refactor(accrual): 接线SimpleInterest/CompoundInterest内部 + 分段修复 + 去重

CalcDailySimpleInterest/CalcDailyCompoundInterest内部逐日循环→分段纯函数(签名不变):
- AccrueSimplePeriod: AccruedToday改未缩放累计(TdInterestAmount口径)
- AccrueCompoundPeriod: 新增out finalBasis供flowEvent.InterestPrincipal精确赋值
- 修复5处分段边界bug(includeStart/includeEnd/resetCarryInterest interestPeriod=1场景)
- 提取BuildSegmentRates消除SimpleInterest/CompoundInterest取率重复
- 影子测试补AccruedToday断言关闭测试盲区

SwapModule零回归(7基线/510通过)

UnitTestProject/Modules/SwapModule/Accrual/CompoundPeriodShadowTest.cs

@@ -93,11 +93,16 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
                 endDate: EndDate,
                 boundary: AccrualBoundary.StartOnly,
                 annualDays: AnnualDays,
-                isAnnualized: true);
+                isAnnualized: true,
+                resetCarryInterest: 0m,
+                realizedInterest: 0m,
+                unwindFraction: 1m,
+                finalBasis: out _);
 
             Console.WriteLine($"旧: I={oldI} Td={oldTd}");
             Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
             Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
         }
 
         /// <summary>
@@ -138,11 +143,13 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
                 isAnnualized: true,
                 resetCarryInterest: carry,
                 realizedInterest: consumed,
-                unwindFraction: closePct);
+                unwindFraction: closePct,
+                finalBasis: out _);
 
             Console.WriteLine($"旧: I={oldI} Td={oldTd}");
             Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
             Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
         }
 
         /// <summary>
@@ -177,11 +184,16 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
                 endDate: EndDate,
                 boundary: AccrualBoundary.Both,
                 annualDays: AnnualDays,
-                isAnnualized: true);
+                isAnnualized: true,
+                resetCarryInterest: 0m,
+                realizedInterest: 0m,
+                unwindFraction: 1m,
+                finalBasis: out _);
 
             Console.WriteLine($"旧: I={oldI} Td={oldTd}");
             Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
             Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
         }
     }
 }

UnitTestProject/Modules/SwapModule/Accrual/SimplePeriodShadowTest.cs

@@ -64,6 +64,27 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
             public StubSvc() : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest)) { }
         }
 
+        /// <summary>带浮动率 stub 的 SwapDealService：override IndexFixer 注入预设 FR007 取价。</summary>
+        private sealed class FloatStubSvc : SwapDealService
+        {
+            private readonly IIndexFixer _fixer;
+            public FloatStubSvc(IIndexFixer fixer) : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest))
+                => _fixer = fixer;
+            protected override IIndexFixer IndexFixer => _fixer;
+        }
+
+        /// <summary>Stub IIndexFixer：对所有查询返回固定 fixing（不依赖日期匹配，规避 QDP 日历差异）。</summary>
+        private sealed class StubIndexFixer : IIndexFixer
+        {
+            private readonly decimal _rate;
+            public StubIndexFixer(decimal rate) => _rate = rate;
+            public bool TryGetFixing(DateTime fixingDate, string underlyingCode, out decimal rate)
+            {
+                rate = _rate;
+                return true;
+            }
+        }
+
         /// <summary>
         /// 固定利率（无FR007）算头不算尾，全平，无历史归档。
         /// </summary>
@@ -100,6 +121,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
             Console.WriteLine($"旧: I={oldI} Td={oldTd}");
             Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
             Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
         }
 
