feat(swap): EQD-6977 复利纯函数支持 carryInInterest——窗口前已结利息随首个重置日资本化并持续留在基数（与全窗口重放轨迹严格一致）；默认0零行为变化，含数学不变量测试

2026-08-20 11:43:27 +08:00
parent 952295a78a
commit d1985231ee
2 changed files with 121 additions and 2 deletions
@@ -0,0 +1,107 @@
+using Newtonsoft.Json;
+using YLErp;
+using YLErp.Modules.SwapModule;
+using YLErp.Modules.SwapModule.Accrual;
+
+namespace UnitTestProject.Modules.SwapModule.Accrual
+{
+    /// <summary>
+    /// EQD-6977 carryInInterest 契约测试：
+    /// 1) 默认 0 与旧逐日循环逐位一致（加参零行为变化的安全证明）；
+    /// 2) carry-in 仅在【首个重置日】并入计息基数（非窗口首日起息）——
+    ///    与"持有至到期"全期轨迹对齐的数学不变量：增量 = carryIn × 后续段日利率 × 后续段天数。
+    /// </summary>
+    [TestClass]
+    public class CompoundCarryInTest
+    {
+        private const decimal Notional = 100_000_000m;
+        private const decimal Spread = 0.0025m;
+        private const int AnnualDays = 365;
+        private static readonly DateTime StartDate = new(2026, 4, 21);
+        private static readonly DateTime EndDate = new(2026, 5, 11); // 21天 = 3×7，末日是重置日
+
+        private static swap_position CreatePosition()
+        {
+            return new swap_position
+            {
+                id = 1001, SwapTradeId = 1, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.标的期初全价,
+                InterestRateDefault = Spread,
+                InterestPrincipalFix = Notional,
+                PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
+                IsInitial = true, Invalid = false,
+                InterestType = (int)InterestTypeEnum.复利,
+                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
+                FloatRateUnderlyingCode = null,
+                InterestSwapInterval = "[]"
+            };
+        }
+
+        private static List<(DateTime, decimal)> Segments()
+            => new()
+            {
+                (StartDate, Spread),
+                (StartDate.AddDays(7), Spread),
+                (StartDate.AddDays(14), Spread),
+            };
+
+        private sealed class StubSvc : SwapDealService
+        {
+            public StubSvc() : base(new OptUserInfo(0, nameof(CompoundCarryInTest), OptUserFrom.UnitTest)) { }
+        }
+
+        [TestMethod]
+        public void carryIn_默认省略_与旧逐日循环一致()
+        {
+            var position = CreatePosition();
+            var flowEvent = new swap_flow_event { InterestRate = Spread };
+
+            decimal oldI = 0, oldTd = 0;
+            new StubSvc().CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
+                AnnualDays, 0m, 1m, true, false, ref oldI, ref oldTd);
+
+            // 省略 carryInInterest（默认 0）
+            var r1 = CompoundInterestAccrual.AccruePeriod(
+                notional: Notional, segmentRates: Segments(),
+                startDate: StartDate, endDate: EndDate,
+                boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
+                resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
+                finalBasis: out _);
+            // 显式传 0 与省略等价
+            var r2 = CompoundInterestAccrual.AccruePeriod(
+                notional: Notional, segmentRates: Segments(),
+                startDate: StartDate, endDate: EndDate,
+                boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
+                resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
+                finalBasis: out _, trace: null, carryInInterest: 0m);
+
+            Assert.AreEqual((double)oldI, (double)r1.Accrued, 0.0000001, "省略 carryIn 与旧实现一致");
+            Assert.AreEqual((double)r1.Accrued, (double)r2.Accrued, 0.0000001, "省略与显式0一致");
+        }
+
+        [TestMethod]
+        public void carryIn_仅在首重置日起息_增量等于后续两段复利()
+        {
+            const decimal carryIn = 1_000_000m;
+
+            decimal Accrued(decimal c)
+                => CompoundInterestAccrual.AccruePeriod(
+                    notional: Notional, segmentRates: Segments(),
+                    startDate: StartDate, endDate: EndDate,
+                    boundary: AccrualBoundary.Both, annualDays: AnnualDays, isAnnualized: true,
+                    resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
+                    finalBasis: out _, trace: null, carryInInterest: c).Accrued;
+
+            var delta = Accrued(carryIn) - Accrued(0m);
+
+            // Both 边界下三段各 7 天。carryIn 于 4/28（首个重置日）并入基数：
+            // 首段 [4/21,4/28] 不含 carryIn；其后两段 carryIn 自身起息且其首段利息再复利。
+            // 精确增量 = c×d + (c + c×d)×d = c×(2d + d²) = c×((1+d)² − 1)，d = 7天利率因子。
+            var d = Spread * 7m / AnnualDays;
+            var expected = carryIn * (2m * d + d * d);
+            Assert.AreEqual((double)expected, (double)delta, 0.001,
+                "carryIn 增量 = 首个重置日起息的两段复利，首段不含 carryIn");
+        }
+    }
+}
@@ -61,6 +61,11 @@ public static class CompoundInterestAccrual
    /// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
    /// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
    /// </summary>
+    /// <param name="carryInInterest">
+    /// 窗口前已计未结转利息（EQD-6977 罚息承接）：在【首个重置日】并入计息基数——
+    /// 与"持有至到期"全期轨迹严格对齐（恒等式：全期复利 = 平仓日已结利息 + 罚息窗口利息）。
+    /// 默认 0 时与旧行为逐位一致。与 resetCarryInterest 互斥使用（后者是全平重放的末段存量替代）。
+    /// </param>
    public static InterestResult AccruePeriod(
        decimal notional,
        IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
@@ -73,10 +78,14 @@ public static class CompoundInterestAccrual
        decimal realizedInterest,
        decimal unwindFraction,
        out decimal finalBasis,
-        AccrualTrace? trace = null)
+        AccrualTrace? trace = null,
+        decimal carryInInterest = 0m)
    {
        decimal accrualBasis = notional;
-        decimal accrued = 0m;
+        // carryInInterest 是"窗口前已计未结转利息"：先并入 accrued，随首个重置日的
+        // basis = notional + accrued 一并资本化，并在其后每个重置日持续留在基数里
+        //（与全窗口重放时 accrued 含全部历史利息的轨迹严格一致）；最终报告时扣除。
+        decimal accrued = carryInInterest;

        trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);

@@ -116,6 +125,9 @@ public static class CompoundInterestAccrual

        finalBasis = accrualBasis;

+        // 报告口径只含窗口内增量（carryIn 是窗口前已结利息，由正常平仓流单独结算）
+        accrued -= carryInInterest;
+
        if (realizedInterest != 0m)
            trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
        accrued -= realizedInterest * unwindFraction;