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

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

namespace YLErp.Modules.SwapModule.Accrual;

/// <summary>
/// 单利计息纯函数——EOD 单日 + intraday 多日。
/// 单利特征：本金全程恒定(无并本金)，按重置日分段取利率。
/// </summary>
public static class SimpleInterestAccrual
{
    private const int Precision = SwapInterest.FundingLegPrecision;

    /// <summary>
    /// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
    /// EOD 无差分：basis = priorNotional（昨日终滚动计息基数）。
    /// </summary>
    public static InterestResult AccrueEod(
        decimal priorAccrued,
        decimal priorNotional,
        decimal unwindFraction,
        FundingLegRate rate,
        AccrualPolicy policy,
        DateTime eodDate,
        AccrualTrace? trace = null)
    {
        var basis = priorNotional;
        var displayBasis = basis * unwindFraction;

        var allInRate = rate.AllInRate;
        var dayInterest = displayBasis * allInRate;
        var tdInterest = basis * allInRate;
        if (policy.IsAnnualized)
        {
            dayInterest /= policy.AnnualDays;
            tdInterest /= policy.AnnualDays;
        }

        var totalAccrued = priorAccrued + 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>
    /// 单利多日计息（替换 CalcDailySimpleInterest 的纯数学部分）。
    /// 本金全程恒定，按重置日分段取利率。
    /// Accrued = 缩放累计(InterestAmount)，AccruedToday = 未缩放累计(TdInterestAmount)。
    /// </summary>
    public static InterestResult AccruePeriod(
        decimal priorAccrued,
        decimal notional,
        decimal unwindFraction,
        IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
        DateTime startDate,
        DateTime endDate,
        DateTime priorValueDate,
        AccrualBoundary boundary,
        int annualDays,
        bool isAnnualized,
        AccrualTrace? trace = null)
    {
        var displayBasis = notional * unwindFraction;
        decimal accrued = priorAccrued;           // 缩放累计 → InterestAmount
        decimal accruedUnscaled = priorAccrued;   // 未缩放累计 → TdInterestAmount

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

        var segStart = startDate;

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

            var effectiveStart = segStart > priorValueDate ? segStart : priorValueDate.AddDays(1);
            if (effectiveStart > segEnd) { segStart = segEnd; continue; }

            // calcFirst 只跳过 startDate 本身；其余天(含重置日、ValueDate+1)只要 > ValueDate 恒纳入。
            var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
            var isLastSegment = si == segmentRates.Count - 1;
            var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
            var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
            if (days <= 0) { segStart = segEnd; continue; }

            var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
            var segInterest = displayBasis * dailyRate * days;
            accrued += segInterest;
            accruedUnscaled += notional * dailyRate * days;
            trace?.Segment(si, effectiveStart, segEnd, days, segmentRates[si].Rate, displayBasis, segInterest, accrued);

            segStart = segEnd;
        }

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