Merge branch 'glms/feature/1.4.2' into glms/feature/0812_zmr_divPower
# Conflicts: # YLErpDAL/Modules/EodModule/BondPaymentService.cs # YLErpDAL/Modules/SwapModule/SwapDealService.cs
This commit is contained in:
张名锐
@@ -0,0 +1,15 @@
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<?xml version="1.0" encoding="utf-8"?>
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<!--
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||||
MSTest 并行化配置（opt-in：仅在 `dotnet test --settings .runsettings` 时生效）。
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Workers=0 自动取 CPU 核数；Scope=TestClass 比 Method 安全（同类内静态单例不互踩）。
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注意：本仓库测试共享静态状态（LogFactory / DataCacheManager / YLServiceLocator 单例，见 UnitTestProject/Program.cs M1）。
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启用前务必先跑一次串行基线，确认无交叉污染后再作为默认。
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-->
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<RunSettings>
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||||
<MSTest>
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||||
<Parallelize>
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<Workers>0</Workers>
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<Scope>TestClass</Scope>
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</Parallelize>
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</MSTest>
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</RunSettings>
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@@ -65,6 +65,13 @@ namespace YLErp.DBModels
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[DisplayName("实际付息(兑付)日")]
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[Column("pay_date_act")]
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public DateTime? payment_date { get; set; }
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/// <summary>
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/// 债权登记日（除息/归属截止日）——票息归属按此判定，而非支付日
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/// </summary>
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[DisplayName("债权登记日")]
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[Column("reg_date")]
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public DateTime? reg_date { get; set; }
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/// <summary>
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/// 每张兑付利息额
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/// </summary>
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@@ -0,0 +1,32 @@
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using System.ComponentModel.DataAnnotations.Schema;
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namespace YLErp.DBModels
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{
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/// <summary>
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/// 客户黑名单审批及操作日志。
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/// </summary>
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[Table("client_blacklog")]
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public class ClientBlackLog
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{
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public long id { get; set; }
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public int ClientBlackId { get; set; }
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public string Changes { get; set; }
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public string OptType { get; set; }
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public string DataType { get; set; }
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public int OptId { get; set; }
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public string OptName { get; set; }
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public DateTime OptDate { get; set; }
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}
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[NotMapped]
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public class ClientBlackLogDto : ClientBlackLog
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{
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}
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}
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@@ -10,6 +10,13 @@ namespace YLErp.Model
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[Table("client_black")]
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public class client_black : DBModelWithOperator, IDataEntity, IDataTraceV2, IClonable<client_black>
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{
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public const string 未提交 = "未提交";
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public const string 新增审批中 = "新增审批中";
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public const string 新增已拒绝 = "新增已拒绝";
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public const string 已加入 = "已加入";
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public const string 删除审批中 = "删除审批中";
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public const string 删除已拒绝 = "删除已拒绝";
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/// <summary>
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/// 客户名称
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/// </summary>
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@@ -25,6 +32,26 @@ namespace YLErp.Model
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[DataChange]
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public string Remarks { get; set; }
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[DisplayName("提交审批时间")]
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public DateTime? ApprovalOptDate { get; set; }
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[DisplayName("提交审批人")]
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public string ApprovalOptName { get; set; }
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public int ApprovalProcess { get; set; }
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[DisplayName("状态")]
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public string State { get; set; } = "";
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[DisplayName("创建人")]
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public int? creator_id { get; set; }
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[DisplayName("创建人")]
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public string creator_name { get; set; }
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[DisplayName("创建时间")]
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public DateTime? creator_time { get; set; }
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public client_black Clone()
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{
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return (client_black)MemberwiseClone();
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@@ -205,7 +205,7 @@ namespace YLErp.DBModels
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[DataChange]
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public int InterestDirection { get; set; }
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/// <summary>
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/// 计息基本类型 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值,5：初始预付金，6：追加预付金
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/// 计息基本类型 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息基本类型")]
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[DataChange]
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@@ -149,6 +149,11 @@ namespace YLErp.DBModels
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/// </summary>
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public decimal ClosePercent { get; set; }
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/// <summary>
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/// 是否计罚息（EQD-6977）：提前终止平仓时利息端按持有至到期计息。默认 false=否。
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/// 由平仓页“是否罚息”下拉写入，经 GetUnwindInterests 透传至罚息接缝层。
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/// </summary>
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public bool IsPenaltyInterest { get; set; }
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/// <summary>
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/// 平仓名义本金
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/// </summary>
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public decimal CloseNotionalValue { get; set; }
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@@ -280,7 +280,7 @@ namespace YLErp.DBModels
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}
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}
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/// <summary>
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/// 计息方式 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值
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/// 计息方式 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息方式")]
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[DataChange]
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@@ -163,7 +163,7 @@ namespace YLErp.DBModels
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/// </summary>
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public string FloatRateUnderlyingCode { get; set; }
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/// <summary>
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/// 计息基本类型 1：固定值，2：合约名义本金规模，3：持仓名义本金，4：持仓市值,5：初始预付金，6：追加预付金
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/// 计息基本类型 1：固定值，2：合约名义本金规模，5：初始预付金，6：追加预付金，9：标的期初全价
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/// </summary>
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[DisplayName("计息基本类型")]
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[DataChange]
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@@ -89,6 +89,21 @@ namespace YLErp.DBModels
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/// </summary>
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public string InterestCalcMode { get; set; } = "11";
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/// <summary>算头：InterestCalcMode 首位为 1；null/缺省视为算头。收口原 GetInterests/InitInterestDate/EOD三处 StartsWith 解析。</summary>
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[JsonIgnore]
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public bool CalcFirst => InterestCalcMode?.StartsWith("1") ?? true;
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/// <summary>算尾：InterestCalcMode 末位为 1；null/缺省视为算尾（EQD-6968 取价依赖判定的核心开关之一）。</summary>
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[JsonIgnore]
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public bool CalcLast => InterestCalcMode?.EndsWith("1") ?? true;
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/// <summary>
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/// 是否罚息（EQD-6977）：提前终止平仓时利息端按持有至到期计息的簿记默认值。
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/// 平仓页默认带出此值、可修改，以平仓时选择为准（当次选择经 UnwindData.IsPenaltyInterest 走请求，不回写）。
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/// 存量 JSON 无此键 → 反序列化默认 false（"否"），零回填。
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/// </summary>
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public bool IsPenaltyInterest { get; set; }
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/// <summary>
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///多空组合浮动端 收取方向 1：收取，2：支付
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/// </summary>
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@@ -1,29 +0,0 @@
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namespace YLErp.Core.Interest;
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/// <summary>
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/// 计息执行上下文：把"与具体金额/利率无关"的横向参数（年化天数、精度、trace 收集器）
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/// 打包成一个<b>只读值对象</b>，避免每个计息方法都重复携带这些参数。
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///
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/// <para><b>为何 trace 是"成员"而非散落参数</b>：利息纯函数（AccrueSimple / AccrueCompoundInArrears）
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/// 的核心职责是算账，trace 只是可观测性的旁路。把 trace 作为上下文的成员传入，
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/// 调用点只需传一个 ctx，签名更干净；同时 ctx 是只读值对象，不破坏纯函数
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/// （无共享可变状态 → 线程安全、可重入、可测）。<b>切勿</b>把 trace 设成类的实例/静态字段，
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/// 那会让并发的两笔交易共用同一 trace、并使函数带隐藏状态。</para>
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///
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/// <para>与 AccrualState（跨日滚动本金状态）/ AccrualPolicy（EOD 会计政策）正交：
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/// 本上下文只描述"如何算 + 往哪记"，不持有任何交易进度。</para>
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/// </summary>
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public readonly struct AccrualContext
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{
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/// <summary>年化天数（365 / 360）。</summary>
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public int AnnualDays { get; }
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/// <summary>舍入精度位数。默认 11（保证金腿）；资金腿调用方应显式传 FundingLegPrecision=12。</summary>
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public int Precision { get; }
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/// <summary>可选 trace 收集器；为 null 时不记录（纯计算场景直接传 null，与开关无关）。</summary>
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public AccrualTrace? Trace { get; }
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public AccrualContext(int annualDays, int precision = 11, AccrualTrace? trace = null)
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=> (AnnualDays, Precision, Trace) = (annualDays, precision, trace);
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}
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@@ -1,71 +0,0 @@
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using System;
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namespace YLErp.Core.Interest;
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/// <summary>
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/// 利率 + 计息方式（单利 / 复利 / 连续复利）。
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///
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/// <para><b>通用金融原语，与互换、衍生品、任何具体业务均无耦合</b>——谁需要算利息都能用。
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/// 利息计算不是互换特有的，所以它不住在 SwapModule，也不带任何 swap 词汇。</para>
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///
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/// <para>用法（年化时间 t，如 30天/365）：</para>
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/// <list type="bullet">
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/// <item><description>计息因子 = <see cref="CompoundFactor(decimal)"/>；含息额 = 本金 × 因子；</description></item>
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/// <item><description>利息 = 本金 × (因子 − 1) = <see cref="Interest(decimal, decimal)"/>。</description></item>
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/// </list>
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///
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/// <para>与 QuantLib 模型一致：单利 / 复利 / 连续复利只是 <see cref="Compounding"/> 的一个分支，
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/// 不是三套独立方法。TRS 的"重置日并本金"属于离散复利，用 <see cref="Compounding.Simple"/>
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/// 按段计息、段末把利息滚入本金即可（见 SwapInterest.AccrueCompoundInArrears），无需 Pow/Exp，decimal 精度无损。</para>
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///
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/// <para>互换特有的会计态（每日先舍入再乘天数、平仓缩放、跨日滚动本金）不属于本原语，
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/// 请在各自的 accrual 层处理。</para>
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/// </summary>
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||||
public enum Compounding
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||||
{
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/// <summary>单利：因子 = 1 + r·t。</summary>
|
||||
Simple,
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/// <summary>复利（理想化闭式）：因子 = (1 + r/f)^(f·t)，f 为年复利频次。</summary>
|
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Compounded,
|
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/// <summary>连续复利：因子 = e^(r·t)。</summary>
|
||||
Continuous
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 不可变利率值对象。构造即完整，无副作用。
|
||||
/// </summary>
|
||||
public readonly struct InterestRate
|
||||
{
|
||||
/// <summary>年化利率 r。</summary>
|
||||
public decimal Rate { get; }
|
||||
|
||||
/// <summary>计息方式。</summary>
|
||||
public Compounding Compounding { get; }
|
||||
|
||||
/// <summary>年复利频次（仅 <see cref="Compounding.Compounded"/> 使用，其余忽略，默认 1）。</summary>
|
||||
public int Frequency { get; }
|
||||
|
||||
public InterestRate(decimal rate, Compounding compounding, int frequency = 1)
|
||||
=> (Rate, Compounding, Frequency) = (rate, compounding, frequency);
|
||||
|
||||
/// <summary>
|
||||
/// 计息因子（输入年化时间 t）。
|
||||
/// <list type="bullet">
|
||||
/// <item><description><see cref="Compounding.Simple"/>：decimal 精确运算。</description></item>
|
||||
/// <item><description><see cref="Compounding.Compounded"/> / <see cref="Compounding.Continuous"/>：闭式（double 计算后回 decimal），
|
||||
/// 满足通用定价 / 保证金场景；若要 decimal 精度的离散重置日复利，请用 Simple 按段计息并滚动本金。</description></item>
|
||||
/// </list>
|
||||
/// </summary>
|
||||
public decimal CompoundFactor(decimal t)
|
||||
=> Compounding switch
|
||||
{
|
||||
Compounding.Simple => 1m + Rate * t,
|
||||
Compounding.Compounded => (decimal)Math.Pow((double)(1m + Rate / Frequency), (double)(Frequency * t)),
|
||||
Compounding.Continuous => (decimal)Math.Exp((double)(Rate * t)),
|
||||
_ => throw new ArgumentOutOfRangeException(nameof(Compounding))
|
||||
};
|
||||
|
||||
/// <summary>利息 = 本金 × (因子 − 1)。</summary>
|
||||
public decimal Interest(decimal principal, decimal t)
|
||||
=> principal * (CompoundFactor(t) - 1m);
|
||||
}
|
||||
@@ -1,291 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using YLErp.Core.Interest;
|
||||
|
||||
namespace YLErp.Derivatives.Interest;
|
||||
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
// 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）
|
||||
//
|
||||
// 概念 唯一用词 与既有代码的对应
|
||||
// ───────────────────────────────────────────────────────────────────
|
||||
// 区间起点/终点 Start / End startDate / endDate
|
||||
// 计息 Accrue CalcDailySimpleInterest / CalcDailyCompoundInterest
|
||||
// 平仓 Unwind unwindPercent（既有字段 closePercent）
|
||||
// 已实现利息 Realized realizedInterest（legacy 字段 consumedInterest）
|
||||
// 待实现收益 Unrealized 预付金模式下的待实现收益余额
|
||||
// 计息基数 principal principal / dynomicPrincipal
|
||||
// 年化天数 annualDays tradeExtend.ExtendObj.AnnualDays
|
||||
//
|
||||
// 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。
|
||||
// 出参改用自描述名（Accrued / AccruedToday），因为 "Td" 对新读者是黑话。
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
|
||||
/// <summary>
|
||||
/// 计息区间边界（算头 / 算尾）。
|
||||
/// 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。
|
||||
/// </summary>
|
||||
public readonly struct AccrualBoundary
|
||||
{
|
||||
/// <summary>算头：含 startDate。</summary>
|
||||
public bool IncludeStart { get; }
|
||||
|
||||
/// <summary>算尾：含 endDate。</summary>
|
||||
public bool IncludeEnd { get; }
|
||||
|
||||
private AccrualBoundary(bool includeStart, bool includeEnd)
|
||||
=> (IncludeStart, IncludeEnd) = (includeStart, includeEnd);
|
||||
|
||||
/// <summary>算头算尾 [start, end]。</summary>
|
||||
public static readonly AccrualBoundary Both = new(true, true);
|
||||
|
||||
/// <summary>算头不算尾 [start, end)。</summary>
|
||||
public static readonly AccrualBoundary StartOnly = new(true, false);
|
||||
|
||||
/// <summary>不算头算尾 (start, end]。</summary>
|
||||
public static readonly AccrualBoundary EndOnly = new(false, true);
|
||||
|
||||
/// <summary>不算头不算尾 (start, end)。</summary>
|
||||
public static readonly AccrualBoundary None = new(false, false);
|
||||
|
||||
/// <summary>由既有 calcFirst / calcLast 布尔对构造，供旧调用方渐进迁移。</summary>
|
||||
public static AccrualBoundary Of(bool includeStart, bool includeEnd) => new(includeStart, includeEnd);
|
||||
|
||||
public override string ToString()
|
||||
=> $"{(IncludeStart ? "算头" : "不算头")}{(IncludeEnd ? "算尾" : "不算尾")}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计息结果。Accrued → 记账字段 InterestAmount / InterestProfitSum；AccruedToday → TdInterestAmount。
|
||||
/// </summary>
|
||||
public readonly struct InterestResult
|
||||
{
|
||||
/// <summary>区间累计应计利息。</summary>
|
||||
public decimal Accrued { get; }
|
||||
|
||||
/// <summary>末日（当日）应计利息。</summary>
|
||||
public decimal AccruedToday { get; }
|
||||
|
||||
public InterestResult(decimal accrued, decimal accruedToday)
|
||||
=> (Accrued, AccruedToday) = (accrued, accruedToday);
|
||||
|
||||
public static readonly InterestResult Zero = new(0m, 0m);
|
||||
|
||||
public override string ToString() => $"Accrued={Accrued}, AccruedToday={AccruedToday}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 收益互换（TRS）利息腿计算——纯函数。
|
||||
///
|
||||
/// <para><b>层级关系</b>：计息数学（单利/复利/连续复利）是通用金融原语，已抽到
|
||||
/// <see cref="InterestRate"/>（<c>YLErp.Core.Interest</c>，与互换无关，谁都能用）。
|
||||
/// 本类只负责 TRS 特有的<b>会计态</b>：每日先舍入再乘天数的对账口径、平仓缩放、
|
||||
/// 跨日滚动本金、预付金/授信模式——这些不是"利率数学"，不应塞进通用原语。</para>
|
||||
///
|
||||
/// <para>设计约束：
|
||||
/// 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；
|
||||
/// 2. 同 input → 同 output，结果仅通过返回值流出；
|
||||
/// 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；
|
||||
/// 4. 调用方负责「取利率 + 构造日期区间 + 落库」，本类只算账。
|
||||
/// 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。</para>
|
||||
///
|
||||
/// <para>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
|
||||
/// floateRate 单一入参），<b>不存在</b> IRS 那种 fixedRate − floatingRate 轧差；
|
||||
/// 权益腿盈亏与平仓费用属三腿汇总层，不在本类职责内。</para>
|
||||
///
|
||||
/// <para>TRS 的"复利"是<b>离散重置日复利</b>：按重置日切段，每段用 <see cref="InterestRate.Simple"/>
|
||||
/// 计息、段末把利息滚入本金——本质就是单利按段叠加，decimal 精度无损，无需 Pow/Exp
|
||||
/// （见 <see cref="AccrueCompoundInArrears"/>）。所以本类不另立复利方法，计息只有一种，区别在于"是否滚动本金"。</para>
|
||||
///
|
||||
/// 为何不复用 Qdp 的 IDayCount：
|
||||
/// 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；
|
||||
/// b. 精度——Qdp 返回 double 年化系数，本系统 decimal 且日息先 Round 再乘天数，
|
||||
/// Round(P*r/365, 11) * n ≠ P*r*(n/365)，与 Excel 对账口径不同；
|
||||
/// 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。
|
||||
/// </summary>
|
||||
public static class SwapInterest
|
||||
{
|
||||
/// <summary>系统统一价格精度位数（保证金腿）。</summary>
|
||||
public const int Precision = 11;
|
||||
|
||||
/// <summary>资金腿计息精度（生产口径）。资金腿所有落库/对账均以 12 位为准，
|
||||
/// 与保证金腿的 Precision=11 不同。提升至公共常量，消除 SwapDealService 与 FundingLegAccrual 的重复定义。</summary>
|
||||
public const int FundingLegPrecision = 12;
|
||||
|
||||
/// <summary>年化天数常量（合约字段存的是 int，故不用 enum）。</summary>
|
||||
public const int Act365 = 365;
|
||||
|
||||
public const int Act360 = 360;
|
||||
|
||||
/// <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>
|
||||
public static int AccrualDays(DateTime startDate, DateTime endDate, AccrualBoundary boundary)
|
||||
{
|
||||
var s = boundary.IncludeStart ? startDate : startDate.AddDays(1);
|
||||
var e = boundary.IncludeEnd ? endDate : endDate.AddDays(-1);
|
||||
var days = (int)(e - s).TotalDays + 1; // 含两端
|
||||
return days < 0 ? 0 : days;
|
||||
}
|
||||
|
||||
/// <summary>把 TRS 年化利率收敛为通用利率原语。
|
||||
/// TRS 计息按段均为单利——离散重置日复利靠"段末把利息滚入本金"实现，不引入 Compounded 闭式。</summary>
|
||||
public static InterestRate ToInterestRate(decimal annualRate)
|
||||
=> new(annualRate, Compounding.Simple);
|
||||
|
||||
/// <summary>单利：计息基数固定，每日利息相同，无逐日循环。</summary>
|
||||
public static InterestResult AccrueSimple(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
decimal rate,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary)
|
||||
{
|
||||
var days = AccrualDays(startDate, endDate, boundary);
|
||||
var daily = Round(principal * rate / ctx.AnnualDays, ctx.Precision);
|
||||
return new InterestResult(Round(daily * days, ctx.Precision), daily);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 离散重置日<b>复利（compounded-in-arrears）</b>：按重置日切段，段间把累计利息并入计息基数（滚动本金）。
|
||||
/// 每段计息即 <see cref="ToInterestRate"/> 得到的 <see cref="InterestRate.Simple"/>（无逐日循环）；
|
||||
/// 重置日是唯一并本金的地方。复利与单利只有"是否滚动本金"这一个区别。
|
||||
///
|
||||
/// <para>此模型即 OIS / SOFR / FR007 的 <b>compounded-in-arrears</b>：每个子区间取一次定盘 rᵢ、增长因子
|
||||
/// 1 + rᵢ·yfᵢ，段末把 accrued 折进下一期本金——比闭式 <see cref="InterestRate.Compounding.Compounded"/>
|
||||
/// 更贴合 FR007 约定且 decimal 无损。<b>注意：它<b>不是</b> InterestRate 的 Compounded 闭式分支（TRS 下该分支为死路径）。</para>
|
||||
///
|
||||
/// <para>每段可有<b>独立利率</b>（FR007 浮动逐段不同），由适配器按段取定盘后封装为
|
||||
/// <paramref name="resetSchedule"/> 传入——取价永远在编排层，原语只吃一个数（与 QuantLib/Strata 同范）。
|
||||
/// <paramref name="resetSchedule"/> 必须含一条 <c>ResetDate ≤ startDate</c> 的起始利率。</para>
|
||||
///
|
||||
/// <para>trace：经 <see cref="AccrualContext.Trace"/> 发射 Start / ResetBefore·ResetAfter(利率切换时) /
|
||||
/// Rollover(段末并本金) / End，完整记录"重置日前后、利率切换、本金增加前后"。纯函数保持无日志依赖。</para>
|
||||
/// </summary>
|
||||
/// <param name="resetSchedule">重置日 → 该段生效利率（段起点 = 重置日）。</param>
|
||||
public static InterestResult AccrueCompoundInArrears(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
IReadOnlyList<(DateTime ResetDate, decimal Rate)> resetSchedule,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary)
|
||||
{
|
||||
var trace = ctx.Trace;
|
||||
trace?.MarkStart(startDate, endDate, boundary, ctx.AnnualDays, annualized: false);
|
||||
|
||||
var basis = principal;
|
||||
decimal accrued = 0m, accruedToday = 0m;
|
||||
|
||||
var segEnds = (resetSchedule ?? Array.Empty<(DateTime, decimal)>())
|
||||
.Select(s => s.ResetDate)
|
||||
.Where(d => d > startDate && d < endDate)
|
||||
.OrderBy(d => d)
|
||||
.Append(endDate)
|
||||
.ToArray();
|
||||
|
||||
// 段起点生效利率：取"不晚于该段起点"的最近一次重置利率。
|
||||
decimal RateAt(DateTime segStart)
|
||||
=> (resetSchedule ?? Array.Empty<(DateTime, decimal)>())
|
||||
.Where(s => s.ResetDate <= segStart)
|
||||
.OrderByDescending(s => s.ResetDate)
|
||||
.Select(s => s.Rate)
|
||||
.FirstOrDefault();
|
||||
|
||||
var segStart = startDate;
|
||||
var segIncludeStart = boundary.IncludeStart;
|
||||
var prevRate = RateAt(startDate);
|
||||
|
||||
foreach (var segEnd in segEnds)
|
||||
{
|
||||
var segRate = RateAt(segStart);
|
||||
var rateSwitched = segStart != startDate && segRate != prevRate;
|
||||
if (rateSwitched) trace?.ResetBefore(segStart, prevRate, basis);
|
||||
|
||||
var segBoundary = AccrualBoundary.Of(segIncludeStart, segEnd == endDate && boundary.IncludeEnd);
|
||||
var seg = AccrueSimple(ctx, basis, segRate, segStart, segEnd, segBoundary);
|
||||
|
||||
accrued += seg.Accrued;
|
||||
accruedToday = seg.AccruedToday;
|
||||
var newBasis = basis + seg.Accrued; // 仅在重置日并本金
|
||||
// 重置日本身不动本金：RESET↑ 的本金应是"重置边界基数"(basis)，与 RESET↓ 一致；
|
||||
// 段末并本金后的 newBasis 由下方的 ROLLOVER 单独表达，避免重复/误导。
|
||||
if (rateSwitched) trace?.ResetAfter(segStart, segRate, basis);
|
||||
|
||||
trace?.Rollover(segEnd, seg.Accrued, newBasis);
|
||||
basis = newBasis;
|
||||
prevRate = segRate;
|
||||
segStart = segEnd;
|
||||
segIncludeStart = false; // 后续段不算头
|
||||
}
|
||||
|
||||
var result = new InterestResult(accrued, accruedToday);
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 固定利率复利便捷重载（每段同一 rate），向后兼容旧调用方。
|
||||
/// 内部把 resetDates 展平为"每段同率"的 schedule 后委托主方法。
|
||||
/// </summary>
|
||||
public static InterestResult AccrueCompoundInArrears(
|
||||
AccrualContext ctx,
|
||||
decimal principal,
|
||||
decimal rate,
|
||||
DateTime startDate,
|
||||
DateTime endDate,
|
||||
AccrualBoundary boundary,
|
||||
IReadOnlyList<DateTime>? resetDates = null)
|
||||
{
|
||||
var schedule = new List<(DateTime, decimal)> { (startDate, rate) };
|
||||
if (resetDates != null)
|
||||
foreach (var d in resetDates)
|
||||
if (d > startDate && d < endDate)
|
||||
schedule.Add((d, rate));
|
||||
return AccrueCompoundInArrears(ctx, principal, schedule, startDate, endDate, boundary);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 平仓（Unwind）缩放——全仓唯一缩放点，物理上杜绝 unwindPercent 被重复相乘。
|
||||
/// 全平即 unwindPercent = 1，不另设方法。
|
||||
///
|
||||
/// 已实现 / 未实现边界：传入的 <paramref name="accrued"/> 是平仓前仍「未实现（unrealized）」的
|
||||
/// 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）」
|
||||
/// 的 <paramref name="realizedInterest"/>。被平仓比例 unwindPercent 对应的那一份 accrued，
|
||||
/// 即在此刻「实现（realized）」，由调用方记入 realizedInterest。
|
||||
/// </summary>
|
||||
/// <param name="accrued">平仓前累计应计利息（未实现）。</param>
|
||||
/// <param name="unwindPercent">
|
||||
/// 平仓比例（0~1，实为 ratio 非百分数）。
|
||||
/// 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——
|
||||
/// 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。
|
||||
/// </param>
|
||||
/// <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>
|
||||
/// <param name="precision">舍入精度。⚠️ 默认 11（Precision），资金腿务必显式传 <see cref="FundingLegPrecision"/>=12。</param>
|
||||
public static InterestResult ApplyUnwind(
|
||||
InterestResult accrued,
|
||||
decimal unwindPercent,
|
||||
decimal realizedInterest = 0m,
|
||||
int precision = Precision)
|
||||
{
|
||||
var remaining = 1m - unwindPercent;
|
||||
return new InterestResult(
|
||||
Round(accrued.Accrued * remaining - realizedInterest, precision),
|
||||
Round(accrued.AccruedToday * remaining, precision));
|
||||
}
|
||||
|
||||
/// <summary>待实现收益余额滚动（预付金 / 授信模式）。</summary>
|
||||
/// <param name="openingUnrealized">上期待实现收益余额。</param>
|
||||
/// <param name="todayIncome">本期新增。</param>
|
||||
/// <param name="unwindDeduction">本期 unwind 应扣减（即本期实现的份额）。</param>
|
||||
public static decimal AccrueUnrealized(
|
||||
decimal openingUnrealized,
|
||||
decimal todayIncome,
|
||||
decimal unwindDeduction,
|
||||
int precision = Precision)
|
||||
=> Round(openingUnrealized + todayIncome - unwindDeduction, precision);
|
||||
|
||||
/// <summary>统一舍入：MidpointRounding.AwayFromZero。所有计息路径收口到此处，避免散落的 Math.Round 不一致。</summary>
|
||||
public static decimal Round(decimal value, int precision)
|
||||
=> Math.Round(value, precision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
@@ -0,0 +1,133 @@
|
||||
using YLErp.Model;
|
||||
|
||||
namespace YLErp.Modules.ClientModule.Tests
|
||||
{
|
||||
[TestClass]
|
||||
public class ClientBlackApprovalPolicyTests
|
||||
{
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.未提交, false)]
|
||||
[DataRow(client_black.新增审批中, false)]
|
||||
[DataRow(client_black.新增已拒绝, false)]
|
||||
[DataRow(client_black.已加入, true)]
|
||||
[DataRow(client_black.删除审批中, true)]
|
||||
[DataRow(client_black.删除已拒绝, true)]
|
||||
public void IsEffective_OnlyAppliedOrPendingRemovalStatesAreEffective(string state, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.IsEffective(state));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.未提交, true)]
|
||||
[DataRow(client_black.新增已拒绝, true)]
|
||||
[DataRow(client_black.新增审批中, false)]
|
||||
[DataRow(client_black.已加入, false)]
|
||||
[DataRow(client_black.删除审批中, false)]
|
||||
[DataRow(client_black.删除已拒绝, false)]
|
||||
public void CanSubmitAddition_OnlyDraftOrRejectedAdditionCanSubmit(string state, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.CanSubmitAddition(state));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.已加入, true)]
|
||||
[DataRow(client_black.删除已拒绝, true)]
|
||||
[DataRow(client_black.未提交, false)]
|
||||
[DataRow(client_black.新增审批中, false)]
|
||||
[DataRow(client_black.新增已拒绝, false)]
|
||||
[DataRow(client_black.删除审批中, false)]
|
||||
public void CanRequestRemoval_OnlyEffectiveNonPendingRemovalStatesCanRequest(string state, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.CanRequestRemoval(state));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.未提交, true)]
|
||||
[DataRow(client_black.新增已拒绝, true)]
|
||||
[DataRow(client_black.新增审批中, false)]
|
||||
[DataRow(client_black.已加入, false)]
|
||||
[DataRow(client_black.删除审批中, false)]
|
||||
[DataRow(client_black.删除已拒绝, false)]
|
||||
public void CanDeleteDraft_OnlyNeverEffectiveStatesCanDeleteDirectly(string state, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.CanDeleteDraft(state));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.新增审批中, 1, true)]
|
||||
[DataRow(client_black.删除审批中, 1, true)]
|
||||
[DataRow(client_black.新增审批中, 2, false)]
|
||||
[DataRow(client_black.删除审批中, 2, false)]
|
||||
[DataRow(client_black.未提交, 0, false)]
|
||||
public void CanWithdraw_OnlyFirstApprovalNodeCanWithdraw(string state, int approvalProcess, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.CanWithdraw(state, approvalProcess));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.新增审批中, client_black.新增已拒绝)]
|
||||
[DataRow(client_black.删除审批中, client_black.删除已拒绝)]
|
||||
public void RejectedState_DistinguishesAdditionAndRemoval(string state, string expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.GetRejectedState(state));
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.新增审批中, client_black.未提交, 0)]
|
||||
[DataRow(client_black.删除审批中, client_black.已加入, -2)]
|
||||
public void WithdrawState_RestoresStateBeforeSubmission(string state, string expectedState, int expectedProcess)
|
||||
{
|
||||
var result = ClientBlackApprovalPolicy.GetWithdrawResult(state);
|
||||
|
||||
Assert.AreEqual(expectedState, result.State);
|
||||
Assert.AreEqual(expectedProcess, result.ApprovalProcess);
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.新增审批中, client_black.已加入, false)]
