hjhan
dee491b8d0
移除标注"切勿在未迁移前接入生产"的 AccrueDay/AccruePeriod 骨架（含 IIndexFixer/ Func 取价），保留与旧实现逐字对齐的纯函数，消除两套计息逻辑并存的隐患。
66 lines
3.9 KiB
C#
66 lines
3.9 KiB
C#
using System;
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using YLErp.Derivatives.Interest;
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namespace YLErp.Modules.SwapModule.Accrual;
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/// <summary>
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/// 融资腿计息编排层——纯数学部分（替换 SwapDealService 内 CalcDaily* 家族的纯计算）。
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///
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/// <para>职责边界（与 SwapInterest 原语、SwapDealService 适配器三者正交）：</para>
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/// <list type="bullet">
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/// <item><description>本类：持有已解析的 <see cref="FundingLegRate"/> 与 <see cref="AccrualPolicy"/>，执行单利日终计息纯函数。</description></item>
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/// <item><description>SwapInterest：原子 "本金×利率×天数/年化" 纯函数，无状态。</description></item>
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/// <item><description>SwapDealService：负责 DB 读、取率、swap_flow_event 构造与落库（IO）。</description></item>
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/// </list>
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/// </summary>
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public static class FundingLegAccrual
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{
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/// <summary>
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/// 单利日终计息（纯函数，替换 SwapDealService.CalcDailySimpleInterestByEod 的"纯数学"部分）。
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///
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/// <para>口径与旧实现逐字对齐（仅命名 DDD 化）：</para>
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/// <list type="bullet">
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/// <item><description>计息基数 baseTdInterestPrincipal = priorAccrualPrincipal + positionPrincipal − originalPv；</description></item>
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/// <item><description>当日利息 = baseTdInterestPrincipal × closeRatio × rate.AllInRate，年化则再 ÷ AnnualDays；</description></item>
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/// <item><description>累计未实现 = priorUnrealized + 当日利息；末位按资金腿精度 <see cref="SwapInterest.FundingLegPrecision"/> 舍入。</description></item>
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/// </list>
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///
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/// <para>取率与重置日重取浮动利率由适配器（CalcDailySimpleInterestByEod）负责，并封装为 <see cref="FundingLegRate"/> 传入；
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/// daycount 语义（年化 / 年化天数）由 <see cref="AccrualPolicy"/> 提供。本方法保持纯函数、可独立单测，不连库、不取价。</para>
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/// </summary>
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/// <param name="priorUnrealized">上一日日终累计未实现利息（preEod.InterestProfitSum）。</param>
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/// <param name="priorAccrualPrincipal">上一日日终计息本金（preEod.TdInterestPrincipal）。</param>
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/// <param name="positionPrincipal">存量名义本金（posiPrincipal）。</param>
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/// <param name="closeRatio">平仓比例（closePercent，EOD 恒为 1）。</param>
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/// <param name="originalPv">原始名义本金（orginPv），用于保证金腿差分基数。</param>
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/// <param name="rate">当日生效利率（已由适配器按腿型封装：固定腿=FixedRate，浮动腿=Spread+IndexFixing）。</param>
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/// <param name="policy">计息政策（daycount：是否年化 / 年化天数）。</param>
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/// <returns><see cref="InterestResult"/>：Accrued=累计未实现（对应 InterestAmount），AccruedToday=当日利息（对应 TdInterestAmount）。</returns>
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public static InterestResult AccrueSimpleEod(
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decimal priorUnrealized,
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decimal priorAccrualPrincipal,
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decimal positionPrincipal,
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decimal closeRatio,
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decimal originalPv,
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FundingLegRate rate,
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AccrualPolicy policy)
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{
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var baseTdInterestPrincipal = priorAccrualPrincipal + positionPrincipal - originalPv;
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var baseInterestPrincipal = baseTdInterestPrincipal * closeRatio;
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var combinedRate = rate.AllInRate;
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var dayInterest = baseInterestPrincipal * combinedRate;
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var tdInterest = baseTdInterestPrincipal * combinedRate;
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if (policy.IsAnnualized)
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{
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dayInterest /= policy.AnnualDays;
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tdInterest /= policy.AnnualDays;
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}
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var totalUnrealized = priorUnrealized + dayInterest;
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return new InterestResult(
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Math.Round(totalUnrealized, SwapInterest.FundingLegPrecision, MidpointRounding.AwayFromZero),
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Math.Round(tdInterest, SwapInterest.FundingLegPrecision, MidpointRounding.AwayFromZero));
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}
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}
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