EQD-6968: 不算尾计息不再因平仓日FR007未发布误拦平仓（缺价回退上一重置日利率，有价仍取新利率）

UnitTestProject/Modules/SwapModule/GLMS20260817Fr007UnwindMorningTest.cs

@@ -0,0 +1,236 @@
+using Newtonsoft.Json;
+using YLErp.DBModels.Enums;
+
+namespace YLErp.Modules.SwapModule
+{
+    /// <summary>
+    /// EQD-6968 FR007 不算尾平仓"上午未发布"误拦截 - RED 复现，修复后转绿（内存，不连库）
+    /// 任务编号 EQD-6968；现象报告日 2026-08-17。参照 GLMS20260703CloseInterestTest 内存 FR007 写法。
+    /// </summary>
+    [TestClass]
+    public class GLMS20260817Fr007UnwindMorningTest
+    {
+        private sealed class StubSwapDealService : SwapDealService
+        {
+            private readonly bool _includeCloseDate;
+
+            public StubSwapDealService(OptUserInfo optUser, bool includeCloseDate) : base(optUser)
+            {
+                _includeCloseDate = includeCloseDate;
+            }
+
+            public readonly List<(DateTime RequestDate, double Rate)> FloatRateCalls = new();
+
+            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
+            {
+                rate = 0d;
+                if (underlyingCode != "FR007") return false;
+
+                var fr007 = new Dictionary<DateTime, double>
+                {
+                    [new DateTime(2026, 7, 6)] = 0.0142,
+                    [new DateTime(2026, 7, 13)] = 0.01425,
+                };
+                if (_includeCloseDate)
+                    fr007[new DateTime(2026, 7, 20)] = 0.0143;
+
+                if (fr007.TryGetValue(valueDate.Date, out rate))
+                {
+                    FloatRateCalls.Add((valueDate.Date, rate));
+                    return true;
+                }
+                return false;
+            }
+        }
+
+        private const decimal Notional = 279486108.21m;
+        private const int AnnualDays = 365;
+        private const decimal Spread = -0.0155m;
+        private static readonly DateTime StartDate = new(2026, 7, 6);
+        private static readonly DateTime TradeDate = new(2026, 7, 3);
+        private static readonly DateTime CloseDate = new(2026, 7, 20);
+
+        private SwapDealService MakeService(bool includeCloseDate)
+        {
+            return new StubSwapDealService(
+                new OptUserInfo(0, nameof(GLMS20260817Fr007UnwindMorningTest), OptUserFrom.UnitTest),
+                includeCloseDate);
+        }
+
+        private static trade CreateTrade()
+        {
+            var extend = new trade_extend
+            {
+                TradeId = 1,
+                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                {
+                    AnnualDays = AnnualDays,
+                    InterestCalcMode = "10",
+                    SettlementRules = 0
+                })
+            };
+            return new trade
+            {
+                id = 1,
+                TradeNumber = "GLMS-20260817-FR007-MORNING",
+                ClientId = 999998,
+                TradeType = "债券TRS",
+                TradeDate = TradeDate,
+                StartDate = StartDate,
+                ExerciseDate = CloseDate.AddDays(1),
+                TradeStatus = "已平仓",
+                ValidState = "Valid",
+                trade_extend = extend
+            };
+        }
+
+        private static swap_position CreateBondPosition(InterestTypeEnum interestType, int interestRule = 0)
+        {
+            var intervalModels = new List<IntervalModel>
+            {
+                new IntervalModel { Date = CloseDate, Rate = Spread, Settlement = 0 }
+            };
+            return new swap_position
+            {
+                id = 1001,
+                SwapTradeId = 1,
+                PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.支付,
+                InterestMode = (int)InterestModeEnum.标的期初全价,
+                InterestRateDefault = Spread,
+                InterestPrincipalFix = Notional,
+                PosiStartDate = StartDate,
+                PosiMatuirityDate = CloseDate,
+                IsInitial = true,
+                Invalid = false,
+                InterestType = (int)interestType,
+                IsAnnualized = true,
+                interest_rest_days = 7,
+                interest_rule = interestRule,
+                FloatRateUnderlyingCode = "FR007",
+                FloatRate = 0m,
+                PosiNotionalValue = Notional,
+                UnderlyingCode = "2500002.IB",
+                InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
+            };
+        }
+
+        private swap_flow_event CalcCloseInterest(SwapDealService svc, InterestTypeEnum interestType, int interestRule = 0)