|
||||
[DataRow(client_black.删除审批中, null, true)]
|
||||
public void GetFinalResult_AdditionAppliesAndRemovalDeletes(string state, string expectedState, bool expectedDelete)
|
||||
{
|
||||
var result = ClientBlackApprovalPolicy.GetFinalResult(state);
|
||||
|
||||
Assert.AreEqual(expectedState, result.State);
|
||||
Assert.AreEqual(expectedDelete, result.ShouldDelete);
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(false, client_black.已加入, -2, true)]
|
||||
[DataRow(true, client_black.未提交, 0, false)]
|
||||
public void GetAdditionResult_OnlyEffectiveWithoutApprovalProcess(bool hasApprovalProcess, string expectedState, int expectedProcess, bool expectedEffective)
|
||||
{
|
||||
var result = ClientBlackApprovalPolicy.GetAdditionResult(hasApprovalProcess);
|
||||
|
||||
Assert.AreEqual(expectedState, result.State);
|
||||
Assert.AreEqual(expectedProcess, result.ApprovalProcess);
|
||||
Assert.AreEqual(expectedEffective, result.IsEffective);
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(false, client_black.已加入, -2, true)]
|
||||
[DataRow(true, client_black.删除审批中, 1, false)]
|
||||
public void GetRemovalResult_OnlyDeletesImmediatelyWithoutApprovalProcess(bool hasApprovalProcess, string expectedState, int expectedProcess, bool expectedDelete)
|
||||
{
|
||||
var result = ClientBlackApprovalPolicy.GetRemovalResult(hasApprovalProcess);
|
||||
|
||||
Assert.AreEqual(expectedState, result.State);
|
||||
Assert.AreEqual(expectedProcess, result.ApprovalProcess);
|
||||
Assert.AreEqual(expectedDelete, result.ShouldDelete);
|
||||
}
|
||||
|
||||
[DataTestMethod]
|
||||
[DataRow(client_black.未提交, true)]
|
||||
[DataRow(client_black.新增已拒绝, true)]
|
||||
[DataRow(client_black.新增审批中, false)]
|
||||
[DataRow(client_black.删除审批中, false)]
|
||||
[DataRow(client_black.已加入, true)]
|
||||
[DataRow(client_black.删除已拒绝, true)]
|
||||
public void CanReplaceRemarks_ApprovalPendingRowsCannotBeOverwritten(string state, bool expected)
|
||||
{
|
||||
Assert.AreEqual(expected, ClientBlackApprovalPolicy.CanReplaceRemarks(state));
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,137 @@
|
||||
using YLErp.Modules.DataProviderModule;
|
||||
|
||||
namespace YLErp.Modules.DataProviderModule
|
||||
{
|
||||
/// <summary>
|
||||
/// Fr007FixingCache 快照缓存行为契约（纯内存，不连库；Loader/时钟均为注入接缝）：
|
||||
/// ① 首次访问批量预载、命中 O(1)；② miss 不进快照（负缓存防线——当日发布前 miss、发布后须能查到）；
|
||||
/// ③ 写侧版本失效：Invalidate 后立即重载取到新值（不等 TTL）；④ TTL 过期自动重载（直改库兜底）；
|
||||
/// ⑤ TTL 窗口内无写入不重载（零查询稳态）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class Fr007FixingCacheTest
|
||||
{
|
||||
private static readonly DateTime D1 = new(2026, 7, 6);
|
||||
private static readonly DateTime D2 = new(2026, 7, 13);
|
||||
private int _loadCount;
|
||||
private Dictionary<DateTime, double> _market;
|
||||
|
||||
[TestInitialize]
|
||||
public void Init()
|
||||
{
|
||||
_loadCount = 0;
|
||||
_market = new Dictionary<DateTime, double> { [D1] = 0.0142, [D2] = 0.01425 };
|
||||
Fr007FixingCache.ResetForTest();
|
||||
Fr007FixingCache.LoadSnapshot = () => { _loadCount++; return new Dictionary<DateTime, double>(_market); };
|
||||
}
|
||||
|
||||
[TestCleanup]
|
||||
public void Cleanup() => Fr007FixingCache.ResetForTest();
|
||||
|
||||
private static void AdvanceClock(long ticks) => Fr007FixingCache.NowTicks = () => ticks;
|
||||
|
||||
[TestMethod]
|
||||
public void 首次访问预载并命中()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D1, out var p1), "预载后历史定盘应命中");
|
||||
Assert.AreEqual(0.0142, p1, 1e-12);
|
||||
Assert.AreEqual(1, _loadCount, "首次访问恰好装载一次");
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D2, out var p2), "同快照内多次命中");
|
||||
Assert.AreEqual(0.01425, p2, 1e-12);
|
||||
Assert.AreEqual(1, _loadCount, "命中不应重复装载");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void miss不进快照_当日新发布经直查兜底后TTL内可见()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
var today = new DateTime(2026, 8, 18);
|
||||
Assert.IsFalse(Fr007FixingCache.TryGet(today, out _), "快照无该行应 miss（调用方直查库兜底）");
|
||||
Assert.AreEqual(1, _loadCount);
|
||||
|
||||
// 直查库发现了新发布的当日行 → 写侧失效（SwapFlowService 场景）→ 重载后可见
|
||||
_market[today] = 0.0143;
|
||||
Fr007FixingCache.Invalidate();
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(today, out var p), "写侧失效重载后当日行应可见");
|
||||
Assert.AreEqual(0.0143, p, 1e-12);
|
||||
Assert.AreEqual(2, _loadCount);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 写侧失效立即重载取到修正值_不等TTL()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
Fr007FixingCache.TryGet(D1, out _);
|
||||
Assert.AreEqual(1, _loadCount);
|
||||
|
||||
_market[D1] = 0.0150; // 界面修正错价
|
||||
Fr007FixingCache.Invalidate();
|
||||
|
||||
// 时钟只走了 1 tick（远小于 TTL），仍必须重载
|
||||
Fr007FixingCache.NowTicks = () => 1_000_001L;
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D1, out var p), "修正后仍应命中");
|
||||
Assert.AreEqual(0.0150, p, 1e-12, "TTL 未到也必须看到写侧修正值");
|
||||
Assert.AreEqual(2, _loadCount, "版本失效应立即触发重载");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void TTL过期自动重载_直改库兜底()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
Fr007FixingCache.TryGet(D1, out _);
|
||||
Assert.AreEqual(1, _loadCount);
|
||||
|
||||
_market[D1] = 0.0160; // 直改库（无 Invalidate）
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L + TimeSpan.FromMinutes(1).Ticks + 1; // TTL+1 tick
|
||||
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D1, out var p));
|
||||
Assert.AreEqual(0.0160, p, 1e-12, "TTL 过期后应重载并看到直改库的新值");
|
||||
Assert.AreEqual(2, _loadCount);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void TTL窗口内无写入零重载()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
Fr007FixingCache.TryGet(D1, out _);
|
||||
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L + TimeSpan.FromMinutes(1).Ticks - 1; // TTL-1 tick：稳态窗口
|
||||
for (int i = 0; i < 10; i++) Fr007FixingCache.TryGet(D1, out _);
|
||||
|
||||
Assert.AreEqual(1, _loadCount, "稳态窗口内多次读取零重载（零查询）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void TTL过期重载失败_保留旧快照不抛_且窗口内不重试()
|
||||
{
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D1, out _), "先成功装载一次");
|
||||
Assert.AreEqual(1, _loadCount);
|
||||
|
||||
Fr007FixingCache.LoadSnapshot = () => { _loadCount++; throw new InvalidOperationException("db down"); };
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L + TimeSpan.FromMinutes(1).Ticks + 1; // TTL 过期 → 触发重载 → 失败
|
||||
|
||||
// 不抛：历史定盘不可变，命中继续走旧快照（异常会直接 fail 本用例）
|
||||
Assert.IsTrue(Fr007FixingCache.TryGet(D1, out var p), "重载失败应保留旧快照继续命中");
|
||||
Assert.AreEqual(0.0142, p, 1e-12, "旧快照值不变");
|
||||
Assert.AreEqual(2, _loadCount, "失败的重载尝试恰好一次");
|
||||
|
||||
Fr007FixingCache.TryGet(D2, out _); // TTL 时钟已被重置：窗口内不再重试（防重试风暴）
|
||||
Assert.AreEqual(2, _loadCount, "失败后TTL窗口内不得反复重试全表SELECT");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 首次装载失败_miss不抛_窗口内不重试()
|
||||
{
|
||||
Fr007FixingCache.LoadSnapshot = () => { _loadCount++; throw new InvalidOperationException("db down"); };
|
||||
Fr007FixingCache.NowTicks = () => 1_000_000L;
|
||||
|
||||
Assert.IsFalse(Fr007FixingCache.TryGet(D1, out _), "装载失败=空快照miss（调用方直查库兜底，新数据该响仍响）");
|
||||
Assert.AreEqual(1, _loadCount);
|
||||
|
||||
Fr007FixingCache.TryGet(D1, out _);
|
||||
Assert.AreEqual(1, _loadCount, "失败后TTL窗口内不重试");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,33 @@
|
||||
namespace YLErp.Modules
|
||||
{
|
||||
/// <summary>
|
||||
/// DbDiagnose 用例自守卫：真实探测一次测试库可达性并缓存结论（整个测试进程共享）。
|
||||
/// 不可达 → Assert.Inconclusive：裸跑全量不再出假红，且多个用例只付一次连接超时。
|
||||
/// 原先各用例把 try 挂在 GetYLDbContext() 上是无效守卫——EF context 构造不连库，
|
||||
/// Connect Timeout 发生在首个查询执行时，守卫永远打不中。
|
||||
/// </summary>
|
||||
public static class DbDiagnoseGuard
|
||||
{
|
||||
private static int _state; // 0=未探测 1=可达 2=不可达
|
||||
|
||||
public static void RequireTestDb()
|
||||
{
|
||||
var state = Volatile.Read(ref _state);
|
||||
if (state == 1) return;
|
||||
if (state == 2) Assert.Inconclusive("测试库不可达（结论已缓存），跳过 DbDiagnose 用例");
|
||||
|
||||
try
|
||||
{
|
||||
using var db = DbContextFactory.GetYLDbContext();
|
||||
if (!db.Database.CanConnect())
|
||||
throw new InvalidOperationException("CanConnect=false");
|
||||
Volatile.Write(ref _state, 1);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
Volatile.Write(ref _state, 2);
|
||||
Assert.Inconclusive($"无法连接测试库，跳过 DbDiagnose 用例：{ex.Message}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -31,6 +31,7 @@ namespace YLErp.Modules.EodModule
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Diagnose_FR007_UnderlyingIdMismatch()
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -164,6 +165,7 @@ namespace YLErp.Modules.EodModule
|
||||
public void Diagnose_Trade_FR007_ResetDays()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -256,6 +258,7 @@ namespace YLErp.Modules.EodModule
|
||||
public void Diagnose_EOD_vs_Unwind_Compound_DailyCompare()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -367,6 +370,7 @@ namespace YLErp.Modules.EodModule
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
const long CompoundPositionId = 38122;
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -431,6 +435,7 @@ namespace YLErp.Modules.EodModule
|
||||
public void Diagnose_Trade_804_ResetDay_FloatRate_Trace()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -528,6 +533,7 @@ namespace YLErp.Modules.EodModule
|
||||
public void Diagnose_Trade_AllLegs_And_EodMapping()
|
||||
{
|
||||
const string TradeNumber = "GLMS-JIATT-20260805-FICC-01-2180120IB";
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
|
||||
@@ -0,0 +1,107 @@
|
||||
using Newtonsoft.Json;
|
||||
using YLErp;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6977 carryInInterest 契约测试：
|
||||
/// 1) 默认 0 与旧逐日循环逐位一致（加参零行为变化的安全证明）；
|
||||
/// 2) carry-in 仅在【首个重置日】并入计息基数（非窗口首日起息）——
|
||||
/// 与"持有至到期"全期轨迹对齐的数学不变量：增量 = carryIn × 后续段日利率 × 后续段天数。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class CompoundCarryInTest
|
||||
{
|
||||
private const decimal Notional = 100_000_000m;
|
||||
private const decimal Spread = 0.0025m;
|
||||
private const int AnnualDays = 365;
|
||||
private static readonly DateTime StartDate = new(2026, 4, 21);
|
||||
private static readonly DateTime EndDate = new(2026, 5, 11); // 21天 = 3×7，末日是重置日
|
||||
|
||||
private static swap_position CreatePosition()
|
||||
{
|
||||
return new swap_position
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PosiDirection = 0,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = Spread,
|
||||
InterestPrincipalFix = Notional,
|
||||
PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
|
||||
IsInitial = true, Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = null,
|
||||
InterestSwapInterval = "[]"
|
||||
};
|
||||
}
|
||||
|
||||
private static List<(DateTime, decimal)> Segments()
|
||||
=> new()
|
||||
{
|
||||
(StartDate, Spread),
|
||||
(StartDate.AddDays(7), Spread),
|
||||
(StartDate.AddDays(14), Spread),
|
||||
};
|
||||
|
||||
private sealed class StubSvc : SwapDealService
|
||||
{
|
||||
public StubSvc() : base(new OptUserInfo(0, nameof(CompoundCarryInTest), OptUserFrom.UnitTest)) { }
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void carryIn_默认省略_与旧逐日循环一致()
|
||||
{
|
||||
var position = CreatePosition();
|
||||
var flowEvent = new swap_flow_event { InterestRate = Spread };
|
||||
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
new StubSvc().CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, 0m, 1m, true, false, ref oldI, ref oldTd);
|
||||
|
||||
// 省略 carryInInterest（默认 0）
|
||||
var r1 = CompoundInterestAccrual.AccruePeriod(
|
||||
notional: Notional, segmentRates: Segments(),
|
||||
startDate: StartDate, endDate: EndDate,
|
||||
boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _);
|
||||
// 显式传 0 与省略等价
|
||||
var r2 = CompoundInterestAccrual.AccruePeriod(
|
||||
notional: Notional, segmentRates: Segments(),
|
||||
startDate: StartDate, endDate: EndDate,
|
||||
boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _, trace: null, carryInInterest: 0m);
|
||||
|
||||
Assert.AreEqual((double)oldI, (double)r1.Accrued, 0.0000001, "省略 carryIn 与旧实现一致");
|
||||
Assert.AreEqual((double)r1.Accrued, (double)r2.Accrued, 0.0000001, "省略与显式0一致");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void carryIn_仅在首重置日起息_增量等于后续两段复利()
|
||||
{
|
||||
const decimal carryIn = 1_000_000m;
|
||||
|
||||
decimal Accrued(decimal c)
|
||||
=> CompoundInterestAccrual.AccruePeriod(
|
||||
notional: Notional, segmentRates: Segments(),
|
||||
startDate: StartDate, endDate: EndDate,
|
||||
boundary: AccrualBoundary.Both, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _, trace: null, carryInInterest: c).Accrued;
|
||||
|
||||
var delta = Accrued(carryIn) - Accrued(0m);
|
||||
|
||||
// Both 边界下三段各 7 天。carryIn 于 4/28（首个重置日）并入基数：
|
||||
// 首段 [4/21,4/28] 不含 carryIn；其后两段 carryIn 自身起息且其首段利息再复利。
|
||||
// 精确增量 = c×d + (c + c×d)×d = c×(2d + d²) = c×((1+d)² − 1)，d = 7天利率因子。
|
||||
var d = Spread * 7m / AnnualDays;
|
||||
var expected = carryIn * (2m * d + d * d);
|
||||
Assert.AreEqual((double)expected, (double)delta, 0.001,
|
||||
"carryIn 增量 = 首个重置日起息的两段复利，首段不含 carryIn");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -7,8 +7,6 @@ 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
|
||||
{
|
||||
@@ -92,7 +90,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldInterest = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailyCompoundInterestByEod(preEod, EodDate, TradeDate, position,
|
||||
Notional, Notional, flowEvent, AnnualDays, false, 0m, 1m,
|
||||
Notional, Notional, flowEvent, AnnualDays, 0m, 1m,
|
||||
ref oldInterest, ref oldTd);
|
||||
|
||||
// 新方法
|
||||
@@ -125,7 +123,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldInterest = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailyCompoundInterestByEod(preEod, nonResetDate, TradeDate, position,
|
||||
Notional, Notional, flowEvent, AnnualDays, false, 0m, 1m,
|
||||
Notional, Notional, flowEvent, AnnualDays, 0m, 1m,
|
||||
ref oldInterest, ref oldTd);
|
||||
|
||||
// 新方法
|
||||
|
||||
@@ -1,6 +1,5 @@
|
||||
using Newtonsoft.Json;
|
||||
using YLErp;
|
||||
using YLErp.Derivatives.Interest;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
@@ -74,7 +73,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, false, 0m, 1m, true, false,
|
||||
AnnualDays, 0m, 1m, true, false,
|
||||
ref oldI, ref oldTd);
|
||||
|
||||
// 新方法：固定利率全段相同，分段点 = PosiStartDate + k×7
|
||||
@@ -122,7 +121,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailyCompoundInterest(EndDate, position, Notional * closePct, flowEvent,
|
||||
AnnualDays, false, 0m, closePct, true, false,
|
||||
AnnualDays, 0m, closePct, true, false,
|
||||
ref oldI, ref oldTd, consumedInterest: consumed, resetCarryInterest: carry);
|
||||
|
||||
// 新方法
|
||||
@@ -166,7 +165,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, false, 0m, 1m, true, true,
|
||||
AnnualDays, 0m, 1m, true, true,
|
||||
ref oldI, ref oldTd);
|
||||
|
||||
// 新方法
|
||||
|
||||
@@ -0,0 +1,72 @@
|
||||
namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
{
|
||||
/// <summary>
|
||||
/// 契约参考实现（确认书公式，TEST-MATRIX §8a）——全矩阵统一 oracle 供给。
|
||||
///
|
||||
/// 【独立性约束·勿破坏】本类只实现确认书公式原文，禁止引用任何生产计息引擎类
|
||||
/// （YLErp.Modules.SwapModule.Accrual.* / SwapDealService），否则 oracle 与被测对象同源，
|
||||
/// 失去"独立参考"资格（oracle 分级第一级，见 TEST-MATRIX §7.4）。
|
||||
///
|
||||
/// 确认书公式（国联民生收益互换确认书-现券/ETF 四份一致）：
|
||||
/// 参考利率(绝对) = ∏[i=1..k] ( 1 + (FR007i + 利差) × di / 365 ) − 1
|
||||
/// 结息额(平仓部分) = 实际平掉额 × 参考利率(绝对)
|
||||
/// - k = 计息期包含的重置期个数；完整重置期 di = 重置频率(生产 7 天)，末段不足按实际日历日
|
||||
/// - 重置期自计息期首日按重置频率依次推算；首个重置期始于计息期首日；末段收口到计息期最后一日
|
||||
/// - 利率确定日 = 每个重置期首日(重置日)的上一个营业日，取该日 FR007
|
||||
/// - 计息期 = 自起始日(含)至到期日(不含)——即算头不算尾 "10"（生产主力条款）
|
||||
/// - 计息基准 A/365
|
||||
///
|
||||
/// 营业日准则：本参考实现按周末近似（周六/周日非营业日）；法定节假日历由调用方通过
|
||||
/// 取价委托自行吸收（如按确定日提供同一利率）。测试与生产参数对齐（§8）：重置 7 天 / 365。
|
||||
/// </summary>
|
||||
public static class ContractReferenceCalc
|
||||
{
|
||||
/// <summary>
|
||||
/// 参考利率(绝对) = ∏(1 + (FR007i+利差)×di/annualDays) − 1。
|
||||
/// </summary>
|
||||
/// <param name="startDate">计息期首日（含）</param>
|
||||
/// <param name="endDate">计息期末日（"10"不含/"11"含，由 calcLast 决定）</param>
|
||||
/// <param name="resetDays">重置频率天数（生产 7）</param>
|
||||
/// <param name="spread">利差（InterestRateDefault，如 +0.25% = 0.0025）</param>
|
||||
/// <param name="fixing">取价委托：入参=利率确定日(重置日上一营业日)，返回该日 FR007</param>
|
||||
/// <param name="calcFirst">算头（生产 "10"/"11" 为 true）</param>
|
||||
/// <param name="calcLast">算尾（生产 "10" 为 false）</param>
|
||||
/// <param name="annualDays">计息基准（生产 365）</param>
|
||||
public static decimal ReferenceRateAbsolute(
|
||||
DateTime startDate, DateTime endDate,
|
||||
int resetDays, decimal spread,
|
||||
Func<DateTime, decimal> fixing,
|
||||
bool calcFirst = true, bool calcLast = false,
|
||||
int annualDays = 365)
|
||||
{
|
||||
var totalDays = (endDate - startDate).Days + (calcFirst ? 0 : -1) + (calcLast ? 1 : 0);
|
||||
if (totalDays <= 0) return 0m;
|
||||
|
||||
decimal factor = 1m;
|
||||
var resetDate = startDate; // 首个重置期始于计息期首日
|
||||
var remaining = totalDays;
|
||||
while (remaining > 0)
|
||||
{
|
||||
var di = Math.Min(resetDays, remaining); // 完整期 di=resetDays，末段按实际日历日
|
||||
var fixingDate = PreviousBusinessDay(resetDate);
|
||||
var allIn = fixing(fixingDate) + spread;
|
||||
factor *= 1m + allIn * di / annualDays;
|
||||
remaining -= di;
|
||||
resetDate = resetDate.AddDays(di);
|
||||
}
|
||||
return factor - 1m;
|
||||
}
|
||||
|
||||
/// <summary>结息额（平仓部分）= 实际平掉额 × 参考利率(绝对)。</summary>
|
||||
public static decimal ClosedInterest(decimal closedNotional, decimal referenceRate)
|
||||
=> closedNotional * referenceRate;
|
||||
|
||||
/// <summary>利率确定日 = 重置日的上一营业日（周末近似）。</summary>
|
||||
public static DateTime PreviousBusinessDay(DateTime date)
|
||||
{
|
||||
do { date = date.AddDays(-1); }
|
||||
while (date.DayOfWeek is DayOfWeek.Saturday or DayOfWeek.Sunday);
|
||||
return date;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,196 @@
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using Newtonsoft.Json;
|
||||
using YLErp;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
{
|
||||
/// <summary>
|
||||
/// 契约参考实现 oracle 落地（TEST-MATRIX §7 第 5 步）——两段式：
|
||||
///
|
||||
/// ① oracle 自验证：手算锚点直接钉 ContractReferenceCalc（独立于生产引擎，公式正确性
|
||||
/// 由手算锚点保证——真实规模 5000 万/2.05%/90 天 与玩具 4 天。Excel 金标准期望值亦符合本公式(2026-08-18 复核)。
|
||||
/// ② 引擎对照：主力族（mode9 标的期初全价 / mode2 合约名义本金规模 × FR007 × 复利 × "10"）
|
||||
/// 盘中 T+0 部分平仓 30%，GetInterests 重放结果 必须 == 契约 oracle（容差 0.01 元，§7.4）。
|
||||
/// 这是本矩阵第一个"契约公式独立参考实现"级 oracle 的引擎对照用例（此前仅有 Excel 手算/工单值）。
|
||||
///
|
||||
/// 引擎对照用恒定 FR007 利率表——刻意免疫"利率确定日=重置日上一营业日 vs 当日"的取价日
|
||||
/// 约定差异（任何确定日取到的都是同一利率），单独验证 ∏ 公式/重置期切分/算头不算尾/末段收口；
|
||||
/// 取价日维度（E 维，66a97e03）由变利率用例在 oracle 侧钉住（§①第 4 例），引擎侧后续补。
|
||||
///
|
||||
/// 坐标登记：mode9/mode2 × 复利 × "10" × T+0 × 部分平仓30% × B=跨12个完整重置期+末段 × E=恒定利率。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class ContractReferenceOracleTest
|
||||
{
|
||||
// ── 生产参数（TEST-MATRIX §8：7 天重置 / A365 / 真实点差 +0.25% / 千万级名义）──
|
||||
private const decimal Spread = 0.0025m; // 点差 +0.25%（确认书真实点差）
|
||||
private const decimal Fr007 = 0.018m; // FR007 示意水平 1.8% → all-in 2.05%
|
||||
private const int ResetDays = 7;
|
||||
private const int AnnualDaysConst = 365;
|
||||
private const decimal Notional = 50_000_000m; // 名义 5000 万
|
||||
private const decimal ClosedNotional = 15_000_000m; // 平掉 30% = 1500 万
|
||||
private const decimal ClosePercent = 0.3m;
|
||||
|
||||
private static readonly DateTime StartDate = new(2026, 4, 27); // 周一,起息日
|
||||
private static readonly DateTime Unwind90 = new(2026, 7, 26); // 90 天 = 12×7 + 6 末段
|
||||
private static readonly DateTime Unwind89 = new(2026, 7, 25); // 89 天 = 12×7 + 5 末段
|
||||
private static readonly DateTime ExerciseDate = new(2027, 4, 27);
|
||||
|
||||
#region ① oracle 自验证（手算锚点）
|
||||
|
||||
[TestMethod]
|
||||
public void 契约公式_恒定利率_90天12整期加6天末段_等于手算()
|
||||
{
|
||||
var rate = ContractReferenceCalc.ReferenceRateAbsolute(
|
||||
StartDate, Unwind90, ResetDays, Spread, _ => Fr007,
|
||||
calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
|
||||
// 手算：(1+0.0205×7/365)^12 × (1+0.0205×6/365) − 1（python 高精度复核）
|
||||
Assert.AreEqual(0.0050666026m, rate, 0.0000000009m, "90 天参考利率(绝对)必须等于 ∏ 公式手算值");
|
||||
|
||||
var interest = ContractReferenceCalc.ClosedInterest(ClosedNotional, rate);
|
||||
Assert.AreEqual(75999.04m, interest, 0.01m, "平掉 1500 万 × 参考利率 = 确认书公式应结值");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 契约公式_恒定利率_89天末段5天_等于手算()
|
||||
{
|
||||
var rate = ContractReferenceCalc.ReferenceRateAbsolute(
|
||||
StartDate, Unwind89, ResetDays, Spread, _ => Fr007,
|
||||
calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
|
||||
Assert.AreEqual(0.0050101727m, rate, 0.0000000009m, "89 天参考利率(绝对)手算值");
|
||||
|
||||
var interest = ContractReferenceCalc.ClosedInterest(ClosedNotional, rate);
|
||||
Assert.AreEqual(75152.59m, interest, 0.01m);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 契约公式_玩具参数_算头算尾4天_等于手算锚点()
|
||||
{
|
||||
// 手算：300×[(1+0.011×3/365)×(1+0.011×1/365)−1] = 0.0361652（重置 3 天,利差 1%,FR 0.1%）
|
||||
var rate = ContractReferenceCalc.ReferenceRateAbsolute(
|
||||
new DateTime(2026, 4, 27), new DateTime(2026, 4, 30), resetDays: 3,
|
||||
spread: 0.01m, fixing: _ => 0.001m,
|
||||
calcFirst: true, calcLast: true, annualDays: 365);
|
||||
var interest = ContractReferenceCalc.ClosedInterest(300m, rate);
|
||||
Assert.AreEqual(0.0361652m, interest, 0.000001m);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 契约公式_分段变利率_利率确定日为重置日上一营业日()
|
||||
{
|
||||
// 计息期 [5/4(一), 5/15(五)) "10" → 11 天 = 7 + 4 末段；重置日 5/4、5/11（均为周一）
|
||||
// 契约：利率确定日 = 重置日上一营业日 → 5/1(五)、5/8(五)
|
||||
Assert.AreEqual(new DateTime(2026, 5, 1), ContractReferenceCalc.PreviousBusinessDay(new DateTime(2026, 5, 4)), "5/4(一)的上一营业日是 5/1(五)");
|
||||
Assert.AreEqual(new DateTime(2026, 5, 8), ContractReferenceCalc.PreviousBusinessDay(new DateTime(2026, 5, 11)), "5/11(一)的上一营业日是 5/8(五)");
|
||||
|
||||
var fixings = new Dictionary<DateTime, decimal>
|
||||
{
|
||||
[new DateTime(2026, 5, 1)] = 0.02m, // 第一段 FR007 2.0% → all-in 2.25%
|
||||
[new DateTime(2026, 5, 8)] = 0.03m, // 第二段 FR007 3.0% → all-in 3.25%
|
||||
};
|
||||
var rate = ContractReferenceCalc.ReferenceRateAbsolute(
|
||||
new DateTime(2026, 5, 4), new DateTime(2026, 5, 15), ResetDays, Spread,
|
||||
d => fixings[d], calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
|
||||
// 手算：(1+0.0225×7/365)×(1+0.0325×4/365)−1 = 0.0007878249
|
||||
Assert.AreEqual(0.0007878249m, rate, 0.0000000009m,
|
||||
"分段变利率下每段必须用各自确定日的 FR007（E 维：取价日=重置日上一营业日）");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region ② 引擎对照（恒定 FR007，免疫取价日约定）
|
||||
|
||||
private sealed class StubSwapDealService : SwapDealService
|
||||
{
|
||||
public StubSwapDealService() : base(
|
||||
new OptUserInfo(0, nameof(ContractReferenceOracleTest), OptUserFrom.UnitTest)) { }
|
||||
|
||||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
if (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase)) { rate = 0; return false; }
|
||||
rate = (double)Fr007;
|
||||
return true;
|
||||
}
|
||||
|
||||
/// <summary>fresh 重放无历史已结利息，覆写掉 DB 查询（本场景语义即 0）。</summary>
|
||||
public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
|
||||
}
|
||||
|
||||
private static trade CreateTrade()
|
||||
{
|
||||
var extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDaysConst,
|
||||
InterestCalcMode = "10", // 算头不算尾（生产主力条款）
|
||||
SettlementRules = 0
|
||||
})
|
||||
};
|
||||
return new trade
|
||||
{
|
||||
id = 1, TradeNumber = "UT-CONTRACT-REF-ORACLE", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
|
||||
ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
|
||||
trade_extend = extend
|
||||
};
|
||||
}
|
||||
|
||||
private static swap_position CreatePosition(InterestModeEnum mode) =>
|
||||
new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)mode,
|
||||
InterestRateDefault = Spread, InterestPrincipalFix = Notional,
|
||||
PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
|
||||
IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true, interest_rest_days = ResetDays, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(
|
||||
new List<IntervalModel> { new() { Date = ExerciseDate, Rate = Spread, Settlement = 0 } })
|
||||
};
|
||||
|
||||
/// <summary>引擎盘中重放（T+0 fresh 持仓，T0 形状）vs 契约 oracle，容差 0.01 元。</summary>
|
||||
private static void AssertEngineMatchesOracle(
|
||||
InterestModeEnum mode, DateTime unwindDate, decimal posi, decimal closePosi,
|
||||
decimal expectedOracleInterest)
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(mode);
|
||||
var interests = new StubSwapDealService().GetInterests(
|
||||
td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
posi, closePosi, ClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
tdClose: false, orginPv: posi, add: false, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
Assert.IsTrue(Math.Abs(interests[0].InterestAmount - expectedOracleInterest) <= 0.01m,
|
||||
$"mode={mode} 引擎重放 {interests[0].InterestAmount} vs 契约 oracle {expectedOracleInterest}，" +
|
||||
$"diff={interests[0].InterestAmount - expectedOracleInterest}——引擎偏离确认书公式（TEST-MATRIX §8a）");
|
||||
}
|
||||
|
||||
private static decimal OracleInterest(DateTime unwindDate) =>
|
||||
ContractReferenceCalc.ClosedInterest(ClosedNotional,
|
||||
ContractReferenceCalc.ReferenceRateAbsolute(
|
||||
StartDate, unwindDate, ResetDays, Spread, _ => Fr007,
|
||||
calcFirst: true, calcLast: false, annualDays: AnnualDaysConst));
|
||||
|
||||
[TestMethod]
|
||||
public void 引擎_mode9_复利FR007_10_部分平仓30_90天_等于契约oracle()
|
||||
=> AssertEngineMatchesOracle(InterestModeEnum.标的期初全价, Unwind90, Notional, Notional, OracleInterest(Unwind90));
|
||||
|
||||
[TestMethod]
|
||||
public void 引擎_mode9_复利FR007_10_部分平仓30_89天_等于契约oracle()
|
||||
=> AssertEngineMatchesOracle(InterestModeEnum.标的期初全价, Unwind89, Notional, Notional, OracleInterest(Unwind89));
|
||||
|
||||
[TestMethod]
|
||||
public void 引擎_mode2_复利FR007_10_部分平仓30_显式平掉额_等于契约oracle()
|
||||
=> AssertEngineMatchesOracle(InterestModeEnum.合约名义本金规模, Unwind90, Notional, ClosedNotional, OracleInterest(Unwind90));
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -100,7 +100,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);
|
||||
AnnualDays, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);
|
||||
|
||||
// 新方法：固定利率全段相同
|
||||
// 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
|
||||
@@ -146,7 +146,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);
|
||||
AnnualDays, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);
|
||||
|
||||
// 新方法
|
||||
// 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
|
||||
@@ -200,7 +200,7 @@ namespace UnitTestProject.Modules.SwapModule.Accrual
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new FloatStubSvc(new StubIndexFixer(fixingAtReset));
|
||||
svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
|
||||
AnnualDays, false, floatRateIn, closePct, Notional, true, false, ref oldI, ref oldTd);
|
||||
AnnualDays, floatRateIn, closePct, Notional, true, false, ref oldI, ref oldTd);
|
||||
|
||||
// 新方法：手算 segmentRates（对齐旧代码取价循环的逻辑）
|
||||
// 4/21 <= preEodDate(4/30) → 跳过取价，currentFloat 保持入参 floatRateIn
|
||||
|
||||
-144
@@ -1,144 +0,0 @@
|
||||
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);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,69 @@
|
||||
using YLErp.Modules.EodModule;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 自动平仓路径（AuotoSwapUnwind → EnrichDividendIn, SwapDealService.cs:1668-1687）多次部分平仓是否多算的实证。
|
||||
/// EnrichDividendIn 核心：GetBondPayments(td.StartDate, closeDate) × unwindQty（当次平仓量，非剩余持仓）。
|
||||
/// 本测试直接驱动真实 BondPaymentService.CalcPayment（与 EnrichDividendIn 等价：GetBondPayments 按 reg_date 过滤 + CalcPayment × unwindQty），
|
||||
/// 内存注入 reg_date 数据，不连库。完整 AuotoSwapUnwind 链路因 EnrichDividendIn 直接 new BondPaymentService 查库、无内存 seam 注入点，故用计算核心等价验证。
|
||||
///
|
||||
/// 结论验证：多次跨越登记日的部分平仓，每次 × 当次平仓量 → 总额 = 各批按登记日持有 × 平仓量分摊，
|
||||
/// 不自洽多算、不重复计入重叠窗口。
|
||||
/// （纠正此前"从建仓日重算导致重复计入"的推断：该推断误以为 CalcPayment 乘剩余持仓，实际乘当次 unwindQty。）
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class AutoUnwindMultiPartialDividendTest
|
||||
{
|
||||
private const string BondCode = "230004.IB";
|
||||
private static readonly DateTime StartDate = new(2026, 1, 5);
|
||||
private static readonly DateTime Reg1 = new(2026, 5, 15); // 每百元付息 10
|
||||
private static readonly DateTime Reg2 = new(2026, 6, 15); // 每百元付息 12
|
||||
|
||||
private sealed class BridgeBps : BondPaymentService
|
||||
{
|
||||
public BridgeBps(OptUserInfo u) : base(u) { }
|
||||
protected override IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
|
||||
=> new List<BondPayment>
|
||||
{
|
||||
new BondPayment { underlyingCode = BondCode, reg_date = Reg1, payment_date_pl = Reg1, payment_date = Reg1, payment_interest = 10m },
|
||||
new BondPayment { underlyingCode = BondCode, reg_date = Reg2, payment_date_pl = Reg2, payment_date = Reg2, payment_interest = 12m },
|
||||
}.Where(x => x.underlyingCode == underlyingCode).AsQueryable();
|
||||
}
|
||||
|
||||
// 等价于 EnrichDividendIn 的数值核心：GetBondPayments(StartDate, closeDate) × unwindQty
|
||||
private static decimal EnrichOnce(DateTime closeDate, decimal unwindQty)
|
||||
{
|
||||
var svc = new BridgeBps(OptUserInfo.UnitTestUser);
|
||||
return svc.CalcPayment(BondCode, StartDate, closeDate, unwindQty, 1, 1);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 多次部分平仓_自动路径总额按登记日持仓分摊_不自洽多算()
|
||||
{
|
||||
decimal totalFace = 10_000m; // 总面额 1 万元
|
||||
decimal halfFace = totalFace / 2m; // 每次平一半
|
||||
|
||||
// 第一次 5/20 平一半：窗口(Start,5/20] 仅含 reg1 → 10 × 5000/100 = 500
|
||||
var d1 = EnrichOnce(new DateTime(2026, 5, 20), halfFace);
|
||||
// 第二次 6/20 平一半：窗口(Start,6/20] 含 reg1+reg2 → (10+12) × 5000/100 = 1100
|
||||
var d2 = EnrichOnce(new DateTime(2026, 6, 20), halfFace);
|
||||
var total = d1 + d2;
|
||||
|
||||
// 经济应得（登记日持有规则）：
|
||||
// 第一批5000元：5/15持有✓(10)、6/15未持有✗ → 10×5000/100 = 500
|
||||
// 第二批5000元：5/15持有✓(10)、6/15持有✓(12) → 22×5000/100 = 1100
|
||||
decimal expected = 10m * halfFace / 100m + (10m + 12m) * halfFace / 100m;
|
||||
|
||||
Assert.AreEqual(500m, d1, 0.001m, "第一次(5/20)只含 reg1 = 500");
|
||||
Assert.AreEqual(1100m, d2, 0.001m, "第二次(6/20)含 reg1+reg2 = 1100");
|
||||
Assert.AreEqual(expected, total, 0.001m,
|
||||
"两次部分平仓总额 = 按登记日持有×平仓量分摊的应得值，重叠窗口不重复计同量（纠正：乘当次 unwindQty 而非剩余持仓）");
|
||||
|
||||
// 反证：若手动路径口径（第一次平仓即给全量待实现 = 两次分红×总面额）会多算
|
||||
decimal manualFullIfFirst = (10m + 12m) * totalFace / 100m; // 2200
|
||||
Assert.IsTrue(manualFullIfFirst > total,
|
||||
"反证：手动全量落袋口径(2200) > 自动分摊口径(1600)，多算方是手动路径而非自动路径");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -134,6 +134,17 @@ namespace YLErp.Modules.SwapModule
|
||||
return new swap_event { id = SwapEvents.Count };
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 捕获 SaveAutoSwapDeal 落库的 flow_event（生产写 DbContext.swap_flow_event）。
|
||||
/// 同步到 PersistedFlowEvents 供 AS_009/010/011 断言；基类 FlowEvents 仍由它填充，
|
||||
/// 供 GetConsumedInterest 真实计算已结利息。
|
||||
/// </summary>
|
||||
protected override void PersistFlowEvent(swap_flow_event flowEvent)
|
||||
{
|
||||
base.PersistFlowEvent(flowEvent);
|
||||
PersistedFlowEvents.Add(flowEvent);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 利息腿金额直接给定（付息金额），避免把 GetInterests 的计息细节混入本用例——
|
||||
/// 本文件关注的是「自动互换是否触发 / 几条 / 资金发生日 / 金额量级」，
|
||||
@@ -144,9 +155,9 @@ namespace YLErp.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
return positions.Select(p => new swap_flow_event
|
||||
|
||||
@@ -125,8 +125,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateCompoundPosition();
|
||||
var interests = service.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
add: false, settment: false, newCalcLast: false);
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -273,45 +273,28 @@ namespace YLErp.Modules.SwapModule
|
||||
}
|
||||
|
||||
// ================================================================
|
||||
// 场景7：复现"平仓日=重置日 + calcLast=false → 重置日跳过 FR007 取价"
|
||||
// 场景7：平仓日=重置日 + calcLast=false 的事件利率口径（EQD-6968 自洽化后）
|
||||
// ================================================================
|
||||
|
||||
/// <summary>
|
||||
/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
|
||||
/// [CI_007] 平仓日=重置日 + calcLast=false：排除日不取价，事件利率=末段已消费利率（确定性）
|
||||
/// ----------------------------------------------------------------
|
||||
/// 背景(GLMS-JIATT-20260805 根因)：InterestCalcMode='10'(算头不算尾,calcLast=false)，
|
||||
/// CalcDailyCompoundInterest 循环里 `if(!calcLast && accrueDate==endDate) continue` 会跳过平仓日当天。
|
||||
/// 若平仓日恰好是重置日(i%period==0)，这个跳过会让"重置日取新FR007"的代码块永远不执行，
|
||||
/// 沿用上一个重置周期的旧利率。
|
||||
/// 历史(GLMS-JIATT-20260805)：原缺陷是重置日取价被 calcLast 跳过 → flowEvent.FloatRate 停留旧值
|
||||
/// → 落库后传染 EOD。当时的修复=排除日"有价则取新定盘"，事件利率因而取决于平仓时刻
|
||||
/// （上午=旧/下午=新），与金额实际使用的利率脱钩。
|
||||
///
|
||||
/// 构造：PosiStartDate=4/27, ResetPeriod=3, InterestCalcMode='10'(calcLast=false)
|
||||
/// - FR007 按日期分段：5/3之前返回 rateOld=0.001，5/3及之后返回 rateNew=0.002
|
||||
/// - 对照A：平仓日=5/5(非重置日,9? 不: (5/5-4/27)=8, 8%3=2 非重置) → 不该取新值
|
||||
/// - 对照B：平仓日=5/6(重置日,(5/6-4/27)=9, 9%3=0) → 应取新值 rateNew
|
||||
/// EQD-6968 自洽化后的新契约：
|
||||
/// ① 已平部分：排除日一概不取价（有价也不取），事件 FloatRate=末段已消费利率（rateOld），
|
||||
/// 与金额同源、与平仓时刻无关；
|
||||
/// ② 剩余持仓的新周期利率：由 EOD 快照"重置日再定盘"显式获取
|
||||
/// （InterestEodTailSnapshotTest.CloseOnly_平仓日为重置日_剩余持仓快照再定盘）。
|
||||
///
|
||||
/// 修复前：5/6 重置日被 calcLast 跳过 → 取到旧 rateOld → 与 5/5 相同
|
||||
/// 修复后：5/6 重置日正常取价 → 取到 rateNew → 与 5/5 不同
|
||||
/// ----------------------------------------------------------------
|
||||
/// </summary>
|
||||
/// <summary>
|
||||
/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
|
||||
/// ----------------------------------------------------------------
