refactor(swap): 保证金腿在 GetInterests 循环入口提前路由，融资腿分支树去除 MarginModes 依赖
- 保证金腿(5/6)在最外层路由并 continue：本金(InterestPrincipalFix×closePrecent)、 方向翻转、CalcMarginInterest 收口一处；newClosePercent 在保证金腿恒等于 closePrecent，直接传参 - 融资腿(1/2/9)分支树内 3 处 MarginModes.Contains 归零，后续融资腿改动与保证金解耦 - GetFixedRate 前移为两路共用(纯读函数，已验证无副作用) - 有意跳过 GetFloatRate：CalcMarginInterest 纯固定利率(FundingLegRate.Fixed/ FloatRate 恒 0)，浮动取价对保证金无意义；脏数据 FloatRateUnderlyingCode 缺价时不再阻断保证金结算(唯一行为变化，方向更安全) - 验证：SwapModule 537 用例 A/B(带改/不带改)摘要完全一致(71F/459P/7S)， 失败项均为本机无库环境失败；内网全量单测待跑 Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
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hjhan
@@ -657,27 +657,30 @@ namespace YLErp.Modules.SwapModule
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// true 跳过 不计利息； false 正常利息
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bool swap = InitInterestDate(unwindDate, preDealDate, td, tdClose, out DateTime startDate, out DateTime endDate);
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// 计算名义本金
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decimal closePrincipal;
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decimal posiPrincipal;
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decimal newClosePercent = closePrecent;
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var mode = (InterestModeEnum)position.InterestMode;
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// 获取利率（保证金/融资腿共用：SwapIntervalList 取当日适用固定利率 + 精度收口）
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decimal rate = Math.Round(GetFixedRate(position, unwindDate), InterestCalculationPrecision, MidpointRounding.AwayFromZero); // 做精度调整 原数据有精度误差
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// ── 边界隔离：保证金腿(5/6)在循环最外层路由，后续融资腿分支树不感知保证金概念 ──
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// 有意跳过 GetFloatRate：CalcMarginInterest 纯固定利率(FundingLegRate.Fixed)且 FloatRate 恒 0，
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// 浮动取价/回写对保证金无意义；即使脏数据填了 FloatRateUnderlyingCode 且缺价，也不应阻断保证金结算。
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if (MarginModes.Contains(position.InterestMode))
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{
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// 保证金腿: 计息基数 = InterestPrincipalFix(保证金余额)
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closePrincipal = position.InterestPrincipalFix * closePrecent;
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posiPrincipal = position.InterestPrincipalFix;
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}
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else
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{
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// 融资腿(1/2/9): 走策略工厂
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var r = FundingLegStrategyFactory.Get(mode)
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.CalcNotional(position.InterestPrincipalFix, posiNotionalValue, closePrecent);
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closePrincipal = r.ClosePrincipal;
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posiPrincipal = r.PosiPrincipal;
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newClosePercent = r.ClosePercent;
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positionClone.InterestDirection = MarginCalc.FlipDirection(position.InterestDirection);
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// 保证金腿: 计息基数 = InterestPrincipalFix(保证金余额)，无融资腿差分公式与 orginPv 维度 hack
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interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate,
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position.InterestPrincipalFix * closePrecent, position.InterestPrincipalFix,
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closePrecent, annualDays, calcFirst, calcLast || newCalcLast, preEodPosition, eventType, add, settment, swap));
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continue;
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}
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// 计算名义本金（以下仅融资腿 1/2/9：走策略工厂）
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var mode = (InterestModeEnum)position.InterestMode;
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var r = FundingLegStrategyFactory.Get(mode)
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.CalcNotional(position.InterestPrincipalFix, posiNotionalValue, closePrecent);
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decimal closePrincipal = r.ClosePrincipal;
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decimal posiPrincipal = r.PosiPrincipal;
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decimal newClosePercent = r.ClosePercent;
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// 根因位置：SwapEodPositionService.SaveAutoEodWithCloseInterestPosition 在平仓后收盘时传入
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// “收盘后剩余本金 + closePercent=1”，与盘中“平仓前本金 + 实际关闭比例”不是同一语义。
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// GetInterests 同时被盘中试算和 EOD 平仓后收盘调用：后者传入的
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@@ -686,29 +689,17 @@ namespace YLErp.Modules.SwapModule
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// 模式2(合约名义本金规模)的本次结息本金必须始终是实际平仓额，因此无条件覆盖，
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// 否则会错误地用剩余 70 结算本次平掉的 30。模式9(标的期初全价)的部分平仓
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// 仍保留既有的剩余/复利动态本金承接逻辑；仅最终全平时 posi=0，才覆盖以避免结息本金为 0。
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if ((InterestModeEnum)position.InterestMode == InterestModeEnum.合约名义本金规模
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|| ((InterestModeEnum)position.InterestMode == InterestModeEnum.标的期初全价
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if (mode == InterestModeEnum.合约名义本金规模
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|| (mode == InterestModeEnum.标的期初全价
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&& posiNotionalValue == 0m))
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{
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closePrincipal = closePosiNotionalValue;
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}
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if (MarginModes.Contains(position.InterestMode))
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{
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positionClone.InterestDirection = MarginCalc.FlipDirection(position.InterestDirection);
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}
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// 获取利率
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decimal rate = Math.Round(GetFixedRate(position, unwindDate), InterestCalculationPrecision, MidpointRounding.AwayFromZero); // 做精度调整 原数据有精度误差
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decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone);
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// 根据场景计算利息
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if (MarginModes.Contains(position.InterestMode))
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{
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// 保证金腿(5/6)：专属计息，notional 直接取保证金余额，无融资腿差分公式与 orginPv 维度 hack
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interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate, closePrincipal, posiPrincipal,
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newClosePercent, annualDays, calcFirst, calcLast||newCalcLast, preEodPosition, eventType, add, settment, swap));
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}
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else if (settment)
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if (settment)
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{
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// 收盘归档场景，使用 CalcEodInterest
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interests.Add(CalcEodInterest(td, valueDate, positionClone, rate, floatRate, closePrincipal, posiPrincipal, annualDays, calcFirst, calcLast, preEodPosition, eventType, add));
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@@ -722,7 +713,7 @@ namespace YLErp.Modules.SwapModule
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: 0m;
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interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal,
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closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst,
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calcLast||newCalcLast, consumedInterest));
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calcLast || newCalcLast, consumedInterest));
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}
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}
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//当日有平仓或互换记录时，避免重复结算
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