hjhan
f712dfc98f
将 CalcPenalty 内复利/单利两个 if/else 大块抽为 AccrueCompound/AccrueSimple 私有方法(返回 (accrued, finalBasis))，主体只表达分派+组装事件。签名与行为零变化，Penalty 套件 11/11 通过。
175 lines
9.6 KiB
C#
175 lines
9.6 KiB
C#
using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.ReturnLegs;
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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）。
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///
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/// 语义：提前终止时把利息端计息窗口从「平仓日」延长到「原始到期日」，剩余期限按冻结利率计息，
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/// 使利息端盈亏等同于持有至到期。金标准恒等式：
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///
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/// 全期利息 = 平仓日已结利息（正常平仓流） + 罚息窗口利息（本方法）
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///
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/// 边界规格（需求 2.2 / 评审 8.2，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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/// - 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）：
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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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/// （全期轨迹中当前重置段的滚动基数 = 本金 + 该量，段内每一天都在其上计息）；
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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 = 被平部分的平仓日已结利息（正常平仓流 InterestAmount）。
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///
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/// 产物：与正常利息流同构的 swap_flow_event（EventReason="罚息"），下游结算/报表无差别消费。
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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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/// IsPenaltyInterest 列标记待 DB 迁移（阶段1）落地后由接缝层写入。
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/// </summary>
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public static class SwapPenaltyInterestCalculator
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{
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/// <summary>罚息利息流的事件原因（兼作判别字段，存量事件恒为"交易"）。</summary>
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public const string PenaltyEventReason = "罚息";
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/// <summary>
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/// 计算罚息窗口 [unwindDate, maturityDate] 的利息流。
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/// </summary>
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/// <param name="td">交易（SwapTradeId/SwapTradeNo/ClientId 载体）</param>
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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="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="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="carryInInterest">复利承接：被平部分已计至平仓日利息（正常平仓流 InterestAmount）；单利传 0</param>
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/// <param name="frozenRate">冻结利率（PenaltyLegRateResolver.ResolveFrozenRate 产物）</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（对齐 GetFloatRate 的 td.StartDate 口径；锚点二义性注记见其声明）</param>
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/// <param name="eventType">事件类型（平仓）</param>
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/// <param name="valueDate">操作日期</param>
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/// <param name="trace">计息轨迹（可选，SwapCalcTrace 落盘）</param>
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public static swap_flow_event CalcPenalty(
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trade td,
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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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int eventType,
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DateTime valueDate,
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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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// 按计息方式分派到对应的纯计息路径；二者均产出 (累计利息, 末段计息基数)。
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// 计息数学细节下沉到具名方法，使本方法只表达“分派 + 组装事件”的编排意图，便于阅读与单测。
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var (accrued, finalBasis) = 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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var rounded = InterestMath.Round(accrued, InterestMath.FundingLegPrecision);
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var interest = new swap_flow_event
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{
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SwapTradeId = td.id,
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SwapTradeNo = td.TradeNumber,
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EventType = eventType,
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EventReason = PenaltyEventReason,
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EventDate = valueDate,
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UnwindDate = unwindDate,
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PositionId = position.id,
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InterestDirection = position.InterestDirection,
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InterestRate = allInRate,
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InterestPrincipal = finalBasis,
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InterestSwapInterval = position.InterestSwapInterval,
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InterestMode = position.InterestMode,
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FloatRate = string.IsNullOrEmpty(position.FloatRateUnderlyingCode) ? position.FloatRate : allInRate,
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DataState = (int)SwapFlowDateStateEnum.完成,
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ClientId = td.ClientId,
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InterestAmount = rounded,
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TdInterestAmount = rounded
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};
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interest.InterestClosePnL = interest.InterestAmount * DirectionRatio.ReceivePay(position.InterestDirection);
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return interest;
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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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/// 返回 (累计利息, 末段计息基数)。
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/// </summary>
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private static (decimal Accrued, decimal FinalBasis) 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 var finalBasis,
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trace: trace,
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carryInInterest: carryInInterest);
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return (r.Accrued, finalBasis);
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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。finalBasis 恒为本金（单利不滚基数）。
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/// 返回 (累计利息, 末段计息基数)。
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/// </summary>
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private static (decimal Accrued, decimal FinalBasis) 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, closePrincipal);
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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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