|
||||
/// 根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(calcLast=false)，
|
||||
/// CalcDailyCompoundInterest 循环 `if(!calcLast && accrueDate==endDate) continue` 跳过平仓日。
|
||||
/// 若平仓日=重置日，取价代码块被跳过 → flowEvent.FloatRate 停留旧值 → 落库后传染 EOD。
|
||||
///
|
||||
/// 构造(避开周末，period=7)：
|
||||
/// PosiStartDate=4/27(周一), period=7, interest_rule=0, InterestCalcMode='10'
|
||||
/// 重置日：i=0→4/27(周一), i=7→5/4(周一,工作日)
|
||||
/// 平仓日=5/4(=重置日=endDate)
|
||||
/// FR007 分界：rateDate>=5/4 返回 rateNew，否则 rateOld
|
||||
///
|
||||
/// 修复前：i=7(5/4)被 calcLast 跳过 → FloatRate=rateOld(旧值)
|
||||
/// 修复后：i=7(5/4)正常取价 → FloatRate=rateNew(新值)
|
||||
/// 构造(避开周末，period=7)：PosiStartDate=6/1(周一), 平仓日=6/8(周一,重置日,7%7=0)；
|
||||
/// FR007 分界：取价日>=6/8 返回 rateNew，否则 rateOld。
|
||||
/// ----------------------------------------------------------------
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void CI_007_平仓日等于重置日_calcLast_false_仍应取新FR007()
|
||||
public void CI_007_平仓日等于重置日_calcLast_false_事件利率为末段已消费利率()
|
||||
{
|
||||
const double rateOld = 0.001;
|
||||
const double rateNew = 0.002;
|
||||
@@ -356,19 +339,21 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
var interests = ServiceByDate().GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
add: false, settment: false, newCalcLast: false);
|
||||
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
var result = interests[0];
|
||||
Console.WriteLine($"6/8(重置日,周一)平仓：FloatRate={result.FloatRate} Amount={result.InterestAmount:F6}");
|
||||
Console.WriteLine($" 期望 FloatRate={rateNew}（6/8 重置日查询日=6/8工作日，应取新利率）");
|
||||
Console.WriteLine($" 新口径期望 FloatRate={rateOld}（排除日不取价，事件利率=末段已消费利率）");
|
||||
|
||||
// 核心断言：6/8 是重置日，flowEvent.FloatRate 应反映新利率 rateNew
|
||||
Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateNew) < 0.0001m,
|
||||
$"平仓日=重置日时 FloatRate 应={rateNew}（取到新利率）。" +
|
||||
$"实际={result.FloatRate}，若={rateOld} 说明 calcLast=false 跳过了重置日取价（GLMS-JIATT-20260805 根因）");
|
||||
// 核心断言（EQD-6968 自洽化契约）：排除日(不计息)一概不取价——即使 6/8 新定盘已发布，
|
||||
// 事件 FloatRate 也必须是末段已消费利率 rateOld，与金额同源、与平仓时刻无关。
|
||||
// 剩余持仓的新周期利率由 EOD 快照"重置日再定盘"显式获取（见 InterestEodTailSnapshotTest）。
|
||||
Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateOld) < 0.0001m,
|
||||
$"排除日不取价：FloatRate 应=末段已消费利率 {rateOld}。实际={result.FloatRate}，" +
|
||||
$"若={rateNew} 说明排除日仍在取价（旧口径：记录利率取决于平仓时刻）");
|
||||
|
||||
var interestBeforeResetDate = Principal * (FixedRate + (decimal)rateOld) * 7m / AnnualDays;
|
||||
AssertDecimal(Principal + interestBeforeResetDate, result.InterestPrincipal,
|
||||
@@ -420,16 +405,18 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
var result = service.GetInterests(td, td.trade_extend, resetDate, resetDate,
|
||||
new List<eod_swap_position> { preEod }, new List<swap_position> { position },
|
||||
remainingPrincipal, remainingPrincipal, 0m, remainingPrincipal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, true, false, 0m, remainingPrincipal,
|
||||
remainingPrincipal, remainingPrincipal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, true, remainingPrincipal,
|
||||
add: false, settment: false, newCalcLast: false).Single();
|
||||
|
||||
var remainingInterest = previousInterest * remainingPrincipal / previousPrincipal;
|
||||
var expectedPrincipal = remainingPrincipal + remainingInterest;
|
||||
var expectedDailyInterest = expectedPrincipal * (fixedRate + (decimal)newFloatRate) / AnnualDays;
|
||||
AssertDecimal(expectedPrincipal, result.InterestPrincipal);
|
||||
AssertDecimal(expectedDailyInterest,
|
||||
result.InterestPrincipal * (result.InterestRate + result.FloatRate.Value) / AnnualDays);
|
||||
// EQD-6968 自洽化：排除日(平仓日=重置日)不取价，事件利率=末段已消费利率(旧)——与金额同源、
|
||||
// 与平仓时刻无关。剩余持仓的新周期利率由 EOD 快照"重置日再定盘"显式获取
|
||||
// （InterestEodTailSnapshotTest.CloseOnly_平仓日为重置日_剩余持仓快照再定盘）。
|
||||
AssertDecimal((decimal)oldFloatRate, result.FloatRate.Value,
|
||||
"排除日不取价：事件 FloatRate 应=末段已消费旧利率");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
@@ -466,8 +453,8 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
var result = service.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position> { preEod }, new List<swap_position> { position },
|
||||
remainingPrincipal, remainingPrincipal, 0m, remainingPrincipal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, remainingPrincipal,
|
||||
remainingPrincipal, remainingPrincipal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, remainingPrincipal,
|
||||
add: false, settment: false, newCalcLast: false).Single();
|
||||
|
||||
AssertDecimal(pendingInterest, result.InterestAmount,
|
||||
@@ -509,7 +496,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal tdInterestAmount = 0m;
|
||||
|
||||
service.CalcDailyCompoundInterestByEod(preEod, resetDate, startDate, position,
|
||||
principal, principal, flowEvent, AnnualDays, false, 0.013502m, 1m,
|
||||
principal, principal, flowEvent, AnnualDays, 0.013502m, 1m,
|
||||
ref interestAmount, ref tdInterestAmount);
|
||||
|
||||
AssertDecimal(principal + pendingInterest, flowEvent.InterestPrincipal,
|
||||
|
||||
@@ -47,7 +47,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
DealInterests(interestList, eodPositions, new List<eod_swap_position>(),
|
||||
settleDate, td, new List<swap_flow_event>(), new List<swap_flow_event>(), null,
|
||||
posiLongNational, 0m, 0m, grossPrice, orginPv);
|
||||
posiLongNational + 0m, 0m, grossPrice, orginPv);
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
@@ -51,6 +51,8 @@ namespace YLErp.Modules.SwapModule
|
||||
public SwapDealService DealService { get; set; }
|
||||
|
||||
public eod_swap_position LastInterestCalculationEodPosition { get; private set; }
|
||||
public int LastEventType { get; set; }
|
||||
|
||||
|
||||
public StubEodPositionService() : base(nameof(DealInterestsScenarioTest))
|
||||
{
|
||||
@@ -63,23 +65,25 @@ namespace YLErp.Modules.SwapModule
|
||||
trade td, trade_extend tradeExtend,
|
||||
DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent,
|
||||
int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv,
|
||||
int eventType, bool tdClose,
|
||||
decimal orginPv,
|
||||
bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
LastInterestCalculationEodPosition = eodPositions.SingleOrDefault();
|
||||
LastEventType = eventType;
|
||||
|
||||
if (AutoInterests != null)
|
||||
{
|
||||
return AutoInterests;
|
||||
}
|
||||
|
||||
return (DealService ?? new SwapDealService(this)).GetInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
eodPositions, positions, posiNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose,
|
||||
orginPv, add, settment, newCalcLast, closeList);
|
||||
}
|
||||
|
||||
// public 包装：让测试能调用 protected 方法
|
||||
@@ -99,7 +103,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal orginPv = DealInterestsScenarioTest.Principal)
|
||||
{
|
||||
SaveAutoEodInterestPosition(eodPayPosition, null, position, td, valueDate, interval,
|
||||
lastEodSwap, posiLongNotional, 0m, 1m, orginPv);
|
||||
lastEodSwap, posiLongNotional + 0m, 1m, orginPv);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
|
||||
@@ -110,7 +114,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal closeNotional, bool autoSwap)
|
||||
{
|
||||
SaveAutoEodWithCloseInterestPosition(eodPayPosition, null, position, td, valueDate, interval,
|
||||
posiLongNotional, posiShortNotional, flowEvents, closeNotional, autoSwap, 1m,
|
||||
posiLongNotional + posiShortNotional, flowEvents, closeNotional, autoSwap, 1m,
|
||||
DealInterestsScenarioTest.Principal);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
@@ -121,7 +125,7 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal grossPrice, decimal orginPv)
|
||||
{
|
||||
SaveEodInterestPositionCopy(eodPayPosition, null, valueDate, td, position, null,
|
||||
false, posiLongNotional, posiShortNotional, grossPrice, orginPv);
|
||||
false, posiLongNotional + posiShortNotional, grossPrice, orginPv);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
|
||||
@@ -134,7 +138,7 @@ namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
DealInterests(interestList, eodPositions, new List<eod_swap_position>(),
|
||||
settleDate, td, flowEvents, new List<swap_flow_event>(), null,
|
||||
posiLongNational, posiShortNational, closeNational, grossPrice, orginPv);
|
||||
posiLongNational + posiShortNational, closeNational, grossPrice, orginPv);
|
||||
}
|
||||
}
|
||||
|
||||
@@ -447,7 +451,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// <summary>
|
||||
/// [DI_BRANCH_001] 普通日（无互换无平仓无观察日）→ 走 copy 分支
|
||||
/// ---------------------------------------------------------------
|
||||
/// flowEvents 为空，insterval=null，hasSwap=false，hasClose=false
|
||||
/// flowEvents 为空，observationInterval=null，hasSwap=false，hasClose=false
|
||||
/// → 应走 SaveEodInterestPositionCopy（cs:338）
|
||||
/// ---------------------------------------------------------------
|
||||
/// <summary>
|
||||
@@ -522,6 +526,109 @@ namespace YLErp.Modules.SwapModule
|
||||
#endregion
|
||||
|
||||
// ================================================================
|
||||
#region 场景2补充：剩余3分支路由断言（经真实 DealInterests 路由器）
|
||||
|
||||
/// <summary>
|
||||
/// [DI_BRANCH_003] 观察日无平仓（observationDay!=null, hasSwap=false, hasClose=false）
|
||||
/// -> 走 SaveAutoEodInterestPosition（autoSwap 路径）。
|
||||
/// 守卫：CalcSwapInterests 收到 eventType=自动互换、tdClose=false。
|
||||
/// 补盖 TEST-MATRIX §6 的 AutoSettle 分支。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void DI_BRANCH_003_观察日自动结息走SaveAutoEodInterestPosition()
|
||||
{
|
||||
var service = new StubEodPositionService();
|
||||
var td = CreateTrade();
|
||||
var position = CreateInterestPosition();
|
||||
var settleDate = new DateTime(2026, 5, 10);
|
||||
var preEod = CreatePreEod(settleDate.AddDays(-1), DailyInterest);
|
||||
|
||||
position.InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = settleDate, Rate = FixedRate, Settlement = 1 }
|
||||
});
|
||||
|
||||
service.ExecuteDealInterests(
|
||||
new List<swap_position> { position },
|
||||
new List<eod_swap_position> { preEod },
|
||||
settleDate, td, new List<swap_flow_event>(),
|
||||
Principal, 0m, 0m, 1m, Principal);
|
||||
|
||||
Assert.IsTrue(service.PersistedPositions.Count > 0, "观察日应生成eod");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.LastEventType, "观察日自动结息 eventType 应为自动互换");
|
||||
// 观察日自动结息走 SaveAutoEodInterestPosition（无平仓）：TdCloseInterest 仅为当日利息，不被平仓放大
|
||||
Assert.IsTrue(service.PersistedPositions[0].TdCloseInterest < 0.1m, "观察日自动结息无平仓，TdCloseInterest 应仅为当日利息(<0.1)，不应含平仓利息");
|
||||
Console.WriteLine("观察日自动结息分支 ✅ eventType=自动互换, tdClose=false");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// [DI_BRANCH_004] 观察日+平仓（observationDay!=null, hasClose=true）
|
||||
/// -> 走 SaveAutoEodWithCloseInterestPosition(autoSwap:true)。
|
||||
/// 守卫：CalcSwapInterests 收到 eventType=自动互换、tdClose=true。
|
||||
/// 补盖 TEST-MATRIX §6 最弱格子（autoSwap=true 部分平仓）。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void DI_BRANCH_004_观察日平仓走WithClose_autoSwapTrue()
|
||||
{
|
||||
var service = new StubEodPositionService();
|
||||
var td = CreateTrade();
|
||||
var position = CreateInterestPosition();
|
||||
var settleDate = new DateTime(2026, 5, 10);
|
||||
var preEod = CreatePreEod(settleDate.AddDays(-1), DailyInterest * 13);
|
||||
|
||||
position.InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = settleDate, Rate = FixedRate, Settlement = 1 }
|
||||
});
|
||||
var closeEvent = CreateSwapFlowEvent(settleDate, DailyInterest * 13);
|
||||
closeEvent.EventType = (int)SwapFlowEventTypeEnum.平仓;
|
||||
|
||||
service.ExecuteDealInterests(
|
||||
new List<swap_position> { position },
|
||||
new List<eod_swap_position> { preEod },
|
||||
settleDate, td, new List<swap_flow_event> { closeEvent },
|
||||
Principal, 0m, 300m, 1m, Principal);
|
||||
|
||||
Assert.IsTrue(service.PersistedPositions.Count > 0, "观察日+平仓应生成eod");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.LastEventType, "autoSwap:true -> eventType 应为自动互换");
|
||||
// 含平仓：TdCloseInterest 应明显大于纯当日利息（实测约 0.38）
|
||||
Assert.IsTrue(service.PersistedPositions[0].TdCloseInterest > 0.1m, "观察日+平仓 TdCloseInterest 应含平仓利息(>0.1)");
|
||||
Console.WriteLine("观察日+平仓分支 ✅ eventType=自动互换, TdCloseInterest>0.1 (autoSwap:true)");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// [DI_BRANCH_005] 非观察日+平仓（observationDay==null, hasClose=true, hasSwap=false）
|
||||
/// -> 走 SaveAutoEodWithCloseInterestPosition(autoSwap:false)。
|
||||
/// 守卫：CalcSwapInterests 收到 eventType=平仓、tdClose=true。
|
||||
/// 补盖 TEST-MATRIX §6 的 CloseOnly 分支。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void DI_BRANCH_005_纯平仓走WithClose_autoSwapFalse()
|
||||
{
|
||||
var service = new StubEodPositionService();
|
||||
var td = CreateTrade();
|
||||
var position = CreateInterestPosition();
|
||||
var settleDate = new DateTime(2026, 5, 10);
|
||||
var preEod = CreatePreEod(settleDate.AddDays(-1), DailyInterest * 13);
|
||||
|
||||
position.InterestSwapInterval = null;
|
||||
var closeEvent = CreateSwapFlowEvent(settleDate, DailyInterest * 13);
|
||||
closeEvent.EventType = (int)SwapFlowEventTypeEnum.平仓;
|
||||
|
||||
service.ExecuteDealInterests(
|
||||
new List<swap_position> { position },
|
||||
new List<eod_swap_position> { preEod },
|
||||
settleDate, td, new List<swap_flow_event> { closeEvent },
|
||||
Principal, 0m, 300m, 1m, Principal);
|
||||
|
||||
Assert.IsTrue(service.PersistedPositions.Count > 0, "纯平仓应生成eod");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.平仓, service.LastEventType, "autoSwap:false -> eventType 应为平仓");
|
||||
Assert.IsTrue(service.PersistedPositions[0].TdCloseInterest > 0.1m, "纯平仓 TdCloseInterest 应含平仓利息(>0.1)");
|
||||
Console.WriteLine("纯平仓分支 ✅ eventType=平仓, TdCloseInterest>0.1 (autoSwap:false)");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
// 场景3：多日守恒——连续收盘归档，InterestIncomeSum 应线性递增
|
||||
// ================================================================
|
||||
|
||||
@@ -1229,8 +1336,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var result = new SwapDealService(service).GetInterests(
|
||||
td, td.trade_extend, closeDate, closeDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, orginPv,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, orginPv,
|
||||
false, settment: false, newCalcLast: false, closeList: null).Single();
|
||||
|
||||
AssertDecimal(remainingNotional, result.InterestPrincipal,
|
||||
@@ -1268,8 +1375,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var firstCloseInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, firstCloseDate, firstCloseDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
originalNotional, originalNotional, 0m, remainingNotional, 0.5m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
originalNotional, remainingNotional, 0.5m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false).Single();
|
||||
var firstCloseCash = Math.Round(firstCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero);
|
||||
@@ -1286,14 +1393,14 @@ namespace YLErp.Modules.SwapModule
|
||||
var replayAtPreviousEod = dealService.GetInterests(
|
||||
td, td.trade_extend, firstCloseDate, firstCloseDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false).Single();
|
||||
var replayAtFinalClose = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false).Single();
|
||||
var expectedFinalInterest = firstCloseEod.InterestIncomeSum
|
||||
+ replayAtFinalClose.InterestAmount - replayAtPreviousEod.InterestAmount;
|
||||
@@ -1306,8 +1413,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var finalCloseInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { firstCloseEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false).Single();
|
||||
var finalCloseCash = Math.Round(finalCloseInterest.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero);
|
||||
@@ -1434,8 +1541,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var partial = service.GetInterests(
|
||||
td, td.trade_extend, partialCloseDate, partialCloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
notional, notional, 0m, partialNotional, partialPercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, notional,
|
||||
notional, partialNotional, partialPercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, notional,
|
||||
settment: false).Single();
|
||||
AssertDecimal(84090.95m, Math.Round(partial.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero),
|
||||
@@ -1444,8 +1551,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var final = service.GetInterests(
|
||||
td, td.trade_extend, maturityDate, maturityDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, remainingNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
AssertDecimal(268428.73m, Math.Round(final.InterestAmount, ConsGlobal.MoneyRound,
|
||||
MidpointRounding.AwayFromZero),
|
||||
@@ -1575,8 +1682,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var intermediateInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, intermediateDate, intermediateDate,
|
||||
new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
|
||||
$"5/18 复利平仓应承接 5/11 日终剩余本金的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}");
|
||||
@@ -1706,8 +1813,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var intermediateInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, intermediateDate, intermediateDate,
|
||||
new List<eod_swap_position> { partialEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false, newCalcLast: true).Single();
|
||||
Assert.IsTrue(Math.Abs(259348.386714765m - intermediateInterest.InterestAmount) <= 0.01m,
|
||||
$"0005 5/18 复利应承接部分平仓后的累计利息 Expected approximately 259348.386714765, Actual: {intermediateInterest.InterestAmount}");
|
||||
@@ -1724,14 +1831,14 @@ namespace YLErp.Modules.SwapModule
|
||||
decimal expectedAmountAtEnd = 0m;
|
||||
decimal expectedTdAmountAtEnd = 0m;
|
||||
dealService.CalcDailyCompoundInterest(
|
||||
finalCloseDate, position, remainingNotional, expectedEndFlow, AnnualDays, false,
|
||||
finalCloseDate, position, remainingNotional, expectedEndFlow, AnnualDays,
|
||||
intermediateEod.FloatRate, 1m, true, false,
|
||||
ref expectedAmountAtEnd, ref expectedTdAmountAtEnd);
|
||||
var expectedPreviousFlow = new swap_flow_event { InterestRate = spread };
|
||||
decimal expectedAmountAtPreviousEod = 0m;
|
||||
decimal expectedTdAmountAtPreviousEod = 0m;
|
||||
dealService.CalcDailyCompoundInterest(
|
||||
intermediateDate, position, remainingNotional, expectedPreviousFlow, AnnualDays, false,
|
||||
intermediateDate, position, remainingNotional, expectedPreviousFlow, AnnualDays,
|
||||
intermediateEod.FloatRate, 1m, true, true,
|
||||
ref expectedAmountAtPreviousEod, ref expectedTdAmountAtPreviousEod);
|
||||
var expectedFinalInterest = intermediateEod.InterestIncomeSum
|
||||
@@ -1739,8 +1846,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var finalInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { intermediateEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, originalNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false, newCalcLast: false).Single();
|
||||
AssertDecimal(expectedFinalInterest, finalInterest.InterestAmount,
|
||||
"0005 最终全平重放时，历史5/18终点必须包含当日利息后再做差额");
|
||||
@@ -1829,8 +1936,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var result = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0m, remainingNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, remainingNotional,
|
||||
settment: false).Single();
|
||||
|
||||
AssertDecimal(expectedInterest, result.InterestAmount,
|
||||
@@ -1927,8 +2034,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var partialInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, partialCloseDate, partialCloseDate,
|
||||
new List<eod_swap_position> { preCloseEod }, new List<swap_position> { position },
|
||||
originalNotional, originalNotional, 0m, partialNotional, partialClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, originalNotional,
|
||||
originalNotional, partialNotional, partialClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, false, originalNotional,
|
||||
settment: false).Single();
|
||||
AssertExcelMoney(scenario.ExpectedPartialInterest, partialInterest.InterestAmount,
|
||||
$"{scenario.TradeNumber} 5/11 部分平仓利息应匹配 Excel BL 列");
|
||||
@@ -1976,8 +2083,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var finalInterest = dealService.GetInterests(
|
||||
td, td.trade_extend, finalCloseDate, finalCloseDate,
|
||||
new List<eod_swap_position> { finalPreEod }, new List<swap_position> { position },
|
||||
remainingNotional, remainingNotional, 0m, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 1m, remainingNotional,
|
||||
remainingNotional, remainingNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, remainingNotional,
|
||||
settment: false).Single();
|
||||
AssertExcelMoney(scenario.ExpectedFinalInterest, finalInterest.InterestAmount,
|
||||
$"{scenario.TradeNumber} 5/19 全部平仓利息应匹配 Excel BN 列");
|
||||
|
||||
@@ -0,0 +1,291 @@
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.EodModule;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 端到端：盘中收益互换（DividendIn 由生产方法 GetPreEodDividendSum 真实算出）→ 保存 → EOD，
|
||||
/// 验证分红【不重复累计】（EOD TdCloseDividend 扣减 DividendIn）且【不丢失】（当日新计进 PosiDividendSum）。
|
||||
///
|
||||
/// 与 MultiUnwindDividendConservationTest.MU_001 的区别：MU_001 的互换 DividendIn 是测试喂的常量；
|
||||
/// 本测试的 DividendIn 由生产方法 GetPreEodDividendSum 真实算出（读 EOD 快照），再喂给 EOD——
|
||||
/// 覆盖"预览算 DividendIn + EOD 扣减"的完整链路（MU_001 的缺口）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class DividendEodNoDoubleCountTest
|
||||
{
|
||||
private const int SwapTradeId = 9200;
|
||||
private const long PositionId = 9201;
|
||||
private const decimal InitialQty = 1000m;
|
||||
private const decimal RegPer100 = 1.0m; // 每 100 元面值票息 1.0 → qty(1000) 时单期分红 = 1.0×1000/100 = 10
|
||||
private static readonly DateTime StartDate = new(2026, 1, 5);
|
||||
|
||||
#region 内存债券付息数据（reg_date 口径，真实生产 GetBondPayments 读取）
|
||||
|
||||
private const string BondUnderlying = "210210.IB";
|
||||
private static List<BondPayment> BondPayments() => new List<BondPayment>
|
||||
{
|
||||
// 登记日 1/6、1/7 各一期；支付日滞后若干日（刻意与登记日不同，验证按 reg_date 而非 pay_date 计提）
|
||||
new BondPayment { underlyingCode = BondUnderlying, reg_date = new DateTime(2026, 1, 6), payment_date_pl = new DateTime(2026, 1, 9), payment_date = new DateTime(2026, 1, 9), payment_interest = RegPer100 },
|
||||
new BondPayment { underlyingCode = BondUnderlying, reg_date = new DateTime(2026, 1, 7), payment_date_pl = new DateTime(2026, 1, 10), payment_date = new DateTime(2026, 1, 10), payment_interest = RegPer100 },
|
||||
};
|
||||
|
||||
#endregion
|
||||
|
||||
#region Stubs
|
||||
|
||||
/// <summary>SwapDealService stub：暴露 GetPreEodDividendSum，注入 EOD 数据（不连库）。</summary>
|
||||
private sealed class DealSvcStub : SwapDealService
|
||||
{
|
||||
private readonly List<eod_swap> _eodSwaps;
|
||||
private readonly List<eod_swap_position> _eodPositions;
|
||||
public DealSvcStub(List<eod_swap> eodSwaps, List<eod_swap_position> eodPositions)
|
||||
: base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; }
|
||||
public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate)
|
||||
=> GetPreEodDividendSum(tradeId, positionId, dealDate);
|
||||
protected override IQueryable<eod_swap> QueryPreEodSwaps(int tradeId)
|
||||
=> _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable();
|
||||
protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate)
|
||||
=> _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate);
|
||||
}
|
||||
|
||||
/// <summary>真实 BondPaymentService（reg_date 口径）seam：仅注入内存 BondPayment 数据，票息计算走生产 GetBondPayments+CalcPayment。</summary>
|
||||
private sealed class RealBondPaymentService : BondPaymentService
|
||||
{
|
||||
private readonly List<BondPayment> _data;
|
||||
public RealBondPaymentService(List<BondPayment> data, OptUserInfo userInfo) : base(userInfo) { _data = data; }
|
||||
protected override IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
|
||||
=> _data.Where(x => x.underlyingCode == underlyingCode).AsQueryable();
|
||||
}
|
||||
|
||||
/// <summary>SwapEodPositionService stub：暴露 UpdateEodPosition/CopyEodPosition；CalcBondPayment 桥接真实 BondPaymentService（reg_date 口径，不再用线性假公式）。</summary>
|
||||
private sealed class EodSvcStub : TestableSwapEodPositionService
|
||||
{
|
||||
private readonly List<BondPayment> _bondPayments;
|
||||
public EodSvcStub(List<BondPayment> bondPayments) : base(nameof(DividendEodNoDoubleCountTest)) { _bondPayments = bondPayments; }
|
||||
protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
|
||||
{
|
||||
// 桥接真实生产口径：GetBondPayments 按 reg_date 过滤 + CalcPayment 累加（替换原线性假公式 DailyRatePerUnit*days*qty）
|
||||
var svc = new RealBondPaymentService(_bondPayments, OptUserInfo.UnitTestUser);
|
||||
return svc.CalcPayment(underlyingCode, fromDate, toDate, qty, shortRatio, directionRatio);
|
||||
}
|
||||
protected override underlying_manager GetUnderlyingData(string underlyingCode)
|
||||
=> new underlying_manager { ValueAddedTax = 0m };
|
||||
protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
|
||||
{ vobp = 0m; return 1.00m; }
|
||||
public eod_swap_position ExecuteUpdateEodPosition(swap_position swapPosition, eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
|
||||
=> UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents);
|
||||
public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate)
|
||||
=> CopyEodPosition(eod, null, td, valueDate, preSettleDate);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 数据构建
|
||||
|
||||
private static trade CreateTrade() => new trade
|
||||
{
|
||||
id = SwapTradeId, TradeNumber = "UT-DIV-EOD-001", ClientId = 999999,
|
||||
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
|
||||
ExerciseDate = new DateTime(2027, 1, 5), TradeStatus = "确认成交", ValidState = "Valid",
|
||||
StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
|
||||
OriginalStockEqvNotional = (double)(InitialQty * 1.00m)
|
||||
};
|
||||
|
||||
private static swap_position CreatePosition() => new swap_position
|
||||
{
|
||||
id = PositionId, SwapTradeId = SwapTradeId,
|
||||
PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
|
||||
UnderlyingCode = "210210.IB", ContractSize = 1m,
|
||||
PosiQuantity = InitialQty, PosiNotionalValue = InitialQty,
|
||||
PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
|
||||
PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
|
||||
IsInitial = true, Invalid = false,
|
||||
PosiTradingFee = 0, PosiTradingFeePending = 0
|
||||
};
|
||||
|
||||
private static eod_swap_position CreateInitialEod() => new eod_swap_position
|
||||
{
|
||||
id = 1, SwapTradeId = SwapTradeId, PositionId = PositionId,
|
||||
ValueDate = StartDate, PosiQuantity = InitialQty,
|
||||
PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
|
||||
UnderlyingCode = "210210.IB", ContractSize = 1m,
|
||||
PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
|
||||
PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
|
||||
PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m,
|
||||
RealizedDividend = 0m, PosiFeePending = 0m,
|
||||
InterestProfitSum = 0m, Invalid = false
|
||||
};
|
||||
|
||||
private static swap_flow_event SwapEvent(decimal dividendIn, DateTime eventDate) => new swap_flow_event
|
||||
{
|
||||
SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.互换,
|
||||
PositionId = PositionId, Quantity = 0m, DividendIn = dividendIn,
|
||||
MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
|
||||
EventDate = eventDate, PayDate = eventDate,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
private static swap_flow_event CloseEvent(decimal qty, decimal dividendIn, DateTime eventDate) => new swap_flow_event
|
||||
{
|
||||
SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.平仓,
|
||||
PositionId = PositionId, Quantity = qty, DividendIn = dividendIn,
|
||||
MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
|
||||
TradingAmount = qty * 1.000m,
|
||||
UnwindDate = eventDate, EventDate = eventDate, PayDate = eventDate,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg)
|
||||
=> Assert.IsTrue(Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}");
|
||||
|
||||
#endregion
|
||||
|
||||
/// <summary>
|
||||
/// 盘中收益互换：DividendIn 由 GetPreEodDividendSum 真实算（读 T-1 EOD）→ 保存 → EOD。
|
||||
/// 验证：不重复（EOD TdCloseDividend 扣 DividendIn）+ 不丢失（当日新计进 PosiDividendSum）+ 守恒。
|
||||
///
|
||||
/// 序列（StartDate=1/5，reg_date 1/6、1/7 各一期，每期 = qty×per100/100 = 10）：
|
||||
/// D1=1/6 无事件 Copy：窗口(1/5,1/6] 命中 reg_date 1/6 → TdPosiDividend=10，PosiDividendSum=10
|
||||
/// D2=1/7 盘中互换：GetPreEodDividendSum(读 D1) → DividendIn=10；保存 swap_event；EOD 窗口(1/6,1/7] 命中 reg_date 1/7 → 新计 10 - 实现 10 → PosiDividendSum=10
|
||||
/// 守恒：全程新计(10+10) - 全程实现(10) = 末尾 PosiDividendSum(10)
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 盘中收益互换_DividendIn真实算_保存后EOD_不重复不丢失()
|
||||
{
|
||||
var eodSvc = new EodSvcStub(BondPayments());
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition();
|
||||
var initialEod = CreateInitialEod();
|
||||
|
||||
// D1=1/6 无事件 EOD
|
||||
var d1 = new DateTime(2026, 1, 6);
|
||||
var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate);
|
||||
AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum(0+1天×10)");
|
||||
|
||||
// D2=1/7 盘中：DividendIn 由生产方法 GetPreEodDividendSum 真实算（读 D1 EOD，当日 EOD 未生成）
|
||||
var d2 = new DateTime(2026, 1, 7);
|
||||
var dealSvc = new DealSvcStub(
|
||||
new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } },
|
||||
new List<eod_swap_position> { r1 });
|
||||
decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2);
|
||||
AssertDecimalEqual(10m, dividendIn, 0.01m, "盘中 DividendIn=GetPreEodDividendSum 读 T-1(D1)=10");
|
||||
Console.WriteLine($"[盘中预览] DividendIn={dividendIn}（读 T-1 EOD PosiDividendSum={r1.PosiDividendSum}）");
|
||||
|
||||
// 保存互换事件（DividendIn=真实算出的值，模拟界面点收益互换后保存）
|
||||
var swapEvent = SwapEvent(dividendIn, d2);
|
||||
|
||||
// D2=1/7 EOD（UpdateEodPosition，真实生产递推）
|
||||
var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List<swap_flow_event> { swapEvent });
|
||||
|
||||
// 断言：不重复 + 不丢失
|
||||
AssertDecimalEqual(10m, r2.TdPosiDividend, 0.01m, "D2 当日新计(1天×10)");
|
||||
AssertDecimalEqual(dividendIn, r2.TdCloseDividend, 0.01m, "D2 TdCloseDividend=互换DividendIn（扣减→不重复累计）");
|
||||
AssertDecimalEqual(10m, r2.PosiDividendSum, 0.01m, "D2 PosiDividendSum=前日10+新计10-实现10=10（当日新计挂着→不丢失）");
|
||||
|
||||
// 守恒：全程新计 - 全程实现 = 末尾 PosiDividendSum
|
||||
decimal totalNew = r1.TdPosiDividend + r2.TdPosiDividend;
|
||||
decimal totalRealized = r2.TdCloseDividend;
|
||||
AssertDecimalEqual(r2.PosiDividendSum, totalNew - totalRealized, 0.01m,
|
||||
$"守恒：末尾 PosiDividendSum({r2.PosiDividendSum}) = 全程新计({totalNew}) - 全程实现({totalRealized})");
|
||||
|
||||
Console.WriteLine($"[EOD 后] TdPosiDividend={r2.TdPosiDividend} TdCloseDividend={r2.TdCloseDividend} PosiDividendSum={r2.PosiDividendSum}");
|
||||
Console.WriteLine($"结论：互换实现 {dividendIn} 被扣减（不重复）；当日新计 {r2.TdPosiDividend} 挂 PosiDividendSum（不丢失）");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 登记日当日全平（盘中平仓→收盘持仓 0）：按各交易场所规定，不享有登记日当日的分红
|
||||
/// （股权登记日以收盘在册为准；盘中全平→收盘不在册）。验证系统行为符合该规定。
|
||||
///
|
||||
/// 系统行为：①盘中 DividendIn=GetPreEodDividendSum 读 T-1（=T日前待实现，正确不含登记日当日 reg_date 1/7 的分红）；
|
||||
/// ②EOD 全平 PosiQuantity=0 → TdPosiDividend=0（不计提登记日当日 reg_date 1/7）+ PosiDividendSum=0。
|
||||
/// 即登记日当日分红（reg_date 1/7 的 10）既不进 DividendIn、也不进 PosiDividendSum = 正确不享有。
|
||||
/// 应得 = T日前待实现累计（r1.PosiDividendSum，仅含 1/6 那期 10）；实拿 = DividendIn → 相等，无丢失（不享有当日是正确的）。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 登记日全平_按交易场所规定不享有当日分红()
|
||||
{
|
||||
var eodSvc = new EodSvcStub(BondPayments());
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition();
|
||||
var initialEod = CreateInitialEod();
|
||||
|
||||
// D1=1/6 无事件 EOD
|
||||
var d1 = new DateTime(2026, 1, 6);
|
||||
var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate);
|
||||
AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum");
|
||||
|
||||
// D2=1/7 盘中全平：DividendIn 由生产方法真实算（读 D1 EOD，当日 EOD 未生成）
|
||||
var d2 = new DateTime(2026, 1, 7);
|
||||
var dealSvc = new DealSvcStub(
|
||||
new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } },
|
||||
new List<eod_swap_position> { r1 });
|
||||
decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2);
|
||||
AssertDecimalEqual(10m, dividendIn, 0.01m, "全平 DividendIn=读T-1(D1)=10（漏 D2 当日新计）");
|
||||
|
||||
// 全平事件（扣全部持仓）
|
||||
var closeEvent = CloseEvent(InitialQty, dividendIn, d2);
|
||||
|
||||
// D2=1/7 EOD（UpdateEodPosition，全平→PosiQuantity=0）
|
||||
var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List<swap_flow_event> { closeEvent });
|
||||
|
||||
// 业务规定：登记日当日全平（盘中平仓→收盘持仓为 0），按各交易场所规定不享有登记日当日的分红
|
||||
// （股权登记日以收盘在册为准）。故应得 = T日(登记日)之前的待实现累计 = r1.PosiDividendSum（不含登记日当日）。
|
||||
// 系统行为正确：①DividendIn 读 T-1（=T日前待实现，正确不含当日）；②EOD 全平 PosiQuantity=0 不计提当日。
|
||||
// 即登记日当日分红既不进 DividendIn 也不进 PosiDividendSum = 正确不享有。
|
||||
decimal expectedTotal = r1.PosiDividendSum; // 应得 = T日前待实现（不含登记日当日，因全平不享有）
|
||||
decimal actualGot = dividendIn + r2.PosiDividendSum;
|
||||
|
||||
Console.WriteLine($"[登记日全平] 应得(T日前待实现)={expectedTotal}, 实拿(DividendIn+PosiDividendSum)={actualGot}");
|
||||
Console.WriteLine($"[登记日全平] DividendIn={dividendIn}, EOD:TdPosiDividend={r2.TdPosiDividend} PosiDividendSum={r2.PosiDividendSum} PosiQuantity={r2.PosiQuantity}");
|
||||
|
||||
// 断言：实拿 = 应得（登记日全平不享有当日，符合交易场所规定）
|
||||
AssertDecimalEqual(expectedTotal, actualGot, 0.01m,
|
||||
$"实拿应=应得(T日前待实现{expectedTotal})，登记日全平不享有当日分红（符合交易场所规定）");
|
||||
AssertDecimalEqual(0m, r2.TdPosiDividend, 0.01m, "登记日全平 EOD 不计提当日（PosiQuantity=0，正确）");
|
||||
AssertDecimalEqual(0m, r2.PosiDividendSum, 0.01m, "全平后 PosiDividendSum=0");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 【死代码删除的边界规格】脏数据（OriginalStockEqvNotional=null / PosiNetPrice=0）不得让
