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

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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)
This commit is contained in:
hjhan
2026-08-12 13:09:17 +08:00
parent 85746d7ee9
commit c86633479d
4 changed files with 224 additions and 147 deletions
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UnitTestProject/Modules/SwapModule/Accrual/CompoundPeriodShadowTest.cs
+15 -3
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@@ -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");
}
}
}