feat(accrual): 新增 FundingLegAccrual.AccrueCompoundEod + 影子测试

第1步迁移: CalcDailyCompoundInterestByEod（EOD复利单日）。新增纯函数 AccrueCompoundEod: - 重置日: 本金 = positionPrincipal + priorUnrealized × remainingPercent - 非重置日: 本金 = priorAccrualPrincipal + positionPrincipal - originalPv - InterestAmount = priorUnrealized × closeRatio + dayInterest - TdInterestAmount = dayInterest（不含 priorUnrealized）影子测试(2个,全过): - 重置日场景: 旧新 InterestAmount/TdInterestAmount 一致 - 非重置日场景: 同上旧方法暂不删——新旧并存，对比验证后再替换调用点。验证: 编译0错误, 全量515测试7失败(基线一致)。
2026-08-12 09:15:01 +08:00
parent 5dc8bdbf9e
commit 217c2d5826
2 changed files with 200 additions and 22 deletions
@@ -0,0 +1,150 @@
+using System;
+using System.Collections.Generic;
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using Newtonsoft.Json;
+using YLErp;
+using YLErp.DBModels;
+using YLErp.DBModels.Enums;
+using YLErp.Modules.SwapModule;
+using YLErp.Modules.SwapModule.Accrual;
+using YLErp.Derivatives.Interest;
+using YLErp.Core.Interest;
+
+namespace UnitTestProject.Modules.SwapModule.Accrual
+{
+    /// <summary>
+    /// 影子测试：CalcDailyCompoundInterestByEod（旧逐日循环）vs FundingLegAccrual.AccrueCompoundEod（新纯函数）。
+    /// 构造同一组参数，两套实现并行跑，断言结果一致（到分）。
+    /// </summary>
+    [TestClass]
+    public class CompoundEodShadowTest
+    {
+        private const decimal Notional = 100_000_000m;
+        private const decimal FixedRate = 0.03m;
+        private const int AnnualDays = 365;
+        private static readonly DateTime TradeDate = new(2026, 4, 21);
+        private static readonly DateTime EodDate = new(2026, 4, 28); // 第7天=重置日
+
+        private static trade CreateTrade()
+        {
+            return new trade
+            {
+                id = 1, TradeNumber = "UT-SHADOW", ClientId = 999998,
+                TradeType = "收益互换", TradeDate = TradeDate, StartDate = TradeDate,
+                ExerciseDate = TradeDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
+                trade_extend = new trade_extend
+                {
+                    TradeId = 1,
+                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                    {
+                        AnnualDays = AnnualDays, InterestCalcMode = "11", SettlementRules = 0
+                    })
+                }
+            };
+        }
+
+        private static swap_position CreatePosition(int interestMode, int interestType, int resetDays)
+        {
+            return new swap_position
+            {
+                id = 1001, SwapTradeId = 1,
+                PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = interestMode,
+                InterestRateDefault = FixedRate,
+                InterestPrincipalFix = Notional,
+                PosiStartDate = TradeDate,
+                PosiMatuirityDate = TradeDate.AddYears(1),
+                IsInitial = true, Invalid = false,
+                InterestType = interestType,
+                IsAnnualized = true,
+                interest_rest_days = resetDays,
+                interest_rule = 0,
+                FloatRateUnderlyingCode = null,
+                InterestSwapInterval = "[]"
+            };
+        }
+
+        private static eod_swap_position CreatePreEod(decimal tdPrincipal, decimal unrealized)
+        {
+            return new eod_swap_position
+            {
+                id = 1, SwapTradeId = 1, PositionId = 1001,
+                ValueDate = EodDate.AddDays(-1),
+                TdInterestPrincipal = tdPrincipal,
+                InterestProfitSum = unrealized,
+                PosiNotionalValue = Notional,
+                FloatRate = 0m
+            };
+        }
+
+        /// <summary>
+        /// 重置日场景：EOD 恰为重置日（7天周期，第7天）。
+        /// </summary>
+        [TestMethod]
+        public void 影子_重置日_旧新一致()
+        {
+            var position = CreatePosition((int)InterestModeEnum.合约名义本金规模, (int)InterestTypeEnum.复利, 7);
+            var preEod = CreatePreEod(Notional, 50_000m);
+            var flowEvent = new swap_flow_event { InterestRate = FixedRate };
+
+            // 旧方法
+            decimal oldInterest = 0, oldTd = 0;
+            var svc = new StubSvc();
+            svc.CalcDailyCompoundInterestByEod(preEod, EodDate, TradeDate, position,
+                Notional, Notional, flowEvent, AnnualDays, false, 0m, 1m, Notional,
+                ref oldInterest, ref oldTd);
+
+            // 新方法
+            var rate = FundingLegRate.Fixed(FixedRate);
+            var policy = new AccrualPolicy(AccrualBoundary.Both, true, 7, AnnualDays, true);
+            var remainingPercent = Math.Max(0m, Math.Min(1m, Notional / Notional));
+            var result = FundingLegAccrual.AccrueCompoundEod(
+                50_000m, Notional, Notional, 1m, Notional, rate, policy,
+                isResetDay: true, remainingPercent, EodDate);
+
+            Console.WriteLine($"重置日: 旧 InterestAmount={oldInterest} Td={oldTd}");
+            Console.WriteLine($"重置日: 新 Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
+            Assert.AreEqual((double)oldInterest, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
+        }
+
+        /// <summary>
+        /// 非重置日场景：第3天（非7的倍数）。
+        /// </summary>
+        [TestMethod]
+        public void 影子_非重置日_旧新一致()
+        {
+            var nonResetDate = new DateTime(2026, 4, 24); // 第3天
+            var position = CreatePosition((int)InterestModeEnum.合约名义本金规模, (int)InterestTypeEnum.复利, 7);
+            var preEod = CreatePreEod(Notional, 30_000m);
+            preEod.ValueDate = nonResetDate.AddDays(-1);
+            var flowEvent = new swap_flow_event { InterestRate = FixedRate };
+
+            // 旧方法
+            decimal oldInterest = 0, oldTd = 0;
+            var svc = new StubSvc();
+            svc.CalcDailyCompoundInterestByEod(preEod, nonResetDate, TradeDate, position,
+                Notional, Notional, flowEvent, AnnualDays, false, 0m, 1m, Notional,
+                ref oldInterest, ref oldTd);
+
+            // 新方法
+            var rate = FundingLegRate.Fixed(FixedRate);
+            var policy = new AccrualPolicy(AccrualBoundary.Both, true, 7, AnnualDays, true);
+            var result = FundingLegAccrual.AccrueCompoundEod(
+                30_000m, Notional, Notional, 1m, Notional, rate, policy,
+                isResetDay: false, 0m, nonResetDate);
+
+            Console.WriteLine($"非重置日: 旧 InterestAmount={oldInterest} Td={oldTd}");
+            Console.WriteLine($"非重置日: 新 Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
+            Assert.AreEqual((double)oldInterest, (double)result.Accrued, 0.01, "InterestAmount 一致");
+            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
+        }
+
+        private sealed class StubSvc : SwapDealService
+        {
+            public StubSvc() : base(new OptUserInfo(0, nameof(CompoundEodShadowTest), OptUserFrom.UnitTest)) { }
+            public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
+        }
+    }
+}