138 lines
7.6 KiB
C#
138 lines
7.6 KiB
C#
using YLErp.Modules.SwapModule.Accrual;
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namespace YLErp.Modules.SwapModule.Penalty;
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/// <summary>
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/// EQD-6977 平仓罚息计算器（纯函数）——返回罚息金额。
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///
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/// 口径（2026-08-20 裁定，评审 11.5）：**精确续接**。唯一近似 = 未来 FR007 不可得——
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/// 剩余窗口一律用「前一晚收盘在役利率」（preEod.FloatRate，由 PenaltyLegRateResolver 解析）；
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/// 其余与正常到期计息**丝毫不能差**：每 7 天重置节奏照旧、并本金照旧、单/复利走同一套
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/// Accrual 纯函数。金标准恒等式（验收基准）：
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///
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/// 全期利息 = 平仓日已结利息（正常平仓流） + 罚息金额（本方法）
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///
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/// 边界规格（经金标准恒等式测试钉死）：
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/// - IncludeStart = !unwindDaySettled：正常结算已计平仓日（算尾）→ 罚息自次日起；不算尾 → 含平仓日；
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/// - IncludeEnd = maturityCalcLast：到期日沿用交易自身算尾约定（非本次平仓的 newCalcLast）。
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///
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/// 复利承接（平仓日落在重置段中间时与全期轨迹逐日对齐的两个量，**必须来自实际计息状态**，
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/// 由调用方 PenaltyInterestFeeMerger 从 preEod 快照与正常平仓流实结金额推导——严禁冻结利率重放推导，
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/// FR007 有真实利率历史时重放值必偏）：
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/// - capitalizedInterest = 已并入最近重置日的累计利息 → 窗口首日起即加入计息基数；
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/// - carryInInterest = 最近重置日之后已计至平仓日的利息 → 首个窗口重置日并入并持续留在基数。
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/// 二者之和 = 被平部分的平仓日实结利息（正常平仓流 InterestAmount）。
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///
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/// 产物为金额，由接缝并入既有利息事件的 InterestFee（其他费用含罚息）；不产生独立罚息事件。
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/// 仅融资腿；保证金腿（MarginModes）与浮动端 P&L 不进入本模块。
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/// </summary>
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public static class SwapPenaltyInterestCalculator
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{
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/// <summary>
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/// 计算罚息窗口 [unwindDate, maturityDate] 的罚息金额。
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/// </summary>
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/// <param name="position">被平的融资腿</param>
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/// <param name="closePrincipal">被平部分计息本金（部分平仓仅算被平份额）</param>
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/// <param name="unwindDate">提前终止日（窗口起点）</param>
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/// <param name="maturityDate">合约原始到期日（窗口终点，= td.ExerciseDate）</param>
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/// <param name="unwindDaySettled">正常平仓利息是否已计平仓日（effectiveCalcLast = calcLast || newCalcLast）</param>
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/// <param name="maturityCalcLast">交易到期日算尾约定（tradeExtend.CalcLast）</param>
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/// <param name="capitalizedInterest">复利承接①：已并入最近重置日的累计利息（被平份额），窗口首日起即入基数；单利传 0</param>
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/// <param name="carryInInterest">复利承接②：最近重置日后已计至平仓日的利息（被平份额），首个窗口重置日并入；单利传 0</param>
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/// <param name="frozenRate">冻结利率（PenaltyLegRateResolver.ResolveFrozenRate 产物 = 前一晚收盘在役利率）</param>
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/// <param name="policy">计息政策（单复利/重置周期/年化天数；Convention 由本方法覆盖）</param>
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/// <param name="resetAnchor">重置日锚点 = position.PosiStartDate（与正常计息重放网格一致，勿用 td.StartDate）</param>
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/// <param name="trace">计息轨迹（可选，SwapCalcTrace 落盘）</param>
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public static decimal CalcPenaltyAmount(
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swap_position position,
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decimal closePrincipal,
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DateTime unwindDate,
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DateTime maturityDate,
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bool unwindDaySettled,
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bool maturityCalcLast,
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decimal capitalizedInterest,
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decimal carryInInterest,
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FundingLegRate frozenRate,
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AccrualPolicy policy,
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DateTime resetAnchor,
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AccrualTrace? trace = null)
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{
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var boundary = AccrualBoundary.Of(includeStart: !unwindDaySettled, includeEnd: maturityCalcLast);
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var allInRate = frozenRate.AllInRate;
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return policy.IsCompound
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? AccrueCompound(closePrincipal, capitalizedInterest, carryInInterest, unwindDate, maturityDate, boundary, policy, resetAnchor, allInRate, trace)
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: AccrueSimple(closePrincipal, unwindDate, maturityDate, boundary, policy, allInRate, trace);
