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refactor(swap): 误导布尔 swap 改名 interestWindowEmpty——按"计息窗口为空"本质命名

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InitInterestDate 返回 true 的语义是"计息窗口为空→不计利息"(利率与金额归零)，
判定只看日期窗口(interestStart>interestEnd)、与事件类型无关；旧名 swap 把
典型原因(互换当日已结息)当成了效果的名字，读者会误读为事件类型判断。
- SwapDealService: GetInterests 局部变量 + GetFloatRate/CalcUnwindInterest/
  InitSwapDealInterest/CalcMarginInterest 四个签名参数及分支/日志/注释同步
- SwapTradeBaseService.InitInterestDate 返回值语义补入 XML 文档
- MarginInterestGoldenReplay/Shadow 测试命名参数同步
零行为变更。

验证：相关套件 51/51；全量 978 例 145 败与基线 diff=0
This commit is contained in:
hjhan
2026-08-19 11:31:03 +08:00
parent 6e2cae7c1f
commit decbd83d0b
4 changed files with 26 additions and 24 deletions
Download Patch File Download Diff File Expand all files Collapse all files
UnitTestProject/Modules/SwapModule/Margin/MarginInterestGoldenReplayTest.cs
+1 -1
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@@ -128,7 +128,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, posClone, rate,
pos.InterestPrincipalFix, pos.InterestPrincipalFix, 1.0m,
annualDays, calcFirst, calcLast, preEod,
(int)SwapEventTypeEnum.自动互换, add: false, settment: true, swap: false);
(int)SwapEventTypeEnum.自动互换, add: false, settment: true, interestWindowEmpty: false);
}
catch (Exception ex)
{
UnitTestProject/Modules/SwapModule/Margin/MarginInterestShadowTest.cs
+5 -5
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@@ -90,7 +90,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
// 新方法（独立 preEod，相同初始值）
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: true,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, swap: false);
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, interestWindowEmpty: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} ClosePnL={newEvt.InterestClosePnL}");
@@ -114,7 +114,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: true,
new eod_swap_position { id = 0 }, 0, add: false, settment: true, swap: false);
new eod_swap_position { id = 0 }, 0, add: false, settment: true, interestWindowEmpty: false);
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
@@ -143,7 +143,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
// 新方法：notional = posiPrincipal（无差分、无 orginPv）
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, interestWindowEmpty: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
@@ -172,7 +172,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate,
Principal * closePct, Principal, closePct,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, interestWindowEmpty: false);
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
@@ -191,7 +191,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
var svc = new StubSvc();
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
AnnualDays, calcFirst: true, calcLast: false,
CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, swap: true);
CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, interestWindowEmpty: true);
Assert.AreEqual(0m, newEvt.InterestAmount, "互换利息归零");
Assert.AreEqual(0m, newEvt.TdInterestAmount, "互换 TdInterestAmount 归零");
YLErpDAL/Modules/SwapModule/SwapDealService.cs
+18 -18
View File
@@ -655,8 +655,8 @@ namespace YLErp.Modules.SwapModule
// 计算计息区间
int interestPeriod = position.interest_rest_days ?? 1;
// true 跳过 不计利息； false 正常利息
bool swap = InitInterestDate(unwindDate, preDealDate, td, tdClose, out DateTime startDate, out DateTime endDate);
// true=计息窗口为空（不计利息，利率与金额归零；典型场景=互换当日已结息，但判定只看日期窗口，与事件类型无关）
