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Merge branch 'glms/feature/1.4.2' of http://git.yiliantech.com/gitlab/otc-dev/zszq-trs into glms/feature/1.4.2

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锦麟 王
2026-08-26 10:23:16 +08:00
parent ca3b57bb98 8023f13842
commit 41f64956b2
39 changed files with 1542 additions and 170 deletions
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UnitTestProject/Modules/SwapModule/CorporateActionEventLifecycleTest.cs
+39 -9
View File
@@ -1,6 +1,7 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Reflection;
using Newtonsoft.Json;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using YLErp.DBModels;
@@ -20,6 +21,7 @@ namespace YLErp.Modules.SwapModule
public void RegistrationSnapshot_IsPending_AndKeepsBeforeFields()
{
var info = CreateAction(77, ConsGlobal.InstrumentType.Stock);
info.GiveShareAmount = 1m;
var before = CreateEodPosition(9, info.UnderlyingCode, 1000m, 100m);
var snapshot = SwapEodPositionService.BuildCorporateActionEventData(
@@ -37,8 +39,9 @@ namespace YLErp.Modules.SwapModule
Assert.IsFalse(snapshot.Applied);
var reason = SwapEventService.BuildCorporateActionEventReason(snapshot);
StringAssert.Contains(reason, "BeforeQuantity=1000");
StringAssert.Contains(reason, "AfterQuantity=0");
StringAssert.Contains(reason, "股权登记日：2026-08-14 发生公司行为（送股）");
StringAssert.Contains(reason, "调整前：名义本金：100000 期初标的价格：100 持仓数量：1000");
StringAssert.Contains(reason, "调整后：名义本金：0 期初标的价格：0 持仓数量：0");
}
[TestMethod]
@@ -65,6 +68,23 @@ namespace YLErp.Modules.SwapModule
Assert.IsFalse(SwapEodPositionService.IsCorporateActionInstrument(ConsGlobal.InstrumentType.TBonds));
}
[TestMethod]
public void CorporateActionReason_ShowsOneActionTypeOrActualCashDividend()
{
AssertActionDescription(
new CorporateActionEventData { ExDividendDate = RecordDate, RationedSharesAmount = 1m, GiveShareAmount = 1m, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m },
"发生公司行为（配股）");
AssertActionDescription(
new CorporateActionEventData { ExDividendDate = RecordDate, GiveShareAmount = 1m, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m },
"发生公司行为（送股）");
AssertActionDescription(
new CorporateActionEventData { ExDividendDate = RecordDate, Split = 2m, GiveCashAmount = 10m, CashFlowChange = 1000m },
"发生公司行为（拆分）");
AssertActionDescription(
new CorporateActionEventData { ExDividendDate = RecordDate, GiveCashAmount = 11m, CashFlowChange = 220000m },
"发生公司行为（产生分红：220000）");
}
[TestMethod]
public void Rerun_DoesNotCreateDuplicateCorporateActionEvent()
{
@@ -113,7 +133,7 @@ namespace YLErp.Modules.SwapModule
}
[TestMethod]
public void OperationHistory_PreservesPendingCorporateActionForAudit()
public void OperationHistory_HidesPendingCorporateActionUntilItIsApplied()
{
var info = CreateAction(80, ConsGlobal.InstrumentType.Stock);
var pendingData = SwapEodPositionService.BuildCorporateActionEventData(
@@ -133,12 +153,17 @@ namespace YLErp.Modules.SwapModule
new swap_event { id = 3, EventType = (int)SwapEventTypeEnum.互换, EventData = "{}" }
};
// 操作历史不再隐藏登记日待生效事件；Applied=false 是事件状态，不是展示过滤条件。
Assert.AreEqual(3, events.Count);
