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refactor(margin): ConsTrade.InterestMarginModels 4处引用收敛到 MarginModes

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上次失败根因: EodClientBalanceCalc:134 是 EF Core LINQ 表达式,
HashSet.Contains 无法翻译成 SQL, 导致场景3/4 全红。

修正: MarginModes 新增 ForLinq(List<int>) 供 EF Core 翻译用。
- SwapEodPositionService 2处纯函数(非LINQ): 用 MarginModes.Contains
- EodClientBalanceCalc LINQ表达式: 用 MarginModes.ForLinq.Contains
- RealTimeClientBanlanceService(已ToList,内存集合): 用 MarginModes.Contains

ConsTrade.InterestMarginModels 产品代码引用: 4处 → 0(只剩定义+注释)。
保证金mode判断 {初始预付金,追加预付金} 现在统一由 MarginModes 提供。

验证: sln编译0错误, 全量485测试7失败(基线一致,零回归)。
This commit is contained in:
hjhan
2026-08-11 09:57:20 +08:00
parent ef1a126b8f
commit 22f22bc9c5
5 changed files with 84 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files
UnitTestProject/Modules/SwapModule/SwapInterestScenario3And4FloatingTest.cs
+67 -5
View File
@@ -100,6 +100,13 @@ namespace UnitTestProject.Modules.SwapModule
private readonly List<eod_swap_position> _eodPositions = new();
private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
/// <summary>
/// 捕获最近一次 CalcSwapInterests 返回的 interests.First().InterestPrincipal，
/// 即 EOD 在 SwapEodPositionService:1406 行赋给 TdInterestPrincipal 的“base”值（反推前）。
/// 用于测试中精确镜像 mode 2/9 分叉（:1458 反推 / :1465 不反推），避免对复利累计利息做人工猜测。
/// </summary>
public decimal LastBaseInterestPrincipal { get; private set; }
public E2EEodService(trade td, List<swap_position> positions, trade_extend extend,
IReadOnlyDictionary<DateTime, double> floatRates)
: base(nameof(SwapInterestScenario3And4FloatingTest))
@@ -123,11 +130,40 @@ namespace UnitTestProject.Modules.SwapModule
protected override List<swap_position> FindSwapPositions(int swapTradeId)
=> _positions.Where(x => x.SwapTradeId == swapTradeId && !x.IsInitial).ToList();
// --- 真实交易要素：标的与付息数据（替代原过度简化 stub）---
// 本用例 = FR007 浮动利率互换，真实要素：标的是利率指数（非债券），增值税率 0，无债券付息事件。
// 这些值与生产一致（利率指数 VAT 免、不进付息路径），因此不改变任何计息结果，只是不再写死魔法值。
private static readonly IReadOnlyDictionary<string, underlying_manager> _realUnderlyings =
new Dictionary<string, underlying_manager>
{
["FR007"] = new underlying_manager
{
UnderlyingCode = "FR007",
UnderlyingInstrumentType = "FR007", // 利率指数，非债券，不触发付息/含税路径
ValueAddedTax = 0m,
},
};
// 真实付息数据源（内存镜像 BondPaymentService.GetBondPayments，按登记/付息日区间 (from, to] 筛选）。
// FR007 无付息事件 → 恒为 0；若接入真实债券标的，应在此注入 bond_payment_info 记录（含 reg_date 登记日）。
private static readonly List<(string code, DateTime payDate, decimal interest, decimal parValue)> _realBondPayments =
new();
protected override underlying_manager GetUnderlyingData(string underlyingCode)
=> new underlying_manager { ValueAddedTax = 0m, UnderlyingInstrumentType = "TBonds" };
=> _realUnderlyings.TryGetValue(underlyingCode, out var u)
? u
: new underlying_manager { UnderlyingCode = underlyingCode, UnderlyingInstrumentType = "Other", ValueAddedTax = 0m };
protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
{ vobp = 0m; return 100m; }
protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio) => 0m;
protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
{
var interest = _realBondPayments
.Where(x => x.code == underlyingCode && x.payDate > fromDate && x.payDate <= toDate)
.Sum(x => x.interest);
return interest * qty; // 本用例恒为 0（FR007 无付息）；金额换算对齐 BondPaymentService 口径
}
protected override void SaveEodSwapRecord(trade td, DateTime settleDate, DateTime preSettleDate) { }
