hjhan
d78d5a46c4
独立于 SwapDealService / SwapEodPositionService 的纯函数计息层：无副作用、 同 input 同 output，正交轴（算头算尾 / 单利复利 / unwind / 待实现收益）各自独立。 术语采用金融标准 Unwind / Realized / Unrealized。纯新增零接入核心计息逻辑， 待 Excel 对账确认"绿而不错"后 pilot 替换。
214 lines
10 KiB
C#
214 lines
10 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace YLErp.Derivatives.Interest;
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// ─────────────────────────────────────────────────────────────────────────────
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// 词汇表（本文件只允许出现下列用词，同一概念不得出现第二种叫法）
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//
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// 概念 唯一用词 与既有代码的对应
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// ───────────────────────────────────────────────────────────────────
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// 区间起点/终点 Start / End startDate / endDate
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// 计息 Accrue CalcDailySimpleInterest / CalcDailyCompoundInterest
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// 平仓 Unwind unwindPercent（既有字段 closePercent）
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// 已实现利息 Realized realizedInterest（legacy 字段 consumedInterest）
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// 待实现收益 Unrealized 预付金模式下的待实现收益余额
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// 计息基数 principal principal / dynomicPrincipal
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// 年化天数 annualDays tradeExtend.ExtendObj.AnnualDays
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//
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// 入参一律沿用既有代码的字段名，调用点两边读起来同名，不产生心智翻译成本。
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// 出参改用自描述名（Accrued / AccruedToday），因为 "Td" 对新读者是黑话。
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// ─────────────────────────────────────────────────────────────────────────────
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/// <summary>
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/// 计息区间边界（算头 / 算尾）。
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/// 用具名值取代两个相邻 bool，物理上杜绝 calcFirst / calcLast 传反这一类历史缺陷。
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/// </summary>
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public readonly struct AccrualBoundary
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{
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/// <summary>算头：含 startDate。</summary>
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public bool IncludeStart { get; }
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/// <summary>算尾：含 endDate。</summary>
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public bool IncludeEnd { get; }
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private AccrualBoundary(bool includeStart, bool includeEnd)
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=> (IncludeStart, IncludeEnd) = (includeStart, includeEnd);
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/// <summary>算头算尾 [start, end]。</summary>
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public static readonly AccrualBoundary Both = new(true, true);
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/// <summary>算头不算尾 [start, end)。</summary>
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public static readonly AccrualBoundary StartOnly = new(true, false);
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/// <summary>不算头算尾 (start, end]。</summary>
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public static readonly AccrualBoundary EndOnly = new(false, true);
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/// <summary>不算头不算尾 (start, end)。</summary>
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public static readonly AccrualBoundary None = new(false, false);
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/// <summary>由既有 calcFirst / calcLast 布尔对构造，供旧调用方渐进迁移。</summary>
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public static AccrualBoundary Of(bool includeStart, bool includeEnd) => new(includeStart, includeEnd);
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public override string ToString()
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=> $"{(IncludeStart ? "算头" : "不算头")}{(IncludeEnd ? "算尾" : "不算尾")}";
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}
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/// <summary>
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/// 计息结果。Accrued → 记账字段 InterestAmount / InterestProfitSum；AccruedToday → TdInterestAmount。
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/// </summary>
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public readonly struct InterestResult
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{
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/// <summary>区间累计应计利息。</summary>
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public decimal Accrued { get; }
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/// <summary>末日（当日）应计利息。</summary>
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public decimal AccruedToday { get; }
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public InterestResult(decimal accrued, decimal accruedToday)
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=> (Accrued, AccruedToday) = (accrued, accruedToday);
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public static readonly InterestResult Zero = new(0m, 0m);
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public override string ToString() => $"Accrued={Accrued}, AccruedToday={AccruedToday}";
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}
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/// <summary>
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/// 收益互换（TRS）利息腿计算——纯函数。
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///
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/// 设计约束：
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/// 1. 无副作用——不读写 flowEvent、不取利率、不连库、不碰任何共享可变状态；
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/// 2. 同 input → 同 output，结果仅通过返回值流出；
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/// 3. 正交轴（算头算尾 / 单利复利 / 平仓 / 待实现收益）各自独立，互不耦合；
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/// 4. 调用方负责「取利率 + 构造日期区间 + 落库」，本类只算账。
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/// 由此，corp action 调整价格 / 数量时只需把新的 principal 与 rate 喂入，计息逻辑一行不动。
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///
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/// 领域口径：本系统利息腿是单边融资腿，任一时点只有一个生效利率（见 SwapDealService 的
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/// floateRate 单一入参），<b>不存在</b> IRS 那种 fixedRate − floatingRate 轧差；
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/// 权益腿盈亏与平仓费用属三腿汇总层，不在本类职责内。
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///
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/// 为何不复用 Qdp 的 IDayCount：
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/// a. 语义——Qdp 的 DaysInPeriod = end − start 是写死的半开区间，只能表达四种算头算尾中的一种；
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/// b. 精度——Qdp 返回 double 年化系数，本系统 decimal 且日息先 Round 再乘天数，
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/// Round(P*r/365, 11) * n ≠ P*r*(n/365)，与 Excel 对账口径不同；
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/// c. 依赖方向——Qdp 用自有 Date 类型，引入会让 YLErp.Core 反向依赖定价库。
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/// </summary>
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public static class SwapInterest
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{
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/// <summary>系统统一价格精度位数。</summary>
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public const int Precision = 11;
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/// <summary>年化天数常量（合约字段存的是 int，故不用 enum）。</summary>
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public const int Act365 = 365;
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public const int Act360 = 360;
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/// <summary>应计天数。边界规则由日期区间表达，计息函数内不再出现 flag 分支。</summary>
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public static int AccrualDays(DateTime startDate, DateTime endDate, AccrualBoundary boundary)
