186 lines
12 KiB
C#
186 lines
12 KiB
C#
using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.FundingLegs;
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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 罚息接缝（纯函数，无 DB 依赖）：把罚息金额**并入既有平仓利息流的 InterestFee（其他费用含罚息）**。
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/// 不产生独立罚息事件——前端其他费用列/盈亏公式（含 InterestFee）与日终 TdCloseInterestFee 链路天然承接。
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///
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/// 设计：上帝类（SwapDealService.GetIntradayUnwindInterests）仅注入三个外部依赖委托——
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/// getSpread（加点利差）/ getPreEod（上一日终快照行）/ tryGetFixing（定盘取价），本类零 DB 耦合、可 headless 单测。
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///
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/// 复利承接量（精确续接口径的关键）**必须取实际计息状态**，严禁冻结利率重放推导：
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/// 已并复利本金 capitalized = max(0, preEod.TdInterestPrincipal×份额 − closePrincipal) —— 实际滚动复利基数中已并入部分；
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/// 段内已计利息 carryIn = 正常平仓流实结 InterestAmount − 已并复利本金 —— 最近重置日后实际已计利息；
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/// 无 preEod（首日平仓）：已并复利本金=0、段内已计利息=实结金额。
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/// 逐腿全程 trace 落盘（SwapCalcTrace），供计算过程分析与错误定位。
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/// </summary>
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public static class PenaltyInterestFeeMerger
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{
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/// <summary>
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/// 对每条融资腿：解析冻结利率 → 以实际计息状态推导承接量 → 计算罚息 → 并入该腿正常平仓利息事件的 InterestFee。
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/// 取不到冻结利率（浮动腿缺价且无 preEod）时跳过该腿（不阻断正常平仓），留 trace。
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/// </summary>
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public static void Merge(
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trade td,
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List<swap_position> fundingPositions,
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List<swap_flow_event> interests,
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DateTime unwindDate,
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int annualDays,
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bool unwindDaySettled,
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bool maturityCalcLast,
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decimal posiNotionalValue,
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decimal closePosiNotionalValue,
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decimal closePercent,
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Func<swap_position, decimal> getSpread,
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Func<swap_position, eod_swap_position?> getPreEod,
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Func<DateTime, string, decimal?> tryGetFixing,
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AccrualTrace? trace = null)
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{
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if (td.ExerciseDate == null)
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{
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trace?.Note("PENALTY|跳过 交易无到期日(ExerciseDate=null)");
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return;
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}
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var maturityDate = td.ExerciseDate.Value;
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foreach (var position in fundingPositions)
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{
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// 正常平仓利息流（GetInterests 刚产出）——段内已计利息的事实源与罚息并入目标
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var normalEvent = interests.FirstOrDefault(x => x.PositionId == position.id);
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if (normalEvent == null)
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{
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trace?.Note($"PENALTY|融资腿{position.id} 跳过 无正常平仓利息流（意外：融资腿应有对应事件）");
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continue;
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}
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// 复用 GetInterests 的本金口径（mode2 无条件覆盖 / mode9 全平兜底，见其根因位置注释）
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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, closePercent);
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decimal closePrincipal = r.ClosePrincipal;
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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 && posiNotionalValue == 0m))
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{
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closePrincipal = closePosiNotionalValue;
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}
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var share = r.PosiPrincipal > 0m ? Math.Min(1m, closePrincipal / r.PosiPrincipal) : 1m;
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var isCompound = position.InterestType == (int)InterestTypeEnum.复利;