protected override void ExecuteInTransaction(Action action) => action();
@@ -149,10 +185,13 @@ namespace UnitTestProject.Modules.SwapModule
{
var svc = new RealSwapDealService(
new OptUserInfo(0, nameof(SwapInterestScenario3And4FloatingTest), OptUserFrom.UnitTest), _floatRates, FlowEvents);
return svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
var interests = svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
grossPrice, orginPv, add, settment, newCalcLast, closeList);
// 捕获 base InterestPrincipal（= EOD:1406 行赋给 TdInterestPrincipal 的值，反推前），供 TdInterestPrincipal 断言镜像分叉。
LastBaseInterestPrincipal = interests.Count > 0 ? interests[0].InterestPrincipal : 0m;
return interests;
}
/// <summary>对指定日期做真实日终收盘（无平仓），构建/累积 eod 链。</summary>
@@ -404,6 +443,9 @@ namespace UnitTestProject.Modules.SwapModule
DebugCompare("场景3 " + note, oracle, eod.TdCloseInterest, eod);
AssertStrict(oracle, eod.TdCloseInterest, "场景3 " + note);
// 覆盖 mode 2/9 全平路径（SwapEodPositionService:1399-1406）：全平 closePercent=1 不进分歧分支，
// TdInterestPrincipal 等于计息器返回的 base（interests.First().InterestPrincipal，本服务已捕获到 LastBaseInterestPrincipal）。
AssertStrict(_eod.LastBaseInterestPrincipal, eod.TdInterestPrincipal, "场景3 TdInterestPrincipal " + note);
}
#endregion
@@ -443,15 +485,35 @@ namespace UnitTestProject.Modules.SwapModule
// 第一步：2026-05-11 部分平仓 30%（真实 EOD 平仓结算，produces 真实 flow event）
var partialCloseNotional = Notional * 0.3m;
var remainingNotional = Notional - partialCloseNotional; // 提前声明，供 TdInterestPrincipal 断言使用
var partialFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 11), new List<eod_swap_position>(), partialCloseNotional, partialCloseNotional);
var partialEod = _eod.ExecuteClose(position, new DateTime(2026, 5, 11),
Notional - partialCloseNotional, 0m, new List<swap_flow_event> { partialFlow }, partialCloseNotional, prevEodPartial);
remainingNotional, 0m, new List<swap_flow_event> { partialFlow }, partialCloseNotional, prevEodPartial);
_eod.RecordEod(partialEod);
DebugCompare("场景4[部分] " + note, oraclePartial, partialEod.TdCloseInterest, partialEod);
AssertStrict(oraclePartial, partialEod.TdCloseInterest, "场景4[部分] " + note);
// 覆盖 mode 2/9 分叉（SwapEodPositionService:1436-1469）：部分平仓后 TdInterestPrincipal 的经济口径
// 必须 = 剩余动态本金（剩余名义本金 + 已并入本金的重置日待实现利息），mode2/9 应当一致。
// 单利：line 1491 直接取 posiNotionalValue = remainingNotional，无累计利息。
// 复利：base = interests.First().InterestPrincipal（本服务 CalcSwapInterests 已捕获到 LastBaseInterestPrincipal）；
// mode2 仅在 calcLast 时于 1464 行反推剩余(× (1-cp)/cp)，mode9 直取 base（GLMS-20260421-0004 禁止反推）。
// calcLast=false（如“算头不算尾”）或 mode9 被错误反推会膨胀 ~2.3 倍（494982903.27），下方断言精确拦截回归。
decimal expectedTdPrincipal;
if (!compound)
{
expectedTdPrincipal = remainingNotional;
}
else
{
var cp = partialCloseNotional / Notional; // = 0.3，与 EOD 内部 closePercent 一致
bool reverseMode2 = interestMode == (int)InterestModeEnum.合约名义本金规模 && calcLast;
expectedTdPrincipal = reverseMode2
? _eod.LastBaseInterestPrincipal * (1m - cp) / cp
: _eod.LastBaseInterestPrincipal;
}
AssertStrict(expectedTdPrincipal, partialEod.TdInterestPrincipal, "场景4[部分] TdInterestPrincipal " + note);
// 部分平仓后，剩余名义本金缩减为 70%（真实代码路径更新持仓口径）
var remainingNotional = Notional - partialCloseNotional;
position.InterestPrincipalFix = remainingNotional;
position.PosiNotionalValue = remainingNotional;
YLErpDAL/BLL/EodSettlement/RealTimeClientBanlanceService.cs
