refactor(accrual): referenceNotional→baseNotional, notional统一

- referenceNotional → baseNotional(更短更清晰) - 新代码统一用 notional(不用 principal): QuantLib/Strata 对 swap leg 用 notional 是业界标准 - DB字段(InterestPrincipalFix等)保持不动(legacy) - 注释标注 legacy 对照(orginPv/originalPv/dynomicPrincipal) 验证: 编译0错误, 7影子测试全过, 全量523测试7失败(基线一致)。
2026-08-12 10:20:13 +08:00
parent ce6c0812e1
commit 2f7caa7a1f
3 changed files with 153 additions and 23 deletions
@@ -0,0 +1,144 @@
+using System.Text.RegularExpressions;
+using YLErp.Core.Interest;
+using YLErp.Derivatives.Interest;
+
+namespace UnitTestProject.Modules.SwapModule.Accrual
+{
+    /// <summary>
+    /// 聚焦测试：AccrueCompoundInArrears 的「本金滚存时机」必须符合确认书规定。
+    /// 核心不变量：本金只允许在重置日/段末滚入利息，非重置日不得资本化。
+    ///
+    /// 与原草稿的关键区别：本版<b>直接通过 AccrualTrace 断言不变量</b>。
+    /// 真实实现在每次段末会发出 ROLLOVER 事件并记录 newBasis（见 SwapInterest.cs:215 /
+    /// AccrualTrace.Rollover），因此「非重置日是否发生资本化」是可程序化验证的，
+    /// 无需仅靠总利息回归来保护（原草稿的自我怀疑"无法断言计息基数"已不成立）。
+    /// </summary>
+    [TestClass]
+    public class SwapInterest_CompoundInArrears_RolloverTimingTests
+    {
+        private const int FundingLegPrecision = 12;
+        private const int AnnualDays = 365;
+
+        /// <summary>
+        /// 场景：14天窗口，第8天(01-08)重置一次，利率恒定 3.65%（日利率 0.01%）。
+        /// 验证：
+        ///  (1) 总利息 = 1400.49（第1期700 + 第2期700.49）；
+        ///  (2) ROLLOVER 仅发生在重置日(01-08)与窗口终点(01-15)，非重置日(如01-03)绝不滚存；
+        ///  (3) 重置日 ROLLOVER 的 newBasis = 原始本金 + 前7天利息 = 1,000,700，
+        ///      证明第1段计息基数恒为原始本金、段内未提前资本化。
+        /// </summary>
+        [TestMethod]
+        public void InterestPrincipal_ShouldRollOnlyOnResetDays_NotOnNonResetDays()
+        {
+            var startDate = new DateTime(2026, 1, 1);
+            var endDate = new DateTime(2026, 1, 15);
+
+            var principal = 1_000_000m;
+            var rate = 0.0365m;
+            var resetDates = new List<DateTime> { new DateTime(2026, 1, 8) };
+            var trace = new AccrualTrace();
+            var ctx = new AccrualContext(AnnualDays, FundingLegPrecision, trace);
+
+            var result = SwapInterest.AccrueCompoundInArrears(
+                ctx,
+                principal,
+                rate,
+                startDate,
+                endDate,
+                AccrualBoundary.Both,
+                resetDates);
+
+            Assert.AreEqual(1400.49m, Math.Round(result.Accrued, 2));
+
+            var rolloverDates = trace.Entries
+                .Where(e => e.Step == AccrualTraceEvent.Rollover)
+                .Select(e => e.Date)
+                .ToList();
+
+            var allowed = resetDates.Concat(new[] { endDate }).OrderBy(d => d).ToList();
+            CollectionAssert.AreEqual(allowed, rolloverDates.OrderBy(d => d).ToList());
+
+            Assert.IsFalse(rolloverDates.Contains(new DateTime(2026, 1, 3)),
+                "非重置日发生了本金滚存，违反确认书规定");
+
+            var resetRollover = trace.Entries
+                .First(e => e.Step == AccrualTraceEvent.Rollover && e.Date == new DateTime(2026, 1, 8));
+            var newBasis = ParseNewBasis(resetRollover.Line);
+            Assert.AreEqual(principal + 700m, newBasis,
+                "重置日滚入的本金应为原始本金 + 前段利息，证明段内未提前资本化");
+        }
+
+        /// <summary>
+        /// 极端场景：startDate = endDate（1天），无重置日。
+        /// 期望利息 = 本金 × 日利率 = 1,000,000 × 0.0365/365 = 100。
+        /// 且唯一 ROLLOVER 必须落在窗口终点（=startDate），无任何内部重置滚存。
+        /// </summary>
+        [TestMethod]
+        public void SingleDay_ShouldNotRollInterest_NoResetDay()
+        {
+            var date = new DateTime(2026, 1, 1);
+            var principal = 1_000_000m;
+            var rate = 0.0365m;
+            var trace = new AccrualTrace();
+            var ctx = new AccrualContext(AnnualDays, FundingLegPrecision, trace);
+
+            var result = SwapInterest.AccrueCompoundInArrears(
+                ctx,
+                principal,
+                rate,
+                date,
+                date,
+                AccrualBoundary.Both);
+
+            Assert.AreEqual(100m, Math.Round(result.Accrued, 2));
+
+            var rolloverDates = trace.Entries
+                .Where(e => e.Step == AccrualTraceEvent.Rollover)
+                .Select(e => e.Date)
+                .ToList();
+            CollectionAssert.AreEqual(new[] { date }, rolloverDates.ToArray());
+        }
+
+        /// <summary>
+        /// 段内无重置日：验证整段等同于单利，且不发生任何内部滚存。
+        /// 6天窗口(01-01..01-06)在7天重置周期内，Both 边界含两端 = 6 个计息日，
+        /// 期望利息 = 本金 × 日利率 × 6 = 600。
+        /// </summary>
+        [TestMethod]
+        public void WithinPeriod_NoRollover_ShouldMatchSimpleInterest()
+        {
+            var startDate = new DateTime(2026, 1, 1);
+            var endDate = new DateTime(2026, 1, 6);
+            var principal = 1_000_000m;
+            var rate = 0.0365m;
+            var trace = new AccrualTrace();
+            var ctx = new AccrualContext(AnnualDays, FundingLegPrecision, trace);
+
+            var result = SwapInterest.AccrueCompoundInArrears(
+                ctx,
+                principal,
+                rate,
+                startDate,
+                endDate,
+                AccrualBoundary.Both);
+
+            // 计息天数必须用边界感知的 AccrualDays，不能拿 (end-start).Days（会少算1天）
+            var days = SwapInterest.AccrualDays(startDate, endDate, AccrualBoundary.Both); // = 6
+            var expected = Math.Round(principal * rate * days / AnnualDays, FundingLegPrecision, MidpointRounding.AwayFromZero);
+            Assert.AreEqual(expected, Math.Round(result.Accrued, 10));
+
+            var rolloverDates = trace.Entries
+                .Where(e => e.Step == AccrualTraceEvent.Rollover)
+                .Select(e => e.Date)
+                .ToList();
+            CollectionAssert.AreEqual(new[] { endDate }, rolloverDates.ToArray());
+        }
+
+        private static decimal ParseNewBasis(string line)
+        {
+            var m = Regex.Match(line, @"newBasis=([0-9.]+)");
+            Assert.IsTrue(m.Success, $"ROLLOVER 行缺少 newBasis：{line}");
+            return decimal.Parse(m.Groups[1].Value);
+        }
+    }
+}