         /// <summary>
@@ -145,6 +167,70 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
             Console.WriteLine($"旧: I={oldI} Td={oldTd}");
             Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
             Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
+        }
+
+        /// <summary>
+        /// 单利 + FR007 浮动利率 + 多重置日 + 部分平仓 + 有历史归档。
+        /// 验证旧方法内部取价循环生成的 segmentRates 与手算一致——为抽取共享 SegmentRateBuilder 做安全网。
+        /// 场景：preEod.ValueDate=4/30，重置日 4/21(跳过取价), 4/28(跳过取价), 5/5(取 FR007 fixing)。
+        /// </summary>
+        [TestMethod]
+        public void 影子_单利浮动_FR007_部分平仓_旧新一致()
+        {
+            const decimal floatRateIn = 0.0150m;    // 入参 floateRate（上一次取到的浮动率 1.50%）
+            const decimal fixingAtReset = 0.0125m;  // 5/5 重置日取到的 FR007 fixing（1.25%）
+            const decimal closePct = 0.5m;
+            var preEodDate = new DateTime(2026, 4, 30); // 上一日终=4/30，5/5 > 4/30 触发取价
+
+            var position = CreatePosition();
+            position.FloatRateUnderlyingCode = "FR007";
+
+            var preEod = new eod_swap_position
+            {
+                id = 1, SwapTradeId = 1, PositionId = 1001,
+                ValueDate = preEodDate,
+                TdInterestPrincipal = Notional,
+                InterestProfitSum = 200_000m,
+                PosiNotionalValue = Notional, FloatRate = 0m
+            };
+            var flowEvent = new swap_flow_event { InterestRate = Spread };
+
+            // 旧方法（通过 stub IndexFixer 注入 FR007 取价）
+            decimal oldI = 0, oldTd = 0;
+            var svc = new FloatStubSvc(new StubIndexFixer(fixingAtReset));
+            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
+                AnnualDays, false, floatRateIn, closePct, Notional, true, false, ref oldI, ref oldTd);
+
+            // 新方法：手算 segmentRates（对齐旧代码取价循环的逻辑）
+            // 4/21 <= preEodDate(4/30) → 跳过取价，currentFloat 保持入参 floatRateIn
+            // 4/28 <= preEodDate(4/30) → 跳过取价，currentFloat 保持入参 floatRateIn
+            // 5/5 > preEodDate(4/30) → 取价，currentFloat 更新为 fixingAtReset
+            var segRates = new List<(DateTime, decimal)>
+            {
+                (StartDate, Spread + floatRateIn),               // (4/21, 0.0175)
+                (StartDate.AddDays(7), Spread + floatRateIn),    // (4/28, 0.0175)
+                (StartDate.AddDays(14), Spread + fixingAtReset), // (5/5, 0.0150)
+            };
+
+            // 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
+            var accrualPrincipal = Notional + Notional - Notional;
+            var result = FundingLegAccrual.AccrueSimplePeriod(
+                priorAccrued: 200_000m * closePct,
+                notional: accrualPrincipal,
+                unwindFraction: closePct,
+                segmentRates: segRates,
+                startDate: StartDate,
+                endDate: EndDate,
+                priorValueDate: preEodDate,
+                boundary: AccrualBoundary.StartOnly,
+                annualDays: AnnualDays,
+                isAnnualized: true);
+
+            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
+            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
+            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
         }
     }
 }

YLErpDAL/Modules/SwapModule/Accrual/FundingLegAccrual.cs

@@ -104,6 +104,7 @@ public static class FundingLegAccrual
     /// <summary>
     /// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
     /// 本金全程恒定，按重置日分段取利率。
+    /// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
     /// </summary>
     public static InterestResult AccrueSimplePeriod(
         decimal priorAccrued,
@@ -119,12 +120,12 @@ public static class FundingLegAccrual
         AccrualTrace? trace = null)
     {
         var displayBasis = notional * unwindFraction;
-        decimal accrued = priorAccrued;
+        decimal accrued = priorAccrued;           // 缩放累计 → InterestAmount
+        decimal accruedUnscaled = priorAccrued;   // 未缩放累计 → TdInterestAmount
 
         trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
 
         var segStart = startDate;
-        var segIncludeStart = boundary.IncludeStart;
 
         for (int si = 0; si < segmentRates.Count; si++)
         {
@@ -135,22 +136,29 @@ public static class FundingLegAccrual
             var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
             if (effectiveStart > segEnd) { segStart = segEnd; continue; }
 