Assert.IsTrue(SwapEventService.TryDeserializeCorporateActionEventData(events[0], out var pendingSnapshot));
Assert.IsFalse(pendingSnapshot.Applied);
Assert.IsTrue(SwapEventService.TryDeserializeCorporateActionEventData(events[1], out var appliedSnapshot));
Assert.IsTrue(appliedSnapshot.Applied);
var filter = typeof(SwapEventService).GetMethod(
"FilterOperationHistory",
BindingFlags.NonPublic | BindingFlags.Static);
Assert.IsNotNull(filter, "操作历史必须过滤登记日创建的待生效公司行为事件。");
var visibleEvents = (List<swap_event>)filter.Invoke(null, new object[] { events });
Assert.AreEqual(2, visibleEvents.Count);
Assert.IsFalse(visibleEvents.Any(x => x.id == 1));
Assert.IsTrue(visibleEvents.Any(x => x.id == 2));
Assert.IsTrue(visibleEvents.Any(x => x.id == 3));
}
[TestMethod]
@@ -283,6 +308,11 @@ namespace YLErp.Modules.SwapModule
};
}
private static void AssertActionDescription(CorporateActionEventData data, string expected)
{
StringAssert.Contains(SwapEventService.BuildCorporateActionEventReason(data), expected);
}
private static eod_swap_position CreateEodPosition(long positionId, string code, decimal quantity, decimal price)
{
return new eod_swap_position
UnitTestProject/Modules/SwapModule/SwapEodPositionRiskNewTabTest.cs
+178
View File
@@ -0,0 +1,178 @@
using YLErp.DBModels;
using YLErp.DBModels.Enums;
namespace YLErp.Modules.SwapModule;
/// <summary>
/// EQD-7084 新“框架合约”Tab 的口径测试。
/// 纯计算测试不依赖数据库，直接锁定 EodPnlCalculator 的新口径。
/// </summary>
[TestClass]
public class SwapEodPositionRiskNewTabTest
{
[TestMethod]
public void 新口径_普通利息排除保证金_浮动收益剔除费用并保留估值总额()
{
var floating = new[]
{
// EOD 归一后，费用已经按我方收益视角落库；支付费用为负数。
FloatingLeg("600000", 1, 100m, 0m, -12m, "普通收益互换")
};
var interests = new[]
{
InterestLeg(1, (int)InterestModeEnum.固定值, 80m, 0.02m, 0.02m),
InterestLeg(1, (int)InterestModeEnum.初始预付金, 20m, 0.01m, 0.01m)
};
var fields = InvokeCalculation(
floating,
interests,
structureType: "普通收益互换",
notionalValue: 1_000m,
startDate: new DateTime(2026, 1, 1),
maturityDate: new DateTime(2026, 12, 31),
periodAmount: 5m,
dividendPayDate: 0);
Assert.AreEqual(100m, GetDecimal(fields, "FloatingUnrealizedPnl"), 0.0001m,
"新浮动端待实现收益应排除 PosiFeePending：PosiProfitSum(88) - PosiFeePending(-12) = 100");
Assert.AreEqual(-12m, GetDecimal(fields, "OpeningClosingFee"), 0.0001m,
"开平仓费用直接使用 EOD 已归一的 PosiFeePending");
Assert.AreEqual(80m, GetDecimal(fields, "OrdinaryInterestPnl"), 0.0001m,
"利息端待实现收益应排除初始/维持保证金腿");
Assert.AreEqual(-20m, GetDecimal(fields, "MarginInterestAmount"), 0.0001m,
"保证金利息仍应按保证金腿方向计入估值");
Assert.AreEqual(153m, GetDecimal(fields, "MaturityNettingValuation"), 0.0001m,
"估值应保持旧口径：100 - 12 + 80 - 20 + 5 = 153；费用只计一次");
}
[TestMethod]
public void 新口径_当前利率合计使用普通利息腿TdInterestRate_并识别FR007()
{
var fr007Leg = InterestLeg(2, (int)InterestModeEnum.合约名义本金规模, 20m, 0.03m, 0.018m);
fr007Leg.FloatRateUnderlyingCode = "FR007";
fr007Leg.FloatRate = 0.015m;
var fields = InvokeCalculation(
new[] { FloatingLeg("600001", 2, 100m, 0m, 0m, "普通收益互换") },
new[]
{
InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m),
fr007Leg
},
structureType: "普通收益互换",
notionalValue: 100m,
startDate: new DateTime(2026, 2, 1),
maturityDate: new DateTime(2026, 8, 1),
periodAmount: 0m,
dividendPayDate: 1);