+        {
+            var td = CreateTrade();
+            var position = CreateBondPosition(interestType, interestRule);
+            var interests = svc.GetInterests(
+                td, td.trade_extend,
+                CloseDate, CloseDate,
+                new List<eod_swap_position>(),
+                new List<swap_position> { position },
+                Notional, Notional,
+                1m,
+                (int)SwapEventTypeEnum.平仓,
+                false, Notional,
+                false, settment: false, newCalcLast: false, closeList: null);
+            Assert.AreEqual(1, interests.Count);
+            return interests[0];
+        }
+
+        private static eod_swap_position CreatePreEod()
+        {
+            return new eod_swap_position
+            {
+                id = 5001,
+                PositionId = 1001,
+                ValueDate = new DateTime(2026, 7, 13),
+                FloatRate = 0.01425m,
+                InterestProfitSum = -100000m,
+                TdInterestPrincipal = Notional,
+                InterestIncomeSum = -150000m
+            };
+        }
+
+        private swap_flow_event CalcCloseInterestEod(SwapDealService svc, InterestTypeEnum interestType, List<eod_swap_position> eodPositions)
+        {
+            var td = CreateTrade();
+            var position = CreateBondPosition(interestType);
+            var interests = svc.GetInterests(
+                td, td.trade_extend,
+                CloseDate, CloseDate,
+                eodPositions,
+                new List<swap_position> { position },
+                Notional, Notional,
+                1m,
+                (int)SwapEventTypeEnum.平仓,
+                false, Notional,
+                false, settment: false, newCalcLast: false, closeList: null);
+            Assert.AreEqual(1, interests.Count);
+            return interests[0];
+        }
+
+        /// <summary>
+        /// [RED] 不算尾平仓，平仓日 FR007 未发布（内存缺失）→ 当前抛"获取不到FR007...价格"。
+        /// 期望：修复后应成功返回（不抛）。当前为 RED（测试失败）。
+        /// </summary>
+        [TestMethod]
+        public void Red_UnwindMorning_WithoutCloseDateFr007_ShouldSucceed()
+        {
+            var svc = MakeService(includeCloseDate: false);
+            try
+            {
+                var fe = CalcCloseInterest(svc, InterestTypeEnum.复利);
+                Assert.IsNotNull(fe);
+                Assert.IsFalse(fe.InterestAmount == 0 && fe.FloatRate == 0, "返回的利息不应全为零");
+            }
+            catch (Exception ex)
+            {
+                StringAssert.Contains(ex.Message, "FR007");
+                Assert.Fail($"RED 复现成功：不算尾平仓因平仓日 FR007 未发布被误拦截 —— {ex.Message}");
+            }
+        }
+
+        /// <summary>
+        /// [Baseline] 同场景但提供平仓日 07-20 的 FR007 → 应成功（绿），隔离 stub/路径问题。
+        /// </summary>
+        [TestMethod]
+        public void Baseline_WithCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: true);
+            var fe = CalcCloseInterest(svc, InterestTypeEnum.复利);
+            Assert.IsNotNull(fe);
+            Assert.IsTrue(fe.InterestAmount != 0, "提供末日 FR007 时应正常算出利息");
+        }
+
+        /// <summary>
+        /// [RED-重放] 不算尾全平(带前日日终持仓 → 走重放分支 replayEndDate=平仓日+1)，平仓日 FR007 未发布 → 当前抛。
+        /// 修复后(BuildSegmentRates 用 exclusionEndDate 排除真实平仓日)应成功，平仓日用上一重置日利率。
+        /// </summary>
+        [TestMethod]
+        public void Red_FullClose_WithPreEod_WithoutCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: false);
+            var preEod = CreatePreEod();
+            try
+            {
+                var fe = CalcCloseInterestEod(svc, InterestTypeEnum.复利, new List<eod_swap_position> { preEod });
+                Assert.IsNotNull(fe);
+                Assert.IsFalse(fe.InterestAmount == 0 && fe.FloatRate == 0, "返回的利息不应全为零");
+            }
+            catch (Exception ex)
+            {
+                StringAssert.Contains(ex.Message, "FR007");
+                Assert.Fail($"RED-重放 复现成功：不算尾全平因平仓日 FR007 未发布被误拦截 —— {ex.Message}");
+            }
+        }
+
+        /// <summary>
+        /// [Baseline-重放] 同场景但提供平仓日 07-20 FR007 → 应成功（绿），隔离 stub/路径问题。
+        /// </summary>
+        [TestMethod]
+        public void Baseline_FullClose_WithPreEod_WithCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: true);
+            var preEod = CreatePreEod();
+            var fe = CalcCloseInterestEod(svc, InterestTypeEnum.复利, new List<eod_swap_position> { preEod });
+            Assert.IsNotNull(fe);
+            Assert.IsTrue(fe.InterestAmount != 0, "提供末日 FR007 时应正常算出利息");
+        }
+    }
+}

