zszq-trs/YLErpDAL/Modules/SwapModule/Accrual/CompoundInterestAccrual.cs

using YLErp.Core.Interest;
using YLErp.Derivatives.Interest;

namespace YLErp.Modules.SwapModule.Accrual;

/// <summary>
/// 复利计息纯函数——EOD 单日 + intraday 多日。
/// 复利特征：每个重置日把累计利息并入本金(basis = notional + accrued)。
/// </summary>
public static class CompoundInterestAccrual
{
    private const int Precision = SwapInterest.FundingLegPrecision;

    /// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
    /// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
    /// remainingFraction 对齐 legacy 钳制到 [0,1]。</summary>
    public static decimal EodBasis(
        bool isResetDay, decimal notional, decimal priorAccrued, decimal remainingFraction, decimal priorNotional)
        => isResetDay
            ? notional + priorAccrued * Math.Max(0m, Math.Min(1m, remainingFraction))
            : priorNotional;

    /// <summary>
    /// 复利日终计息（替换 CalcDailyCompoundInterestByEod 的纯数学部分）。
    /// 重置日：basis = notional + priorAccrued × remainingFraction（利息并入本金）。
    /// 非重置日：basis = priorNotional（昨日终滚动计息基数）。
    /// </summary>
    public static InterestResult AccrueEod(
        decimal priorAccrued,
        decimal priorNotional,
        decimal notional,
        decimal unwindFraction,
        FundingLegRate rate,
        AccrualPolicy policy,
        bool isResetDay,
        decimal remainingFraction,
        DateTime eodDate,
        AccrualTrace? trace = null)
    {
        var basis = EodBasis(isResetDay, notional, priorAccrued, remainingFraction, priorNotional);
        var displayBasis = basis * unwindFraction;

        var allInRate = rate.AllInRate;
        trace?.EodContext(eodDate, isResetDay, unwindFraction, priorAccrued, priorNotional, notional, remainingFraction);
        var dayInterest = displayBasis * allInRate;
        var tdInterest = basis * allInRate;
        if (policy.IsAnnualized)
        {
            dayInterest /= policy.AnnualDays;
            tdInterest /= policy.AnnualDays;
        }

        var totalAccrued = priorAccrued * unwindFraction + dayInterest;
        var result = new InterestResult(
            SwapInterest.Round(totalAccrued, Precision),
            SwapInterest.Round(tdInterest, Precision));

        trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
        trace?.MarkEnd(result.Accrued, result.AccruedToday);
        return result;
    }

    /// <summary>
    /// 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>
    public static InterestResult AccruePeriod(
        decimal notional,
        IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
        DateTime startDate,
        DateTime endDate,
        AccrualBoundary boundary,
        int annualDays,
        bool isAnnualized,
        decimal resetCarryInterest,
        decimal realizedInterest,
        decimal unwindFraction,
        out decimal finalBasis,
        AccrualTrace? trace = null)
    {
        decimal accrualBasis = notional;
        decimal accrued = 0m;

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

        for (int si = 0; si < segmentRates.Count; si++)
        {
            var isLastSegment = si == segmentRates.Count - 1;
            var segEnd = isLastSegment
                ? endDate
                : segmentRates[si + 1].StartDate;

            // 重置日并本金
            accrualBasis = si == 0 ? notional : notional + accrued;

            // 末日恰好是重置日且 carry 非零：用存量替代（旧代码 i%interestPeriod==0 && accrueDate==endDate）。
            var usedCarry = false;
            if (isLastSegment && si > 0 && resetCarryInterest != 0m
                && segmentRates[si].StartDate == endDate)
            {
                accrualBasis = notional + resetCarryInterest;
                usedCarry = true;
            }

            if (si > 0)
                trace?.Rollover(segmentRates[si].StartDate, usedCarry ? resetCarryInterest : accrued, accrualBasis);

            var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
            var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
            var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
                AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
            if (days <= 0) continue;

            var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
            var segInterest = accrualBasis * dailyRate * days;
            accrued += segInterest;
            trace?.Segment(si, segmentRates[si].StartDate, segEnd, days, segmentRates[si].Rate, accrualBasis, segInterest, accrued);
        }

        finalBasis = accrualBasis;

        if (realizedInterest != 0m)
            trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
        accrued -= realizedInterest * unwindFraction;

        var result = new InterestResult(
            SwapInterest.Round(accrued, Precision),
            SwapInterest.Round(accrued, Precision));
        trace?.MarkEnd(result.Accrued, result.AccruedToday);
        return result;
    }
}