Assert.AreEqual(0.0305m, GetDecimal(fields, "InterestRatePrice"), 0.0000001m,
"利率端价格应为普通利息腿当前 TdInterestRate 合计，而非默认利差合计");
Assert.AreEqual("FR007", GetString(fields, "InterestBenchmark"));
}
[TestMethod]
public void 新口径_普通利息腿无FR007时基准为固定利率()
{
var fields = InvokeCalculation(
new[] { FloatingLeg("600002", 1, 100m, 0m, 0m, "普通收益互换") },
new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m) },
structureType: "普通收益互换",
notionalValue: 100m,
startDate: new DateTime(2026, 2, 1),
maturityDate: new DateTime(2026, 8, 1),
periodAmount: 0m,
dividendPayDate: 1);
Assert.AreEqual("固定利率", GetString(fields, "InterestBenchmark"));
}
[TestMethod]
public void 新口径_债券期初价格按风险页约定放大百分价格_并保留合同字段()
{
var fields = InvokeCalculation(
new[] { FloatingLeg("110000", 1, 99.12m, 0m, 0m, "普通债券类收益互换", "Bond") },
new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 1m, 0.01m, 0.01m) },
structureType: "普通债券类收益互换",
notionalValue: 9_900m,
startDate: new DateTime(2026, 3, 1),
maturityDate: new DateTime(2027, 3, 1),
periodAmount: 0m,
dividendPayDate: 1);
Assert.AreEqual(99.12m, GetDecimal(fields, "InitialPrice"), 0.0001m,
"债券日终 PosiGrossPrice 已由 SetPosiPrice 按风险页口径缩放，新接口不能再次乘 100");
Assert.AreEqual(9_900m, GetDecimal(fields, "NotionalQuantity"), 0.0001m);
Assert.AreEqual("多头", GetString(fields, "UnderlyingDirection"));
Assert.AreEqual("110000", GetString(fields, "UnderlyingCode"));
Assert.AreEqual("Bond", GetString(fields, "UnderlyingInstrumentType"));
Assert.AreEqual(new DateTime(2026, 3, 1), GetDate(fields, "ContractStartDate"));
Assert.AreEqual(new DateTime(2027, 3, 1), GetDate(fields, "ContractMaturityDate"));
}
private static object InvokeCalculation(
IEnumerable<eod_swap_position> floating,
IEnumerable<eod_swap_position> interests,
string structureType,
decimal notionalValue,
DateTime startDate,
DateTime maturityDate,
decimal periodAmount,
int dividendPayDate)
{
return EodPnlCalculator.CalculateEodSwapRiskNewFields(
floating,
interests,
structureType,
notionalValue,
startDate,
maturityDate,
periodAmount,
dividendPayDate);
}
private static decimal GetDecimal(object fields, string name)
=> Convert.ToDecimal(fields.GetType().GetProperty(name)!.GetValue(fields));
private static string GetString(object fields, string name)
=> (string)fields.GetType().GetProperty(name)!.GetValue(fields)!;
private static DateTime GetDate(object fields, string name)
=> (DateTime)fields.GetType().GetProperty(name)!.GetValue(fields)!;
private static eod_swap_position FloatingLeg(
string code,
int positionType,
decimal mtm,
decimal dividend,
decimal fee,
string structureType,
string instrumentType = null)
=> new()
{
UnderlyingCode = code,
UnderlyingInstrumentType = instrumentType ?? structureType,
PositionType = positionType,
PosiGrossPrice = mtm,
PosiMtmPnL = mtm,
PosiDividendSum = dividend,
PosiFeePending = fee,
PosiProfitSum = mtm + dividend + fee,
PosiNotionalValue = 100m
};
private static eod_swap_position InterestLeg(
int direction,
int mode,
decimal profit,
decimal defaultRate,
decimal currentRate)
=> new()
{
InterestDirection = direction,
InterestMode = mode,
InterestProfitSum = profit,
InterestRateDefault = defaultRate,
TdInterestRate = currentRate
};
}