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// 冻结利率：前一晚收盘在役利率优先（preEod.FloatRate），无快照再按取价日=unwindDate-1 所在区间取定盘
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FundingLegRate frozenRate;
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string rateSource;
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var preEod = getPreEod(position);
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try
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{
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frozenRate = PenaltyLegRateResolver.ResolveFrozenRate(
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position, getSpread(position), preEod?.FloatRate, unwindDate,
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d => tryGetFixing(d, position.FloatRateUnderlyingCode));
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// 来源标签须反映实际路径：固定腿不取价（利差即冻结利率）；浮动腿才有快照/取价之分
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if (string.IsNullOrEmpty(position.FloatRateUnderlyingCode))
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rateSource = "固定腿利差(不取价)";
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else if (preEod != null)
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rateSource = $"preEod.FloatRate@{preEod.ValueDate:yyyy-MM-dd}";
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else
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rateSource = "定盘取价(unwindDate-1区间)";
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}
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catch (Exception ex)
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{
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trace?.Note($"PENALTY|融资腿{position.id} 跳过 冻结利率解析失败：{ex.Message}");
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continue;
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}
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// 复利承接：实际滚动基数中已并入部分（已并复利本金）+ 段内实际已计利息（段内已计利息）。单利无并本金语义恒 0。
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var (capitalized, carryIn) = isCompound
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? ResolveCompoundCarry(position, normalEvent, preEod, closePrincipal, share, unwindDate, trace)
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: (0m, 0m);
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var policy = AccrualPolicy.BuildEod(position, annualDays, isCompound);
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// 锚点 = PosiStartDate：与正常计息重放（CalcDailyCompoundInterest 的分段网格）一致，延期腿勿用 td.StartDate
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var penalty = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
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position, closePrincipal, unwindDate, maturityDate,
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unwindDaySettled, maturityCalcLast,
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capitalized, carryIn,
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frozenRate, policy, position.PosiStartDate, trace);
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penalty = InterestMath.Round(penalty, InterestMath.FundingLegPrecision);
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var feeBefore = normalEvent.InterestFee;
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normalEvent.InterestFee += penalty;
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normalEvent.InterestClosePnL += penalty * DirectionRatio.ReceivePay(position.InterestDirection);
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trace?.Note(
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$"PENALTY|融资腿{position.id} 完成 mode={mode} {(isCompound ? "复利" : "单利")} " +
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$"窗口=[{unwindDate:yyyy-MM-dd}→{maturityDate:yyyy-MM-dd}] 平仓日已结={unwindDaySettled} 到期算尾={maturityCalcLast} | " +
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$"本金 close={closePrincipal:F2} posi={r.PosiPrincipal:F2} share={share:P4} | " +
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$"冻结利率={frozenRate.AllInRate:P6} 来源={rateSource} | " +
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$"承接[已并复利本金]={capitalized:F4} [段内已计利息]={carryIn:F4} 实结={normalEvent.InterestAmount:F4} | " +
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$"罚息={penalty:F2} → InterestFee {feeBefore:F2}→{normalEvent.InterestFee:F2} PnL含罚息={normalEvent.InterestClosePnL:F2}");
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}
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}
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/// <summary>
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/// 复利承接量：已并复利本金（实际滚动基数中已并入部分）+ 段内已计利息（最近重置日后实际已计，= 实结 − 已并复利本金）。
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///
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/// 已并复利本金的取值依赖平仓日是否为重置日、有无日终快照（数据契约）：
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/// 段中平仓 + 有快照：TdInterestPrincipal 即当前段滚动基数（=本金+已并复利本金），直接作差；
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/// 段中平仓 + 无快照：兜底取 normalEvent.InterestPrincipal——复利重放(CalcDailyCompoundInterest)
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/// 会把它写为末次并本金后的基数（=被平份额本金+已并复利本金），同样是实际值而非推导值；
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/// 重置日当天平仓：快照基数仍是【上一段】的（今日并入尚未发生），须改取
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/// preEod.InterestIncomeSum（昨日全部待实现利息 = 今日并入新段基数的那部分）。
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/// </summary>