|
||||
/// UpdateEodPosition 崩溃，且分红产出与正常数据完全一致。
|
||||
/// 背景：这两个字段在 UpdateEodPosition 内的唯一消费点是历史遗留死代码
|
||||
/// （originNotional→totalPayment 全历史重算，结果从未被使用，2026-08 论证后删除）——
|
||||
/// 删除前该脏数据会在 EOD 抛 InvalidOperationException/除零；删除后是设计内行为。
|
||||
/// 本测试同时钉住：删除后输出等价（与同输入正常数据路径一致）。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 脏数据边界_死代码涉及字段_不影响EOD分红产出()
|
||||
{
|
||||
// 正常数据基准
|
||||
var eodSvcClean = new EodSvcStub(BondPayments());
|
||||
var tdClean = CreateTrade();
|
||||
var positionClean = CreatePosition();
|
||||
var initialEod = CreateInitialEod();
|
||||
var d1 = new DateTime(2026, 1, 6);
|
||||
var d2 = new DateTime(2026, 1, 7);
|
||||
var r1Clean = eodSvcClean.ExecuteCopyEodPosition(initialEod, tdClean, d1, StartDate);
|
||||
var r2Clean = eodSvcClean.ExecuteUpdateEodPosition(positionClean, r1Clean, tdClean, d2, d1,
|
||||
new List<swap_flow_event> { CloseEvent(InitialQty, r1Clean.PosiDividendSum, d2) });
|
||||
|
||||
// 脏数据：死代码涉及的两字段置脏（活路径零消费，见方法内 grep 论证）
|
||||
var eodSvcDirty = new EodSvcStub(BondPayments());
|
||||
var tdDirty = CreateTrade();
|
||||
tdDirty.OriginalStockEqvNotional = null; // 死代码 (decimal) 强转崩溃点
|
||||
var positionDirty = CreatePosition();
|
||||
positionDirty.PosiNetPrice = 0m; // 死代码除零崩溃点
|
||||
var r1Dirty = eodSvcDirty.ExecuteCopyEodPosition(initialEod, tdDirty, d1, StartDate);
|
||||
var r2Dirty = eodSvcDirty.ExecuteUpdateEodPosition(positionDirty, r1Dirty, tdDirty, d2, d1,
|
||||
new List<swap_flow_event> { CloseEvent(InitialQty, r1Dirty.PosiDividendSum, d2) });
|
||||
|
||||
// 脏数据不崩 + 输出与正常数据逐字段一致
|
||||
AssertDecimalEqual(r2Clean.TdPosiDividend, r2Dirty.TdPosiDividend, 0.0001m, "TdPosiDividend 不受脏字段影响");
|
||||
AssertDecimalEqual(r2Clean.TdCloseDividend, r2Dirty.TdCloseDividend, 0.0001m, "TdCloseDividend 不受脏字段影响");
|
||||
AssertDecimalEqual(r2Clean.PosiDividendSum, r2Dirty.PosiDividendSum, 0.0001m, "PosiDividendSum 不受脏字段影响");
|
||||
AssertDecimalEqual(r2Clean.RealizedDividend, r2Dirty.RealizedDividend, 0.0001m, "RealizedDividend 不受脏字段影响");
|
||||
Console.WriteLine($"[脏数据边界] 正常={r2Clean.PosiDividendSum} 脏数据={r2Dirty.PosiDividendSum}（应相等且不抛异常）");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -6,16 +6,14 @@ using YLErp.Modules.SwapModule.FundingLegs;
|
||||
namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
{
|
||||
/// <summary>
|
||||
/// 融资腿策略单测。验证每个策略的 CalcNotional 与现有 CalcNotionalByMode switch 完全一致。
|
||||
/// 这组测试是后续"迁移调用点"的安全网——迁移前后行为必须不变。
|
||||
/// 融资腿策略单测。验证每个 IFundingLegStrategy 实现的 CalcNotional 计息基数公式正确。
|
||||
/// 原 CalcNotionalByMode switch 已重构为策略类（见 FundingLegStrategyFactory）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class FundingLegStrategyTest
|
||||
{
|
||||
private const decimal Fix = 2_000_000m;
|
||||
private const decimal Notional = 100_000_000m;
|
||||
private const decimal LongNotional = 60_000_000m;
|
||||
private const decimal ShortNotional = 40_000_000m;
|
||||
|
||||
#region 固定值(mode 1)
|
||||
|
||||
@@ -23,7 +21,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 固定值_部分平仓_计息基数恒等于Fix()
|
||||
{
|
||||
var leg = new FixedAmountLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 0.5m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 0.5m);
|
||||
|
||||
Assert.AreEqual(Fix, r.ClosePrincipal, "平仓本金恒=Fix");
|
||||
Assert.AreEqual(Fix, r.PosiPrincipal, "持仓本金恒=Fix");
|
||||
@@ -34,7 +32,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 固定值_全平_计息基数仍等于Fix()
|
||||
{
|
||||
var leg = new FixedAmountLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 1m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 1m);
|
||||
Assert.AreEqual(Fix, r.ClosePrincipal);
|
||||
}
|
||||
|
||||
@@ -46,7 +44,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 合约名义本金_部分平仓_本金按比例缩放()
|
||||
{
|
||||
var leg = new ContractNotionalLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 0.5m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 0.5m);
|
||||
|
||||
Assert.AreEqual(50_000_000m, r.ClosePrincipal);
|
||||
Assert.AreEqual(Notional, r.PosiPrincipal);
|
||||
@@ -57,7 +55,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 合约名义本金_全平_本金等于全额()
|
||||
{
|
||||
var leg = new ContractNotionalLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 1m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 1m);
|
||||
Assert.AreEqual(Notional, r.ClosePrincipal);
|
||||
}
|
||||
|
||||
@@ -65,7 +63,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 合约名义本金_零平仓_本金为零()
|
||||
{
|
||||
var leg = new ContractNotionalLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 0m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 0m);
|
||||
|
||||
Assert.AreEqual(0m, r.ClosePrincipal);
|
||||
Assert.AreEqual(Notional, r.PosiPrincipal);
|
||||
@@ -79,7 +77,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 标的期初全价_部分平仓_主路径公式同mode2()
|
||||
{
|
||||
var leg = new UnderlyingEntryFullPriceLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 0.5m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 0.5m);
|
||||
|
||||
Assert.AreEqual(50_000_000m, r.ClosePrincipal);
|
||||
Assert.AreEqual(Notional, r.PosiPrincipal);
|
||||
@@ -90,7 +88,7 @@ namespace UnitTestProject.Modules.SwapModule.FundingLegs
|
||||
public void 标的期初全价_全平_本金等于全额()
|
||||
{
|
||||
var leg = new UnderlyingEntryFullPriceLeg();
|
||||
var r = leg.CalcNotional(Fix, Notional, LongNotional, ShortNotional, 1m);
|
||||
var r = leg.CalcNotional(Fix, Notional, 1m);
|
||||
Assert.AreEqual(Notional, r.ClosePrincipal);
|
||||
}
|
||||
|
||||
|
||||
@@ -0,0 +1,235 @@
|
||||
using YLErp.Modules.EodModule;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// GLMS-20260105-0006 回归：债券 TRS 登记日当天手动平仓/互换，分红收益应为 36160 而非 0。
|
||||
/// 根因双成因：
|
||||
/// A. BondPaymentService.GetBondPayments 用支付日(pay_date_PL/pay_date_act)而非债权登记日(reg_date)判定谁享有票息
|
||||
/// -> 登记日(4/3)当日 EOD 不计提，跨过支付日(4/6)才计提（巧合：4/4-4/5周末，下一交易日恰=支付日，掩盖缺陷）
|
||||
/// B. SwapDealService.GetPreEodDividendSum 用 ValueDate 严格小于 dealDate 读 T-1 EOD 快照
|
||||
/// -> 登记日当天手动平仓读不到当日 EOD，拿到 0
|
||||
/// 本文件用手工合成内存数据（不连 96 库），通过 virtual seam 注入，真实跑生产日期逻辑。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class GLMS20260105_0006_RegisterDateDividendTest
|
||||
{
|
||||
private const string BondCode = "230004.IB";
|
||||
private const int TradeId = 6006;
|
||||
private const long PositionId = 60061;
|
||||
private const decimal Qty = 20_000_000m;
|
||||
private const decimal PaymentPer100 = 0.1808m;
|
||||
private const decimal ExpectedDividend = 36_160m; // 20,000,000 × 0.1808 / 100
|
||||
|
||||
// 付息日历（截图）：登记日 4/3，支付日 4/6
|
||||
private static readonly DateTime RegDate = new(2026, 4, 3);
|
||||
private static readonly DateTime PayDate = new(2026, 4, 6);
|
||||
private static readonly DateTime PreRegDate = new(2026, 4, 2);
|
||||
|
||||
// 多次付息日历（截图：债券 230004.IB，每期票息 0.1808，共 5 次登记日）
|
||||
private static readonly DateTime[] RegDates = {
|
||||
new(2026, 2, 28), new(2026, 4, 3), new(2026, 4, 29),
|
||||
new(2026, 5, 29), new(2026, 6, 29)
|
||||
};
|
||||
private static readonly DateTime[] PayDates = {
|
||||
new(2026, 3, 2), new(2026, 4, 6), new(2026, 4, 30),
|
||||
new(2026, 6, 1), new(2026, 6, 30)
|
||||
};
|
||||
|
||||
#region 成因 A：日期口径 seam
|
||||
|
||||
private sealed class TestableBondPaymentService : BondPaymentService
|
||||
{
|
||||
private readonly List<BondPayment> _data;
|
||||
public TestableBondPaymentService(List<BondPayment> data) : base(OptUserInfo.UnitTestUser) { _data = data; }
|
||||
|
||||
protected override IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
|
||||
=> _data.Where(x => x.underlyingCode == underlyingCode).AsQueryable();
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseA_登记日当日EOD_应按登记日口径选中付息记录()
|
||||
{
|
||||
var record = new BondPayment
|
||||
{
|
||||
underlyingCode = BondCode,
|
||||
reg_date = RegDate, // 债权登记日 4/3（关键：分红归属按此判定）
|
||||
payment_date_pl = PayDate, // 理论付息日 4/6
|
||||
payment_date = PayDate, // 实际付息日 4/6
|
||||
payment_interest = PaymentPer100
|
||||
};
|
||||
var svc = new TestableBondPaymentService(new List<BondPayment> { record });
|
||||
|
||||
// 登记日当日的 EOD 计提区间 (4/2, 4/3]
|
||||
var payments = svc.GetBondPayments(BondCode, PreRegDate, RegDate);
|
||||
|
||||
// 修复前：用支付日(pay_date_PL=4/6)过滤 -> 4/6 不在 (4/2,4/3] -> 0 条（漏计分红）
|
||||
// 修复后：用债权登记日(reg_date=4/3)过滤 -> 4/3 落在区间 -> 1 条（GLMS-20260105-0006 已修复）
|
||||
Assert.AreEqual(1, payments.Count,
|
||||
"登记日(4/3)当日 EOD 应按债权登记日(reg_date)选中该笔付息；" +
|
||||
"当前按支付日(pay_date_PL=4/6)过滤会漏选->0条，导致分红不计提。");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseA_MultiRegDate_跨登记日区间命中正确子集()
|
||||
{
|
||||
var records = Enumerable.Range(0, 5).Select(i => new BondPayment
|
||||
{
|
||||
underlyingCode = BondCode,
|
||||
reg_date = RegDates[i],
|
||||
payment_date_pl = PayDates[i],
|
||||
payment_date = PayDates[i],
|
||||
payment_interest = PaymentPer100
|
||||
}).ToList();
|
||||
var svc = new TestableBondPaymentService(records);
|
||||
|
||||
// 单次窗口：每个登记日各自命中 1 条（验证按 reg_date 过滤，非支付日）
|
||||
for (int i = 0; i < 5; i++)
|
||||
{
|
||||
var prev = i == 0 ? RegDates[i].AddDays(-1) : RegDates[i - 1];
|
||||
var hit = svc.GetBondPayments(BondCode, prev, RegDates[i]);
|
||||
Assert.AreEqual(1, hit.Count, $"窗口({prev:yyyy-MM-dd},{RegDates[i]:yyyy-MM-dd}] 应仅命中登记日 {RegDates[i]:yyyy-MM-dd} 那条");
|
||||
Assert.AreEqual(RegDates[i], hit[0].reg_date, "命中的应是该登记日记录");
|
||||
}
|
||||
|
||||
// 长区间应命中全部 5 条，不漏不混
|
||||
var all = svc.GetBondPayments(BondCode, RegDates[0].AddDays(-1), RegDates[4]);
|
||||
Assert.AreEqual(5, all.Count, "长区间(登记日1前,登记日5] 应命中全部 5 次付息");
|
||||
|
||||
// 跨登记日中间区间：(4/2, 4/29] 应命中 4/3 与 4/29 两条（不含 2/28、5/29、6/29）
|
||||
var mid = svc.GetBondPayments(BondCode, new DateTime(2026, 4, 2), new DateTime(2026, 4, 29));
|
||||
Assert.AreEqual(2, mid.Count, "(4/2,4/29] 应命中 4/3+4/29 两条");
|
||||
CollectionAssert.AreEquivalent(
|
||||
new[] { new DateTime(2026, 4, 3), new DateTime(2026, 4, 29) },
|
||||
mid.Select(x => x.reg_date!.Value).ToArray());
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseA_MultiRegDate_CalcPayment累加五期票息()
|
||||
{
|
||||
var records = Enumerable.Range(0, 5).Select(i => new BondPayment
|
||||
{
|
||||
underlyingCode = BondCode,
|
||||
reg_date = RegDates[i],
|
||||
payment_date_pl = PayDates[i],
|
||||
payment_date = PayDates[i],
|
||||
payment_interest = PaymentPer100
|
||||
}).ToList();
|
||||
var svc = new TestableBondPaymentService(records);
|
||||
|
||||
// 长区间取全部 5 期，CalcPayment 应累加 = 5 × 36160 = 180,800（原测试仅覆盖单期）
|
||||
var payments = svc.GetBondPayments(BondCode, RegDates[0].AddDays(-1), RegDates[4]);
|
||||
var total = svc.CalcPayment(payments, Qty, 1, 1);
|
||||
Assert.AreEqual(5 * ExpectedDividend, total, 0.01m,
|
||||
"5 期票息累加应为 5 × 36,160 = 180,800；单期口径会漏计其余 4 期");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 成因 B：T-1 快照 seam
|
||||
|
||||
private sealed class TestableSwapDealService : SwapDealService
|
||||
{
|
||||
private readonly List<eod_swap> _eodSwaps;
|
||||
private readonly List<eod_swap_position> _eodPositions;
|
||||
public TestableSwapDealService(List<eod_swap> eodSwaps, List<eod_swap_position> eodPositions)
|
||||
: base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; }
|
||||
|
||||
public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate)
|
||||
=> GetPreEodDividendSum(tradeId, positionId, dealDate);
|
||||
|
||||
protected override IQueryable<eod_swap> QueryPreEodSwaps(int tradeId)
|
||||
=> _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable();
|
||||
|
||||
protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate)
|
||||
=> _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseB_登记日当天手动平仓_应读到当日EOD分红36160()
|
||||
{
|
||||
// 4/2 EOD：累计分红 0；4/3 EOD（登记日）：累计分红 36160（即登记日应有的状态）
|
||||
var eodSwaps = new List<eod_swap>
|
||||
{
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = PreRegDate },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = RegDate }
|
||||
};
|
||||
var eodPositions = new List<eod_swap_position>
|
||||
{
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = PreRegDate, PosiDividendSum = 0m, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = RegDate, PosiDividendSum = ExpectedDividend, PosiQuantity = Qty }
|
||||
};
|
||||
var svc = new TestableSwapDealService(eodSwaps, eodPositions);
|
||||
|
||||
// 登记日(4/3)当天手动平仓
|
||||
var dividend = svc.ExposeGetPreEodDividendSum(TradeId, PositionId, RegDate);
|
||||
|
||||
// 修复前：ValueDate 严格小于 dealDate 读 T-1(4/2) -> 0（漏读当日分红）
|
||||
// 修复后：ValueDate 小于等于 dealDate 读当日(4/3) -> 36160（GLMS-20260105-0006 已修复）
|
||||
Assert.AreEqual(ExpectedDividend, dividend, 0.01m,
|
||||
"登记日(4/3)当天手动平仓应读到当日 EOD 累计分红 36,160；" +
|
||||
"当前 GetPreEodDividendSum 用 ValueDate < dealDate 读 T-1 快照->0。");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseB_MultiRegDate_Auto实现归0后下次登记日重新累加()
|
||||
{
|
||||
// 模拟：登记日1(2/28)计提 36160 → auto互换实现归0(3/1) → 登记日2(4/3)再计提 36160
|
||||
var eodSwaps = new List<eod_swap>
|
||||
{
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,2,27) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,2,28) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,3,1) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,4,2) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,4,3) },
|
||||
};
|
||||
var eodPositions = new List<eod_swap_position>
|
||||
{
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,2,27), PosiDividendSum = 0m, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,2,28), PosiDividendSum = ExpectedDividend, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,3,1), PosiDividendSum = 0m, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,4,2), PosiDividendSum = 0m, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,4,3), PosiDividendSum = ExpectedDividend, PosiQuantity = Qty },
|
||||
};
|
||||
var svc = new TestableSwapDealService(eodSwaps, eodPositions);
|
||||
|
||||
// 登记日2(4/3)当天手动互换：应读 4/3 EOD = 36160（第二次，非第一次已实现的、非 0）
|
||||
var dividend = svc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 4, 3));
|
||||
Assert.AreEqual(ExpectedDividend, dividend, 0.01m,
|
||||
"登记日2(4/3)手动互换应读当日EOD=第二次分红36160；" +
|
||||
"若读T-1(4/2=0)则漏当日，若读2/28则错取第一次已实现的。");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CauseB_MultiRegDate_手动互换期间分红挂账累计四期()
|
||||
{
|
||||
// 模拟：多次登记日之间未 auto 实现，分红挂账累加
|
||||
// 4/3=36160, 4/29=72320, 5/29=108480, 6/29=144640（4期累计）
|
||||
var eodSwaps = new List<eod_swap>
|
||||
{
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,4,3) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,4,29) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,5,29) },
|
||||
new eod_swap { SwapTradeId = TradeId, ValueDate = new DateTime(2026,6,29) },
|
||||
};
|
||||
var eodPositions = new List<eod_swap_position>
|
||||
{
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,4,3), PosiDividendSum = 1 * ExpectedDividend, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,4,29), PosiDividendSum = 2 * ExpectedDividend, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,5,29), PosiDividendSum = 3 * ExpectedDividend, PosiQuantity = Qty },
|
||||
new eod_swap_position { SwapTradeId = TradeId, PositionId = PositionId, ValueDate = new DateTime(2026,6,29), PosiDividendSum = 4 * ExpectedDividend, PosiQuantity = Qty },
|
||||
};
|
||||
var svc = new TestableSwapDealService(eodSwaps, eodPositions);
|
||||
|
||||
// 每次登记日当天手动互换应读到该日累计值（验证多次付息累计被正确读取）
|
||||
Assert.AreEqual(1 * ExpectedDividend, svc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 4, 3)), 0.01m, "4/3 应读 36160");
|
||||
Assert.AreEqual(2 * ExpectedDividend, svc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 4, 29)), 0.01m, "4/29 应读 72320（2期累计）");
|
||||
Assert.AreEqual(3 * ExpectedDividend, svc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 5, 29)), 0.01m, "5/29 应读 108480（3期累计）");
|
||||
// 关键：第 4 期登记日累计 = 4 × 36160 = 144640（原 9df39491 仅覆盖单期 36160，未验证多次付息累计）
|
||||
Assert.AreEqual(4 * ExpectedDividend, svc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 6, 29)), 0.01m,
|
||||
"6/29 应读 144640（4期累计）；原 9df39491 仅覆盖单期 36160，未验证多次付息累计。");
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -28,6 +28,7 @@ namespace YLErp.Modules.SwapModule
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Record_RealSnapshot()
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -113,6 +114,7 @@ namespace YLErp.Modules.SwapModule
|
||||
|
||||
private void DiagnoseTrade(string tradeNumber)
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -266,6 +268,7 @@ namespace YLErp.Modules.SwapModule
|
||||
public void Diagnose_0006_UnwindPercentRate_Display()
|
||||
{
|
||||
const string tradeNumber = "GLMS-20260701-0006";
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
|
||||
@@ -209,10 +209,10 @@ namespace YLErp.Modules.SwapModule
|
||||
CloseDate, CloseDate, // valueDate / unwindDate
|
||||
new List<eod_swap_position>(), // eodPositions（空）
|
||||
new List<swap_position> { position },
|
||||
Notional, Notional, Notional, Notional, // posiNotional / long / short / closePosiNotional
|
||||
Notional, Notional, // posiNotional / closePosiNotional
|
||||
1m, // closePercent
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m, Notional, // tdClose / needPrice / grossPrice / orginPv
|
||||
false, Notional, // tdClose / orginPv
|
||||
false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
|
||||
@@ -32,6 +32,7 @@ namespace YLErp.Modules.SwapModule
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Record_RealSnapshot()
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -193,6 +194,7 @@ namespace YLErp.Modules.SwapModule
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void Diagnose_100vs40_InterestDiff()
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库：{ex.Message}"); return; }
|
||||
@@ -246,8 +248,19 @@ namespace YLErp.Modules.SwapModule
|
||||
var valueDate = DateTime.Today;
|
||||
var unwindDate = DateTime.Today;
|
||||
|
||||
var interests100 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp100_B, (int)SwapEventTypeEnum.平仓);
|
||||
var interests40 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp40_B, (int)SwapEventTypeEnum.平仓);
|
||||
// FR007 fixing 是外部数据依赖：非交易日/数据未发布时取价会抛 Exception。
|
||||
// 与"连不上库自动 Inconclusive"同语义——外部数据不可用不应判为测试失败。
|
||||
List<swap_flow_event> interests100, interests40;
|
||||
try
|
||||
{
|
||||
interests100 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp100_B, (int)SwapEventTypeEnum.平仓);
|
||||
interests40 = new SwapDealService(user).GetUnwindInterests(valueDate, unwindDate, td.id, cp40_B, (int)SwapEventTypeEnum.平仓);
|
||||
}
|
||||
catch (Exception ex) when (ex.Message.Contains("获取不到") && ex.Message.Contains("价格"))
|
||||
{
|
||||
Assert.Inconclusive($"FR007 fixing 数据不可用（{valueDate:yyyy-MM-dd} 非交易日或数据未发布）：{ex.Message}");
|
||||
return;
|
||||
}
|
||||
|
||||
PrintInterestComparison(interests100, interests40, cp100_B, cp40_B);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,603 @@
|
||||
using Newtonsoft.Json;
|
||||
using YLErp.DBModels.Enums;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6968 FR007 不算尾平仓"上午未发布"误拦截 —— 修复后回归套件（内存，不连库）。
|
||||
/// 任务编号 EQD-6968；现象报告日 2026-08-17。参照 GLMS20260703CloseInterestTest 内存 FR007 写法。
|
||||
///
|
||||
/// 设计：所有场景经单一 Run 运行器驱动真实 GetInterests 平仓利息路径；
|
||||
/// 内存 StubSwapDealService 重写 TryGetFloatRate 按日期返回 FR007（缺失即返回 false → 触发取价失败）。
|
||||
/// 覆盖两条计息路径（复利 CalcDailyCompoundInterest / 单利 CalcDailySimpleInterest）共用的修复点 BuildSegmentRates，
|
||||
/// 以及全平重放分支、非整倍数边界、数值一致性（"跳过取价=沿用上一重置日利率"）。
|
||||
///
|
||||
/// 核心语义：算头不算尾(calcLast=false)时 endDate 当天不计息，其 FR007 利率不参与计息。
|
||||
/// 缺价时跳过取价（currentFloat 保持不变），不回退取其他日期利率，不告警。
|
||||
///
|
||||
/// 守卫矩阵（防"放宽过头"，对应 EQD-6968 方案一四场景）：
|
||||
/// Guard_*：算尾("11"或newCalcLast=true)+当日重置日+当日缺价 → 必须仍拦截（正确依赖）；
|
||||
/// PrevBizDay_*：interest_rule=-1（前一营业日基准）→ 取价日回拨，当日未发布也放行（场景2）；
|
||||
/// TailCalced_NonResetDay_*：算尾+当日非重置日 → 当日价未消费，缺价放行（场景3）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class GLMS20260817Fr007UnwindMorningTest
|
||||
{
|
||||
private static readonly Dictionary<DateTime, double> Fr007Market = new()
|
||||
{
|
||||
[new DateTime(2026, 7, 6)] = 0.0142,
|
||||
[new DateTime(2026, 7, 13)] = 0.01425,
|
||||
[new DateTime(2026, 7, 20)] = 0.0143,
|
||||
};
|
||||
/// <summary>interest_rule=-1（前一营业日基准）取价日市场：重置日 7/6、7/13、7/20（周一）
|
||||
/// 经 GetFixingDate 回拨至前一营业日 7/3、7/10、7/17（周五）。
|
||||
/// 同时供未回拨的 7/5、7/12、7/19（周日）：QDP "chn" 日历在测试进程内可能被其他用例替换为
|
||||
/// "全营业日"退化态（全量运行实测 GetNonHolidayDefore(7/19)=7/19 不回拨），
|
||||
/// 两套日期都供价使本套件对进程内日历状态不敏感——被测对象是取价放宽语义，不是日历本身。</summary>
|
||||
private static readonly Dictionary<DateTime, double> Fr007MarketPrevBizDay = new()
|
||||
{
|
||||
[new DateTime(2026, 7, 3)] = 0.0142,
|
||||
[new DateTime(2026, 7, 5)] = 0.0142,
|
||||
[new DateTime(2026, 7, 10)] = 0.01425,
|
||||
[new DateTime(2026, 7, 12)] = 0.01425,
|
||||
[new DateTime(2026, 7, 17)] = 0.0143,
|
||||
[new DateTime(2026, 7, 19)] = 0.0143,
|
||||
};
|
||||
private const double PreviousResetRate = 0.01425;
|
||||
|
||||
private const decimal Notional = 279486108.21m;
|
||||
private const int AnnualDays = 365;
|
||||
private const decimal Spread = -0.0155m;
|
||||
private static readonly DateTime StartDate = new(2026, 7, 6);
|
||||
private static readonly DateTime TradeDate = new(2026, 7, 3);
|
||||
private static readonly DateTime CloseDate = new(2026, 7, 20);
|
||||
private static readonly DateTime NonIntCloseDate = new(2026, 7, 22);
|
||||
|
||||
private sealed class StubSwapDealService : SwapDealService
|
||||
{
|
||||
private readonly HashSet<DateTime> _omit;
|
||||
private readonly double _closeRate;
|
||||
private readonly Dictionary<DateTime, double> _market;
|
||||
public readonly List<DateTime> PricedDates = new();
|
||||
|
||||
public StubSwapDealService(OptUserInfo optUser, IEnumerable<DateTime> omit, double closeRate = 0.0143,
|
||||
Dictionary<DateTime, double> market = null)
|
||||
: base(optUser)
|
||||
{
|
||||
_omit = new HashSet<DateTime>(omit.Select(d => d.Date));
|
||||
_closeRate = closeRate;
|
||||
_market = market;
|
||||
}
|
||||
|
||||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
rate = 0d;
|
||||
if (underlyingCode != "FR007") return false;
|
||||
var map = new Dictionary<DateTime, double>(_market ?? Fr007Market) { [CloseDate] = _closeRate };
|
||||
if (_omit.Contains(valueDate.Date)) return false;
|
||||
if (map.TryGetValue(valueDate.Date, out rate))
|
||||
{
|
||||
PricedDates.Add(valueDate.Date);
|
||||
return true;
|
||||
}
|
||||
return false;
|
||||
}
|
||||
|
||||
// 内存世界无历史结息流水，consumedInterest=0（与本类"内存，不连库"声明一致；否则复利路径偷连 96 库）
|
||||
public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
|
||||
}
|
||||
|
||||
private sealed class Outcome
|
||||
{
|
||||
public swap_flow_event Fe;
|
||||
public Exception Ex;
|
||||
public StubSwapDealService Svc;
|
||||
public bool Threw => Ex != null;
|
||||
}
|
||||
|
||||
private static OptUserInfo MakeOptUser() =>
|
||||
new(0, nameof(GLMS20260817Fr007UnwindMorningTest), OptUserFrom.UnitTest);
|
||||
|
||||
private static trade BuildTrade(DateTime closeDate, string calcMode = "10", DateTime? exerciseDate = null)
|
||||
{
|
||||
var extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = calcMode,
|
||||
SettlementRules = 0
|
||||
})
|
||||
};
|
||||
return new trade
|
||||
{
|
||||
id = 1,
|
||||
TradeNumber = "GLMS-20260817-FR007-MORNING",
|
||||
ClientId = 999998,
|
||||
TradeType = "债券TRS",
|
||||
TradeDate = TradeDate,
|
||||
StartDate = StartDate,
|
||||
ExerciseDate = exerciseDate ?? closeDate.AddDays(1),
|
||||
TradeStatus = "已平仓",
|
||||
ValidState = "Valid",
|
||||
trade_extend = extend
|
||||
};
|
||||
}
|
||||
|
||||
private static swap_position BuildPosition(InterestTypeEnum interestType, DateTime closeDate, int restDays = 7,
|
||||
int interestRule = 0)
|
||||
{
|
||||
var intervalModels = new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = closeDate, Rate = Spread, Settlement = 0 }
|
||||
};
|
||||
return new swap_position
|
||||
{
|
||||
id = 1001,
|
||||
SwapTradeId = 1,
|
||||
PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.支付,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = Spread,
|
||||
InterestPrincipalFix = Notional,
|
||||
PosiStartDate = StartDate,
|
||||
PosiMatuirityDate = closeDate,
|
||||
IsInitial = true,
|
||||
Invalid = false,
|
||||
InterestType = (int)interestType,
|
||||
IsAnnualized = true,
|
||||
interest_rest_days = restDays,
|
||||
interest_rule = interestRule,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
FloatRate = 0m,
|
||||
PosiNotionalValue = Notional,
|
||||
UnderlyingCode = "2500002.IB",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
|
||||
};
|
||||
}
|
||||
|
||||
private static eod_swap_position BuildPreEod(DateTime valueDate, decimal floatRate = 0.01425m)
|
||||
{
|
||||
return new eod_swap_position
|
||||
{
|
||||
id = 5001,
|
||||
PositionId = 1001,
|
||||
ValueDate = valueDate,
|
||||
FloatRate = floatRate,
|
||||
InterestProfitSum = -100000m,
|
||||
TdInterestPrincipal = Notional,
|
||||
InterestIncomeSum = -150000m
|
||||
};
|
||||
}
|
||||
|
||||
private static Outcome Run(
|
||||
InterestTypeEnum interestType,
|
||||
bool includeCloseDate,
|
||||
DateTime? closeDate = null,
|
||||
int restDays = 7,
|
||||
eod_swap_position preEod = null,
|
||||
decimal closePrecent = 1m,
|
||||
DateTime? omitDate = null,
|
||||
double closeRate = 0.0143,
|
||||
string calcMode = "10",
|
||||
int interestRule = 0,
|
||||
bool newCalcLast = false,
|
||||
Dictionary<DateTime, double> market = null,
|
||||
DateTime? omitDate2 = null,
|
||||
bool settment = false,
|
||||
DateTime? exerciseDate = null)
|
||||
{
|
||||
var cd = closeDate ?? CloseDate;
|
||||
var omit = new HashSet<DateTime>();
|
||||
if (omitDate.HasValue || omitDate2.HasValue)
|
||||
{
|
||||
if (omitDate.HasValue) omit.Add(omitDate.Value.Date);
|
||||
if (omitDate2.HasValue) omit.Add(omitDate2.Value.Date);
|
||||
}
|
||||
else if (!includeCloseDate) omit.Add(cd.Date);
|
||||
|
||||
var svc = new StubSwapDealService(MakeOptUser(), omit, closeRate, market);
|
||||
var td = BuildTrade(cd, calcMode, exerciseDate);
|
||||
var position = BuildPosition(interestType, cd, restDays, interestRule);
|
||||
var eodList = preEod == null
|
||||
? new List<eod_swap_position>()
|
||||
: new List<eod_swap_position> { preEod };
|
||||
try
|
||||
{
|
||||
var interests = svc.GetInterests(
|
||||
td, td.trade_extend, cd, cd, eodList,
|
||||
new List<swap_position> { position },
|
||||
Notional, Notional, closePrecent,
|
||||
(int)SwapEventTypeEnum.平仓, false, Notional,
|
||||
false, settment: settment, newCalcLast: newCalcLast, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "应返回恰好 1 条利息事件");
|
||||
return new Outcome { Fe = interests[0], Svc = svc };
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
return new Outcome { Ex = ex };
|
||||
}
|
||||
}
|
||||
|
||||
private static void AssertNoThrow(Outcome o, string scenario)
|
||||
{
|
||||
Assert.IsFalse(o.Threw, scenario + " 不应因平仓日 FR007 未发布而抛异常：" + o.Ex?.Message);
|
||||
Assert.IsNotNull(o.Fe, scenario + " 应返回利息事件");
|
||||
Assert.IsFalse(o.Fe.InterestAmount == 0 && o.Fe.FloatRate == 0, scenario + " 利息不应全为零");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Red_Compound_WithoutCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false), "复利-无preEod-缺平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Baseline_Compound_WithCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true), "复利-无preEod-有平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Red_Compound_FullClose_WithPreEod_WithoutCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"复利-全平重放-缺平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Baseline_Compound_FullClose_WithPreEod_WithCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"复利-全平重放-有平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Red_Simple_WithoutPreEod_WithoutCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false), "单利-无preEod-缺平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Red_Simple_WithPreEod_WithoutCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate)),
|
||||
"单利-带preEod-缺平仓日");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Consistency_Compound_SkipEqualsPreviousRate()
|
||||
{
|
||||
var worldA = Run(InterestTypeEnum.复利, includeCloseDate: false);
|
||||
var worldB = Run(InterestTypeEnum.复利, includeCloseDate: true, closeRate: PreviousResetRate);
|
||||
Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
|
||||
Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
|
||||
Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
|
||||
"缺价跳过取价世界 应与 显式置上一期利率世界 利息完全一致（该日利率不参与计息，沿用上期）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Consistency_Simple_SkipEqualsPreviousRate()
|
||||
{
|
||||
var worldA = Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate));
|
||||
var worldB = Run(InterestTypeEnum.单利, includeCloseDate: true, preEod: BuildPreEod(StartDate), closeRate: PreviousResetRate);
|
||||
Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
|
||||
Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
|
||||
Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
|
||||
"单利：缺价跳过取价世界 应与 显式置上一期利率世界 利息完全一致（该日利率不参与计息）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Boundary_Compound_NonIntegerMultiple_LastResetStillPrices()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, closeDate: NonIntCloseDate, omitDate: new DateTime(2026, 7, 20));
|
||||
Assert.IsTrue(o.Threw, "非整倍数时末段重置日 7/20 缺价应抛异常（该日利率被消费）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Boundary_Compound_NonIntegerMultiple_WithCloseDateSucceeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, closeDate: NonIntCloseDate),
|
||||
"非整倍数-有7/20价-应成功");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Boundary_Simple_NonIntegerMultiple_LastResetStillPrices()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.单利, includeCloseDate: false, closeDate: NonIntCloseDate,
|
||||
preEod: BuildPreEod(StartDate), omitDate: new DateTime(2026, 7, 20));
|
||||
Assert.IsTrue(o.Threw, "单利 非整倍数时末段重置日 7/20 缺价应抛异常");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Boundary_Simple_NonIntegerMultiple_WithCloseDateSucceeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, closeDate: NonIntCloseDate, preEod: BuildPreEod(StartDate)),
|
||||
"单利-非整倍数-有7/20价-应成功");
|
||||
}
|
||||
|
||||
// ── 算尾守卫（EQD-6968 方案一场景4：算尾+当前营业日+当日重置日+当日缺价 → 必须仍拦截）──
|
||||
// 放宽只针对"该日利率不参与计息"的场景；算尾时当日利率被消费，缺价拦截是正确依赖，不得误放。
|
||||
|
||||
[TestMethod]
|
||||
public void Guard_TailCalced_ResetDayFr007Missing_StillThrows()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "11",
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
Assert.IsTrue(o.Threw, "算尾(11)+当日重置日+当日缺价 → 应拦截（该日利率被消费）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Guard_TailCalced_Simple_ResetDayFr007Missing_StillThrows()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.单利, includeCloseDate: false, calcMode: "11",
|
||||
preEod: BuildPreEod(StartDate));
|
||||
Assert.IsTrue(o.Threw, "单利 算尾(11)+当日重置日+当日缺价 → 应拦截");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Baseline_TailCalced_ResetDayFr007Present_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11",
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"算尾(11)+当日重置日+当日有价 → 应成功");
|
||||
}
|
||||
|
||||
// ── newCalcLast 守卫：交易本身"10"不算尾，但本次平仓显式指定算尾 → effectiveCalcLast=true → 缺价仍拦截 ──
|
||||
|
||||
[TestMethod]
|
||||
public void Guard_NewCalcLast_OverridesToTail_MissingPrice_StillThrows()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, newCalcLast: true,
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
Assert.IsTrue(o.Threw, "不算尾(10)+本次平仓指定算尾+当日缺价 → 应按算尾拦截");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Baseline_NewCalcLast_OverridesToTail_WithPrice_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, newCalcLast: true,
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"不算尾(10)+本次平仓指定算尾+当日有价 → 应成功");
|
||||
}
|
||||
|
||||
// ── 前一营业日基准（interest_rule=-1，EQD-6968 方案一场景2）──
|
||||
// 取价日=重置日前一营业日，当日(7/20)定盘未发布也用不到 → 放行；
|
||||
// 但取价日(前一营业日)本身缺价 → 仍是真实依赖，必须拦截。
|
||||
|
||||
[TestMethod]
|
||||
public void PrevBizDay_TailCalced_ResetDayTodayMissing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"算尾(11)+前一营业日基准+当日(7/20)未发布 → 应放行（取价日7/17已发布）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void PrevBizDay_TailCalced_Simple_ResetDayTodayMissing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"单利 算尾(11)+前一营业日基准+当日未发布 → 应放行");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void PrevBizDay_NoTail_ResetDayTodayMissing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, interestRule: -1,
|
||||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"不算尾(10)+前一营业日基准+当日未发布 → 应放行");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void PrevBizDay_TailCalced_FixingDayMissing_StillThrows()
|
||||
{
|
||||
// 取价日候选 7/17(周五，正常日历回拨) 与 7/19(周日，退化日历不回拨) 都扣掉 → 两种日历态下都缺价
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||||
omitDate: new DateTime(2026, 7, 17), omitDate2: new DateTime(2026, 7, 19),
|
||||
market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
Assert.IsTrue(o.Threw, "算尾(11)+前一营业日基准+取价日本身缺价 → 仍应拦截（真实依赖）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
// ── 算尾+当前营业日+当日非重置日（EQD-6968 方案一场景3）──
|
||||
// 当日价未被任何计息段消费（末段重置日7/20是历史日），当日(7/22)缺价 → 放行。
|
||||
|
||||
[TestMethod]
|
||||
public void TailCalced_NonResetDay_TodayMissing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", closeDate: NonIntCloseDate,
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"算尾(11)+当日非重置日+当日(7/22)缺价 → 应放行（非重置日不取当日价）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void TailCalced_NonResetDay_Simple_TodayMissing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "11", closeDate: NonIntCloseDate,
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"单利 算尾(11)+当日非重置日+当日缺价 → 应放行");