bool interestWindowEmpty = InitInterestDate(unwindDate, preDealDate, td, tdClose, out DateTime startDate, out DateTime endDate);
// 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）
decimal rate = Math.Round(GetFixedRate(position, unwindDate), InterestCalculationPrecision, MidpointRounding.AwayFromZero); // 做精度调整 原数据有精度误差
@@ -670,7 +670,7 @@ namespace YLErp.Modules.SwapModule
// 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
interests.Add(CalcMarginInterest(td, valueDate, endDate, positionClone, rate,
position.InterestPrincipalFix * closePrecent, position.InterestPrincipalFix,
closePrecent, annualDays, calcFirst, effectiveCalcLast, preEodPosition, eventType, add, settment, swap));
closePrecent, annualDays, calcFirst, effectiveCalcLast, preEodPosition, eventType, add, settment, interestWindowEmpty));
continue;
}
@@ -697,7 +697,7 @@ namespace YLErp.Modules.SwapModule
closePrincipal = closePosiNotionalValue;
}
decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, swap, positionClone, effectiveCalcLast);
decimal floatRate = GetFloatRate(position, preEodPosition, td.StartDate.Value, endDate, interestPeriod, interestWindowEmpty, positionClone, effectiveCalcLast);
// 根据场景计算利息
if (settment)
@@ -713,7 +713,7 @@ namespace YLErp.Modules.SwapModule
? GetConsumedInterest(td.id, position.id, endDate)
: 0m;
interests.Add(CalcUnwindInterest(td, valueDate, endDate, positionClone, rate, floatRate, posiPrincipal,
closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, swap, orginPv, calcFirst,
closePrincipal, newClosePercent, annualDays, preEodPosition, eventType, add, interestWindowEmpty, orginPv, calcFirst,
effectiveCalcLast, consumedInterest));
}
}
@@ -858,7 +858,7 @@ 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, bool calcLast = true)
private decimal GetFloatRate(swap_position position, eod_swap_position preEod, DateTime startDate, DateTime endDate, int period, bool interestWindowEmpty, swap_position positionClone, bool calcLast = true)
{
if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode)) return position.FloatRate;
@@ -883,7 +883,7 @@ namespace YLErp.Modules.SwapModule
// EQD-6968 口径自洽化：不算尾(calcLast=false)时 endDate 当天不计息，其定盘一概不取
// （有价也不取）——事件/回写利率与金额同源（末段已消费利率），杜绝"上午/下午落库利率不同"。
// 剩余持仓的新周期利率由 SwapEodPositionService 的"重置日再定盘"显式获取，不靠此处顺带。
if (!swap && !calcLast && isResetDay)
if (!interestWindowEmpty && !calcLast && isResetDay)
{
var keptNoFetch = preEod.id != 0 ? preEod.FloatRate : position.FloatRate;
SwapCalcTrace.Critical(
@@ -897,7 +897,7 @@ namespace YLErp.Modules.SwapModule
position.FloatRate = positionClone.FloatRate = rate;
return position.FloatRate;
}
if (!swap)
if (!interestWindowEmpty)
{
if (calcLast)
{
@@ -911,7 +911,7 @@ namespace YLErp.Modules.SwapModule
$"FIX GetFloatRate p{position.id} {rateDate:yyyy-MM-dd}缺价且不算尾→沿用已有利率={kept:P6}(来源={(preEod.id != 0 ? "preEod.FloatRate" : "position.FloatRate")})");
return kept;
}
SwapCalcTrace.Critical($"FIX GetFloatRate p{position.id} 互换事件(swap=true)→利率不参与，返回0");
SwapCalcTrace.Critical($"FIX GetFloatRate p{position.id} 计息窗口为空→利率不参与，返回0");
return 0m;
}
@@ -1013,12 +1013,12 @@ namespace YLErp.Modules.SwapModule
/// 定位：SwapCalcTrace 落盘 AccrueEod/AccrualPeriod 的 notional/days/rate/accrued；盘中 accrualBasis 可从 trace 的 notional 反推。
/// </remarks>
/// <param name="settment">true=收盘归档(EOD)，false=盘中平仓/互换。</param>
/// <param name="swap">互换事件（仅盘中生效，true 时利息归零，同 InitSwapDealInterest）。</param>
/// <param name="interestWindowEmpty">计息窗口为空（仅盘中生效，true 时利息归零，同 InitSwapDealInterest；典型场景=互换当日已结息）。</param>