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private static (decimal Capitalized, decimal CarryIn) ResolveCompoundCarry(
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swap_position position, swap_flow_event normalEvent, eod_swap_position? preEod,
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decimal closePrincipal, decimal share, DateTime unwindDate, AccrualTrace? trace)
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{
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var periodDays = position.interest_rest_days ?? 1;
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var unwindOnResetDay = SwapDealService.IsResetDay(unwindDate, position.PosiStartDate, periodDays);
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var capitalized = 0m;
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if (unwindOnResetDay)
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{
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capitalized = (preEod?.InterestIncomeSum ?? 0m) * share;
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if (preEod != null)
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trace?.Note(
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$"PENALTY|融资腿{position.id} 承接量推导(已并复利本金) 重置日平仓+有快照：快照{preEod.ValueDate:yyyy-MM-dd} " +
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$"昨日待实现利息InterestIncomeSum={preEod.InterestIncomeSum:F4} ×share={share:P4} → 已并复利本金={capitalized:F4}");
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if (preEod == null && (unwindDate - position.PosiStartDate).Days >= periodDays)
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trace?.Note($"PENALTY|融资腿{position.id} 注意 无preEod且平仓日=重置日：已并复利本金退化0（此前重置并入额缺失，请核对日终归档完整性）");
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}
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else if (preEod != null)
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{
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// 段中平仓+有快照（复利承接主路径）：已并复利本金 = 快照滚动基数×份额 − 平仓本金。全程留推导——
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// 结果异常时凭此行即可区分"快照基数错 / share错 / 平仓本金错"三因，不必反推。
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var rawCarry = preEod.TdInterestPrincipal * share - closePrincipal;
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capitalized = Math.Max(0m, rawCarry);
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trace?.Note(
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$"PENALTY|融资腿{position.id} 承接量推导(已并复利本金) 段中平仓+有快照：快照{preEod.ValueDate:yyyy-MM-dd} " +
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$"滚动基数TdInterestPrincipal={preEod.TdInterestPrincipal:F4} ×share={share:P4} −平仓本金{closePrincipal:F4} = {rawCarry:F4} → 已并复利本金={capitalized:F4}" +
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(rawCarry < 0m ? "（原始差为负已钳0：快照滚动基数×份额小于平仓本金，疑部分平仓比例与快照归档口径不一致，请核对eod_swap_position.TdInterestPrincipal）" : ""));
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}
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else
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{
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capitalized = Math.Max(0m, normalEvent.InterestPrincipal - closePrincipal);
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trace?.Note(
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$"PENALTY|融资腿{position.id} 承接量推导(已并复利本金) 段中平仓+无快照兜底：事件基数InterestPrincipal={normalEvent.InterestPrincipal:F4} −平仓本金{closePrincipal:F4} → 已并复利本金={capitalized:F4}");
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// 兜底已并复利本金=0 但账龄已过重置周期：复利每周期并本，理应 >0——多为 interestWindowEmpty
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// (当日已结息)早退未重放覆盖种子值、或日终归档缺失。留痕含两侧基数与账龄，供直接定位根因。
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var ageDays = (unwindDate - position.PosiStartDate).Days;
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if (capitalized == 0m && ageDays >= periodDays)
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trace?.Note(
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$"PENALTY|融资腿{position.id} 注意 无preEod兜底已并复利本金=0但账龄{ageDays}天≥重置周期{periodDays}天：" +
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$"事件基数{normalEvent.InterestPrincipal:F2}=平仓本金{closePrincipal:F2}（疑似interestWindowEmpty种子未重放/日终归档缺失，" +
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$"请核对swap_flow_event.InterestPrincipal重放回写与eod_swap_position归档）");
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}
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// 已并复利本金不得超过实结金额（数据异常时钳制并留痕，避免负的段内已计利息进入计息）
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if (capitalized > Math.Max(0m, normalEvent.InterestAmount))
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{
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trace?.Note($"PENALTY|融资腿{position.id} 注意 承接已并复利本金钳制：推导 {capitalized:F4} > 实结 {normalEvent.InterestAmount:F4}（快照/事件数据异常，请核对 preEod.TdInterestPrincipal/InterestIncomeSum）");
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capitalized = Math.Max(0m, normalEvent.InterestAmount);
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}
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return (capitalized, normalEvent.InterestAmount - capitalized);
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}
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}
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