|
||||
}
|
||||
|
||||
// ── 不算头不算尾(calcMode="00")：CalcFirst=false 组合 ──
|
||||
// 对尾日 FR007 行为与"10"一致(calcLast 同 false)；另以单利精确断言钉 CalcFirst 语义——
|
||||
// "00" 比"10"恰好少计开始日一天的利息（单利无基数效应，差值可精确到分毫）。
|
||||
|
||||
[TestMethod]
|
||||
public void Red_Compound_NoHeadNoTail_WithoutCloseDateFr007_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "00",
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"不算头不算尾(00)+缺平仓日价 → 应放行（与10同口径，尾日不参与计息）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CalcFirst_Simple_NoHeadDropsExactlyStartDayInterest()
|
||||
{
|
||||
// 无日终快照时 priorValueDate=开始日-1（首重置日 7/6 恒在取价窗内），两世界首段利率同为 7/6 定盘；
|
||||
// "00" 比"10"恰好少计开始日一天——精确断言钉 CalcFirst 边界与首重置日取价窗。
|
||||
var w10 = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "10");
|
||||
var w00 = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "00");
|
||||
Assert.IsFalse(w10.Threw, "10 不应抛：" + w10.Ex?.Message);
|
||||
Assert.IsFalse(w00.Threw, "00 不应抛：" + w00.Ex?.Message);
|
||||
// 开始日 7/6 属首段：all-in = spread(-0.0155) + 定盘(0.0142) = -0.0013；
|
||||
// 单利下 00 与 10 的利息差 = 恰好首日一天利息（年化 A365）。
|
||||
var expectedStartDayInterest = Notional * (Spread + 0.0142m) / AnnualDays;
|
||||
Assert.AreEqual(expectedStartDayInterest, w10.Fe.InterestAmount - w00.Fe.InterestAmount, 0.0000001m,
|
||||
"不算头(00)应恰好少计开始日一天利息（CalcFirst 回归锚）");
|
||||
}
|
||||
|
||||
// ── 事件利率确定性（EQD-6968 自洽化）：排除日不取价，事件利率=末段已消费利率 ──
|
||||
// 同一交易同一天，尾日价缺(上午平仓) vs 有(下午平仓)：金额与落库 FloatRate 必须完全一致，
|
||||
// 杜绝"记录利率取决于点击时刻"。
|
||||
|
||||
[TestMethod]
|
||||
public void Determinism_NoTail_EventFloatRateIndependentOfPublishTime()
|
||||
{
|
||||
var wMorning = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
var wAfternoon = Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "10", closeRate: 0.0199,
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
Assert.IsFalse(wMorning.Threw, "上午世界不应抛：" + wMorning.Ex?.Message);
|
||||
Assert.IsFalse(wAfternoon.Threw, "下午世界不应抛：" + wAfternoon.Ex?.Message);
|
||||
Assert.AreEqual(wMorning.Fe.InterestAmount, wAfternoon.Fe.InterestAmount,
|
||||
"金额不应因尾日价发布与否而变化（尾日利率零消费）");
|
||||
Assert.AreEqual(0.01425m, wMorning.Fe.FloatRate,
|
||||
"事件利率=末段已消费利率（7/13定盘 0.01425），非尾日价");
|
||||
Assert.AreEqual(wMorning.Fe.FloatRate, wAfternoon.Fe.FloatRate,
|
||||
"事件利率必须与平仓时刻(尾日价发布前后)无关");
|
||||
}
|
||||
|
||||
// ── 快照利率携带契约（carry-forward）：带 preEod 时不重复取 ≤ValueDate 的重置日 ──
|
||||
// fetchAfterDate=preEod.ValueDate + seed=preEod.FloatRate 是设计分工：≤上一日终的重置日
|
||||
// 沿用快照携带的"截至 ValueDate 生效利率"（真实 EOD 快照由当日重置日再定盘写入），
|
||||
// >上一日终的重新取价。与无日终场景的根本区别：种子有正确来源，不需要强制重取首重置日。
|
||||
|
||||
[TestMethod]
|
||||
public void CarryForward_Simple_NoHead_PreEodAtStartCarriesFirstPeriodRate()
|
||||
{
|
||||
// preEod.ValueDate=开始日(7/6)，FloatRate=7/6定盘0.0142（模拟开始日EOD快照的真实语义）
|
||||
var o = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "00",
|
||||
closeDate: new DateTime(2026, 7, 10), preEod: BuildPreEod(StartDate, 0.0142m));
|
||||
Assert.IsFalse(o.Threw, "不应抛：" + o.Ex?.Message);
|
||||
Assert.AreEqual(0, o.Svc.PricedDates.Count,
|
||||
"≤上一日终(7/6)的重置日不重复取价——首段利率由快照携带(carry-forward 契约)");
|
||||
Assert.AreEqual(0.0142m, o.Fe.FloatRate,
|
||||
"首段(也是末段)利率=快照携带的 7/6 定盘");
|
||||
// 不算头不算尾：计息日 [7/7,7/10) 共 3 天 @ (spread+0.0142)；单利重放含上日待实现(-100000)
|
||||
Assert.AreEqual(-100000m + Notional * (Spread + 0.0142m) * 3m / AnnualDays, o.Fe.InterestAmount, 0.0000001m,
|
||||
"金额=上日待实现+3天×(spread+快照利率)，首段未误用种子外的任何值");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Eod_NoHead_StartDay_SnapshotRateCarriesFirstFixing()
|
||||
{
|
||||
// 链条起点钉死：开始日当天 EOD（"00"，窗口为空 interestStart=7/7>interestEnd=7/6）——
|
||||
// 窗口为空时"不算尾不取价"分支不命中，走正常取价，快照 FloatRate=开始日定盘。
|
||||
// 次日重放才能以 fetchAfter=开始日 + 携带利率=开始日定盘 正确续算（见上一用例）。
|
||||
var o = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "00",
|
||||
closeDate: StartDate, settment: true);
|
||||
AssertNoThrow(o, "开始日EOD(00) 不应抛");
|
||||
Assert.AreEqual(0.0142m, o.Fe.FloatRate,
|
||||
"开始日EOD快照利率=当日(首重置日)定盘——窗口为空不触发不取价分支");
|
||||
}
|
||||
|
||||
// ── 窗口判定语义（InitInterestDate 直测；死子句 td.StartDate>interestStart 删除后的边界钉死）──
|
||||
|
||||
[TestMethod]
|
||||
public void WindowSemantics_NoHeadStartDay_EmptyViaFirstClause()
|
||||
{
|
||||
var svc = new StubSwapDealService(MakeOptUser(), new HashSet<DateTime>());
|
||||
var td = BuildTrade(StartDate, "00"); // ExerciseDate=7/7
|
||||
bool empty = svc.InitInterestDate(StartDate, null, td, tdClose: false,
|
||||
out var start, out var end);
|
||||
Assert.IsTrue(empty, "不算头首日：interestStart=7/7 > interestEnd=7/6 → 窗口为空（第一子句兜住）");
|
||||
Assert.AreEqual(StartDate, end);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void WindowSemantics_SameDaySettle_EqualDates_NotEmpty()
|
||||
{
|
||||
var svc = new StubSwapDealService(MakeOptUser(), new HashSet<DateTime>());
|
||||
var td = BuildTrade(new DateTime(2026, 7, 10), "10"); // ExerciseDate=7/11
|
||||
bool empty = svc.InitInterestDate(new DateTime(2026, 7, 10), new DateTime(2026, 7, 10), td, tdClose: false,
|
||||
out var start, out var end);
|
||||
Assert.IsFalse(empty, "当日已结息(日期相等)窗口非空——利息归零由 GetInterests closeList 净额层处理，不在此判定");
|
||||
Assert.AreEqual(new DateTime(2026, 7, 10), start);
|
||||
Assert.AreEqual(new DateTime(2026, 7, 10), end);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void WindowSemantics_SameDaySettle_OnMaturityRollback_Empty()
|
||||
{
|
||||
var svc = new StubSwapDealService(MakeOptUser(), new HashSet<DateTime>());
|
||||
var td = BuildTrade(CloseDate, "00", exerciseDate: CloseDate); // 到期日=7/20 且不算尾
|
||||
bool empty = svc.InitInterestDate(CloseDate, CloseDate, td, tdClose: false,
|
||||
out var start, out var end);
|
||||
Assert.IsTrue(empty, "当日已结息+到期日不算尾回拨：interestStart=7/20 > interestEnd=7/19 → 窗口为空");
|
||||
}
|
||||
|
||||
// ── EOD 收盘归档路径（settment=true，此前全套件仅覆盖盘中 settment:false）──
|
||||
// EOD 不取尾日价的依赖链：InitInterestDate 到期日回拨(endDate=D-1) + CalcEodInterest 的
|
||||
// calcToday=false(valueDate==到期日且不算尾) 整体跳过 ByEod 重算——ByEod 的取价
|
||||
// (CalcDailyCompoundInterestByEod/CalcDailySimpleInterestByEod 的 isResetDay→ResolveFloatRate)
|
||||
// 不看 calcLast，任何一环回归都会让到期日收盘重新索要尾日 FR007。以下三例钉死该链。
|
||||
|
||||
[TestMethod]
|
||||
public void Eod_NoTail_MaturityDayFr007Missing_Succeeds()
|
||||
{
|
||||
// 到期日=7/20(重置日)当天收盘，尾日价未发布 → 不算尾应放行（回拨+跳过重算两道闸）
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true),
|
||||
"EOD 不算尾(10)+到期日缺价 → 应放行（尾日不参与计息，不得取价）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Eod_Tail_MaturityDayFr007Missing_StillThrows()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "11",
|
||||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true);
|
||||
Assert.IsTrue(o.Threw, "EOD 算尾(11)+到期日(重置日)缺价 → 应拦截（该日利率被消费）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Eod_MidTradeResetDayFr007Missing_StillThrows()
|
||||
{
|
||||
// 非到期日的盘中重置日：不算尾也不豁免——新利率自当日起被持续持仓消费，ByEod 必须取到
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||||
preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true);
|
||||
Assert.IsTrue(o.Threw, "EOD 不算尾(10)+非到期重置日(7/20)缺价 → 仍应拦截（ByEod 取价链，真实依赖）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
|
||||
// ── 到期日当天全平：replayEndDate=endDate+1 补计分支（exclusionStart 的存在理由）──
|
||||
// 不算尾时 InitInterestDate 把 endDate 回拨一天；最终全平的历史差分重放需把窗口补回真实
|
||||
// 平仓/到期日（replayEndDate=endDate+1），但该边界日的定盘经 exclusionStart 标记为
|
||||
// "有价则取/缺价跳过"——否则到期日上午全平会被尾日价误拦（EQD-6968 在到期日的镜像场景）。
|
||||
|
||||
[TestMethod]
|
||||
public void FinalClose_OnMaturityDay_NoTail_CloseDayFr007Missing_Succeeds()
|
||||
{
|
||||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||||
"到期日当天全平+不算尾+到期日(重置日)缺价 → 应放行（补计重放的边界日不索取定盘）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void Guard_FinalClose_OnMaturityDay_Tail_CloseDayFr007Missing_StillThrows()
|
||||
{
|
||||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "11",
|
||||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||||
Assert.IsTrue(o.Threw, "到期日当天全平+算尾+到期日缺价 → 应拦截（该日利率被消费）");
|
||||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,120 @@
|
||||
using System;
|
||||
using System.Data;
|
||||
using Microsoft.EntityFrameworkCore;
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6968 UAT 辅助：从 96 真实库抽取"在途 FR007 互换"具体历史交易，
|
||||
/// 打印完整交易要素，供 UAT 直接选用（替代手动猜要素）。
|
||||
/// 标 [Ignore]，手动跑一次即可；依赖 app.config 中 xray 连接（你的环境已指向 96）。
|
||||
/// 复用 GLMS20260105GoldenTest 的连库写法：DbContextFactory.GetYLDbContext()。
|
||||
/// 用原生 ADO.NET 读结果，规避 EF 实体映射类型踩坑。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class GLMS20260819Fr007TradeDiscoveryTest
|
||||
{
|
||||
private const string TradeSql = @"
|
||||
SELECT
|
||||
t.id AS TradeId,
|
||||
p.id AS PositionId,
|
||||
t.TradeNumber AS TradeNumber,
|
||||
t.StartDate AS StartDate,
|
||||
t.ExerciseDate AS ExerciseDate,
|
||||
t.ValidState AS ValidState,
|
||||
p.interest_rest_days AS interest_rest_days,
|
||||
p.interest_rule AS interest_rule,
|
||||
p.FloatRateUnderlyingCode AS FloatRateUnderlyingCode,
|
||||
p.IsInitial AS IsInitial,
|
||||
p.InterestType AS InterestType,
|
||||
p.InterestMode AS InterestMode,
|
||||
CASE WHEN te.ExtendJson LIKE '%""InterestCalcMode""%'
|
||||
THEN SUBSTRING_INDEX(SUBSTRING_INDEX(te.ExtendJson, '""InterestCalcMode"":""', -1), '""', 1)
|
||||
ELSE '11' END AS InterestCalcMode
|
||||
FROM trade t
|
||||
JOIN swap_position p ON p.SwapTradeId = t.id
|
||||
LEFT JOIN trade_extend te ON te.TradeId = t.id
|
||||
WHERE t.ValidState = 'Valid'
|
||||
AND p.Invalid = 0
|
||||
AND p.IsInitial = 1
|
||||
AND p.FloatRateUnderlyingCode = 'FR007'
|
||||
AND t.ExerciseDate >= CURDATE()
|
||||
ORDER BY t.StartDate;";
|
||||
|
||||
private const string FixingSql = @"
|
||||
SELECT ValueDate, ReferencePrice
|
||||
FROM eod_commodity_future_price
|
||||
WHERE FutureContractId = 'FR007'
|
||||
AND ValueDate >= DATE_SUB(CURDATE(), INTERVAL 30 DAY)
|
||||
ORDER BY ValueDate DESC;";
|
||||
|
||||
private TestContext _testContext;
|
||||
public TestContext TestContext
|
||||
{
|
||||
get => _testContext;
|
||||
set => _testContext = value;
|
||||
}
|
||||
|
||||
private static string Fmt(object v) =>
|
||||
v == null || v == DBNull.Value ? "NULL"
|
||||
: (v is DateTime dt ? dt.ToString("yyyy-MM-dd") : v.ToString());
|
||||
|
||||
[TestMethod]
|
||||
[Ignore]
|
||||
[TestCategory("Discovery")]
|
||||
public void Discover_InTransitFr007Trades()
|
||||
{
|
||||
using (var db = DbContextFactory.GetYLDbContext())
|
||||
{
|
||||
var conn = db.Database.GetDbConnection();
|
||||
if (conn.State != ConnectionState.Open) conn.Open();
|
||||
using (var cmd = conn.CreateCommand())
|
||||
{
|
||||
cmd.CommandText = TradeSql;
|
||||
using (var reader = cmd.ExecuteReader())
|
||||
{
|
||||
int n = 0;
|
||||
while (reader.Read())
|
||||
{
|
||||
n++;
|
||||
TestContext.WriteLine(
|
||||
$"TradeId={reader["TradeId"]} PosId={reader["PositionId"]} No={reader["TradeNumber"]} " +
|
||||
$"Start={Fmt(reader["StartDate"])} Expr={Fmt(reader["ExerciseDate"])} " +
|
||||
$"CalcMode={Fmt(reader["InterestCalcMode"])} rule={Fmt(reader["interest_rule"])} rest={Fmt(reader["interest_rest_days"])} " +
|
||||
$"IntType={Fmt(reader["InterestType"])} Mode={Fmt(reader["InterestMode"])}");
|
||||
}
|
||||
TestContext.WriteLine($"=== 在途 FR007 互换共 {n} 笔 ===");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
[Ignore]
|
||||
[TestCategory("Discovery")]
|
||||
public void Discover_Fr007FixingStatus()
|
||||
{
|
||||
using (var db = DbContextFactory.GetYLDbContext())
|
||||
{
|
||||
var conn = db.Database.GetDbConnection();
|
||||
if (conn.State != ConnectionState.Open) conn.Open();
|
||||
using (var cmd = conn.CreateCommand())
|
||||
{
|
||||
cmd.CommandText = FixingSql;
|
||||
using (var reader = cmd.ExecuteReader())
|
||||
{
|
||||
int n = 0;
|
||||
while (reader.Read())
|
||||
{
|
||||
n++;
|
||||
TestContext.WriteLine($"FR007 ValueDate={Fmt(reader["ValueDate"])} ReferencePrice={Fmt(reader["ReferencePrice"])}");
|
||||
}
|
||||
TestContext.WriteLine($"=== FR007 定盘近 30 天共 {n} 条 ===");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,470 @@
|
||||
using Newtonsoft.Json;
|
||||
using YLErp.DBModels.Enums;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// GetInterests 双显式入口语义字符化测试（Step3"特判降级"的前置钉子）。
|
||||
///
|
||||
/// 背景：GetIntradayUnwindInterests（盘中：平仓前剩余×实际比例）与
|
||||
/// CalcEodPostCloseSettleInterests（EOD平仓后收盘：平仓后剩余×恒1）是同一经济事件
|
||||
/// （部分平仓）的两套传参语义，靠 GetInterests 内 mode2 无条件覆盖 / mode9 全平兜底粘合。
|
||||
/// 本测试钉死当前行为，使后续特判降级/语义重构有回归网：
|
||||
/// ① 复利×mode2：closePrincipal（特判产物）是 CalcDailyCompoundInterest 的重放本金——
|
||||
/// 两入口 closePosiNotionalValue 均为实际平掉额 → InterestAmount 必须相等；
|
||||
/// ② 单利×mode2：CalcDailySimpleInterest 消费的是 posiPrincipal×closePercent——
|
||||
/// 盘中(平仓前×比例) vs EOD(剩余×1) 数值口径可能不同，本测试【记录现状】（见各断言注释）；
|
||||
/// ③ mode9 全平（posi=0）：兜底覆盖生效，结息额非零。
|
||||
///
|
||||
/// 数据基建复用 GetInterestsUnitTest_T0 的构建器口径（T+0，4/27起息，"11"算头算尾）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class GetInterestsEntrySemanticsTest
|
||||
{
|
||||
private const decimal Principal = 1000m;
|
||||
private const decimal FixedRate = 0.01m;
|
||||
private const decimal FloatRate = 0.001m;
|
||||
private const int AnnualDays = 365;
|
||||
private const int ResetPeriod = 3;
|
||||
|
||||
private static readonly DateTime TradeDate = new(2026, 4, 27);
|
||||
private static readonly DateTime StartDate = new(2026, 4, 27);
|
||||
private static readonly DateTime ExerciseDate = new(2027, 4, 27);
|
||||
private static readonly DateTime UnwindDate = new(2026, 4, 30);
|
||||
|
||||
// 平仓前剩余 1000，平掉 30%（300），收盘后剩余 700
|
||||
private const decimal PreClose = 1000m;
|
||||
private const decimal Closed = 300m;
|
||||
private const decimal Remaining = 700m;
|
||||
private const decimal ClosePercent = 0.3m;
|
||||
|
||||
#region Stub（浮动利率内存取价，与 T0 同款）
|
||||
|
||||
private sealed class StubSwapDealService : SwapDealService
|
||||
{
|
||||
private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
|
||||
public StubSwapDealService(OptUserInfo optUser, IReadOnlyDictionary<DateTime, double> floatRates) : base(optUser)
|
||||
{
|
||||
_floatRates = floatRates;
|
||||
}
|
||||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||||
{
|
||||
if (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase)) { rate = 0; return false; }
|
||||
if (_floatRates.TryGetValue(valueDate.Date, out rate)) return true;
|
||||
rate = 0;
|
||||
return false;
|
||||
}
|
||||
// 离线自洽：本测试场景无历史已结利息，等价于此前"空库查询返回 0"的行为，
|
||||
// 使复利路径(GetConsumedInterest)不再依赖数据库连通（YLErp_UNIT_TEST_SKIP_INITIALIZATION=1 可跑）。
|
||||
public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
|
||||
=> 0m;
|
||||
}
|
||||
|
||||
private static SwapDealService CreateService() => new StubSwapDealService(
|
||||
new OptUserInfo(0, nameof(GetInterestsEntrySemanticsTest), OptUserFrom.UnitTest),
|
||||
new Dictionary<DateTime, double>
|
||||
{
|
||||
[new DateTime(2026, 4, 27)] = (double)FloatRate,
|
||||
[new DateTime(2026, 4, 28)] = (double)FloatRate,
|
||||
[new DateTime(2026, 4, 29)] = (double)FloatRate,
|
||||
[new DateTime(2026, 4, 30)] = (double)FloatRate,
|
||||
});
|
||||
|
||||
#endregion
|
||||
|
||||
#region 数据构建（T0 口径）
|
||||
|
||||
private static trade CreateTrade()
|
||||
{
|
||||
var extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{
|
||||
AnnualDays = AnnualDays,
|
||||
InterestCalcMode = "11", // 算头算尾
|
||||
SettlementRules = 0
|
||||
})
|
||||
};
|
||||
return new trade
|
||||
{
|
||||
id = 1, TradeNumber = "UT-INT-ENTRY-SEMANTICS", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = TradeDate, StartDate = StartDate,
|
||||
ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
|
||||
trade_extend = extend
|
||||
};
|
||||
}
|
||||
|
||||
private static swap_position CreatePosition(InterestModeEnum mode, InterestTypeEnum interestType, bool floating = false)
|
||||
{
|
||||
var intervalModels = new List<IntervalModel>
|
||||
{
|
||||
new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
|
||||
};
|
||||
return new swap_position
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)mode,
|
||||
InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
|
||||
PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
|
||||
IsInitial = true, Invalid = false, InterestType = (int)interestType,
|
||||
IsAnnualized = true, interest_rest_days = ResetPeriod, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = floating ? "FR007" : null,
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
|
||||
};
|
||||
}
|
||||
|
||||
private static eod_swap_position CreatePreEod(decimal interestSum, decimal principal)
|
||||
=> new()
|
||||
{
|
||||
id = 1, SwapTradeId = 1, PositionId = 1001, ValueDate = new DateTime(2026, 4, 29),
|
||||
ClientId = 999998, FloatRate = FloatRate, TdInterestPrincipal = principal,
|
||||
PosiNotionalValue = principal, InterestIncomeSum = interestSum, InterestProfitSum = interestSum
|
||||
};
|
||||
|
||||
#endregion
|
||||
|
||||
/// <summary>
|
||||
/// 复利×mode2×部分平仓30%：【同请求形状⇒同额】oracle（契约目标语义，修复落地时的现成回归网）。
|
||||
///
|
||||
/// 修复前（b01b485e 钉住的分歧）：盘中 0.036165（平掉额全程重放=确认书公式）vs
|
||||
/// EOD 0.059042（恒1 掉进全平专属分支，全腿待实现+末段增量，无契约依据，重算结果被丢弃）。
|
||||
/// 说明：EOD 平仓后收盘走恒1惯例形状；端到端结算结果由 DI_EXCEL_SCENARIO4 家族对账确认书公式保障
|
||||
/// （平仓前剩余+实际平掉额+真实比例），部分平仓不再进 closePrecent==1 分支。
|
||||
/// （最终全平=剩余额×∏利率，2026-08-18 手算复核 Excel BL/BN 均符合）。
|
||||
/// 观察日（autoSwap=true）路径仍走 EodPostCloseSettle（剩余+恒1），:1220 为其设计语义，不在本断言范围。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 复利_mode2_部分平仓_双入口契约口径一致()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.复利, floating: true);
|
||||
var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var intraday = CreateService().GetIntradayUnwindInterests(InterestCalcRequest.IntradayUnwind(
|
||||
td, td.trade_extend, UnwindDate, UnwindDate, eodPositions, positions,
|
||||
PreClose, Closed, ClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null));
|
||||
|
||||
// 契约口径形状（与盘中同形状）：平仓前剩余 1000 + 平掉额 300 + 真实比例 0.3
|
||||
var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, PreClose, Closed, ClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: true, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, intraday.Count);
|
||||
Assert.AreEqual(1, eodPostClose.Count);
|
||||
Console.WriteLine($"[复利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
|
||||
|
||||
// 契约 oracle：两入口同请求形状必须同额（=确认书公式"平掉额×全程参考利率"）
|
||||
Assert.AreEqual(intraday[0].InterestAmount, eodPostClose[0].InterestAmount, 0.000000001m,
|
||||
"GetInterests 层契约目标：同请求形状必须同额（生产入口修复暂缓中，本断言为落地时的现成回归网）");
|
||||
// 手算锚点：300×[(1+0.011×3/365)×(1+0.011×1/365)−1]=0.036165（确认书公式）
|
||||
Assert.AreEqual(0.036165m, Math.Round(intraday[0].InterestAmount, 6, MidpointRounding.AwayFromZero),
|
||||
"盘中重放=契约公式手算锚点 0.036165");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 【回归钉子】复利×mode2×部分平仓：观察日路径（EodPostCloseSettle 剩余+恒1）保持设计语义不回退。
|
||||
/// 修复只改 autoSwap=false 分支；观察日恒1 全量结息是 :1220 分支的设计意图（结现），锁死其当前值。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 复利_mode2_部分平仓_观察日恒1语义保持()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.复利, floating: true);
|
||||
var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var observationDay = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, Remaining, Closed, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: true, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, observationDay.Count);
|
||||
Assert.AreEqual(0.059041913305m, observationDay[0].InterestAmount, 0.000000001m,
|
||||
"观察日(autoSwap=true)路径：剩余+恒1 的全平分支为其设计语义（结现），修复不得改变此值");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 单利×mode2×部分平仓30%：记录两入口当前口径（快照×比例 vs 重放基数差异面）。
|
||||
/// 单利消费 posiPrincipal×closePercent：盘中 1000×0.3 vs EOD 700×1 —— 若两值不等，
|
||||
/// 这是当前系统的已知口径差异面（非断言失败项），数值以 Console 留档，供特判降级时对照。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 单利_mode2_部分平仓_双入口口径留档()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||||
var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var intraday = CreateService().GetIntradayUnwindInterests(InterestCalcRequest.IntradayUnwind(
|
||||
td, td.trade_extend, UnwindDate, UnwindDate, eodPositions, positions,
|
||||
PreClose, Closed, ClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null));
|
||||
|
||||
// 契约口径形状（与盘中同形状）：平仓前剩余 1000 + 平掉额 300 + 真实比例 0.3
|
||||
var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, PreClose, Closed, ClosePercent,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: true, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, intraday.Count);
|
||||
Assert.AreEqual(1, eodPostClose.Count);
|
||||
Console.WriteLine($"[单利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
|
||||
Console.WriteLine($"[单利mode2] TdInterestAmount: 盘中={intraday[0].TdInterestAmount} / EOD={eodPostClose[0].TdInterestAmount}");
|
||||
// 契约目标：两入口同请求形状必须同额（单利：平掉额基数 + 快照×比例链路一致）
|
||||
Assert.AreEqual(intraday[0].InterestAmount, eodPostClose[0].InterestAmount, 0.000000001m,
|
||||
"GetInterests 层契约目标：单利×mode2 同请求形状必须同额（生产入口修复暂缓中）");
|
||||
Assert.IsTrue(intraday[0].InterestAmount != 0m, "盘中单利结息额不应为0");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// mode9 全平（契约目标形状：平仓前剩余=平掉额=1000、比例恒1）：
|
||||
/// 结息额非零且=全平语义（:1220 全平分支：待实现+末段增量，尾差一次带走——设计意图维持）。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 复利_mode9_全平_兜底覆盖生效结息额非零()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.标的期初全价, InterestTypeEnum.复利, floating: true);
|
||||
var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
// 全平：平仓前剩余=平掉=1000，比例恒1（全平专属分支）
|
||||
var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, PreClose, PreClose, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: true, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, result.Count);
|
||||
Console.WriteLine($"[复利mode9全平] InterestAmount={result[0].InterestAmount}");
|
||||
Assert.IsTrue(result[0].InterestAmount != 0m,
|
||||
"mode9 全平：结息本金=平掉额(1000)，结息额非零（全平语义钉子）");
|
||||
}
|
||||
|
||||
#region CalcEodPostCloseSettleInterests 接缝映射钉子
|
||||
|
||||
/// <summary>
|
||||
/// 参数捕获 stub：拦下 CalcSwapInterests 的全部实参，不触库、不真算。
|
||||
/// </summary>
|
||||
private sealed class CalcSwapInterestsCapture : TestableSwapEodPositionService
|
||||
{
|
||||
public CalcSwapInterestsCapture() : base(nameof(GetInterestsEntrySemanticsTest)) { }
|
||||
|
||||
public List<swap_flow_event> CapturedCloseList = null;
|
||||
public bool CapturedTdClose;
|
||||
public int CapturedEventType;
|
||||
public decimal CapturedPosiNotional;
|
||||
public decimal CapturedClosePosiNotional;
|
||||
public decimal CapturedClosePercent;
|
||||
public decimal CapturedOrginPv;
|
||||
public bool CapturedAdd;
|
||||
public bool CapturedSettment;
|
||||
public bool CapturedNewCalcLast;
|
||||
public int CallCount;
|
||||
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend,
|
||||
DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent,
|
||||
int eventType, bool tdClose,
|
||||
decimal orginPv,
|
||||
bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
CallCount++;
|
||||
CapturedTdClose = tdClose; CapturedEventType = eventType;
|
||||
CapturedPosiNotional = posiNotionalValue; CapturedClosePosiNotional = closePosiNotionalValue;
|
||||
CapturedClosePercent = closePrecent; CapturedOrginPv = orginPv;
|
||||
CapturedAdd = add; CapturedSettment = settment; CapturedNewCalcLast = newCalcLast;
|
||||
CapturedCloseList = closeList;
|
||||
return new List<swap_flow_event>();
|
||||
}
|
||||
|
||||
public List<swap_flow_event> ExposedEodPostCloseSettle(InterestCalcRequest req)
|
||||
=> CalcEodPostCloseSettleInterests(req);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 钉死 InterestCalcRequest.EodPostCloseSettle 工厂 → CalcEodPostCloseSettleInterests →
|
||||
/// CalcSwapInterests 的位置参数转发契约。这段转发是位置传参最易错位的环节
|
||||
/// （posiNotionalValue/closePosiNotionalValue/orginPv 三个相邻同型 decimal，编译器不查错位），
|
||||
/// 任何映射改动（含将来删 needPrice/grossPrice 死参数）都必须保持本断言绿。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void EOD平仓后收盘_工厂到接缝_参数映射钉死()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||||
var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var stub = new CalcSwapInterestsCapture();
|
||||
var req = InterestCalcRequest.EodPostCloseSettle(
|
||||
td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
new List<eod_swap_position> { preEod }, positions,
|
||||
remainingNotionalAfterClose: Remaining,
|
||||
closedNotional: Closed,
|
||||
eventType: (int)SwapEventTypeEnum.平仓, tdClose: false,
|
||||
orginPv: PreClose, add: true, newCalcLast: false);
|
||||
|
||||
stub.ExposedEodPostCloseSettle(req);
|
||||
|
||||
Assert.AreEqual(1, stub.CallCount, "默认实现应恰好调用一次 CalcSwapInterests（虚接缝兼容既有测试替身）");
|
||||
Assert.AreEqual(Remaining, stub.CapturedPosiNotional, "posiNotionalValue 位 = 平仓后剩余(700)——语义核心，错位即红");
|
||||
Assert.AreEqual(Closed, stub.CapturedClosePosiNotional, "closePosiNotionalValue 位 = 实际平掉额(300)");
|
||||
Assert.AreEqual(1m, stub.CapturedClosePercent, "closePrecent 恒 1（全额结息）");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.平仓, stub.CapturedEventType);
|
||||
Assert.IsFalse(stub.CapturedTdClose);
|
||||
Assert.AreEqual(PreClose, stub.CapturedOrginPv, "orginPv 位 = 上一日终本金——与相邻 decimal 最易错位处");
|
||||
Assert.IsTrue(stub.CapturedAdd);
|
||||
Assert.IsFalse(stub.CapturedSettment, "settment=false：走盘中重放算法（EOD平仓后收盘复用重放）");
|
||||
Assert.IsFalse(stub.CapturedNewCalcLast);
|
||||
Assert.IsNull(stub.CapturedCloseList, "该场景不传 closeList");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 守恒不变量(§7-1, 免 oracle/免库, 守 EOD平仓后收盘×部分平仓 裸格)
|
||||
|
||||
// 守恒不变量统一断言在"剩余持仓前递"(preEod.PosiNotionalValue)上：该字段由 CalcUnwindInterest/
|
||||
// InitSwapDealInterest 在 preEod.id==0 时写入(posiPrincipal)，与利息算法(单/复、FR007)无关，
|
||||
// 是最稳健、码算、免库的守恒观测点。期初(orginPv) = 前递剩余 + 平掉额(closePosiNotionalValue) 必须成立。
|
||||
// 全部内存构造(StubSwapDealService 避库)；funding-leg(mode2)不触发早路由 continue，故亦是早路由改动护栏。
|
||||
|
||||
/// <summary>
|
||||
/// 建一个"无历史 eod"快照(id==0)，使引擎把本次剩余持仓写入 preEod.PosiNotionalValue。
|
||||
/// </summary>
|
||||
private static eod_swap_position NewPreEod(decimal carryPrincipal)
|
||||
=> new()
|
||||
{
|
||||
id = 0, SwapTradeId = 1, PositionId = 1001,
|
||||
ValueDate = new DateTime(2026, 4, 29), ClientId = 999998,
|
||||
FloatRate = 0m, TdInterestPrincipal = carryPrincipal,
|
||||
PosiNotionalValue = carryPrincipal, InterestIncomeSum = 0.05m, InterestProfitSum = 0.05m
|
||||
};
|
||||
|
||||
/// <summary>
|
||||
/// §7-1 守恒①：EOD平仓后收盘×部分平仓，引擎把剩余持仓(700)前递进 preEod.PosiNotionalValue，
|
||||
/// 且 期初 = 前递剩余(码算) + 平掉额(输入) = 1000。
|
||||
/// 守 2035e1df 裸格(§6 空洞1)：若 EOD 入口把前递值误写成平掉额/期初，守恒等式即破。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void EOD平仓后收盘_部分平仓_守恒_剩余前递且期初等于剩余加平掉额()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||||
var preEod = NewPreEod(Remaining); // 无历史 eod → 引擎写回剩余
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, Remaining, Closed, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, result.Count, "EOD平仓后收盘部分平仓应产生 1 条利息事件");
|
||||
// 码算：引擎把剩余持仓前递(return 700)
|
||||
Assert.AreEqual(Remaining, preEod.PosiNotionalValue,
|
||||
"EOD平仓后收盘必须把剩余持仓(700)前递进 preEod.PosiNotionalValue；若误写平掉额/期初则守恒破坏");
|
||||
// 守恒：期初 = 前递剩余(码算) + 平掉额(输入)
|
||||
Assert.AreEqual(PreClose, preEod.PosiNotionalValue + Closed,
|
||||
"期初(orginPv=1000) 必须 = 剩余(700) + 平掉额(300)；本金口径不守恒则利息算错");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// §7-1 守恒②：EOD平仓后收盘×全平，剩余持仓前递=0(清仓)。守全平非零边界的互补面。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void EOD平仓后收盘_全平_守恒_剩余前递归零()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||||
var preEod = NewPreEod(0m);
|
||||
var eodPositions = new List<eod_swap_position> { preEod };
|
||||
var positions = new List<swap_position> { position };
|
||||
|
||||
var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, positions, 0m, PreClose, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, result.Count);
|
||||
Assert.AreEqual(0m, preEod.PosiNotionalValue,
|
||||
"全平后剩余持仓前递必须为 0；非 0 表示平仓未清仓，守恒破坏");
|
||||
Assert.AreEqual(PreClose, preEod.PosiNotionalValue + PreClose,
|
||||
"全平守恒：期初(1000) = 剩余(0) + 平掉额(1000)");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// §7-1 守恒③(逐日)：两次部分平仓，Day2 剩余前递 = 当日剩余(码算)，且 期初 - 前递剩余 = 平掉额，
|
||||
/// 构成跨日携带链守恒。Day1 期初1000→平300剩700；Day2 期初700→平210剩490；累计平掉510+剩余490=1000。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void EOD平仓后收盘_两次部分平仓_逐日守恒_期初减剩余前递等于平掉额()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||||
|
||||
// Day1：期初1000，平300，剩700
|
||||
var preEod1 = NewPreEod(PreClose);
|
||||
var result1 = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
new List<eod_swap_position> { preEod1 }, new List<swap_position> { position },
|
||||
Remaining, Closed, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, result1.Count);
|
||||
Assert.AreEqual(Remaining, preEod1.PosiNotionalValue, "Day1 剩余前递应为 700");
|
||||
|
||||
// Day2：期初=Day1剩余700，平210，剩490
|
||||
const decimal day2OrginPv = 700m;
|
||||
const decimal day2Closed = 210m;
|
||||
const decimal day2Remaining = 490m;
|
||||
var preEod2 = NewPreEod(day2OrginPv); // 承载=Day1剩余700
|
||||
var result2 = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
new List<eod_swap_position> { preEod2 }, new List<swap_position> { position },
|
||||
day2Remaining, day2Closed, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: day2OrginPv,
|
||||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||||
|
||||
Assert.AreEqual(1, result2.Count);
|
||||
// 码算：Day2 剩余前递=当日剩余(490)
|
||||
Assert.AreEqual(day2Remaining, preEod2.PosiNotionalValue, "Day2 剩余前递=剩余(490,码算值)");
|
||||
// 逐日守恒：期初 - 剩余前递 = 平掉额(210)
|
||||
Assert.AreEqual(day2Closed, day2OrginPv - preEod2.PosiNotionalValue,
|
||||
"Day2 守恒：期初(700) - 剩余前递(490) 必须 = 平掉额(210)；跨日携带链本金不守恒则利息算错");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// §7-1 守恒④(纯数学，ClosePercentMath)：多次平仓累计占期初比例 = 1 - ∏(1 - 各次剩余口径)。
|
||||
/// 初次占期初30%(平300/名义1000)→剩余口径0.3；二次占期初50%(平350/剩余700)→剩余口径0.5；
|
||||
/// 累计平掉 = 1 - 0.7×0.5 = 0.65。验证 ClosePercentMath 双口径换算在多次平仓下不漂移。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 多次平仓_占期初累计比例等于各次剩余口径连乘补数()
|
||||
{
|
||||
var b1 = ClosePercentMath.ToRemainingClosePercent(0.3m, 1000m, 1000m);
|
||||
Assert.AreEqual(0.3m, b1, "初次平仓占期初30% → 剩余口径应为 0.3");
|
||||
var b2 = ClosePercentMath.ToRemainingClosePercent(0.5m, 700m, 700m);
|
||||
Assert.AreEqual(0.5m, b2, "二次平仓占期初50%(占剩余700) → 剩余口径应为 0.5");
|
||||
|
||||
var cumulativeClosed = 1m - (1m - b1) * (1m - b2);
|
||||
Assert.AreEqual(0.65m, cumulativeClosed, 0.0000001m,
|
||||
"多次平仓累计平掉比例必须=各次剩余口径连乘的补数；否则本金口径在多次平仓下分裂");
|
||||
|
||||
var back = ClosePercentMath.ToOriginalClosePercent(cumulativeClosed, 1000m, 1000m);
|
||||
Assert.AreEqual(0.65m, back, 0.0000001m, "累计占期初比例反向还原必须一致");
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -228,9 +228,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
|
||||
var interests = _service.GetInterests(td, td.trade_extend, valueDate, unwindDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
@@ -244,9 +244,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
|
||||
var interests = _service.GetInterests(td, td.trade_extend, valueDate, valueDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
false, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
@@ -263,9 +263,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateFixedInterestPosition(fixedRate, interestRule);
|
||||
var interests = _service.GetInterests(td, td.trade_extend, valueDate, unwindDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
@@ -279,9 +279,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateFixedInterestPosition(fixedRate, interestRule);
|
||||
var interests = _service.GetInterests(td, td.trade_extend, valueDate, valueDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
false, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
|
||||
@@ -322,9 +322,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, unwindDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -346,9 +346,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, valueDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
false, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -371,9 +371,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, valueDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, closePercent,
|
||||
Principal, Principal, closePercent,
|
||||
(int)SwapEventTypeEnum.自动互换,
|
||||
false, false, 0, Principal, false, settment: false, newCalcLast: false, closeList: closeList);
|
||||
false, Principal, false, settment: false, newCalcLast: false, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -407,9 +407,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, unwindDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -430,9 +430,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, valueDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
false, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -1716,9 +1716,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, unwindDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
@@ -1747,9 +1747,9 @@ namespace YLErp.Modules.SwapModule
|
||||
valueDate, unwindDate,
|
||||
eodPositions,
|
||||
new List<swap_position> { position },
|
||||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||||
posiNotional, posiNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
false, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||||
|
||||
AssertInterestEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
|
||||
@@ -1,4 +1,3 @@
|
||||
using System.Reflection;
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
@@ -7,26 +6,10 @@ namespace YLErp.Modules.SwapModule
|
||||
public class InitUnwindTradingFeeTest
|
||||
{
|
||||
private static decimal InvokeCalcInitTradingFee(swap_position position, UnwindData unwindData)
|
||||
{
|
||||
var method = typeof(SwapDealService).GetMethod(
|
||||
"CalcInitTradingFee",
|
||||
BindingFlags.NonPublic | BindingFlags.Static);
|
||||
|
||||