-            var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
+            // calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
+            // 与旧逐日循环一致：if (!calcFirst && accrueDate == startDate) continue 是唯一的首日跳过。
+            // 中间段的 segIncludeStart 被 days<=0 跳过后误置 false，此处按 startDate 判定而非继承标记。
+            var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
+            // calcLast 只影响 endDate 本身——只有真正的末段(si==Count-1)才算尾，
+            // 不能用 segEnd==endDate 判断（interestPeriod=1 时中间段 segEnd 也可能==endDate）。
+            var isLastSegment = si == segmentRates.Count - 1;
+            var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
             var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
-            if (days <= 0) { segStart = segEnd; segIncludeStart = false; continue; }
+            if (days <= 0) { segStart = segEnd; continue; }
 
             var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
             var segInterest = displayBasis * dailyRate * days;
             accrued += segInterest;
+            accruedUnscaled += notional * dailyRate * days;
             trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);
 
             segStart = segEnd;
-            segIncludeStart = false;
         }
 
         var result = new InterestResult(
             SwapInterest.Round(accrued, Precision),
-            SwapInterest.Round(accrued, Precision));
+            SwapInterest.Round(accruedUnscaled, Precision));
         trace?.MarkEnd(result.Accrued, result.AccruedToday);
         return result;
     }
@@ -167,9 +175,10 @@ public static class FundingLegAccrual
         AccrualBoundary boundary,
         int annualDays,
         bool isAnnualized,
-        decimal resetCarryInterest = 0m,
-        decimal realizedInterest = 0m,
-        decimal unwindFraction = 1m,
+        decimal resetCarryInterest,
+        decimal realizedInterest,
+        decimal unwindFraction,
+        out decimal finalBasis,
         AccrualTrace? trace = null)
     {
         decimal accrualBasis = notional;
@@ -179,16 +188,19 @@ public static class FundingLegAccrual
 
         for (int si = 0; si < segmentRates.Count; si++)
         {
-            var segEnd = si < segmentRates.Count - 1
-                ? segmentRates[si + 1].StartDate
-                : endDate;
+            var isLastSegment = si == segmentRates.Count - 1;
+            var segEnd = isLastSegment
+                ? endDate
+                : segmentRates[si + 1].StartDate;
 
             // 重置日并本金
             accrualBasis = si == 0 ? notional : notional + accrued;
 
-            // 末日重置且 carry 非零：用存量替代
+            // 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
+            // 注意：必须同时判断 startDate==endDate——endDate 非重置日时最后一段起点 < endDate，不应触发。
             var usedCarry = false;
-            if (segEnd == endDate && si > 0 && resetCarryInterest != 0m)
+            if (isLastSegment && si > 0 && resetCarryInterest != 0m
+                && segmentRates[si].StartDate == endDate)
             {
                 accrualBasis = notional + resetCarryInterest;
                 usedCarry = true;
@@ -200,7 +212,7 @@ public static class FundingLegAccrual
 
             // 半开区间：重置日归下一段（旧代码逐日循环中重置日先更新本金再算息）
             var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
-            var segIncludeEnd = (segEnd == endDate) ? boundary.IncludeEnd : false;
+            var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
             var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
                 AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
             if (days <= 0) continue;
@@ -211,6 +223,8 @@ public static class FundingLegAccrual
             trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
         }
 
+        finalBasis = accrualBasis;
+
         // 扣除历史已结利息
         if (realizedInterest != 0m)
             trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);