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}
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/// <summary>
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/// 复利罚息计息：即使冻结利率为单值，也必须按重置日分段（并本金发生在分段边界），每段同一冻结利率。
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/// notional = 本金 + 已并入最近重置日的利息（capitalizedInterest）：全期轨迹中当前重置段的滚动基数，
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/// 段内每一天都在其上计息——平仓日落在段中间时与全期逐日对齐的关键。carryInInterest 在首个窗口重置日并入。
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/// </summary>
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private static decimal AccrueCompound(
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decimal closePrincipal, decimal capitalizedInterest, decimal carryInInterest,
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DateTime unwindDate, DateTime maturityDate, AccrualBoundary boundary, AccrualPolicy policy,
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DateTime resetAnchor, decimal allInRate, AccrualTrace? trace)
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{
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var segments = BuildFrozenSegments(unwindDate, maturityDate, policy.ResetPeriodDays, resetAnchor, allInRate);
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var r = CompoundInterestAccrual.AccruePeriod(
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notional: closePrincipal + capitalizedInterest,
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segmentRates: segments,
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startDate: unwindDate,
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endDate: maturityDate,
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boundary: boundary,
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annualDays: policy.AnnualDays,
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isAnnualized: policy.IsAnnualized,
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resetCarryInterest: 0m,
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realizedInterest: 0m,
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unwindFraction: 1m,
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finalBasis: out _,
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trace: trace,
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carryInInterest: carryInInterest);
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return r.Accrued;
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}
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/// <summary>
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/// 单利罚息计息：无并本金语义，冻结利率即单段全程（需求 2.2.1 公式：利率 × 名义本金 × 剩余天数 / 计息基准）。
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/// </summary>
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private static decimal AccrueSimple(
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decimal closePrincipal, DateTime unwindDate, DateTime maturityDate,
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AccrualBoundary boundary, AccrualPolicy policy, decimal allInRate, AccrualTrace? trace)
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{
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var r = SimpleInterestAccrual.AccruePeriod(
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priorAccrued: 0m,
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notional: closePrincipal,
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unwindFraction: 1m,
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segmentRates: new List<(DateTime StartDate, decimal Rate)> { (unwindDate, allInRate) },
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startDate: unwindDate,
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endDate: maturityDate,
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priorValueDate: unwindDate.AddDays(-1),
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boundary: boundary,
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annualDays: policy.AnnualDays,
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isAnnualized: policy.IsAnnualized,
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trace: trace);
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return r.Accrued;
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}
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/// <summary>
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/// 复利冻结分段：段边界 = 窗口内重置日（(d - anchor) % period == 0，对齐 IsResetDay 公式），
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/// 每段填同一冻结利率。首段必为 (unwindDate, rate)；[start,end] 含端点的重置日也生成段
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/// （末段起点==到期日时由 AccruePeriod 的边界决定是否计息）。
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/// </summary>
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private static List<(DateTime StartDate, decimal Rate)> BuildFrozenSegments(
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DateTime start, DateTime end, int periodDays, DateTime anchor, decimal rate)
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{
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if (periodDays <= 1)
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return new List<(DateTime, decimal)> { (start, rate) };
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var segments = new List<(DateTime StartDate, decimal Rate)> { (start, rate) };
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for (var d = start.AddDays(1); d <= end; d = d.AddDays(1))
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{
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if (SwapDealService.IsResetDay(d, anchor, periodDays))
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segments.Add((d, rate));
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}
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return segments;
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}
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}
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