Assert.IsNotNull(method, "未找到 CalcInitTradingFee 私有静态方法");
|
||||
|
||||
return (decimal)method.Invoke(null, new object[] { position, unwindData });
|
||||
}
|
||||
=> TradingFeeCalc.CalcInitTradingFee(position, unwindData);
|
||||
|
||||
private static decimal InvokeCalcInitTradingFeePending(swap_position oriPosition, swap_position position, UnwindData unwindData)
|
||||
{
|
||||
var method = typeof(SwapDealService).GetMethod(
|
||||
"CalcInitTradingFeePending",
|
||||
BindingFlags.NonPublic | BindingFlags.Static);
|
||||
|
||||
Assert.IsNotNull(method, "CalcInitTradingFeePending was not found");
|
||||
|
||||
return (decimal)method.Invoke(null, new object[] { oriPosition, position, unwindData });
|
||||
}
|
||||
=> TradingFeeCalc.CalcInitTradingFeePending(oriPosition, position, unwindData);
|
||||
|
||||
[TestMethod]
|
||||
public void 百分比模式_按平仓名义本金计算并四舍五入到两位()
|
||||
|
||||
@@ -0,0 +1,30 @@
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// DealInterests 分派优先级（TEST-MATRIX §6 空洞补盖）。
|
||||
/// 纯函数 InterestEodScenarioDispatch.ResolveInterestScenario 的 8 组合表驱动单测，不连库、无 DB。
|
||||
/// 守卫：手工互换压制观察日自动结息；观察日±平仓区分 autoSwap 真/假；纯平仓与普通日分流。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class InterestEodScenarioDispatchTest
|
||||
{
|
||||
[DataTestMethod]
|
||||
[DataRow(false, false, false, InterestEodScenario.RollForward)] // 普通日
|
||||
[DataRow(false, false, true, InterestEodScenario.CloseOnly)] // 纯平仓(非观察日)
|
||||
[DataRow(false, true, false, InterestEodScenario.ManualSwap)] // 手工互换(非观察日)
|
||||
[DataRow(false, true, true, InterestEodScenario.ManualSwap)] // 手工互换+平仓 → 手工优先
|
||||
[DataRow(true, false, false, InterestEodScenario.AutoSettle)] // 观察日, 无平仓
|
||||
[DataRow(true, false, true, InterestEodScenario.AutoSettleWithClose)] // 观察日+平仓 (autoSwap=true)
|
||||
[DataRow(true, true, false, InterestEodScenario.ManualSwap)] // 观察日+手工互换 → 手工优先
|
||||
[DataRow(true, true, true, InterestEodScenario.ManualSwap)] // 观察日+手工互换+平仓 → 手工优先
|
||||
public void ResolveInterestScenario_CoversAllEightCombinations(
|
||||
bool hasInterval, bool hasSwap, bool hasClose, InterestEodScenario expected)
|
||||
{
|
||||
var actual = InterestEodScenarioDispatch.ResolveInterestScenario(hasInterval, hasSwap, hasClose);
|
||||
Assert.AreEqual(expected, actual,
|
||||
$"hasInterval={hasInterval}, hasSwap={hasSwap}, hasClose={hasClose}");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,319 @@
|
||||
using Newtonsoft.Json;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// L1（类内去重）前置安全网：DealInterests 四分支中无 golden 语料的三格
|
||||
/// （AutoSettle / AutoSettleWithClose / CloseOnly）尾部滚存字段特征化快照。
|
||||
///
|
||||
/// - ManualSwap / RollForward 两格已由 DealInterestsGoldenReplayTest 语料钉住
|
||||
/// （字段集见 GoldenReplayFramework.EodPositionToJson）。
|
||||
/// - 本测试钉"现状行为"：L1 抽共享助手（腿字段拷贝段 + 滚存收尾段）前后，
|
||||
/// 以下字段必须逐字段不变。变化=去重改了口径。
|
||||
/// - 同时断言接 seam 指纹（哪个计息接缝 + eventType）与 autoInterests 收集行为，
|
||||
/// 兼作 L2（按腿拆类）的路由验收。
|
||||
/// - 计息金额由受控 CalcResult 注入（不连库、不依赖真实计息引擎）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class InterestEodTailSnapshotTest
|
||||
{
|
||||
private const decimal Principal = 10000m;
|
||||
private const decimal Rate = 0.03m;
|
||||
private static readonly DateTime StartDate = new(2026, 4, 27);
|
||||
private static readonly DateTime SettleDate = StartDate.AddDays(10); // 第10天收盘
|
||||
private const decimal Accrued10d = 8.22m; // 受控：10天理论应结
|
||||
private const decimal DailyNew = 0.82m; // 受控：当日新增
|
||||
private const decimal ManualSettled = 3.5m; // 受控：盘中平仓已结
|
||||
private const decimal Remaining = 7000m; // 平仓后剩余本金
|
||||
private const decimal ClosedNotional = 3000m; // 本次平掉本金
|
||||
|
||||
private sealed class TailStubService : TestableSwapEodPositionService
|
||||
{
|
||||
public TailStubService() : base(nameof(InterestEodTailSnapshotTest)) { }
|
||||
|
||||
/// <summary>受控计息结果：两个计息 seam 均返回它</summary>
|
||||
public List<swap_flow_event> CalcResult { get; set; } = new();
|
||||
|
||||
public string LastCalcSeam { get; private set; } = "";
|
||||
public List<int> CalcEventTypes { get; } = new();
|
||||
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend,
|
||||
DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent,
|
||||
int eventType, bool tdClose,
|
||||
decimal orginPv,
|
||||
bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
LastCalcSeam = nameof(CalcSwapInterests);
|
||||
CalcEventTypes.Add(eventType);
|
||||
return CalcResult;
|
||||
}
|
||||
|
||||
protected override List<swap_flow_event> CalcEodPostCloseSettleInterests(InterestCalcRequest req)
|
||||
{
|
||||
LastCalcSeam = nameof(CalcEodPostCloseSettleInterests);
|
||||
CalcEventTypes.Add(req.EventType);
|
||||
return CalcResult;
|
||||
}
|
||||
|
||||
/// <summary>持仓延续腿重置日再定盘接缝：计数并返回受控新定盘（不连库）</summary>
|
||||
public decimal RefixResult { get; set; }
|
||||
public int RefixCalls { get; private set; }
|
||||
|
||||
protected override decimal ResolveOngoingResetFixing(swap_position position, DateTime valueDate)
|
||||
{
|
||||
RefixCalls++;
|
||||
return RefixResult;
|
||||
}
|
||||
|
||||
public List<swap_flow_event> ExecuteDealInterests(
|
||||
List<swap_position> interestList, List<eod_swap_position> eodPositions,
|
||||
DateTime settleDate, trade td, List<swap_flow_event> flowEvents,
|
||||
decimal posiTotalNotional, decimal closeNational, decimal grossPrice, decimal orginPv)
|
||||
{
|
||||
var autoInterests = new List<swap_flow_event>();
|
||||
DealInterests(interestList, eodPositions, new List<eod_swap_position>(),
|
||||
settleDate, td, flowEvents, autoInterests, null,
|
||||
posiTotalNotional, closeNational, grossPrice, orginPv);
|
||||
return autoInterests;
|
||||
}
|
||||
}
|
||||
|
||||
private static trade CreateTrade() => new()
|
||||
{
|
||||
id = 1, TradeNumber = "TAIL-SNAP-001", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
|
||||
ExerciseDate = new DateTime(2027, 4, 27), TradeStatus = "确认成交",
|
||||
ValidState = "Valid", StructureType = "单标的",
|
||||
QuoteCurrency = "CNY", SettlementCurrency = "CNY",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson { AnnualDays = 365, InterestCalcMode = "10", SettlementRules = 0 })
|
||||
}
|
||||
};
|
||||
|
||||
/// <param name="observationDay">true=当日观察日(Settlement=1)；false=观察日在别日</param>
|
||||
private static swap_position CreateInterestPosition(bool observationDay)
|
||||
{
|
||||
var interval = observationDay
|
||||
? new IntervalModel { Date = SettleDate, Rate = Rate, Settlement = 1 }
|
||||
: new IntervalModel { Date = StartDate, Rate = Rate, Settlement = 1 };
|
||||
return new swap_position
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
|
||||
InterestPrincipalFix = Principal, PosiStartDate = StartDate,
|
||||
PosiMatuirityDate = new DateTime(2027, 4, 27), IsInitial = true,
|
||||
InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true,
|
||||
interest_rest_days = 1, interest_rule = 0,
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel> { interval })
|
||||
};
|
||||
}
|
||||
|
||||
private static eod_swap_position CreatePreEod(decimal accumulated) => new()
|
||||
{
|
||||
id = 100, PositionId = 1001, ValueDate = SettleDate.AddDays(-1),
|
||||
InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestIncomeSum = accumulated, InterestProfitSum = accumulated,
|
||||
InterestRateDefault = Rate, TdInterestPrincipal = Principal,
|
||||
InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true, interest_rest_days = 1
|
||||
};
|
||||
|
||||
private static swap_flow_event CreateCalcResult() => new()
|
||||
{
|
||||
EventType = (int)SwapEventTypeEnum.自动互换, PositionId = 1001,
|
||||
InterestAmount = Accrued10d, TdInterestAmount = DailyNew,
|
||||
InterestClosePnL = Accrued10d,
|
||||
InterestPrincipal = Principal, InterestRate = Rate,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取
|
||||
};
|
||||
|
||||
private static swap_flow_event CreateCloseEvent() => new()
|
||||
{
|
||||
EventType = (int)SwapEventTypeEnum.平仓, PositionId = 1001,
|
||||
InterestAmount = ManualSettled, InterestClosePnL = ManualSettled,
|
||||
InterestRate = Rate, InterestFee = 0m,
|
||||
InterestPrincipal = ClosedNotional,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
/// <summary>AutoSettle 格：观察日无平仓 → SaveAutoEodInterestPosition，返回值收集进 autoInterests</summary>
|
||||
[TestMethod]
|
||||
public void AutoSettle_观察日无平仓_尾部快照()
|
||||
{
|
||||
var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
|
||||
var autoInterests = service.ExecuteDealInterests(
|
||||
new List<swap_position> { CreateInterestPosition(observationDay: true) },
|
||||
new List<eod_swap_position> { CreatePreEod(Accrued10d) },
|
||||
SettleDate, CreateTrade(), new List<swap_flow_event>(),
|
||||
Principal, 0m, 100m, Principal);
|
||||
|
||||
Assert.AreEqual("CalcSwapInterests", service.LastCalcSeam, "观察日无平仓应走 CalcSwapInterests seam");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.CalcEventTypes.Single(), "eventType 应为自动互换");
|
||||
Assert.AreEqual(1, autoInterests.Count, "观察日分支应收集返回值进 autoInterests（→资金记录）");
|
||||
|
||||
var p = service.PersistedPositions.Single();
|
||||
// 钉值于 2026-08-17 现状行为（受控输入：应结8.22/新增0.82/本金10000）
|
||||
Assert.AreEqual(8.22m, p.TdCloseInterest);
|
||||
Assert.AreEqual(0.82m, p.TdInterestIncome);
|
||||
Assert.AreEqual(10000m, p.TdInterestPrincipal);
|
||||
Assert.AreEqual(0.03m, p.TdInterestRate);
|
||||
Assert.AreEqual(0.00m, p.InterestIncomeSum, "应结=结算，待实现清零");
|
||||
Assert.AreEqual(0m, p.InterestFeeSum);
|
||||
Assert.AreEqual(0m, p.InterestProfitSum);
|
||||
Assert.AreEqual(8.22m, p.RealizedInterest);
|
||||
Assert.AreEqual(0m, p.RealizedInterestFee);
|
||||
Assert.AreEqual(0m, p.SwapPositionValue);
|
||||
Assert.AreEqual(1.0m, p.TdCurrency);
|
||||
}
|
||||
|
||||
/// <summary>AutoSettleWithClose 格（TEST-MATRIX §6 最弱格）：观察日+平仓 → SaveAutoEodWithCloseInterestPosition(autoSwap:true)，补结差额=恒1全额−盘中已结</summary>
|
||||
[TestMethod]
|
||||
public void AutoSettleWithClose_观察日加平仓_尾部快照()
|
||||
{
|
||||
var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
|
||||
var autoInterests = service.ExecuteDealInterests(
|
||||
new List<swap_position> { CreateInterestPosition(observationDay: true) },
|
||||
new List<eod_swap_position> { CreatePreEod(Accrued10d) },
|
||||
SettleDate, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
|
||||
Remaining, ClosedNotional, 100m, Remaining);
|
||||
|
||||
Assert.AreEqual("CalcEodPostCloseSettleInterests", service.LastCalcSeam, "观察日+平仓应走 EodPostCloseSettle seam");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.CalcEventTypes.Single(), "autoSwap=true → eventType=自动互换");
|
||||
Assert.AreEqual(1, autoInterests.Count, "观察日分支应收集返回值进 autoInterests");
|
||||
Assert.AreEqual(Accrued10d - ManualSettled, autoInterests[0].InterestAmount, "补结差额=恒1全额8.22−盘中已结3.50");
|
||||
|
||||
var p = service.PersistedPositions.Single();
|
||||
// 钉值于 2026-08-17 现状行为（受控输入：恒1全额8.22/盘中已结3.5/剩余7000/平掉3000）
|
||||
Assert.AreEqual(8.22m, p.TdCloseInterest, "TdCloseInterest=盘中已结3.50+补结4.72");
|
||||
Assert.AreEqual(0.5753424657534246575342465753m, p.TdInterestIncome, "autoSwap 重算展示应计=剩余7000×3%/365");
|
||||
Assert.AreEqual(7000m, p.TdInterestPrincipal, "单利部分平仓：跨日本金=剩余");
|
||||
Assert.AreEqual(0.03m, p.TdInterestRate);
|
||||
Assert.AreEqual(0.00m, p.InterestIncomeSum, "恒1口径：理论应结8.22−结算8.22=0");
|
||||
Assert.AreEqual(0m, p.InterestFeeSum);
|
||||
Assert.AreEqual(0m, p.InterestProfitSum);
|
||||
Assert.AreEqual(8.22m, p.RealizedInterest);
|
||||
Assert.AreEqual(0m, p.RealizedInterestFee);
|
||||
Assert.AreEqual(0m, p.SwapPositionValue);
|
||||
Assert.AreEqual(1.0m, p.TdCurrency);
|
||||
}
|
||||
|
||||
/// <summary>CloseOnly 格：非观察日平仓 → SaveAutoEodWithCloseInterestPosition(autoSwap:false)，返回值不收集，TdCloseInterest=盘中已结</summary>
|
||||
[TestMethod]
|
||||
public void CloseOnly_非观察日平仓_尾部快照()
|
||||
{
|
||||
var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
|
||||
var autoInterests = service.ExecuteDealInterests(
|
||||
new List<swap_position> { CreateInterestPosition(observationDay: false) },
|
||||
new List<eod_swap_position> { CreatePreEod(Accrued10d) },
|
||||
SettleDate, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
|
||||
Remaining, ClosedNotional, 100m, Remaining);
|
||||
|
||||
Assert.AreEqual("CalcEodPostCloseSettleInterests", service.LastCalcSeam, "纯平仓应走 EodPostCloseSettle seam");
|
||||
Assert.AreEqual((int)SwapEventTypeEnum.平仓, service.CalcEventTypes.Single(), "autoSwap=false → eventType=平仓");
|
||||
Assert.AreEqual(0, autoInterests.Count, "纯平仓分支不收集返回值（结算已在盘中流水定格）");
|
||||
|
||||
var p = service.PersistedPositions.Single();
|
||||
// 钉值于 2026-08-17 现状行为（受控输入：恒1重算8.22/盘中已结3.5/剩余7000/平掉3000）
|
||||
Assert.AreEqual(ManualSettled, p.TdCloseInterest, "TdCloseInterest 应仅为盘中已结3.50，不叠加恒1重算值");
|
||||
Assert.AreEqual(0.5753424657534246575342465753m, p.TdInterestIncome, "不算尾路径：剩余7000×3%/365");
|
||||
Assert.AreEqual(7000m, p.TdInterestPrincipal, "单利部分平仓：跨日本金=剩余");
|
||||
Assert.AreEqual(0.03m, p.TdInterestRate, "非观察日：利率取平仓流水 InterestRate");
|
||||
Assert.AreEqual(5.295342465753m, p.InterestIncomeSum, "尾差递推：上日8.22+新增0.575342−已结3.50");
|
||||
Assert.AreEqual(0m, p.InterestFeeSum);
|
||||
Assert.AreEqual(5.295342465753m, p.InterestProfitSum);
|
||||
Assert.AreEqual(3.5m, p.RealizedInterest);
|
||||
Assert.AreEqual(0m, p.RealizedInterestFee);
|
||||
Assert.AreEqual(5.295342465753m, p.SwapPositionValue);
|
||||
Assert.AreEqual(1.0m, p.TdCurrency);
|
||||
}
|
||||
|
||||
#region 持仓延续腿重置日再定盘（EQD-6968 自洽化：快照利率载体）
|
||||
|
||||
private const decimal OldFloat = 0.01425m;
|
||||
private const decimal NewFloat = 0.0143m;
|
||||
/// <summary>4/27+14：7 天周期的重置日平仓</summary>
|
||||
private static readonly DateTime ResetSettle = StartDate.AddDays(14);
|
||||
/// <summary>4/27+10：非重置日平仓（10%7≠0）</summary>
|
||||
private static readonly DateTime NonResetSettle = StartDate.AddDays(10);
|
||||
|
||||
private static swap_position CreateFloatLegPosition() => new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
|
||||
InterestPrincipalFix = Principal, PosiStartDate = StartDate,
|
||||
PosiMatuirityDate = new DateTime(2027, 4, 27), IsInitial = true,
|
||||
InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true,
|
||||
interest_rest_days = 7, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
|
||||
{ new IntervalModel { Date = StartDate, Rate = Rate, Settlement = 1 } })
|
||||
};
|
||||
|
||||
private static eod_swap_position CreatePreEodBefore(DateTime settle, decimal accumulated) => new()
|
||||
{
|
||||
id = 100, PositionId = 1001, ValueDate = settle.AddDays(-1),
|
||||
InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestIncomeSum = accumulated, InterestProfitSum = accumulated,
|
||||
InterestRateDefault = Rate, TdInterestPrincipal = Principal,
|
||||
InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true, interest_rest_days = 7
|
||||
};
|
||||
|
||||
private static swap_flow_event CalcResultWithFloat(decimal floatRate)
|
||||
{
|
||||
var e = CreateCalcResult();
|
||||
e.FloatRate = floatRate;
|
||||
return e;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 平仓日恰为重置日且剩余持仓>0：快照 FloatRate 必须显式再定盘为当日新定盘——
|
||||
/// 它是后续非重置日(ByEod 沿用 preEod.FloatRate)与当日应计(intersetAcmount)的利率载体。
|
||||
/// 排除日"纯跳过"后事件利率=末段已消费利率(OldFloat)，载体职责与本步骤显式分离。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void CloseOnly_平仓日为重置日_剩余持仓快照再定盘()
|
||||
{
|
||||
var service = new TailStubService
|
||||
{
|
||||
CalcResult = new List<swap_flow_event> { CalcResultWithFloat(OldFloat) },
|
||||
RefixResult = NewFloat,
|
||||
};
|
||||
service.ExecuteDealInterests(
|
||||
new List<swap_position> { CreateFloatLegPosition() },
|
||||
new List<eod_swap_position> { CreatePreEodBefore(ResetSettle, Accrued10d) },
|
||||
ResetSettle, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
|
||||
Remaining, ClosedNotional, 100m, Remaining);
|
||||
|
||||
Assert.AreEqual(1, service.RefixCalls, "不算尾+平仓日=重置日+剩余>0：应恰好显式再定盘一次");
|
||||
Assert.AreEqual(NewFloat, service.PersistedPositions.Single().FloatRate,
|
||||
"剩余持仓快照利率=当日新定盘（非事件末段旧利率）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void CloseOnly_平仓日非重置日_不再定盘_快照沿用事件利率()
|
||||
{
|
||||
var service = new TailStubService
|
||||
{
|
||||
CalcResult = new List<swap_flow_event> { CalcResultWithFloat(OldFloat) },
|
||||
RefixResult = NewFloat,
|
||||
};
|
||||
service.ExecuteDealInterests(
|
||||
new List<swap_position> { CreateFloatLegPosition() },
|
||||
new List<eod_swap_position> { CreatePreEodBefore(NonResetSettle, Accrued10d) },
|
||||
NonResetSettle, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
|
||||
Remaining, ClosedNotional, 100m, Remaining);
|
||||
|
||||
Assert.AreEqual(0, service.RefixCalls, "非重置日平仓：无需再定盘");
|
||||
Assert.AreEqual(OldFloat, service.PersistedPositions.Single().FloatRate,
|
||||
"快照沿用事件末段已消费利率（周期未切换）");
|
||||
}
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,165 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
{
|
||||
/// <summary>
|
||||
/// 黄金回放验证（连真实测试库 192.168.2.96）：对真实保证金交易逐日 EOD 比对
|
||||
/// GetInterests(settment=true，保证金分支现走 CalcMarginInterest) vs 直接调 CalcMarginInterest，
|
||||
/// 验证 GetInterests→CalcMarginInterest 接线的参数对齐（rate/posiPrincipal/preEod 等）正确。
|
||||
///
|
||||
/// 数据来自 96 库的真实保证金交易，覆盖追加预付金多行、多次部分平仓（InterestPrincipalFix 下台阶）、
|
||||
/// 跨 EOD 续接等单元测试够不到的边界。作为保证金计息迁移后的真实库回归守护。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class MarginInterestGoldenReplayTest
|
||||
{
|
||||
// 96 库里已确认含真实保证金腿的交易
|
||||
private static readonly string[] TradeNumbers =
|
||||
{
|
||||
"GLMS-20260701-0008",
|
||||
"GLMS-20260701-0013",
|
||||
"GLMS-20260701-0006",
|
||||
};
|
||||
|
||||
private sealed class StubSvc : SwapDealService
|
||||
{
|
||||
public StubSvc() : base(new OptUserInfo(0, nameof(MarginInterestGoldenReplayTest), OptUserFrom.UnitTest)) { }
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 逐交易、逐 EOD 日，比对保证金腿新旧计息 InterestAmount/TdInterestAmount。
|
||||
/// 入参对齐口径（与 GetInterests 内部一致）：
|
||||
/// posiPrincipal = InterestPrincipalFix；closePrincipal = Fix×closePercent(EOD=1)；
|
||||
/// rate = oldEvt.InterestRate（严格取旧管线算出的 rate，消除 GetFixedRate 差异）；
|
||||
/// 方向 = FlipDirection(position.InterestDirection)（GetInterests:742 对保证金翻转）；
|
||||
/// preEod = 该 PositionId 上一日终 eod_swap_position；annualDays/calcFirst/calcLast 来自 trade_extend。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
[TestCategory("DbDiagnose")]
|
||||
public void 保证金腿_真实库_EOD逐日新旧比对()
|
||||
{
|
||||
DbDiagnoseGuard.RequireTestDb();
|
||||
YLContext db;
|
||||
try { db = DbContextFactory.GetYLDbContext(); }
|
||||
catch (Exception ex) { Assert.Inconclusive($"无法连接测试库(192.168.2.96)：{ex.Message}"); return; }
|
||||
|
||||
var svc = new StubSvc();
|
||||
int totalCompared = 0, mismatches = 0, skipped = 0;
|
||||
var diffLog = new StringBuilder();
|
||||
|
||||
foreach (var tradeNumber in TradeNumbers)
|
||||
{
|
||||
var td = db.trade.FirstOrDefault(t => t.TradeNumber == tradeNumber);
|
||||
if (td == null) { Console.WriteLine($"跳过：库无 {tradeNumber}"); skipped++; continue; }
|
||||
|
||||
var extend = db.trade_extend.FirstOrDefault(x => x.TradeId == td.id);
|
||||
int annualDays = extend?.ExtendObj.AnnualDays ?? 365;
|
||||
bool calcFirst = extend?.ExtendObj.InterestCalcMode?.StartsWith("1") ?? true;
|
||||
bool calcLast = extend?.ExtendObj.InterestCalcMode?.EndsWith("1") ?? true;
|
||||
|
||||
var marginPositions = db.swap_position
|
||||
.Where(p => p.SwapTradeId == td.id && !p.Invalid
|
||||
&& (p.InterestMode == (int)InterestModeEnum.初始预付金
|
||||
|| p.InterestMode == (int)InterestModeEnum.追加预付金))
|
||||
.ToList();
|
||||
if (marginPositions.Count == 0) { Console.WriteLine($"跳过：{tradeNumber} 无保证金腿"); skipped++; continue; }
|
||||
|
||||
// 该交易保证金腿的 EOD 日期序列
|
||||
var eodDates = db.eod_swap_position
|
||||
.Where(e => e.SwapTradeId == td.id && (e.InterestMode == 5 || e.InterestMode == 6))
|
||||
.Select(e => e.ValueDate).Distinct().OrderBy(d => d).ToList();
|
||||
|
||||
Console.WriteLine($"===== {tradeNumber} (id={td.id})：{marginPositions.Count} 条保证金腿，{eodDates.Count} 个 EOD 日 =====");
|
||||
|
||||
foreach (var valueDate in eodDates)
|
||||
{
|
||||
// 上一日终 preEod（取 eod_swap 最近 < valueDate 的日期）
|
||||
var preDate = db.eod_swap
|
||||
.Where(e => e.SwapTradeId == td.id && e.ValueDate < valueDate)
|
||||
.OrderByDescending(e => e.ValueDate)
|
||||
.Select(e => (DateTime?)e.ValueDate).FirstOrDefault();
|
||||
var preEods = preDate == null
|
||||
? new List<eod_swap_position>()
|
||||
: db.eod_swap_position
|
||||
.Where(e => e.SwapTradeId == td.id && e.ValueDate == preDate.Value
|
||||
&& (e.InterestMode == 5 || e.InterestMode == 6))
|
||||
.ToList();
|
||||
|
||||
// 旧管线：GetInterests(settment=true)。保证金分支不用 posiNotionalValue/closePosiNotionalValue/grossPrice/orginPv，传 0。
|
||||
List<swap_flow_event> oldList;
|
||||
try
|
||||
{
|
||||
oldList = svc.GetInterests(td, extend, valueDate, valueDate,
|
||||
preEods, marginPositions,
|
||||
0m, 0m, 1.0m,
|
||||
(int)SwapEventTypeEnum.自动互换, tdClose: false,
|
||||
orginPv: 0m,
|
||||
add: false, settment: true, newCalcLast: false, closeList: null);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
Console.WriteLine($" {tradeNumber} @ {valueDate:yyyy-MM-dd} 旧管线异常：{ex.GetType().Name} {ex.Message}");
|
||||
continue;
|
||||
}
|
||||
|
||||
// 新方法：逐保证金腿
|
||||
foreach (var pos in marginPositions)
|
||||
{
|
||||
var oldEvt = oldList.FirstOrDefault(i => i.PositionId == pos.id);
|
||||
if (oldEvt == null) continue;
|
||||
|
||||
var preEod = preEods.FirstOrDefault(e => e.PositionId == pos.id) ?? new eod_swap_position { id = 0 };
|
||||
var posClone = pos.Clone();
|
||||
posClone.InterestDirection = MarginCalc.FlipDirection(pos.InterestDirection);
|
||||
decimal rate = oldEvt.InterestRate; // 严格对齐旧管线 rate（含 GetFixedRate + Round(12)）
|
||||
|
||||
swap_flow_event newEvt;
|
||||
try
|
||||
{
|
||||
newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, posClone, rate,
|
||||
pos.InterestPrincipalFix, pos.InterestPrincipalFix, 1.0m,
|
||||
annualDays, calcFirst, calcLast, preEod,
|
||||
(int)SwapEventTypeEnum.自动互换, add: false, settment: true, interestWindowEmpty: false);
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
mismatches++;
|
||||
diffLog.AppendLine($"✗ {tradeNumber} PosId={pos.id} @ {valueDate:yyyy-MM-dd} 新方法异常：{ex.GetType().Name} {ex.Message}");
|
||||
continue;
|
||||
}
|
||||
|
||||
totalCompared++;
|
||||
decimal diffI = Math.Abs(newEvt.InterestAmount - oldEvt.InterestAmount);
|
||||
decimal diffTd = Math.Abs(newEvt.TdInterestAmount - oldEvt.TdInterestAmount);
|
||||
const decimal tol = 0.000001m;
|
||||
if (diffI > tol || diffTd > tol)
|
||||
{
|
||||
mismatches++;
|
||||
diffLog.AppendLine($"✗ {tradeNumber} PosId={pos.id} Mode={pos.InterestMode} @ {valueDate:yyyy-MM-dd}: " +
|
||||
$"旧 I={oldEvt.InterestAmount} Td={oldEvt.TdInterestAmount} | " +
|
||||
$"新 I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} | " +
|
||||
$"diffI={diffI} diffTd={diffTd} | " +
|
||||
$"preEod.id={preEod.id} TdIntPrin={preEod.TdInterestPrincipal} ProfitSum={preEod.InterestProfitSum} | " +
|
||||
$"Fix={pos.InterestPrincipalFix} rate={rate} IntType={pos.InterestType} IsAnnualized={pos.IsAnnualized}");
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
Console.WriteLine($"\n===== 比对汇总：共 {totalCompared} 条，不一致 {mismatches} 条，跳过 {skipped} 个交易 =====");
|
||||
if (diffLog.Length > 0) Console.WriteLine(diffLog.ToString());
|
||||
|
||||
Assert.IsTrue(mismatches == 0,
|
||||
$"保证金新旧管线 EOD 真实库比对有 {mismatches}/{totalCompared} 条不一致——提交2 前必须解决（详见输出）");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,201 @@
|
||||
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.Modules.SwapModule.Margin;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
{
|
||||
/// <summary>
|
||||
/// 影子对账：保证金腿方法 CalcMarginInterest（EOD 用昨日终本金、盘中用 accrualBasis 差分）vs
|
||||
/// 旧通用管线 CalcDailySimpleInterestByEod/CalcDailySimpleInterest。
|
||||
///
|
||||
/// 保证金是纯固定利率单利（FloatRateUnderlyingCode 恒空、InterestType 恒单利、SwapIntervalList 单段）。
|
||||
/// 本测试在生产切到 CalcMarginInterest 后作为回归守护，确认其 InterestAmount/TdInterestAmount
|
||||
/// 与旧纯函数（SimpleInterestAccrual）数值一致。覆盖 EOD 续接/首日、盘中全平/部分平仓/互换。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class MarginInterestShadowTest
|
||||
{
|
||||
private const decimal Principal = 2_000_000m; // 保证金本金（InterestPrincipalFix）
|
||||
private const decimal Rate = 0.03m; // 3% 年化固定利率
|
||||
private const int AnnualDays = 365;
|
||||
private static readonly DateTime StartDate = new(2026, 7, 1);
|
||||
private static readonly DateTime ExerciseDate = new(2027, 6, 30);
|
||||
|
||||
private sealed class StubSvc : SwapDealService
|
||||
{
|
||||
public StubSvc() : base(new OptUserInfo(0, nameof(MarginInterestShadowTest), OptUserFrom.UnitTest)) { }
|
||||
}
|
||||
|
||||
private static trade CreateTrade() => new trade
|
||||
{
|
||||
id = 1, TradeNumber = "UT-MARGIN-SHADOW", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
|
||||
ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
|
||||
trade_extend = new trade_extend
|
||||
{
|
||||
TradeId = 1,
|
||||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||||
{ AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0 })
|
||||
}
|
||||
};
|
||||
|
||||
/// <summary>保证金腿（初始预付金 mode 5）：固定利率、单利、年化、无浮动标的。</summary>
|
||||
private static swap_position CreateMarginPosition() => new swap_position
|
||||
{
|
||||
id = 2001, SwapTradeId = 1, PosiDirection = 0,
|
||||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||||
InterestMode = (int)InterestModeEnum.初始预付金,
|
||||
InterestRateDefault = Rate, InterestPrincipalFix = Principal,
|
||||
PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
|
||||
IsInitial = true, Invalid = false,
|
||||
InterestType = (int)InterestTypeEnum.单利,
|
||||
IsAnnualized = true, interest_rest_days = 1, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
|
||||
};
|
||||
|
||||
/// <summary>构造昨日终 eod_swap_position（已含累计利息 InterestProfitSum 与昨日终本金）。</summary>
|
||||
private static eod_swap_position CreatePreEod(DateTime valueDate, decimal profitSum) => new eod_swap_position
|
||||
{
|
||||
id = 1, SwapTradeId = 1, PositionId = 2001,
|
||||
ValueDate = valueDate,
|
||||
TdInterestPrincipal = Principal, InterestPrincipalFix = Principal,
|
||||
InterestProfitSum = profitSum, PosiNotionalValue = Principal, FloatRate = 0m
|
||||
};
|
||||
|
||||
// ──────────────────────────── EOD 路径 ────────────────────────────
|
||||
|
||||
/// <summary>EOD 续接单日：有历史归档，notional=昨日终本金。</summary>
|
||||
[TestMethod]
|
||||
public void 影子_EOD续接单日_新旧一致()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreateMarginPosition();
|
||||
var valueDate = StartDate.AddDays(5);
|
||||
const decimal profitSum = 820m;
|
||||
|
||||
// 旧方法
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailySimpleInterestByEod(CreatePreEod(StartDate.AddDays(4), profitSum),
|
||||
valueDate, td.StartDate.Value, position, Principal, Principal,
|
||||
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
|
||||
|
||||
// 新方法（独立 preEod，相同初始值）
|
||||
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
|
||||
AnnualDays, calcFirst: true, calcLast: true,
|
||||
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, interestWindowEmpty: false);
|
||||
|
||||
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
|
||||
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} ClosePnL={newEvt.InterestClosePnL}");
|
||||
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
|
||||
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
|
||||
}
|
||||
|
||||
/// <summary>EOD 首日（preEod.id==0）：首日初始化 notional=posiPrincipal。</summary>
|
||||
[TestMethod]
|
||||
public void 影子_EOD首日_新旧一致()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreateMarginPosition();
|
||||
var valueDate = StartDate;
|
||||
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
svc.CalcDailySimpleInterestByEod(new eod_swap_position { id = 0 },
|
||||
valueDate, td.StartDate.Value, position, Principal, Principal,
|
||||
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
|
||||
|
||||
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
|
||||
AnnualDays, calcFirst: true, calcLast: true,
|
||||
new eod_swap_position { id = 0 }, 0, add: false, settment: true, interestWindowEmpty: false);
|
||||
|
||||
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
|
||||
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
|
||||
}
|
||||
|
||||
// ──────────────────────────── 盘中路径 ────────────────────────────
|
||||
|
||||
/// <summary>盘中全平（closePercent=1）：新方法 notional=posiPrincipal，旧方法差分 accrualBasis 恒=posiPrincipal。</summary>
|
||||
[TestMethod]
|
||||
public void 影子_盘中全平_新旧一致()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreateMarginPosition();
|
||||
var valueDate = StartDate.AddDays(5);
|
||||
const decimal profitSum = 820m;
|
||||
|
||||
// 旧方法：orginPv 经 PreviousBalance 对齐到昨日终保证金余额 → accrualBasis 恒= Principal
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
|
||||
decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
|
||||
svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
|
||||
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, orginPv,
|
||||
calcFirst: true, calcLast: false, ref oldI, ref oldTd);
|
||||
|
||||
// 新方法：notional = posiPrincipal（无差分、无 orginPv）
|
||||
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
|
||||
AnnualDays, calcFirst: true, calcLast: false,
|
||||
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, interestWindowEmpty: false);
|
||||
|
||||
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
|
||||
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
|
||||
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
|
||||
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
|
||||
}
|
||||
|
||||
/// <summary>盘中部分平仓（closePercent=0.5）：缩放累计，新旧线性等价。</summary>
|
||||
[TestMethod]
|
||||
public void 影子_盘中部分平仓_新旧一致()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreateMarginPosition();
|
||||
var valueDate = StartDate.AddDays(5);
|
||||
const decimal profitSum = 820m;
|
||||
const decimal closePct = 0.5m;
|
||||
|
||||
decimal oldI = 0, oldTd = 0;
|
||||
var svc = new StubSvc();
|
||||
var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
|
||||
decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
|
||||
svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
|
||||
new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, closePct, orginPv,
|
||||
calcFirst: true, calcLast: false, ref oldI, ref oldTd);
|
||||
|
||||
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate,
|
||||
Principal * closePct, Principal, closePct,
|
||||
AnnualDays, calcFirst: true, calcLast: false,
|
||||
CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, interestWindowEmpty: false);
|
||||
|
||||
Console.WriteLine($"旧: I={oldI} Td={oldTd}");
|
||||
Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
|
||||
Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
|
||||
Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
|
||||
}
|
||||
|
||||
/// <summary>互换事件（swap=true，盘中）：利息应归零。</summary>
|
||||
[TestMethod]
|
||||
public void 影子_盘中互换_利息归零()
|
||||
{
|
||||
var td = CreateTrade();
|
||||
var position = CreateMarginPosition();
|
||||
var valueDate = StartDate.AddDays(5);
|
||||
|
||||
var svc = new StubSvc();
|
||||
var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
|
||||
AnnualDays, calcFirst: true, calcLast: false,
|
||||
CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, interestWindowEmpty: true);
|
||||
|
||||
Assert.AreEqual(0m, newEvt.InterestAmount, "互换利息归零");
|
||||
Assert.AreEqual(0m, newEvt.TdInterestAmount, "互换 TdInterestAmount 归零");
|
||||
Assert.AreEqual(0m, newEvt.InterestClosePnL, "互换 InterestClosePnL 归零");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -1,121 +0,0 @@
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using YLErp.Derivatives.Interest;
|
||||
using YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
{
|
||||
/// <summary>
|
||||
/// 保证金账户(MarginAccount)单测。验证余额变动（追加/释放/返还）。
|
||||
/// 保证金就是保证金——有余额、有利率、有利息，不存在"计息基数/Notional"概念。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class MarginLegTest
|
||||
{
|
||||
private const decimal Opening = 2_000_000m;
|
||||
|
||||
#region MarginAccount 余额变动
|
||||
|
||||
[TestMethod]
|
||||
public void 账户_初始余额等于期初保证金()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
Assert.AreEqual(Opening, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 账户_追加保证金_余额增加()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Deposit(500_000m);
|
||||
Assert.AreEqual(2_500_000m, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 账户_释放保证金_余额减少()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Withdraw(800_000m);
|
||||
Assert.AreEqual(1_200_000m, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 账户_释放超过余额_不低于零()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Withdraw(3_000_000m);
|
||||
Assert.AreEqual(0m, account.Balance.Balance, "保证金余额不低于零");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 三种保证金形态解析器
|
||||
|
||||
[TestMethod]
|
||||
public void 三种形态解析器_各自返回正确Form和余额()
|
||||
{
|
||||
IMarginResolver cash = new CashMargin();
|
||||
IMarginResolver credit = new CreditMargin();
|
||||
IMarginResolver guarantee = new GuaranteeMargin();
|
||||
|
||||
Assert.AreEqual(MarginForm.Cash, cash.Form);
|
||||
Assert.AreEqual(MarginForm.Credit, credit.Form);
|
||||
Assert.AreEqual(MarginForm.Guarantee, guarantee.Form);
|
||||
|
||||
Assert.AreEqual(Opening, cash.Resolve(Opening).Balance);
|
||||
Assert.AreEqual(Opening, credit.Resolve(Opening).Balance);
|
||||
Assert.AreEqual(Opening, guarantee.Resolve(Opening).Balance);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region MarginAccount 计息
|
||||
|
||||
[TestMethod]
|
||||
public void 计息_单利7天_余额200万年化3pct()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(2_000_000m));
|
||||
// 200万 × 3% / 365 × 7天 = 1150.68...