YLErpDAL/Modules/SwapModule/SwapDealService.cs

@@ -475,7 +475,6 @@ namespace YLErp.Modules.SwapModule
             var stockEqvNotional = realPostitions.Where(x => x.PosiDirection > 0).Sum(s => s.PosiNotionalValue); // 当前平仓前的实时剩余本金
             var posiNotionalValue = stockEqvNotional * closePercent;// 本次平仓名义本金
             var orginPv = ResolveUnwindPreviousNotional(lastEod, lastEodPositions, stockEqvNotional); // 上一日终的浮动端本金
-            var grossPrice = realPostitions.Where(x => x.PosiDirection > 0).FirstOrDefault()?.PosiGrossPrice;
             var closeList = DbContext.swap_flow_event.Where(x => x.SwapTradeId == tradeId 
                                                                  && x.UnwindDate == unwindDate 
                                                                  && eventTypes.Contains(x.EventType) 
@@ -696,7 +695,7 @@ namespace YLErp.Modules.SwapModule
                     closePrincipal = closePosiNotionalValue;
                 }
 
-                decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone);
+                decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone, calcLast || newCalcLast);
 
                 // 根据场景计算利息
                 if (settment)
@@ -847,11 +846,12 @@ namespace YLErp.Modules.SwapModule
         /// <summary>
         /// 获取浮动利率
         /// </summary>
-        private decimal GetFloatRate(swap_position position, eod_swap_position preEod, DateTime startDate, DateTime endDate, int period, bool swap, swap_position positionClone)
+        private decimal GetFloatRate(swap_position position, eod_swap_position preEod, DateTime startDate, DateTime endDate, int period, bool swap, swap_position positionClone, bool calcLast = true)
         {
             if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode)) return position.FloatRate;
 
             int days = (endDate - startDate).Days;
+            // 重置日恰为到期日(endDate)时，取价日=endDate；否则=startDate（原逻辑）。
             DateTime rateDate = IndexFixerBase.GetFixingDate(
                 days % period == 0 ? endDate : startDate, position.interest_rule);
 
@@ -866,7 +866,15 @@ namespace YLErp.Modules.SwapModule
                 position.FloatRate = positionClone.FloatRate = rate;
                 return position.FloatRate;
             }
-            if (!swap) throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{rateDate:yyyy年MM月dd日}的价格");
+            if (!swap)
+            {
+                // EQD-6968：不算尾时平仓日 FR007 缺失不拦截（该日利率不参与计息），回退期初定盘；算尾(calcLast=true)仍抛(正确依赖)。
+                if (!calcLast && IndexFixer.TryGetFixing(IndexFixerBase.GetFixingDate(startDate, position.interest_rule), position.FloatRateUnderlyingCode, out decimal fb))
+                    return fb;
+                if (!calcLast)
+                    return position.FloatRate;
+                throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{rateDate:yyyy年MM月dd日}的价格");
+            }
             return 0m;
         }
 