YLErpDAL/Modules/SwapModule/SwapDealService.cs

@@ -1,4 +1,4 @@
-using MoreLinq.Extensions;
+using MoreLinq.Extensions;
 using Newtonsoft.Json;
 using YLErp.BLL;
 using YLErp.BLL.Eod;
@@ -1325,6 +1325,40 @@ namespace YLErp.Modules.SwapModule
             }
             return interest;
         }
+
+        /// <summary>
+        /// 按重置周期切分利率段，每段记录 all-in 利率(spread+fixing)。返回 (分段列表, 末段浮动利率)。
+        /// fetchAfterDate: 仅该日期之后的重置日才取 FR007（单利传 ValueDate，复利传 null 全程取）。
+        /// </summary>
+        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)
+        {
+            var rates = new List<(DateTime, decimal)>();
+            var calcDays = (endDate - startDate).Days;
+            decimal currentFloat = initialFloat;
+            for (int i = 0; i <= calcDays; i += interestPeriod)
+            {
+                var resetDate = startDate.AddDays(i);
+                if ((fetchAfterDate == null || resetDate > fetchAfterDate.Value)
+                    && !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
+                {
+                    var fixingDate = IndexFixerBase.GetFixingDate(resetDate, position.interest_rule);
+                    if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
+                    {
+                        if (fixing != 0m) currentFloat = fixing;
+                    }
+                    else
+                    {
+                        throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
+                    }
+                }
+                rates.Add((resetDate, spread + currentFloat));
+            }
+            return (rates, currentFloat);
+        }
+
         /// <summary>
         /// 计算复利 盘中
         /// </summary>
@@ -1341,85 +1375,36 @@ namespace YLErp.Modules.SwapModule
             ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m, decimal resetCarryInterest = 0m)
         {
             var startDate = position.PosiStartDate;
-            decimal interestProfitSum = 0;
-            decimal TdInterestPrincipal = 0;
-            decimal interest = interestProfitSum ;
-            decimal tdinterest = interestProfitSum ;
             int interestPeriod = position.interest_rest_days ?? 1;
-            // 复利：只能用要平仓的名义本金从头开始算
-            decimal dynomicPrincipal = principal;
-            decimal tdDynomicPrincipal = dynomicPrincipal;
-            var calcDays = (endDate - startDate).Days;
-            double floatRate = Convert.ToDouble(floateRate);
-            for (int i = 0; i <= calcDays; i++)
-            {
-                var accrueDate = startDate.AddDays(i);
-                // 重置日取价必须在 calcFirst/calcLast 跳过之前完成：calcLast=false(不算尾) 只应跳过计息，
-                // 不应跳过重置日的 FR007 取价。否则平仓日=重置日时会沿用旧周期利率，
-                // 且 flowEvent.FloatRate 落库为旧值，传染后续 EOD（GLMS-JIATT-20260805 根因）。
-                if (accrueDate >= startDate && i % interestPeriod == 0
-                    && !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
-                {
-                    var fixingDate = IndexFixerBase.GetFixingDate(accrueDate, position.interest_rule);
-                    if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
-                    {
-                        if (fixing != 0m) floatRate = Convert.ToDouble(fixing);
-                    }
-                    else
-                    {
-                        throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
-                    }
-                }
-                if (accrueDate >= startDate)
-                {
-                    if (i % interestPeriod == 0)
-                    {
-                        // 每个重置节点 计息基数 = 前日本金 + 本期利息
-                        // resetCarryInterest 是上一日终待实现按本次平仓比例分摊后的存量，
-                        // 只能在 endDate 恰好是当前复利重置日时并入本金。历史重置点必须使用
-                        // 重放到当时的 interest，否则会把上一日终存量反复注入历史本金，
-                        // 例如 0007 的 5/11 部分平仓会由 84,090.95 被多算为 84,114.88。
-                        var interestToReset = i > 0 && accrueDate == endDate && resetCarryInterest != 0m
-                            ? resetCarryInterest
-                            : interest;
-                        dynomicPrincipal = principal + interestToReset;
-                        tdDynomicPrincipal = principal + interestToReset;
-                        flowEvent.InterestPrincipal = tdDynomicPrincipal;
-                        TdInterestPrincipal = tdDynomicPrincipal;
-                    }
-                    else
-                    {
-                        // 复利非重置日：利息不并入本金，不用closePercent缩放（principal已反映平仓比例）
-                        flowEvent.InterestPrincipal = tdDynomicPrincipal;
-                        TdInterestPrincipal = tdDynomicPrincipal;
-                    }
-                }
-                if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
-                if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾（只跳过计息，重置本金已在上方完成）
-                if (accrueDate >= startDate)
-                {
-                    flowEvent.FloatRate = Convert.ToDecimal(floatRate);
-                    var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                    var tdinterest1 = TdInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                    if (position.IsAnnualized)
-                    {
-                        interest1 /= annualDays;
-                        tdinterest1 /= annualDays;
-                    }
-                    interest += interest1;
-                    tdinterest += tdinterest1;
-                }
-            }
-            // 兜底：若循环因 calcLast 跳过最后一天(重置日=平仓日)，flowEvent.FloatRate 不会被循环内赋值，
-            // 用最终 floatRate 兜底，确保落库的 FloatRate 反映最后一个重置日的利率（GLMS-JIATT-20260805）。
-            flowEvent.FloatRate = Convert.ToDecimal(floatRate);
-            // 复利从头重放得到的是"假设从未结出"的整段总利息，需扣除历史已通过互换结出的利息，
-            // 否则已结部分会重复计息（类比分红 PosiDividendSum = totalToDate − RealizedDividend）。
-            // consumedInterest is full-position absolute interest; scale it to this close portion.
-            interest -= consumedInterest * closePercent;
-            tdinterest -= consumedInterest * closePercent;
-            InterestAmount = Math.Round(interest, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
-            TdInterestAmount = Math.Round(tdinterest, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
+
+            // 分段取率：复利全程重放，每个重置日(含 startDate)取 FR007（fetchAfterDate=null）。
+            var (segmentRates, currentFloat) = BuildSegmentRates(
+                startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
+                fetchAfterDate: null);
+
+            // 纯函数复利计息：分段重置日并本金 + resetCarryInterest + 扣 consumedInterest
+            var interestTrace = new AccrualTrace();
+            var result = FundingLegAccrual.AccrueCompoundPeriod(
+                notional: principal,
+                segmentRates: segmentRates,
+                startDate: startDate,
+                endDate: endDate,
+                boundary: AccrualBoundary.Of(calcFirst, calcLast),
+                annualDays: annualDays,
+                isAnnualized: position.IsAnnualized,
+                resetCarryInterest: resetCarryInterest,
+                realizedInterest: consumedInterest,
+                unwindFraction: closePercent,
+                finalBasis: out var finalBasis,
+                trace: interestTrace);
+            SwapCalcTrace.Write(interestTrace);
+
+            // flowEvent 副作用：FloatRate=末段浮动利率；InterestPrincipal=复利终期本金(最后一次并本金后的基数)。
+            flowEvent.FloatRate = currentFloat;
+            flowEvent.InterestPrincipal = finalBasis;
+
+            InterestAmount = result.Accrued;
+            TdInterestAmount = result.AccruedToday;
         }
 