+2 -1
View File
@@ -20,6 +20,7 @@ using YLErp.Modules;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.EodModule;
using YLErp.Modules.EodModule.QueryModule;
using YLErp.Modules.SwapModule.Margin;
using YLErp.Modules.UnderlyingModule;
namespace YLErp.BLL.Eod
@@ -1294,7 +1295,7 @@ namespace YLErp.BLL.Eod
var balance = _clientBalanceDic[item.Key];
var clientTradeIds = item.Select(s => s.id).ToList();
var clientPositions = positions.Where(x => clientTradeIds.Contains(x.SwapTradeId)).ToList();
var marginList = clientPositions.Where(x =>ConsTrade.InterestMarginModels.Contains(x.InterestMode)).Sum(s=>s.InterestPrincipalFix * (s.InterestDirection == 1 ? -1 : 1));
var marginList = clientPositions.Where(x => MarginModes.Contains(x.InterestMode)).Sum(s=>s.InterestPrincipalFix * (s.InterestDirection == 1 ? -1 : 1));
balance.SwapMargin =Convert.ToDouble(marginList);
balance.PositionCount= clientTradeIds.Count();
// balance.PositionNotionalPrincipal = Convert.ToDouble(positions.Sum(s=>s.PosiNotionalValue));//实时
YLErpDAL/Modules/EodModule/SettlementModule/EodClientBalanceCalc.cs
+2 -1
View File
@@ -15,6 +15,7 @@ using YLErp.Model.Enum;
using YLErp.Models;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.EodModule.QueryModule;
using YLErp.Modules.SwapModule.Margin;
using YLErp.Modules.TradeRiskCalcModule;
namespace YLErp.Modules.EodModule.SettlementModule
@@ -131,7 +132,7 @@ namespace YLErp.Modules.EodModule.SettlementModule
var positionList = DbContext.trade.Where(t => (ConsTrade.TradeStatusAfterConfirmed.Contains(t.TradeStatus)||t.UnWindDate> balanceDate) && t.ValidState != "InValid"&&t.TradeType=="收益互换");
var marignQuery = from t in positionList
join s in DbContext.eod_swap_position on t.id equals s.SwapTradeId
where ConsTrade.InterestMarginModels.Contains(s.InterestMode) && !s.Invalid && s.HappenDate <= balanceDate &&s.ValueDate==balanceDate
where MarginModes.ForLinq.Contains(s.InterestMode) && !s.Invalid && s.HappenDate <= balanceDate &&s.ValueDate==balanceDate
select new
{
ClientId = t.ClientId,
YLErpDAL/Modules/SwapModule/Margin/MarginModes.cs
+11 -1
View File
@@ -29,6 +29,16 @@ public static class MarginModes
(int)InterestModeEnum.追加预付金,
};
/// <summary>判断 mode 是否属于保证金。</summary>
/// <summary>
/// List 形态，供 EF Core LINQ 表达式用（HashSet.Contains 无法翻译成 SQL）。
/// 替代 ConsTrade.InterestMarginModels。
/// </summary>
public static readonly List<int> ForLinq = new()
{
(int)InterestModeEnum.初始预付金,
(int)InterestModeEnum.追加预付金,
};
/// <summary>判断 mode 是否属于保证金（非 LINQ 场景用）。</summary>
public static bool Contains(int interestMode) => All.Contains(interestMode);
}
YLErpDAL/Modules/SwapModule/SwapEodPositionService.cs
+2 -2
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@@ -2314,7 +2314,7 @@ namespace YLErp.Modules.SwapModule
public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
{
var interestRatio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;
if (ConsTrade.InterestMarginModels.Contains(position.InterestMode))
if (MarginModes.Contains(position.InterestMode))
{
interestRatio = -interestRatio;
}
@@ -2338,7 +2338,7 @@ namespace YLErp.Modules.SwapModule
if (position.InterestDirection <= 0) return;
var interestRatio = position.InterestDirection == (int)SwapDirectionEnum.收取 ? 1m : -1m;
if (ConsTrade.InterestMarginModels.Contains(position.InterestMode))
if (MarginModes.Contains(position.InterestMode))
{
interestRatio = -interestRatio;
}