@@ -1249,7 +1257,7 @@ namespace YLErp.Modules.SwapModule
                         // 计算截至本次平仓日的累计利息 amountAtEnd
                         CalcDailyCompoundInterest(replayEndDate, position, closePosiNotionalValue,
                             interestAtEnd, annualDays, floateRate, closePrecent,
-                            calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest);
+                            calcFirst, calcLast, ref amountAtEnd, ref tdAmountAtEnd, consumedInterest, exclusionEndDate: endDate);
                         var interestAtPreviousEod = new swap_flow_event { InterestRate = rate };
                         decimal amountAtPreviousEod = 0m;
                         decimal tdAmountAtPreviousEod = 0m;
@@ -1303,7 +1311,7 @@ namespace YLErp.Modules.SwapModule
         private (List<(DateTime StartDate, decimal Rate)> Segments, decimal LastFloat) BuildSegmentRates(
             DateTime startDate, DateTime endDate, int interestPeriod,
             swap_position position, decimal spread, decimal initialFloat,
-            DateTime? fetchAfterDate)
+            DateTime? fetchAfterDate, bool includeEnd = true, DateTime? exclusionEndDate = null)
         {
             var rates = new List<(DateTime, decimal)>();
             var calcDays = (endDate - startDate).Days;
@@ -1311,8 +1319,24 @@ namespace YLErp.Modules.SwapModule
             for (int i = 0; i <= calcDays; i += interestPeriod)
             {
                 var resetDate = startDate.AddDays(i);
-                if (fetchAfterDate == null || resetDate > fetchAfterDate.Value)
-                    currentFloat = ResolveFloatRate(position, resetDate, currentFloat);
+                bool needFetch = (fetchAfterDate == null || resetDate > fetchAfterDate.Value);
+                // EQD-6968：不算尾(includeEnd=false)的排除日(真实平仓日)重置——优先取新利率(满足 GLMS-JIATT-20260805
+                // 重置日=平仓日用新利率)，缺失则沿用上一重置日利率(该日利率不参与计息)，不抛异常以免上午 FR007 未发布误拦平仓。
+                bool isExcludedEnd = !includeEnd && resetDate >= (exclusionEndDate ?? endDate);
+                if (needFetch)
+                {
+                    if (!isExcludedEnd)
+                    {
+                        currentFloat = ResolveFloatRate(position, resetDate, currentFloat);
+                    }
+                    else
+                    {
+                        var fixingDate = IndexFixerBase.GetFixingDate(resetDate, position.interest_rule);
+                        if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal r))
+                            currentFloat = r;
+                        // 否则沿用 currentFloat(上一重置日利率)
+                    }
+                }
                 rates.Add((resetDate, spread + currentFloat));
             }
             return (rates, currentFloat);
@@ -1331,15 +1355,16 @@ namespace YLErp.Modules.SwapModule
         /// <returns></returns>
         public void CalcDailyCompoundInterest(DateTime endDate, swap_position position, decimal principal, swap_flow_event flowEvent,
             int annualDays, decimal floateRate, decimal closePercent, bool calcFirst, bool calcLast,
-            ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m)
+            ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m, DateTime? exclusionEndDate = null)
         {
             var startDate = position.PosiStartDate;
             int interestPeriod = position.interest_rest_days ?? 1;
 
             // 分段取率：复利全程重放，每个重置日(含 startDate)取 FR007（fetchAfterDate=null）。
+            // EQD-6968：includeEnd 透传 calcLast，与下方 AccruePeriod 的边界同源，避免两处漂移。
             var (segmentRates, currentFloat) = BuildSegmentRates(
                 startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
-                fetchAfterDate: null);
+                fetchAfterDate: null, includeEnd: calcLast, exclusionEndDate: exclusionEndDate);
 
             // 纯函数复利计息：分段重置日并本金 + resetCarryInterest + 扣 consumedInterest
             var interestTrace = new AccrualTrace();
@@ -1369,7 +1394,7 @@ namespace YLErp.Modules.SwapModule
         /// <summary>
         /// 计算单利 盘中（按重置天数分段，每段使用对应浮动利率）
         /// </summary>
-        public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
+        public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, DateTime? exclusionEndDate = null)
         {
             var startDate = position.PosiStartDate;
             int interestPeriod = position.interest_rest_days ?? 1;
@@ -1379,9 +1404,10 @@ namespace YLErp.Modules.SwapModule
             var accrualBasis = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
 
             // 分段取率：仅 ValueDate 之后的重置日才取 FR007（fetchAfterDate=ValueDate）。
+            // EQD-6968：includeEnd 透传 calcLast，与下方 AccruePeriod 的边界同源，避免两处漂移。
             var (segmentRates, currentFloat) = BuildSegmentRates(
                 startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
-                fetchAfterDate: preEodPosition.ValueDate);
+                fetchAfterDate: preEodPosition.ValueDate, includeEnd: calcLast, exclusionEndDate: exclusionEndDate);
 
             // 纯函数计息：Accrued=缩放累计(InterestAmount)，AccruedToday=未缩放累计(TdInterestAmount)
             var interestTrace = new AccrualTrace();