public swap_flow_event CalcMarginInterest(
trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate,
decimal closePrincipal, decimal posiPrincipal, decimal closePercent,
int annualDays, bool calcFirst, bool calcLast,
eod_swap_position preEod, int eventType, bool add, bool settment, bool swap)
eod_swap_position preEod, int eventType, bool add, bool settment, bool interestWindowEmpty)
{
// 当日是否计息（算头算尾）——同 CalcEodInterest
bool calcToday = true;
@@ -1054,8 +1054,8 @@ namespace YLErp.Modules.SwapModule
UnwindDate = settment ? valueDate : endDate
};
// 互换事件：利息归零（同 InitSwapDealInterest）
if (swap && !settment)
// 计息窗口为空：利息归零（同 InitSwapDealInterest；典型场景=互换事件）
if (interestWindowEmpty && !settment)
{
interest.InterestAmount = 0m;
interest.TdInterestAmount = 0m;
@@ -1120,7 +1120,7 @@ namespace YLErp.Modules.SwapModule
/// <summary>
/// 计算盘中利息（平仓/互换）
/// </summary>
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool swap, decimal orginPv, bool calcFirst, bool calcLast, decimal consumedInterest = 0m)
private swap_flow_event CalcUnwindInterest(trade td, DateTime valueDate, DateTime endDate, swap_position position, decimal rate, decimal floatRate, decimal posiPrincipal, decimal closePrincipal, decimal closePercent, int annualDays, eod_swap_position preEod, int eventType, bool add, bool interestWindowEmpty, decimal orginPv, bool calcFirst, bool calcLast, decimal consumedInterest = 0m)
{
if (preEod.id == 0)
{
@@ -1135,7 +1135,7 @@ namespace YLErp.Modules.SwapModule
preEod.ValueDate = td.StartDate.Value.AddDays(-1);
}
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, swap, posiPrincipal,
return InitSwapDealInterest(td, valueDate, endDate, rate, position, add, interestWindowEmpty, posiPrincipal,
closePrincipal, closePercent, annualDays, eventType, preEod,
orginPv, calcFirst, calcLast, consumedInterest);
}
@@ -1172,7 +1172,7 @@ namespace YLErp.Modules.SwapModule
/// <param name="rate">计息年化利率</param>
/// <param name="position">利息腿</param>
/// <param name="add">是否新增</param>
/// <param name="swap">是否已互换</param>
/// <param name="interestWindowEmpty">计息窗口为空（InitInterestDate 判定：true=本次不计利息，利率与金额归零；典型场景=互换当日已结息）</param>
/// <param name="preEodPosition">上一日终归档</param>
/// <param name="posiNotionalValue">当日适用名义本金</param>
/// <param name="closePosiNotionalValue">当日平仓名义本金</param>
@@ -1184,7 +1184,7 @@ namespace YLErp.Modules.SwapModule
decimal rate,
swap_position position,
bool add,
bool swap,
bool interestWindowEmpty,
decimal posiNotionalValue,
decimal closePosiNotionalValue,
decimal closePrecent,
@@ -1218,7 +1218,7 @@ namespace YLErp.Modules.SwapModule
// 保证金腿已走 CalcMarginInterest（不经过本方法），orginPv 维度重映射不再需要；
// orginPv 此处仅对融资腿生效（差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv）。
if (swap)
if (interestWindowEmpty)
{
interest.InterestAmount = 0; // 利息金额
interest.TdInterestAmount = 0; // 当日新增利息
YLErpDAL/Modules/SwapModule/SwapTradeBaseService.cs
+2
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@@ -365,6 +365,8 @@ namespace YLErp.Modules.SwapModule
/// <param name="interestMode">计息方式</param>
/// <param name="interestStart">计息开始日期</param>
/// <param name="interestEnd">计息结束日期</param>
/// <returns>true=计息窗口为空（interestStart&gt;interestEnd，本次不计利息，调用方将利率与金额归零；
/// 典型场景=互换当日已结息/不算头首日，但判定只看日期窗口，与事件类型无关）；false=正常计息。</returns>
public bool InitInterestDate(DateTime valueDate, DateTime? preSettleDate, trade td, bool tdClose, out DateTime interestStart, out DateTime interestEnd)
{
interestStart = td.StartDate.Value;