|
||||
var r = account.AccrueInterest(
|
||||
rate: 0.03m,
|
||||
startDate: new System.DateTime(2026, 5, 4),
|
||||
endDate: new System.DateTime(2026, 5, 11),
|
||||
boundary: AccrualBoundary.StartOnly,
|
||||
annualDays: 365);
|
||||
|
||||
Assert.IsTrue(r.Accrued > 0, "7天利息应大于0");
|
||||
System.Console.WriteLine($"保证金7天利息={r.Accrued}");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 计息_零余额_利息为零()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(0m));
|
||||
var r = account.AccrueInterest(0.03m,
|
||||
new System.DateTime(2026, 5, 4), new System.DateTime(2026, 5, 11),
|
||||
AccrualBoundary.StartOnly, 365);
|
||||
|
||||
Assert.AreEqual(0m, r.Accrued);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 计息_释放后余额减少_利息相应减少()
|
||||
{
|
||||
var full = new MarginAccount(new MarginBalance(2_000_000m));
|
||||
var half = new MarginAccount(new MarginBalance(2_000_000m));
|
||||
half.Withdraw(1_000_000m);
|
||||
|
||||
var rFull = full.AccrueInterest(0.03m,
|
||||
new System.DateTime(2026, 5, 4), new System.DateTime(2026, 5, 11),
|
||||
AccrualBoundary.StartOnly, 365);
|
||||
var rHalf = half.AccrueInterest(0.03m,
|
||||
new System.DateTime(2026, 5, 4), new System.DateTime(2026, 5, 11),
|
||||
AccrualBoundary.StartOnly, 365);
|
||||
|
||||
Assert.IsTrue(rHalf.Accrued < rFull.Accrued, "释放后利息应更少");
|
||||
Assert.IsTrue(System.Math.Abs(rFull.Accrued - rHalf.Accrued * 2m) < 0.01m,
|
||||
"余额减半, 利息也应减半");
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
@@ -8,7 +8,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
{
|
||||
/// <summary>
|
||||
/// MarginModes 统一判断口径测试。
|
||||
/// 验证它和现有散落的 marginTypes/InterestMarginModels/premiumModes 内容一致。
|
||||
/// 验证 MarginModes 由框架常量 ConsTrade.InterestMarginModels 派生，内容一致。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class MarginModesTest
|
||||
@@ -37,7 +37,7 @@ namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
Assert.IsFalse(MarginModes.Contains((int)InterestModeEnum.标的期初全价));
|
||||
}
|
||||
|
||||
/// <summary>守护：和 ConsTrade.InterestMarginModels 内容必须一致(迁移期对齐)。</summary>
|
||||
/// <summary>回归护栏：MarginModes 由 ConsTrade.InterestMarginModels 派生，内容须一致（防止有人又独立重写集合导致口径分裂）。</summary>
|
||||
[TestMethod]
|
||||
public void 与ConsTradeInterestMarginModels内容一致()
|
||||
{
|
||||
|
||||
@@ -119,8 +119,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = CreateInterestPosition();
|
||||
var interests = service.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
add: false, settment: false, newCalcLast: false);
|
||||
return interests.Count > 0 ? interests[0].InterestAmount : 0m;
|
||||
}
|
||||
@@ -142,8 +142,8 @@ namespace YLErp.Modules.SwapModule
|
||||
};
|
||||
var interests = service.GetInterests(td, td.trade_extend, valueDate, valueDate,
|
||||
new List<eod_swap_position> { preEod }, new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
add: false, settment: true, newCalcLast: false);
|
||||
if (interests.Count == 0) return (0m, 0m);
|
||||
return (interests[0].TdInterestAmount, interests[0].InterestAmount);
|
||||
@@ -313,8 +313,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var svc5 = new StubDealService(0m, floatRate: 0.001);
|
||||
var i5 = svc5.GetInterests(td, td.trade_extend, day5, day5,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
settment: false);
|
||||
decimal swap1 = i5.Count > 0 ? i5[0].InterestAmount : 0m;
|
||||
|
||||
@@ -322,8 +322,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var svc10 = new StubDealService(swap1, floatRate: 0.001);
|
||||
var i10 = svc10.GetInterests(td, td.trade_extend, day10, day10,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
settment: false);
|
||||
decimal swap2 = i10.Count > 0 ? i10[0].InterestAmount : 0m;
|
||||
|
||||
@@ -332,8 +332,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var svc15 = new StubDealService(totalConsumed, floatRate: 0.001);
|
||||
var i15 = svc15.GetInterests(td, td.trade_extend, day15, day15,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
settment: false);
|
||||
decimal finalUnwind = i15.Count > 0 ? i15[0].InterestAmount : 0m;
|
||||
|
||||
@@ -362,8 +362,8 @@ namespace YLErp.Modules.SwapModule
|
||||
var svc = new StubDealService(0m, floatRate: 0.001);
|
||||
var interests = svc.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||||
Principal, Principal, Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||||
Principal, Principal, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, Principal,
|
||||
settment: false);
|
||||
return interests.Count > 0 ? interests[0].InterestAmount : 0m;
|
||||
}
|
||||
|
||||
@@ -0,0 +1,211 @@
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
using YLErp.Modules.SwapModule.Penalty;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Penalty
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6977 罚息边界矩阵测试（全部断言金标准恒等式：全期 = 实结 + 罚息）。
|
||||
///
|
||||
/// 覆盖易错边界：
|
||||
/// ① 平仓日恰为重置日（算尾/不算尾）——重置日快照基数还是上一段的，①须取 InterestIncomeSum；
|
||||
/// ② 重置日前一日平仓（② 几乎整段、窗口首段 0 天）；
|
||||
/// ③ 到期日恰为重置日（末段 [到期,到期] 1 天）；
|
||||
/// ④ 锚点偏离（td.StartDate=7/31 但腿 PosiStartDate=8/3 的延期/存续腿——重置网格整体不同）；
|
||||
/// ⑤ 起息日当天平仓（无 preEod）。
|
||||
///
|
||||
/// 一致性前提（与现实世界对齐）：冻结利率 = 当前重置区间（含 unwind-1 的区间）的在役利率，
|
||||
/// 即"历史末段利率 = 冻结利率"；历史各段定盘不同（体现真实 FR007 利率历史）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class PenaltyBoundaryMatrixTest
|
||||
{
|
||||
private const decimal Notional = 100_000_000m;
|
||||
private const int AnnualDays = 365;
|
||||
private static readonly decimal[] Hist = { 0.0310m, 0.0420m, 0.0530m, 0.0225m }; // 7/31 / 8/7 / 8/14 / 8/21 段
|
||||
private static readonly decimal Frozen = Hist[^1]; // 冻结 = 当前区间在役利率 = 历史末段
|
||||
|
||||
/// <summary>指定重置网格上的复利重放 [gridStart, end]；超出所给历史段后沿用冻结利率。</summary>
|
||||
private static decimal AccrueOnGrid(DateTime gridStart, DateTime end, AccrualBoundary boundary,
|
||||
decimal[] histRates, decimal notional = Notional, int period = 7)
|
||||
{
|
||||
var frozen = histRates[^1];
|
||||
var segs = new List<(DateTime, decimal)>();
|
||||
var i = 0;
|
||||
for (var d = gridStart; d <= end; d = d.AddDays(period))
|
||||
segs.Add((d, i < histRates.Length ? histRates[i++] : frozen));
|
||||
return CompoundInterestAccrual.AccruePeriod(
|
||||
notional: notional, segmentRates: segs,
|
||||
startDate: gridStart, endDate: end,
|
||||
boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _).Accrued;
|
||||
}
|
||||
|
||||
private static trade CreateTrade(DateTime startDate, DateTime maturity)
|
||||
=> new()
|
||||
{
|
||||
id = 1, TradeNumber = "UT-BOUNDARY", ClientId = 999998,
|
||||
TradeType = "收益互换", TradeDate = startDate, StartDate = startDate,
|
||||
ExerciseDate = maturity, TradeStatus = "确认成交", ValidState = "Valid"
|
||||
};
|
||||
|
||||
private static swap_position CompoundLeg(DateTime posiStart, DateTime maturity, decimal spread, int periodDays = 7)
|
||||
=> new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = spread,
|
||||
InterestPrincipalFix = Notional, PosiStartDate = posiStart, PosiMatuirityDate = maturity,
|
||||
IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
|
||||
IsAnnualized = true, interest_rest_days = periodDays, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
|
||||
};
|
||||
|
||||
/// <summary>日终快照：TdInterestPrincipal=当日实际滚动基数、InterestIncomeSum=截至当日待实现利息。</summary>
|
||||
private static eod_swap_position Snap(DateTime valueDate, decimal rollingBasis, decimal incomeSum)
|
||||
=> new() { id = 9, PositionId = 1001, ValueDate = valueDate,
|
||||
TdInterestPrincipal = rollingBasis, InterestIncomeSum = incomeSum };
|
||||
|
||||
private static decimal RunFee(trade td, swap_position p, decimal settledAmount,
|
||||
eod_swap_position? preEod, DateTime unwind, bool settled, decimal spread,
|
||||
decimal interestPrincipal = 0m, bool maturityCalcLast = true)
|
||||
{
|
||||
var e = new swap_flow_event
|
||||
{
|
||||
PositionId = p.id, InterestAmount = settledAmount, InterestFee = 0m,
|
||||
InterestDirection = 1, InterestClosePnL = settledAmount,
|
||||
InterestPrincipal = interestPrincipal // 复利主路径下=重放末次并本金后基数(=被平份额本金+①)
|
||||
};
|
||||
PenaltyInterestFeeMerger.Merge(
|
||||
td, new List<swap_position> { p }, new List<swap_flow_event> { e },
|
||||
unwind, AnnualDays, settled, maturityCalcLast: maturityCalcLast,
|
||||
posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
|
||||
getSpread: _ => spread, getPreEod: _ => preEod, tryGetFixing: (d, c) => spread);
|
||||
return e.InterestFee;
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 平仓日恰为重置日_算尾_恒等式成立()
|
||||
{
|
||||
var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 21); var maturity = new DateTime(2026, 8, 31);
|
||||
var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, Hist); // [7/31..8/21]（末日=重置日，1 天）
|
||||
var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, Hist); // 8/14 起段基数
|
||||
var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, Hist); // 8/20 待实现
|
||||
|
||||
// 前提自检：重置日快照基数(8/14段)≠今日应并入额(8/20待实现)，旧公式(basis−P)必错——用例有鉴别力
|
||||
Assert.AreNotEqual((double)basisThru813, (double)incomeSum, 1000d, "快照基数与重置日应并入额应显著不同");
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
|
||||
Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: true, spread: Frozen);
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"重置日当天平仓(算尾)：① 须取 InterestIncomeSum，全期=实结+罚息");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 平仓日恰为重置日_不算尾_恒等式成立()
|
||||
{
|
||||
var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 21); var maturity = new DateTime(2026, 8, 31);
|
||||
var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, Hist); // [7/31..8/20]
|
||||
var incomeSum = elapsed; // 不算尾时实结=8/20待实现
|
||||
var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, Hist);
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
|
||||
Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: false, spread: Frozen);
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"重置日当天平仓(不算尾)：②=0，罚息含平仓日，全期=实结+罚息");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 重置日前一日平仓_段内几乎整段承接_恒等式成立()
|
||||
{
|
||||
var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 27); var maturity = new DateTime(2026, 8, 31);
|
||||
var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, Hist); // [7/31..8/27]，段内已计 8/21..8/27
|
||||
var basisThru820 = AccrueOnGrid(start, new DateTime(2026, 8, 20), AccrualBoundary.Both, Hist); // 8/21 起段基数
|
||||
var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, Hist);
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
|
||||
Snap(unwind.AddDays(-1), Notional + basisThru820, incomeSum), unwind, settled: true, spread: Frozen);
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"重置日前一日平仓：窗口首段 0 天、② 于 8/28 整段并入，全期=实结+罚息");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 到期日恰为重置日_末段一天_恒等式成立()
|
||||
{
|
||||
// 8/18 平仓：当前区间为 8/14 段(r3) → 冻结利率=r3=历史末段；到期 9/4 恰为重置日（末段 [9/4,9/4] 1 天）
|
||||
var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 18); var maturity = new DateTime(2026, 9, 4);
|
||||
var hist = new decimal[] { 0.0310m, 0.0420m, 0.0530m }; // 7/31 / 8/7 / 8/14(=冻结 5.3%)
|
||||
var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, hist);
|
||||
var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, hist);
|
||||
var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, hist);
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1]), elapsed,
|
||||
Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: true, spread: hist[^1]);
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"到期日=重置日：末段 [9/4,9/4] 1 天收尾，全期=实结+罚息");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 锚点偏离_延期腿按腿起息日网格_恒等式成立()
|
||||
{
|
||||
// 交易起始 7/31，但腿 PosiStartDate=8/3（延期/存续腿）→ 真实重置网格 8/10/8/17/8/24/8/31
|
||||
var tradeStart = new DateTime(2026, 7, 31); var posiStart = new DateTime(2026, 8, 3);
|
||||
var unwind = new DateTime(2026, 8, 19); var maturity = new DateTime(2026, 9, 3);
|
||||
var hist = new decimal[] { 0.0300m, 0.0400m, 0.0225m }; // 8/3 / 8/10 / 8/17(=冻结) 三段历史
|
||||
|
||||
var elapsed = AccrueOnGrid(posiStart, unwind, AccrualBoundary.Both, hist);
|
||||
var basisThru816 = AccrueOnGrid(posiStart, new DateTime(2026, 8, 16), AccrualBoundary.Both, hist); // 8/17 起段基数
|
||||
var incomeSum = AccrueOnGrid(posiStart, unwind.AddDays(-1), AccrualBoundary.Both, hist);
|
||||
|
||||
var fee = RunFee(CreateTrade(tradeStart, maturity), CompoundLeg(posiStart, maturity, hist[^1]), elapsed,
|
||||
Snap(unwind.AddDays(-1), Notional + basisThru816, incomeSum), unwind, settled: true, spread: hist[^1]);
|
||||
|
||||
var full = AccrueOnGrid(posiStart, maturity, AccrualBoundary.Both, hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"锚点偏离：罚息分段/重置日判定必须用 position.PosiStartDate 网格（误用 td.StartDate 网格必挂）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 无preEod且此前已有重置_经事件基数兜底_恒等式精确成立()
|
||||
{
|
||||
// UAT 实测场景（tradeId=2447）：环境无日终快照、起息后已发生 8/19 重置并本。
|
||||
// 兜底① = normalEvent.InterestPrincipal − 本金（复利重放末次并本金后基数）；
|
||||
// 修复前 ①=0 少算 ≈3.17 元（并入额×冻结利率×段尾天数），本用例钉死兜底路径的精确性。
|
||||
var start = new DateTime(2026, 8, 5); var unwind = new DateTime(2026, 8, 20); var maturity = new DateTime(2026, 9, 30);
|
||||
var hist = new decimal[] { 0.0216m, 0.0144m }; // 8/5 段 2.16% / 8/19 段 1.44%(=冻结)，14 天重置
|
||||
var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, hist, period: 14); // 已结 [8/5..8/19]
|
||||
var replayFinalBasis = Notional + AccrueOnGrid(start, new DateTime(2026, 8, 18), AccrualBoundary.Both, hist, period: 14); // 8/19 重置并本后基数
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1], periodDays: 14), elapsed,
|
||||
preEod: null, unwind: unwind, settled: false, spread: hist[^1],
|
||||
interestPrincipal: replayFinalBasis, maturityCalcLast: false); // 不算尾合约、14天重置（对应 UAT tradeId=2447 口径）
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.StartOnly, hist, period: 14);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"无preEod+已有重置：兜底取事件基数后 ① 精确，全期=实结+罚息（修复前差≈3.17元）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 起息日当天平仓_无preEod_恒等式成立()
|
||||
{
|
||||
// 首日平仓：当前区间=首段(r1)，无 preEod 时取价委托返回首段定盘 → 冻结利率=r1，全程恒率
|
||||
var start = new DateTime(2026, 7, 31); var maturity = new DateTime(2026, 8, 31);
|
||||
var hist = new decimal[] { 0.0310m };
|
||||
var elapsed = AccrueOnGrid(start, start, AccrualBoundary.Both, hist); // 首日 1 天
|
||||
|
||||
var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1]), elapsed,
|
||||
preEod: null, unwind: start, settled: true, spread: hist[^1]);
|
||||
|
||||
var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, hist);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
|
||||
"起息日当天平仓：①=0、②=首日利息于 8/7 并入，全期=实结+罚息");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,167 @@
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
using YLErp.Modules.SwapModule.Penalty;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Penalty
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6977 罚息接缝 headless 测试（无 DB：spread/preEod/取价 全部以委托注入）。
|
||||
/// 锁定：Merge 把罚息金额并入既有利息事件的 InterestFee（不新增事件、不改 InterestAmount）；
|
||||
/// 承接量取实际计息状态（preEod 基数 + 事件实结金额）——含【多区间不同定盘】恒等式钉死，
|
||||
/// 该用例在"冻结利率重放推导承接量"的旧实现下必挂（FR007 真实利率历史场景）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class PenaltyInterestFeeMergerTest
|
||||
{
|
||||
private const decimal Notional = 100_000_000m;
|
||||
private const decimal Rate = 0.0225m; // 冻结 all-in 年化
|
||||
private const int AnnualDays = 365;
|
||||
private static readonly DateTime StartDate = new(2026, 7, 31);
|
||||
private static readonly DateTime MaturityDate = new(2026, 8, 31);
|
||||
private static readonly DateTime UnwindDate = new(2026, 8, 25);
|
||||
private static readonly DateTime LastResetBeforeUnwind = new(2026, 8, 21);
|
||||
|
||||
private static trade CreateTrade()
|
||||
=> new()
|
||||
{
|
||||
id = 1, TradeNumber = "UT-MERGE", ClientId = 999998,
|
||||
TradeType = "收益互换", StartDate = StartDate, TradeDate = StartDate,
|
||||
ExerciseDate = MaturityDate, TradeStatus = "确认成交", ValidState = "Valid"
|
||||
};
|
||||
|
||||
private static swap_position Leg(InterestTypeEnum interestType)
|
||||
=> new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
|
||||
InterestPrincipalFix = Notional, PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
|
||||
IsInitial = true, Invalid = false, InterestType = (int)interestType,
|
||||
IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
|
||||
};
|
||||
|
||||
/// <summary>正常平仓利息流（模拟 GetInterests 产出）：InterestAmount=实结利息、InterestFee=0。</summary>
|
||||
private static swap_flow_event NormalEvent(decimal settledAmount)
|
||||
=> new() { PositionId = 1001, InterestAmount = settledAmount, InterestFee = 0m,
|
||||
InterestDirection = 1, InterestClosePnL = settledAmount }; // 模拟 GetInterests 已算好的 PnL（收取=+1）
|
||||
|
||||
private static eod_swap_position PreEod(decimal rollingBasis, decimal floatRate = 0m)
|
||||
=> new() { id = 9, PositionId = 1001, ValueDate = UnwindDate.AddDays(-1),
|
||||
TdInterestPrincipal = rollingBasis, FloatRate = floatRate };
|
||||
|
||||
private static void RunMerge(
|
||||
swap_position p, swap_flow_event normalEvent, eod_swap_position? preEod,
|
||||
Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null)
|
||||
{
|
||||
getSpread ??= _ => Rate;
|
||||
tryGetFixing ??= (d, code) => Rate;
|
||||
PenaltyInterestFeeMerger.Merge(
|
||||
CreateTrade(), new List<swap_position> { p }, new List<swap_flow_event> { normalEvent },
|
||||
UnwindDate, AnnualDays,
|
||||
unwindDaySettled: true, maturityCalcLast: true,
|
||||
posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
|
||||
getSpread: getSpread,
|
||||
getPreEod: _ => preEod,
|
||||
tryGetFixing: tryGetFixing);
|
||||
}
|
||||
|
||||
/// <summary>复利重放 [StartDate, endDate]，重置段=每 7 天；分段利率由 rates 决定（rates.Count=1 时为常率）。</summary>
|
||||
private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary, params decimal[] rates)
|
||||
{
|
||||
var segs = new List<(DateTime, decimal)>();
|
||||
var i = 0;
|
||||
for (var d = StartDate; d <= endDate; d = d.AddDays(7))
|
||||
// 超出所给历史段后沿用最后区间利率——即“未来段冻结为最后区间利率”的语义（勿循环回绕）
|
||||
segs.Add((d, rates.Length == 1 ? rates[0] : i < rates.Length ? rates[i++] : rates[^1]));
|
||||
return CompoundInterestAccrual.AccruePeriod(
|
||||
notional: Notional, segmentRates: segs,
|
||||
startDate: StartDate, endDate: endDate,
|
||||
boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _).Accrued;
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 单利固定腿_罚息并入InterestFee_不新增事件()
|
||||
{
|
||||
var e = NormalEvent(settledAmount: 50_000m);
|
||||
RunMerge(Leg(InterestTypeEnum.单利), e, preEod: PreEod(Notional));
|
||||
|
||||
Assert.AreEqual(0d, (double)(e.InterestFee - Rate * Notional * 6m / AnnualDays), 0.0001,
|
||||
"罚息=利率×本金×6天/基准（窗口 (8/25, 8/31]）");
|
||||
Assert.AreEqual(50_000d, (double)e.InterestAmount, 0.0001, "正常实结利息不受影响");
|
||||
Assert.AreEqual((double)(50_000m + e.InterestFee), (double)e.InterestClosePnL, 0.0001, "PnL=（实结+罚息）×方向(收取=+1)");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 浮动腿_取价委托解析冻结率_并入费用()
|
||||
{
|
||||
var p = Leg(InterestTypeEnum.单利);
|
||||
p.FloatRateUnderlyingCode = "FR007";
|
||||
var e = NormalEvent(settledAmount: 50_000m);
|
||||
// 无 preEod → 走取价委托：all-in = spread(0) + 定盘(Rate)
|
||||
RunMerge(p, e, preEod: null, getSpread: _ => 0m, tryGetFixing: (d, code) => Rate);
|
||||
|
||||
Assert.AreEqual(0d, (double)(e.InterestFee - Rate * Notional * 6m / AnnualDays), 0.0001,
|
||||
"浮动腿冻结率=取价委托值(零利差)");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 复利常率_承接取实际状态_恒等式全期等于已结加罚息()
|
||||
{
|
||||
// 实际计息状态：preEod 滚动基数 = P + 已并入利息(截至 8/20)；事件实结 = elapsed([7/31,8/25] Both)
|
||||
var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, Rate);
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, Rate);
|
||||
var e = NormalEvent(elapsed);
|
||||
RunMerge(Leg(InterestTypeEnum.复利), e, preEod: PreEod(Notional + capitalized));
|
||||
|
||||
var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both, Rate);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + e.InterestFee), 0.0001,
|
||||
"常率下 全期 = 已结(事件实结) + 罚息(InterestFee)");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 复利多区间不同定盘_承接取实际状态_恒等式仍成立()
|
||||
{
|
||||
// 真实 FR007 世界：四个历史重置区间定盘各不相同，冻结利率=最后区间(2.25%)
|
||||
var r1 = 0.0310m; var r2 = 0.0420m; var r3 = 0.0530m; var r4 = Rate; // r4=0.0225 冻结值
|
||||
var rates = new[] { r1, r2, r3, r4 };
|
||||
|
||||
// 实际计息状态（与 GetInterests 重放同源）：
|
||||
var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, rates); // 已并入 8/21 重置日
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, rates); // 实结（含 8/21..8/25 段内利息）
|
||||
var e = NormalEvent(elapsed);
|
||||
RunMerge(Leg(InterestTypeEnum.复利), e, preEod: PreEod(Notional + capitalized));
|
||||
|
||||
// 全期参照：历史段按各自真实定盘、8/28 起的未来段按冻结利率（=r4，恰好同段延续）
|
||||
var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both, rates);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + e.InterestFee), 0.01,
|
||||
"多区间不同定盘下 全期(历史实率+未来冻结) = 实结 + 罚息——承接量必须来自实际状态");
|
||||
// 反证旧缺陷：冻结重放推导的承接①（全程 r4）≠ 实际①（分段实率），差额显著
|
||||
var frozenReplayCapitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, Rate);
|
||||
Assert.AreNotEqual((double)capitalized, (double)frozenReplayCapitalized, 1000d,
|
||||
"前提自检：分段实率与冻结重放的已并入利息应显著不同（否则用例失去鉴别力）");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 复利无preEod_承接退化为实结全额_可计算不崩溃()
|
||||
{
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, Rate);
|
||||
var e = NormalEvent(elapsed);
|
||||
RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null);
|
||||
|
||||
Assert.IsTrue(e.InterestFee > 0m, "无 preEod（首日平仓等）仍可计算罚息");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 冻结利率解析失败_跳过该腿不阻断()
|
||||
{
|
||||
var p = Leg(InterestTypeEnum.单利);
|
||||
p.FloatRateUnderlyingCode = "FR007";
|
||||
var e = NormalEvent(settledAmount: 50_000m);
|
||||
RunMerge(p, e, preEod: null, getSpread: _ => 0m, tryGetFixing: (d, code) => null);
|
||||
|
||||
Assert.AreEqual(0m, e.InterestFee, "缺价跳过：不加罚息、不抛异常");
|
||||
Assert.AreEqual(50_000d, (double)e.InterestAmount, 0.0001, "正常平仓不受影响");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,81 @@
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
using YLErp.Modules.SwapModule.Penalty;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Penalty
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6977 罚息冻结利率解析契约测试。
|
||||
/// 规则（需求 2.2.2）：冻结为「最后一个重置区间」定盘；终止日为重置日也取上一区间。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class PenaltyLegRateResolverTest
|
||||
{
|
||||
private const decimal Spread = 0.05m; // +500bp
|
||||
private static readonly DateTime UnwindDate = new(2026, 8, 25);
|
||||
|
||||
private static swap_position CreateFloatPosition(int interestRule = 0)
|
||||
=> new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PosiDirection = 0,
|
||||
InterestDirection = (int)SwapDirectionEnum.支付,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = Spread,
|
||||
PosiStartDate = new DateTime(2026, 7, 31),
|
||||
interest_rest_days = 7, interest_rule = interestRule,
|
||||
FloatRateUnderlyingCode = "FR007",
|
||||
FloatRate = 0.0185m
|
||||
};
|
||||
|
||||
[TestMethod]
|
||||
public void 浮动腿_preEod快照优先_重置日下午仍取上一区间()
|
||||
{
|
||||
// 8/25 为重置日且下午已出新价的边缘场景：preEod.FloatRate（昨日区间定盘）仍优先，
|
||||
// 解析器不做任何取价——「终止日取上一区间」由快照语义天然覆盖。
|
||||
var p = CreateFloatPosition();
|
||||
var rate = PenaltyLegRateResolver.ResolveFrozenRate(
|
||||
p, spread: Spread, preEodFloatRate: 0.0210m,
|
||||
unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("preEod 在场时不应取价"));
|
||||
|
||||
Assert.AreEqual(Spread + 0.0210m, rate.AllInRate, "冻结 all-in = 利差 + 上一区间定盘");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 浮动腿_无preEod_按前一营业日取价日取定盘()
|
||||
{
|
||||
var p = CreateFloatPosition(interestRule: 0); // 当前营业日规则
|
||||
DateTime? askedDate = null;
|
||||
var rate = PenaltyLegRateResolver.ResolveFrozenRate(
|
||||
p, spread: Spread, preEodFloatRate: null,
|
||||
unwindDate: UnwindDate,
|
||||
tryGetFixing: d => { askedDate = d; return 0.0195m; });
|
||||
|
||||
Assert.AreEqual(new DateTime(2026, 8, 24), askedDate, "取价日 = GetFixingDate(8/24, rule=0)");
|
||||
Assert.AreEqual(Spread + 0.0195m, rate.AllInRate);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 浮动腿_无preEod_缺价抛异常()
|
||||
{
|
||||
var p = CreateFloatPosition();
|
||||
Assert.ThrowsException<Exception>(() =>
|
||||
PenaltyLegRateResolver.ResolveFrozenRate(
|
||||
p, spread: Spread, preEodFloatRate: null,
|
||||
unwindDate: UnwindDate, tryGetFixing: _ => null));
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 固定腿_不取价_直接固定利率()
|
||||
{
|
||||
var p = CreateFloatPosition();
|
||||
p.FloatRateUnderlyingCode = null;
|
||||
|
||||
var rate = PenaltyLegRateResolver.ResolveFrozenRate(
|
||||
p, spread: Spread, preEodFloatRate: null,
|
||||
unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("固定腿不应取价"));
|
||||
|
||||
Assert.AreEqual(Spread, rate.AllInRate);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,176 @@
|
||||
using YLErp;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.Accrual;
|
||||
using YLErp.Modules.SwapModule.Penalty;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule.Penalty
|
||||
{
|
||||
/// <summary>
|
||||
/// EQD-6977 平仓罚息计算器契约测试（返回罚息金额）。
|
||||
///
|
||||
/// 金标准恒等式（需求核心语义，2026-08-20 裁定的精确续接口径）：
|
||||
/// 全期利息 = 平仓日已结利息 + 罚息金额
|
||||
/// 历史口径：7/31 起息、8/31 到期、7 天重置（8/7/8/14/8/21/8/28）、8/25 提前终止
|
||||
/// （平仓日落在 8/21–8/28 重置段中间——复利承接两分量的关键场景）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class SwapPenaltyInterestCalculatorTest
|
||||
{
|
||||
private const decimal Notional = 100_000_000m;
|
||||
private const decimal Rate = 0.0225m; // 冻结 all-in 年化
|
||||
private const int AnnualDays = 365;
|
||||
private static readonly DateTime StartDate = new(2026, 7, 31);
|
||||
private static readonly DateTime MaturityDate = new(2026, 8, 31);
|
||||
private static readonly DateTime UnwindDate = new(2026, 8, 25);
|
||||
private static readonly DateTime LastResetBeforeUnwind = new(2026, 8, 21);
|
||||
|
||||
private static swap_position CreatePosition(InterestTypeEnum interestType, SwapDirectionEnum direction)
|
||||
=> new()
|
||||
{
|
||||
id = 1001, SwapTradeId = 1, PosiDirection = 0,
|
||||
InterestDirection = (int)direction,
|
||||
InterestMode = (int)InterestModeEnum.标的期初全价,
|
||||
InterestRateDefault = Rate,
|
||||
InterestPrincipalFix = Notional,
|
||||
PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
|
||||
IsInitial = true, Invalid = false,
|
||||
InterestType = (int)interestType,
|
||||
IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
|
||||
FloatRateUnderlyingCode = null,
|
||||
InterestSwapInterval = "[]"
|
||||
};
|
||||
|
||||
private static AccrualPolicy Policy(swap_position p)
|
||||
=> AccrualPolicy.BuildEod(p, AnnualDays, p.InterestType == (int)InterestTypeEnum.复利);
|
||||
|
||||
/// <summary>常率复利重放 [7/31, endDate]，重置段 = 每 7 天。</summary>
|
||||
private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary)
|
||||
{
|
||||
var segs = new List<(DateTime, decimal)>();
|
||||
for (var d = StartDate; d <= endDate; d = d.AddDays(7)) segs.Add((d, Rate));
|
||||
return CompoundInterestAccrual.AccruePeriod(
|
||||
notional: Notional, segmentRates: segs,
|
||||
startDate: StartDate, endDate: endDate,
|
||||
boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
|
||||
resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
|
||||
finalBasis: out _).Accrued;
|
||||
}
|
||||
|
||||
private static decimal CalcCompoundPenalty(
|
||||
swap_position p, decimal closePrincipal, bool settled, decimal capitalized, decimal carryIn)
|
||||
=> SwapPenaltyInterestCalculator.CalcPenaltyAmount(
|
||||
p, closePrincipal,
|
||||
unwindDate: UnwindDate, maturityDate: MaturityDate,
|
||||
unwindDaySettled: settled, maturityCalcLast: true,
|
||||
capitalizedInterest: capitalized, carryInInterest: carryIn,
|
||||
frozenRate: FundingLegRate.Fixed(Rate),
|
||||
policy: Policy(p), resetAnchor: StartDate);
|
||||
|
||||
[TestMethod]
|
||||
public void 金标准恒等式_复利_全期等于已结加罚息()
|
||||
{
|
||||
var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
|
||||
var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
|
||||
var carryIn = elapsed - capitalized;
|
||||
|
||||
var penalty = CalcCompoundPenalty(p, Notional, settled: true, capitalized, carryIn);
|
||||
|
||||
var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + penalty), 0.0001,
|
||||
$"全期({full}) 应等于 已结({elapsed}) + 罚息({penalty})；承接①={capitalized} ②={carryIn}");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 金标准恒等式_复利_不算尾平仓日()