         /// <summary>
@@ -1428,59 +1413,39 @@ namespace YLErp.Modules.SwapModule
         public void CalcDailySimpleInterest(eod_swap_position preEodPosition, DateTime endDate, swap_position position, decimal posiPrincipal, swap_flow_event flowEvent, int annualDays, bool needPrice, decimal floateRate, decimal closePercent, decimal orginPv, bool calcFirst, bool calcLast, ref decimal InterestAmount, ref decimal TdInterestAmount, decimal consumedInterest = 0m)
         {
             var startDate = position.PosiStartDate;
-            decimal interestProfitSum = preEodPosition.InterestProfitSum;
-            var TdInterestPrincipal = preEodPosition.TdInterestPrincipal;
-            decimal interest = interestProfitSum * closePercent;
-            decimal tdinterest = interestProfitSum * closePercent;
             int interestPeriod = position.interest_rest_days ?? 1;
-            // 单利：可用上一日计息基数
-            decimal dynomicPrincipal = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
-            decimal tdDynomicPrincipal = dynomicPrincipal;
-            var calcDays = (endDate - startDate).Days;
-            double floatRate = Convert.ToDouble(floateRate);
-            for (int i = 0; i <= calcDays; i++)
-            {
-                var accrueDate = startDate.AddDays(i);
-                if (!calcFirst && accrueDate == startDate) continue; // 首日不算头
-                if (!calcLast && accrueDate == endDate) continue; // 到期日不算尾
-                if (accrueDate > preEodPosition.ValueDate)
-                {
-                    // 重置日重新获取该段浮动利率；非重置日沿用上一段利率。
-                    // 两分支唯一差异即"是否重取利率"，本金口径(只缩放一次)完全一致，
-                    // 合并后消除复制粘贴导致的 closePercent^N 类 bug（原非重置日分支多了一行
-                    // tdDynomicPrincipal = flowEvent.InterestPrincipal 使本金累积乘 closePercent^N）。
-                    if (i % interestPeriod == 0 && !string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
-                    {
-                        var fixingDate = IndexFixerBase.GetFixingDate(accrueDate, position.interest_rule);
-                        if (IndexFixer.TryGetFixing(fixingDate, position.FloatRateUnderlyingCode, out decimal fixing))
-                        {
-                            if (fixing != 0m) floatRate = Convert.ToDouble(fixing);
-                        }
-                        else
-                        {
-                            throw new Exception($"获取不到{position.FloatRateUnderlyingCode}在{fixingDate:yyyy年MM月dd日}的价格");
-                        }
-                    }
 
