));
@@ -1724,7 +1721,7 @@ namespace YLErp.Modules.SwapModule
            newEodPayPosition.TdPosiDividend = Math.Round(dividendIn * ratio, 2);
            newEodPayPosition.PosiMtmPnL = MtmCalc.UnrealizedPnl(newEodPayPosition.UnderlyingPrice, newEodPayPosition.PosiGrossPrice, newEodPayPosition.PosiQuantity, newEodPayPosition.ContractSize, shortRatio, (int)ratio);
            newEodPayPosition.PosiDividendSum = Math.Round(newEodPayPosition.TdPosiDividend - newEodPayPosition.TdCloseDividend, 2);
-            newEodPayPosition.PosiProfitSum = newEodPayPosition.PosiMtmPnL + newEodPayPosition.PosiDividendSum + newEodPayPosition.PosiFeePending;
+            newEodPayPosition.PosiProfitSum = MtmCalc.ReturnLegProfitSum(newEodPayPosition.PosiMtmPnL, newEodPayPosition.PosiDividendSum, newEodPayPosition.PosiFeePending);

            //持仓价值
            newEodPayPosition.SwapPositionValue = PositionValueCalc.Calc(newEodPayPosition.InterestProfitSum, newEodPayPosition.PosiProfitSum);
@@ -1797,7 +1794,7 @@ namespace YLErp.Modules.SwapModule
            curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
            //curretEod.TdPosiDividend = 0;
            //curretEod.PosiDividendSum = eod.PosiDividendSum + curretEod.TdPosiDividend;
-            curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
+            curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
            curretEod.TdCloseFee = 0;
            curretEod.TdCloseQty = 0;
            curretEod.TdCloseMtmPnl = 0;
@@ -1910,7 +1907,7 @@ namespace YLErp.Modules.SwapModule
            SetFloatingRealizedPnl(curretEod);
            curretEod.SwapPositionValue -= curretEod.TdCloseDividend;

-            curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
+            curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
            if (curretEod.PosiStatus == 1)
            {
                curretEod.PosiNotionalValue = 0;
@@ -2083,7 +2080,7 @@ namespace YLErp.Modules.SwapModule

            curretEod.UnderlyingMarketValue = MtmCalc.MarketValue(curretEod.UnderlyingPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio);
            curretEod.PosiMtmPnL = MtmCalc.UnrealizedPnl(curretEod.UnderlyingPrice, curretEod.PosiGrossPrice, curretEod.PosiQuantity, curretEod.ContractSize, shortRatio, directionRatio);
-            curretEod.PosiProfitSum = curretEod.PosiMtmPnL + curretEod.PosiDividendSum + curretEod.PosiFeePending;
+            curretEod.PosiProfitSum = MtmCalc.ReturnLegProfitSum(curretEod.PosiMtmPnL, curretEod.PosiDividendSum, curretEod.PosiFeePending);
            curretEod.RealizedMtmPnL = curretEod.TdCloseMtmPnl;
            curretEod.RealizedDividend = curretEod.TdCloseDividend;
            curretEod.RealizedFee = curretEod.TdCloseFee;