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{
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var s = boundary.IncludeStart ? startDate : startDate.AddDays(1);
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var e = boundary.IncludeEnd ? endDate : endDate.AddDays(-1);
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var days = (int)(e - s).TotalDays + 1; // 含两端
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return days < 0 ? 0 : days;
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}
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/// <summary>单利：计息基数固定，每日利息相同，无逐日循环。</summary>
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public static InterestResult AccrueSimple(
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decimal principal,
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decimal rate,
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DateTime startDate,
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DateTime endDate,
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AccrualBoundary boundary,
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int annualDays,
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int precision = Precision)
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{
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var days = AccrualDays(startDate, endDate, boundary);
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var daily = Round(principal * rate / annualDays, precision);
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return new InterestResult(Round(daily * days, precision), daily);
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}
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/// <summary>
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/// 复利：按重置日切段，段间把累计利息并入计息基数。
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/// 段内复用 AccrueSimple（仍无逐日循环）；重置日是唯一并本金的地方。
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/// </summary>
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public static InterestResult AccrueCompound(
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decimal principal,
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decimal rate,
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DateTime startDate,
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DateTime endDate,
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AccrualBoundary boundary,
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IReadOnlyList<DateTime> resetDates,
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int annualDays,
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int precision = Precision)
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{
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var basis = principal;
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decimal accrued = 0m, accruedToday = 0m;
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var segEnds = (resetDates ?? Array.Empty<DateTime>())
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.Where(d => d > startDate && d < endDate)
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.OrderBy(d => d)
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.Append(endDate)
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.ToArray();
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var segStart = startDate;
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var segIncludeStart = boundary.IncludeStart;
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foreach (var segEnd in segEnds)
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{
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var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
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var seg = AccrueSimple(basis, rate, segStart, segEnd, segBoundary, annualDays, precision);
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accrued += seg.Accrued;
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accruedToday = seg.AccruedToday;
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basis += seg.Accrued; // 仅在重置日并本金
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segStart = segEnd;
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segIncludeStart = false; // 后续段不算头
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}
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return new InterestResult(accrued, accruedToday);
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}
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/// <summary>
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/// 平仓（Unwind）缩放——全仓唯一缩放点，物理上杜绝 unwindPercent 被重复相乘。
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/// 全平即 unwindPercent = 1，不另设方法。
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///
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/// 已实现 / 未实现边界：传入的 <paramref name="accrued"/> 是平仓前仍「未实现（unrealized）」的
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/// 累计应计利息；本方法按比例缩放后返回「平仓后剩余未实现」部分，并扣除历史累计「已实现（realized）」
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/// 的 <paramref name="realizedInterest"/>。被平仓比例 unwindPercent 对应的那一份 accrued，
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/// 即在此刻「实现（realized）」，由调用方记入 realizedInterest。
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/// </summary>
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/// <param name="accrued">平仓前累计应计利息（未实现）。</param>
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/// <param name="unwindPercent">
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/// 平仓比例（0~1，实为 ratio 非百分数）。
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/// 对应既有字段 closePercent；分母口径必须与传入 <paramref name="accrued"/> 所依据的持仓数量一致——
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/// 是「本次计算依据的持仓」而非「初始建仓」，历史缺陷正来自这个歧义。
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/// </param>
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/// <param name="realizedInterest">已实现利息累计（legacy 字段 consumedInterest）：历史各次 unwind 已确认、应从剩余未实现中扣除的部分。</param>
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public static InterestResult ApplyUnwind(
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InterestResult accrued,
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decimal unwindPercent,
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decimal realizedInterest = 0m,
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int precision = Precision)
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{
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var remaining = 1m - unwindPercent;
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return new InterestResult(
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Round(accrued.Accrued * remaining - realizedInterest, precision),
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Round(accrued.AccruedToday * remaining, precision));
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}
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/// <summary>待实现收益余额滚动（预付金 / 授信模式）。</summary>
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/// <param name="openingUnrealized">上期待实现收益余额。</param>
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/// <param name="todayIncome">本期新增。</param>
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/// <param name="unwindDeduction">本期 unwind 应扣减（即本期实现的份额）。</param>
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public static decimal AccrueUnrealized(
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decimal openingUnrealized,
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decimal todayIncome,
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decimal unwindDeduction,
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int precision = Precision)
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=> Round(openingUnrealized + todayIncome - unwindDeduction, precision);
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private static decimal Round(decimal value, int precision)
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=> Math.Round(value, precision, MidpointRounding.AwayFromZero);
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}
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