-                    // 显示本金 = 计息基数 × closePercent（只缩放一次，与日终 ByEod 口径一致）；
-                    // 计息基数(tdDynomicPrincipal)逐日恒定、不缩放（单利特征）。
-                    flowEvent.InterestPrincipal = tdDynomicPrincipal * closePercent;
-                    TdInterestPrincipal = tdDynomicPrincipal;
+            // orginPv 是路径相关参考本金（资金腿=上一日终浮动端名义本金；保证金腿=上一日终保证金余额）。
+            // 单利差分：accrualBasis 全程恒定 = 昨日终滚动基数 + 当日名义本金 - 参考本金。
+            var accrualBasis = preEodPosition.TdInterestPrincipal + posiPrincipal - orginPv;
 
-                    flowEvent.FloatRate = Convert.ToDecimal(floatRate);
-                    var interest1 = flowEvent.InterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                    var tdinterest1 = TdInterestPrincipal * (flowEvent.InterestRate + Convert.ToDecimal(floatRate));
-                    if (position.IsAnnualized)
-                    {
-                        interest1 /= annualDays;
-                        tdinterest1 /= annualDays;
-                    }
-                    interest += interest1;
-                    tdinterest += tdinterest1;
-                }
-            }
-            InterestAmount = Math.Round(interest, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
-            TdInterestAmount = Math.Round(tdinterest, InterestCalculationPrecision, MidpointRounding.AwayFromZero);
+            // 分段取率：仅 ValueDate 之后的重置日才取 FR007（fetchAfterDate=ValueDate）。
+            var (segmentRates, currentFloat) = BuildSegmentRates(
+                startDate, endDate, interestPeriod, position, flowEvent.InterestRate, floateRate,
+                fetchAfterDate: preEodPosition.ValueDate);
+
+            // 纯函数计息：Accrued=缩放累计(InterestAmount)，AccruedToday=未缩放累计(TdInterestAmount)
+            var interestTrace = new AccrualTrace();
+            var result = FundingLegAccrual.AccrueSimplePeriod(
+                priorAccrued: preEodPosition.InterestProfitSum * closePercent,
+                notional: accrualBasis,
+                unwindFraction: closePercent,
+                segmentRates: segmentRates,
+                startDate: startDate,
+                endDate: endDate,
+                priorValueDate: preEodPosition.ValueDate,
+                boundary: AccrualBoundary.Of(calcFirst, calcLast),
+                annualDays: annualDays,
+                isAnnualized: position.IsAnnualized,
+                trace: interestTrace);
+            SwapCalcTrace.Write(interestTrace);
+
+            // flowEvent 副作用（下游 EOD 用 InterestPrincipal 播种次日 TdInterestPrincipal）
+            flowEvent.InterestPrincipal = accrualBasis * closePercent;
+            flowEvent.FloatRate = currentFloat;
+
+            InterestAmount = result.Accrued;
+            TdInterestAmount = result.AccruedToday;
         }
 
         /// <summary>