|
||||
{
|
||||
// 不算尾：正常结算未计 8/25 → 罚息含 8/25（IncludeStart=true），承接②少一天
|
||||
var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.StartOnly);
|
||||
var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
|
||||
var carryIn = elapsed - capitalized;
|
||||
|
||||
var penalty = CalcCompoundPenalty(p, Notional, settled: false, capitalized, carryIn);
|
||||
|
||||
var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
|
||||
Assert.AreEqual((double)full, (double)(elapsed + penalty), 0.0001,
|
||||
"不算尾时罚息窗口须补回平仓日，恒等式仍成立");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 单利固定腿_剩余期限利息等于公式()
|
||||
{
|
||||
// 需求 2.2.1：剩余利息 = 固定 × 名义本金 × 剩余天数 / 计息基准
|
||||
// 算尾平仓日 + 到期算尾：窗口 (8/25, 8/31] = 6 天
|
||||
var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
|
||||
CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付), Notional,
|
||||
unwindDate: UnwindDate, maturityDate: MaturityDate,
|
||||
unwindDaySettled: true, maturityCalcLast: true,
|
||||
capitalizedInterest: 0m, carryInInterest: 0m,
|
||||
frozenRate: FundingLegRate.Fixed(Rate),
|
||||
policy: Policy(CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付)),
|
||||
resetAnchor: StartDate);
|
||||
|
||||
var expected = Rate * Notional * 6m / AnnualDays;
|
||||
Assert.AreEqual((double)expected, (double)amount, 0.0001, "6 天 = 8/26..8/31");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 边界四象限_剩余天数口径正确()
|
||||
{
|
||||
var p = CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付);
|
||||
// 8/26..8/31 共 6 个计息日候选；IncludeStart 加 8/25、IncludeEnd 加 8/31 由约定裁剪
|
||||
var cases = new (bool settled, bool calcLast, int days)[]
|
||||
{
|
||||
(true, true, 6), // (8/25, 8/31] 8/26..8/31
|
||||
(true, false, 5), // (8/25, 8/31) 8/26..8/30
|
||||
(false, true, 7), // [8/25, 8/31] 8/25..8/31
|
||||
(false, false, 6), // [8/25, 8/31) 8/25..8/30
|
||||
};
|
||||
foreach (var (settled, calcLast, days) in cases)
|
||||
{
|
||||
var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
|
||||
p, Notional,
|
||||
unwindDate: UnwindDate, maturityDate: MaturityDate,
|
||||
unwindDaySettled: settled, maturityCalcLast: calcLast,
|
||||
capitalizedInterest: 0m, carryInInterest: 0m,
|
||||
frozenRate: FundingLegRate.Fixed(Rate),
|
||||
policy: Policy(p), resetAnchor: StartDate);
|
||||
var expected = Rate * Notional * days / AnnualDays;
|
||||
Assert.AreEqual((double)expected, (double)amount, 0.0001,
|
||||
$"settled={settled}, calcLast={calcLast} → {days} 天");
|
||||
}
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 部分平仓_仅被平份额计罚息()
|
||||
{
|
||||
var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
|
||||
var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
|
||||
var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
|
||||
var carryIn = elapsed - capitalized;
|
||||
|
||||
// 被平 30%：本金与两承接量同比缩放，罚息应恰为全额的 30%
|
||||
var full = CalcCompoundPenalty(p, Notional, true, capitalized, carryIn);
|
||||
var partial = CalcCompoundPenalty(p, Notional * 0.3m, true, capitalized * 0.3m, carryIn * 0.3m);
|
||||
|
||||
Assert.AreEqual((double)(full * 0.3m), (double)partial, 0.0001,
|
||||
"被平 30%（本金与承接量同比）罚息应恰为全额的 30%");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 零剩余期限_金额为零()
|
||||
{
|
||||
var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
|
||||
CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付), Notional,
|
||||
unwindDate: MaturityDate, maturityDate: MaturityDate,
|
||||
unwindDaySettled: true, maturityCalcLast: true,
|
||||
capitalizedInterest: 90_000m, carryInInterest: 10_000m,
|
||||
frozenRate: FundingLegRate.Fixed(Rate),
|
||||
policy: Policy(CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付)),
|
||||
resetAnchor: StartDate);
|
||||
Assert.AreEqual(0m, amount, "平仓日=到期日无剩余期限，罚息为 0（承接量不产生利息）");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -103,8 +103,8 @@ namespace YLErp.Modules.SwapModule
|
||||
SwapCalcTrace.Reset();
|
||||
var eod = new List<eod_swap_position> { MakeEod(valueDate, PrepayRemaining, 0m) };
|
||||
var fe = _svc.GetInterests(td, td.trade_extend, FullDate, FullDate, eod,
|
||||
new List<swap_position> { pos }, PrepayFix, PrepayFix, PrepayFix, PrepayFix, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, false, 0, PrepayFix, false,
|
||||
new List<swap_position> { pos }, PrepayFix, PrepayFix, 1m,
|
||||
(int)SwapEventTypeEnum.平仓, false, PrepayFix, false,
|
||||
settment: false, newCalcLast: calcLast, closeList: null)[0];
|
||||
var trace = SwapCalcTrace.Dump();
|
||||
Console.WriteLine(trace);
|
||||
|
||||
@@ -101,9 +101,9 @@ namespace YLErp.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
return positions.Select(p => new swap_flow_event
|
||||
|
||||
@@ -0,0 +1,270 @@
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.EodModule;
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using System.Linq;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// GLMS-20260105-0006 端到端补充：EOD 分红引擎的票息归属须按【债权登记日 reg_date】判定，
|
||||
/// 而非支付日(pay_date)。此前 DividendEodNoDoubleCountTest.EodSvcStub 把 CalcBondPayment 覆写成
|
||||
/// 线性公式(DailyRatePerUnit*days*qty)，**绕开了 reg_date 口径**——即没有真正验证"引擎按登记日计提"。
|
||||
///
|
||||
/// 本文件把 EOD stub 的 CalcBondPayment seam 重新桥接回【真实的 BondPaymentService（reg_date 口径）】，
|
||||
/// 仅用内存 BondPayment 数据（不连库），使端到端流程(CopyEodPosition/UpdateEodPosition + GetPreEodDividendSum)
|
||||
/// 真正跑生产日期逻辑：
|
||||
/// ① EOD 引擎在登记日计提、支付日不计提（证明 reg_date 口径）；
|
||||
/// ② 登记日下一日(T+1)全平：经 GetPreEodDividendSum 读到登记日当日 EOD 分红（收盘在册→享有）；
|
||||
/// ③ 部分平仓 T+1：DividendIn 为全量(非按比例缩放)，剩余 PosiDividendSum 归 0（记录当前生产行为）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class RegDateDividendEodE2ETest
|
||||
{
|
||||
private const string BondCode = "230004.IB";
|
||||
private const int TradeId = 7004;
|
||||
private const long PositionId = 70041;
|
||||
private const decimal Qty = 20_000_000m;
|
||||
private const decimal PaymentPer100 = 0.1808m;
|
||||
private const decimal ExpectedDividend = 36_160m; // 20,000,000 × 0.1808 / 100
|
||||
|
||||
private static readonly DateTime StartDate = new(2026, 4, 1);
|
||||
private static readonly DateTime RegDate = new(2026, 4, 3); // 债权登记日
|
||||
private static readonly DateTime PayDate = new(2026, 4, 6); // 实际支付日（与登记日差 3 天）
|
||||
|
||||
#region 内存债券付息数据（reg_date 口径）
|
||||
|
||||
private static List<BondPayment> BondPayments()
|
||||
=> new List<BondPayment>
|
||||
{
|
||||
new BondPayment
|
||||
{
|
||||
underlyingCode = BondCode,
|
||||
reg_date = RegDate, // 关键：分红归属按债权登记日判定
|
||||
payment_date_pl = PayDate, // 理论付息日（非归属口径）
|
||||
payment_date = PayDate, // 实际付息日（非归属口径）
|
||||
payment_interest = PaymentPer100
|
||||
}
|
||||
};
|
||||
|
||||
#endregion
|
||||
|
||||
#region BondPaymentService seam（桥接真实 reg_date 口径，内存数据）
|
||||
|
||||
private sealed class RegDateBondPaymentService : BondPaymentService
|
||||
{
|
||||
private readonly List<BondPayment> _data;
|
||||
public RegDateBondPaymentService(List<BondPayment> data, OptUserInfo userInfo) : base(userInfo) { _data = data; }
|
||||
protected override IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
|
||||
=> _data.Where(x => x.underlyingCode == underlyingCode).AsQueryable();
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region EOD stub（CalcBondPayment 桥接真实 BondPaymentService）
|
||||
|
||||
private sealed class RegDateEodStub : TestableSwapEodPositionService
|
||||
{
|
||||
private readonly List<BondPayment> _bondPayments;
|
||||
public RegDateEodStub(List<BondPayment> bondPayments) : base(nameof(RegDateDividendEodE2ETest)) { _bondPayments = bondPayments; }
|
||||
|
||||
protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
|
||||
{
|
||||
// 桥接真实生产口径：BondPaymentService.GetBondPayments 按 reg_date 过滤 + CalcPayment 累加
|
||||
var svc = new RegDateBondPaymentService(_bondPayments, OptUserInfo.UnitTestUser);
|
||||
return svc.CalcPayment(underlyingCode, fromDate, toDate, qty, shortRatio, directionRatio);
|
||||
}
|
||||
|
||||
protected override underlying_manager GetUnderlyingData(string underlyingCode)
|
||||
=> new underlying_manager { ValueAddedTax = 0m };
|
||||
|
||||
protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
|
||||
{ vobp = 0m; return 1.00m; }
|
||||
|
||||
public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate)
|
||||
=> CopyEodPosition(eod, null, td, valueDate, preSettleDate);
|
||||
|
||||
public eod_swap_position ExecuteUpdateEodPosition(swap_position swapPosition, eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
|
||||
=> UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region Deal stub（GetPreEodDividendSum，注入 EOD 快照）
|
||||
|
||||
private sealed class DealSvcStub : SwapDealService
|
||||
{
|
||||
private readonly List<eod_swap> _eodSwaps;
|
||||
private readonly List<eod_swap_position> _eodPositions;
|
||||
public DealSvcStub(List<eod_swap> eodSwaps, List<eod_swap_position> eodPositions)
|
||||
: base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; }
|
||||
public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate)
|
||||
=> GetPreEodDividendSum(tradeId, positionId, dealDate);
|
||||
protected override IQueryable<eod_swap> QueryPreEodSwaps(int tradeId)
|
||||
=> _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable();
|
||||
protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate)
|
||||
=> _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate);
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 数据构建
|
||||
|
||||
private static trade CreateTrade() => new trade
|
||||
{
|
||||
id = TradeId, TradeNumber = "UT-REGDATE-E2E-001", ClientId = 999999,
|
||||
TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
|
||||
ExerciseDate = new DateTime(2027, 4, 1), TradeStatus = "确认成交", ValidState = "Valid",
|
||||
StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
|
||||
OriginalStockEqvNotional = (double)(Qty * 1.00m)
|
||||
};
|
||||
|
||||
private static swap_position CreatePosition() => new swap_position
|
||||
{
|
||||
id = PositionId, SwapTradeId = TradeId,
|
||||
PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
|
||||
UnderlyingCode = BondCode, ContractSize = 1m,
|
||||
PosiQuantity = Qty, PosiNotionalValue = Qty,
|
||||
PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
|
||||
PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
|
||||
IsInitial = true, Invalid = false,
|
||||
PosiTradingFee = 0, PosiTradingFeePending = 0
|
||||
};
|
||||
|
||||
private static eod_swap_position CreateInitialEod() => new eod_swap_position
|
||||
{
|
||||
id = 1, SwapTradeId = TradeId, PositionId = PositionId,
|
||||
ValueDate = StartDate, PosiQuantity = Qty,
|
||||
PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
|
||||
UnderlyingCode = BondCode, ContractSize = 1m,
|
||||
PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
|
||||
PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
|
||||
PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m,
|
||||
RealizedDividend = 0m, PosiFeePending = 0m,
|
||||
InterestProfitSum = 0m, Invalid = false
|
||||
};
|
||||
|
||||
private static swap_flow_event CloseEvent(decimal qty, decimal dividendIn, DateTime eventDate) => new swap_flow_event
|
||||
{
|
||||
SwapTradeId = TradeId, EventType = (int)SwapFlowEventTypeEnum.平仓,
|
||||
PositionId = PositionId, Quantity = qty, DividendIn = dividendIn,
|
||||
MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
|
||||
TradingAmount = qty * 1.000m,
|
||||
UnwindDate = eventDate, EventDate = eventDate, PayDate = eventDate,
|
||||
DataState = (int)SwapFlowDateStateEnum.完成
|
||||
};
|
||||
|
||||
private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg)
|
||||
=> Assert.IsTrue(System.Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}");
|
||||
|
||||
#endregion
|
||||
|
||||
/// <summary>
|
||||
/// 端到端证 reg_date 口径：EOD 引擎(CopyEodPosition)逐日计提时，
|
||||
/// 仅在【债权登记日】产生分红，【支付日】不产生（即便支付日与登记日相差数日）。
|
||||
/// 这是线性 stub 无法覆盖的——线性公式按"天数"算，永远无法区分登记日 vs 支付日。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 登记日口径_EOD引擎按reg_date计提_非pay_date()
|
||||
{
|
||||
var eodSvc = new RegDateEodStub(BondPayments());
|
||||
var td = CreateTrade();
|
||||
var initialEod = CreateInitialEod();
|
||||
|
||||
// D1=4/2（登记日前一日）：窗口 (4/1,4/2] 无登记日 → 0
|
||||
var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, new DateTime(2026, 4, 2), StartDate);
|
||||
AssertDecimalEqual(0m, r1.TdPosiDividend, 0.01m, "4/2 当日新计(无登记日)");
|
||||
AssertDecimalEqual(0m, r1.PosiDividendSum, 0.01m, "4/2 累计(无登记日)");
|
||||
|
||||
// D2=4/3（登记日）：窗口 (4/2,4/3] 命中 reg_date=4/3 → 36160
|
||||
var r2 = eodSvc.ExecuteCopyEodPosition(r1, td, RegDate, StartDate);
|
||||
AssertDecimalEqual(ExpectedDividend, r2.TdPosiDividend, 0.01m,
|
||||
"4/3 登记日当日应计提 36160（按 reg_date 口径）；若按支付日(pay_date=4/6)则此处为 0（漏计）。");
|
||||
AssertDecimalEqual(ExpectedDividend, r2.PosiDividendSum, 0.01m, "4/3 累计=36160");
|
||||
|
||||
// D3=4/6（支付日，非登记日）：窗口 (4/3,4/6] 不含任何 reg_date（4/3 不>4/3；4/6 是支付日非登记日）→ 0
|
||||
var r3 = eodSvc.ExecuteCopyEodPosition(r2, td, PayDate, StartDate);
|
||||
AssertDecimalEqual(0m, r3.TdPosiDividend, 0.01m,
|
||||
"4/6 支付日不应计提（分红归属按 reg_date，不是 pay_date）；线性 stub 因按天数算会在此误计。");
|
||||
AssertDecimalEqual(ExpectedDividend, r3.PosiDividendSum, 0.01m, "4/6 累计仍为 36160（支付日不重复计提）");
|
||||
|
||||
Console.WriteLine($"[reg_date 口径] 4/2={r1.PosiDividendSum}, 4/3={r2.PosiDividendSum}(登记日计提), 4/6={r3.PosiDividendSum}(支付日不计提)");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 用户场景「登记日下一日(T+1)全平」：T日(登记日)收盘在册→享有T日分红；
|
||||
/// T+1盘中全平，GetPreEodDividendSum(T+1) 应读到 T日 EOD（含当日分红）= 36160，而非漏读为 0。
|
||||
/// 验证端到端：EOD 引擎算出 T日分红 → 快照 → 手动/互换读取正确取到。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 登记日下一日全平_经GetPreEodDividendSum读到登记日分红()
|
||||
{
|
||||
var eodSvc = new RegDateEodStub(BondPayments());
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition();
|
||||
var initialEod = CreateInitialEod();
|
||||
|
||||
// T日=4/3（登记日）EOD：引擎算出分红 36160（reg_date 口径）
|
||||
var rReg = eodSvc.ExecuteCopyEodPosition(initialEod, td, RegDate, StartDate);
|
||||
AssertDecimalEqual(ExpectedDividend, rReg.PosiDividendSum, 0.01m, "登记日 T日 EOD 累计分红=36160");
|
||||
|
||||
// T+1=4/4 盘中：注入 T日 EOD 快照，GetPreEodDividendSum 应读 T日(<=当日) → 36160
|
||||
var dealSvc = new DealSvcStub(
|
||||
new List<eod_swap> { new eod_swap { SwapTradeId = TradeId, ValueDate = RegDate } },
|
||||
new List<eod_swap_position> { rReg });
|
||||
decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 4, 4));
|
||||
AssertDecimalEqual(ExpectedDividend, dividendIn, 0.01m,
|
||||
"T+1(4/4) 盘中全平应经 GetPreEodDividendSum 读到 T日(4/3)EOD 分红 36160（收盘在册→享有）；" +
|
||||
"若 < 严格小于 dealDate 读 T-1(4/2=0) 则漏读登记日当日。");
|
||||
Console.WriteLine($"[T+1 全平] DividendIn(读T日EOD)={dividendIn}");
|
||||
|
||||
// T+1=4/4 EOD 全平：PosiQuantity=0 → 不计提当日 + PosiDividendSum 归 0
|
||||
var rT1 = eodSvc.ExecuteUpdateEodPosition(position, rReg, td, new DateTime(2026, 4, 4), RegDate,
|
||||
new List<swap_flow_event> { CloseEvent(Qty, dividendIn, new DateTime(2026, 4, 4)) });
|
||||
|
||||
// 实拿 = DividendIn(本次落袋) + 末尾 PosiDividendSum(剩余挂账) = 应得(T日前待实现=持有至登记日)
|
||||
decimal actualGot = dividendIn + rT1.PosiDividendSum;
|
||||
AssertDecimalEqual(ExpectedDividend, actualGot, 0.01m, "实拿=应得(持有至登记日享有的 36160)");
|
||||
AssertDecimalEqual(0m, rT1.TdPosiDividend, 0.01m, "T+1 非登记日，EOD 不计提当日");
|
||||
AssertDecimalEqual(0m, rT1.PosiDividendSum, 0.01m, "全平后 PosiDividendSum=0");
|
||||
Console.WriteLine($"[T+1 全平] 应得={ExpectedDividend}, 实拿={actualGot}, 末尾PosiDividendSum={rT1.PosiDividendSum}");
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 部分平仓 T+1：当前生产行为记录（非修复目标）。
|
||||
/// T日(登记日)持有→T+1盘中部分平仓：GetPreEodDividendSum 返回的是【全量】待实现分红(非按平仓比例缩放)，
|
||||
/// 故 DividendIn=全量 36160；T+1 EOD 部分平仓(PosiQuantity>0)后剩余 PosiDividendSum=前日-全量=0。
|
||||
/// 注：此"DividendIn 不按平仓比例缩放"是当前生产行为，已与用户确认（潜在一致性议题，非本 bug 修复范围）。
|
||||
/// </summary>
|
||||
[TestMethod]
|
||||
public void 部分平仓_T1_DividendIn为全量_剩余PosiDividendSum归0()
|
||||
{
|
||||
var eodSvc = new RegDateEodStub(BondPayments());
|
||||
var td = CreateTrade();
|
||||
var position = CreatePosition();
|
||||
var initialEod = CreateInitialEod();
|
||||
|
||||
// T日=4/3（登记日）EOD：累计 36160
|
||||
var rReg = eodSvc.ExecuteCopyEodPosition(initialEod, td, RegDate, StartDate);
|
||||
AssertDecimalEqual(ExpectedDividend, rReg.PosiDividendSum, 0.01m, "登记日 T日 EOD 累计=36160");
|
||||
|
||||
// T+1=4/4 盘中部分平仓(50%)：GetPreEodDividendSum 返回【全量】36160（不按比例缩放）
|
||||
var dealSvc = new DealSvcStub(
|
||||
new List<eod_swap> { new eod_swap { SwapTradeId = TradeId, ValueDate = RegDate } },
|
||||
new List<eod_swap_position> { rReg });
|
||||
decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(TradeId, PositionId, new DateTime(2026, 4, 4));
|
||||
AssertDecimalEqual(ExpectedDividend, dividendIn, 0.01m, "部分平仓 T+1：DividendIn 仍为全量 36160（非按 50% 缩放）");
|
||||
|
||||
// T+1=4/4 EOD 部分平仓(Quantity=Qty/2)：PosiQuantity>0；TdPosiDividend=0(非登记日)，
|
||||
// PosiDividendSum = 前日36160 + 0 - TdCloseDividend(全量36160) = 0
|
||||
var rT1 = eodSvc.ExecuteUpdateEodPosition(position, rReg, td, new DateTime(2026, 4, 4), RegDate,
|
||||
new List<swap_flow_event> { CloseEvent(Qty / 2, dividendIn, new DateTime(2026, 4, 4)) });
|
||||
|
||||
AssertDecimalEqual(ExpectedDividend, rT1.TdCloseDividend, 0.01m, "TdCloseDividend=全量 DividendIn(36160)");
|
||||
AssertDecimalEqual(0m, rT1.PosiDividendSum, 0.01m,
|
||||
"部分平仓后剩余 PosiDividendSum=前日36160 - 全量实现36160 = 0（当前生产行为：DividendIn 不按比例缩放）");
|
||||
Console.WriteLine($"[部分平仓 T+1] DividendIn={dividendIn}(全量), 剩余PosiDividendSum={rT1.PosiDividendSum}");
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -80,9 +80,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var result = service.GetInterests(
|
||||
trade, trade.trade_extend, closeCase.CloseDate, closeCase.CloseDate,
|
||||
new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
|
||||
closeCase.RemainingNotional, closeCase.RemainingNotional, 0m,
|
||||
closeCase.RemainingNotional,
|
||||
closeCase.RemainingNotional, 1m, (int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m,
|
||||
false,
|
||||
closeCase.InterestType == 0 ? closeCase.RemainingNotional : closeCase.OriginalNotional,
|
||||
add: false, settment: false, newCalcLast: false).Single();
|
||||
|
||||
|
||||
@@ -1,3 +1,4 @@
|
||||
using System.Linq;
|
||||
using System.Reflection;
|
||||
using YLErp.DBModels.Enums;
|
||||
|
||||
@@ -272,7 +273,16 @@ namespace YLErp.Modules.SwapModule
|
||||
Console.WriteLine($" ✓ {scenario.Scenario}");
|
||||
}
|
||||
|
||||
Assert.AreEqual(13, parameters.Length, "DealInterests应有13个参数");
|
||||
// 校验参数集合（按名称，对参数增删/重排/改名均敏感，比裸数字更稳）
|
||||
var expectedParamNames = new[]
|
||||
{
|
||||
"interestList", "eodPositions", "todyEodPositions", "settleDate",
|
||||
"td", "flowEvents", "autoInterests", "lastEodSwap",
|
||||
"posiTotalNotional", "closeNational", "grossPrice", "orginPv"
|
||||
};
|
||||
var actualParamNames = parameters.Select(p => p.Name).ToArray();
|
||||
CollectionAssert.AreEquivalent(expectedParamNames, actualParamNames,
|
||||
"DealInterests 参数集合应与预期一致（新增/重排/改名参数时请同步更新此列表）");
|
||||
Console.WriteLine("✅ 分支覆盖分析完成");
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,30 @@
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// FR007 界面手工录入落库精度契约（EQD-6968 测试期间发现）：
|
||||
/// FR007 官方发布为百分数下 4 位（1.4150%），前端 ÷100 转 6 位小数（0.014150）传后端；
|
||||
/// 原 Math.Round(,4) 截成 0.0142（丢 0.5bp，1 亿本金 7 天约 96 元）。修复后保留 6 位。
|
||||
/// bond-sync 自动同步链（BigDecimal 全精度）不经此路径，无影响。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class SwapFlowFr007EntryPrecisionTest
|
||||
{
|
||||
[TestMethod]
|
||||
public void 官方四位百分数定盘_六位小数全精度保留()
|
||||
{
|
||||
// 2026-08-19 官方发布 1.4150% —— 前端 1.4150/100 后的入参
|
||||
Assert.AreEqual(0.01415, SwapFlowService.RoundFr007Price(1.4150 / 100.0), 1e-9,
|
||||
"1.4150% 落库应保留 0.014150，不得截成 0.0142（丢 0.5bp）");
|
||||
Assert.AreEqual(0.021137, SwapFlowService.RoundFr007Price(2.1137 / 100.0), 1e-9,
|
||||
"百分数下第3、4位（小数第5、6位）必须保留");
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 常规两位百分数定盘_行为不变()
|
||||
{
|
||||
// 历史常见形态（2.11% 等）：修复前后结果一致
|
||||
Assert.AreEqual(0.0211, SwapFlowService.RoundFr007Price(0.0211), 0d);
|
||||
Assert.AreEqual(0.0142, SwapFlowService.RoundFr007Price(0.0142), 0d);
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -56,17 +56,17 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
var svc = new StubSwapDealService(
|
||||
new OptUserInfo(0, nameof(SwapInterestScenario1And2Test), OptUserFrom.UnitTest), _floatRates);
|
||||
return svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
eodPositions, positions, posiNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose,
|
||||
orginPv, add, settment, newCalcLast, closeList);
|
||||
}
|
||||
|
||||
public eod_swap_position ExecuteClose(trade td, swap_position position, DateTime valueDate,
|
||||
@@ -74,7 +74,7 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
List<swap_flow_event> flowEvents, decimal closeNotional, eod_swap_position prevEod)
|
||||
{
|
||||
SaveAutoEodWithCloseInterestPosition(prevEod, null, position, td, valueDate, null,
|
||||
posiLongNotional, posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
@@ -211,9 +211,9 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
var interests = svc.GetInterests(
|
||||
td, td.trade_extend, valueDate, valueDate,
|
||||
prevEod, new List<swap_position> { position },
|
||||
closeNotional, closeNotional, 0m, closeNotional, 1m,
|
||||
closeNotional, closeNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
false, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
|
||||
@@ -1,12 +1,9 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using Microsoft.VisualStudio.TestTools.UnitTesting;
|
||||
using Newtonsoft.Json;
|
||||
using System.Globalization;
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule;
|
||||
using YLErp.Modules.SwapModule.ReturnLegs;
|
||||
|
||||
namespace UnitTestProject.Modules.SwapModule
|
||||
{
|
||||
@@ -178,17 +175,17 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
var svc = new RealSwapDealService(
|
||||
new OptUserInfo(0, nameof(SwapInterestScenario3And4FloatingTest), OptUserFrom.UnitTest), _floatRates, FlowEvents);
|
||||
var interests = svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
eodPositions, positions, posiNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose,
|
||||
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;
|
||||
@@ -226,7 +223,7 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
List<swap_flow_event> flowEvents, decimal closeNotional, eod_swap_position prevEod)
|
||||
{
|
||||
SaveAutoEodWithCloseInterestPosition(prevEod, null, position, _td, valueDate, null,
|
||||
posiLongNotional, posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
@@ -252,7 +249,7 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
private static void DebugCompare(string tag, decimal oracle, decimal actual, eod_swap_position eod = null)
|
||||
{
|
||||
var diff = actual - oracle;
|
||||
var sb = new System.Text.StringBuilder();
|
||||
var sb = new StringBuilder();
|
||||
sb.AppendLine($"[DBG][{tag}] oracle={oracle:F4} actual={actual:F4} diff={diff:F4}");
|
||||
if (eod != null)
|
||||
{
|
||||
@@ -394,9 +391,9 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
var interests = svc.GetInterests(
|
||||
td, td.trade_extend, valueDate, valueDate,
|
||||
prevEod, new List<swap_position> { position },
|
||||
closeNotional, closeNotional, 0m, closeNotional, 1m,
|
||||
closeNotional, closeNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
false, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
@@ -421,8 +418,8 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
public void 场景3_第3重置期内全平(string note, bool compound, bool calcFirst, bool calcLast,
|
||||
int rule, int interestMode, string spreadStr, string oracleStr)
|
||||
{
|
||||
var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
|
||||
var oracle = decimal.Parse(oracleStr, System.Globalization.CultureInfo.InvariantCulture);
|
||||
var spread = decimal.Parse(spreadStr, CultureInfo.InvariantCulture);
|
||||
var oracle = decimal.Parse(oracleStr, CultureInfo.InvariantCulture);
|
||||
var mode = (calcFirst && calcLast) ? "11" : "10";
|
||||
var type = compound ? InterestTypeEnum.复利 : InterestTypeEnum.单利;
|
||||
|
||||
@@ -468,9 +465,9 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
public void 场景4_部分平仓后再全平(string note, bool compound, bool calcFirst, bool calcLast,
|
||||
int rule, int interestMode, string spreadStr, string oraclePartialStr, string oracleFinalStr)
|
||||
{
|
||||
var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
|
||||
var oraclePartial = decimal.Parse(oraclePartialStr, System.Globalization.CultureInfo.InvariantCulture);
|
||||
var oracleFinal = decimal.Parse(oracleFinalStr, System.Globalization.CultureInfo.InvariantCulture);
|
||||
var spread = decimal.Parse(spreadStr, CultureInfo.InvariantCulture);
|
||||
var oraclePartial = decimal.Parse(oraclePartialStr, CultureInfo.InvariantCulture);
|
||||
var oracleFinal = decimal.Parse(oracleFinalStr, CultureInfo.InvariantCulture);
|
||||
var mode = (calcFirst && calcLast) ? "11" : "10";
|
||||
var type = compound ? InterestTypeEnum.复利 : InterestTypeEnum.单利;
|
||||
|
||||
@@ -492,25 +489,61 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
_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。
|
||||
// TdInterestPrincipal 独立经济不变量断言（取代原 reverseMode2 镜像布尔）。
|
||||
// 生产线路（SwapEodPositionService ~:1400-1453）：
|
||||
// 单利：直接 TdInterestPrincipal = posiNotionalValue = remainingNotional（无累计利息）。
|
||||
// 复利：base = 计息器 CalcSwapInterests 返回的 InterestPrincipal，已由本桩捕获为 LastBaseInterestPrincipal。
|
||||
// - mode9（标的期初全价）：计息器已直接返回「剩余动态本金」，禁止任何 (1-cp)/cp 反推
|
||||
// （GLMS-20260421-0004：误反推会把 ~212135529.97 膨胀到 ~494982903.27）。
|
||||
// - mode2（合约名义本金规模）仅 calcLast 时 InterestPrincipal 为已平部分，需反推剩余
|
||||
// = base*(1-cp)/cp（经济恒等式 remaining = closed/cp − closed，非代码镜像）。
|
||||
// 下方用独立 if 锁死 mode9=base，不依赖 reverseMode2 布尔的拼写——
|
||||
// 重基线时即便把 reverseMode2 错写成含 mode9，mode9 仍走 base 分支，断言照红。
|
||||
decimal expectedTdPrincipal;
|
||||
if (!compound)
|
||||
{
|
||||
expectedTdPrincipal = remainingNotional;
|
||||
}
|
||||
else if (interestMode == (int)InterestModeEnum.标的期初全价)
|
||||
{
|
||||
// mode9 回归守卫（GLMS-20260421-0004）：TdInterestPrincipal 必须等于反推前的 base；
|
||||
// 任何 (1-cp)/cp 反推都会把 ~212M 剩余本金膨胀到 ~495M，此断言立即红。
|
||||
expectedTdPrincipal = _eod.LastBaseInterestPrincipal;
|
||||
}
|
||||
else
|
||||
{
|
||||
// mode2（合约名义本金规模）：仅 calcLast 时 InterestPrincipal 为已平部分，需反推剩余
|
||||
// = base*(1-cp)/cp（经济恒等式 remaining = closed/cp − closed，非代码镜像）。
|
||||
// !calcLast 时生产走 usesFullPreviousEodPrincipal 分支（*= (1-cp)），本测因部分平仓前一日 eod
|
||||
// 差 3 天使 Days==1 不成立而跳过，故此处取 base。
|
||||
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;
|
||||
}
|
||||
// 跨日毒链携带守卫（验证“最终结果”而非单日快照，置于单日守卫之前使其为首要捕获点）：
|
||||
// 部分平仓的 TdInterestPrincipal 是带去次日的计息基数；生产下一日本金利息 TdInterestIncome 正是由
|
||||
// 该基数经 DailyAccrual 算出（SwapEodPositionService:1388 单一真相源：
|
||||
// TdInterestIncome = DailyAccrual(TdInterestPrincipal, 当日利率, 浮动利率, 年化, 年化天数)）。
|
||||
// 故“D 日 TdInterestPrincipal → D+1 TdInterestIncome == DailyAccrual(该基数)”是生产自身的不变量。
|
||||
// 本守卫用生产同一纯函数直接验证跨日携带：正确本金与“生产实际”本金各算一次 D+1 应计，
|
||||
// 二者唯一差异就是 TdInterestPrincipal；误反推(膨胀~2.3x)会让 D+1 应计同步膨胀，差远超容差→红。
|
||||
// （注：本 harness 的 RollForward 分支因 prior-eod seam 未接到内存 eod 链，rollforward eod 的
|
||||
// TdInterestPrincipal 恒为 0，无法在 eod 层直接观察携带；故在纯函数层验证该不变量。）
|
||||
var annualDays = td.trade_extend == null ? 365 : td.trade_extend.ExtendObj.AnnualDays;
|
||||
var correctNextDayIncome = InterestIncomeCalc.DailyAccrual(
|
||||
expectedTdPrincipal, partialEod.TdInterestRate, partialEod.FloatRate, partialEod.IsAnnualized, annualDays);
|
||||
var poisonedNextDayIncome = InterestIncomeCalc.DailyAccrual(
|
||||
partialEod.TdInterestPrincipal, partialEod.TdInterestRate, partialEod.FloatRate, partialEod.IsAnnualized, annualDays);
|
||||
var carryTol = Math.Max(0.01m, Math.Abs(correctNextDayIncome) * 0.05m);
|
||||
Assert.IsTrue(Math.Abs(poisonedNextDayIncome - correctNextDayIncome) <= carryTol,
|
||||
$"场景4[跨日] 毒链携带 {note}: D+1 TdInterestIncome 应=DailyAccrual(正确本金 {expectedTdPrincipal})，" +
|
||||
$"但生产 partialEod.TdInterestPrincipal={partialEod.TdInterestPrincipal} 使 D+1 应计偏差 {poisonedNextDayIncome - correctNextDayIncome}" +
|
||||
$"（correct={correctNextDayIncome}, poisoned={poisonedNextDayIncome}）");
|
||||
|
||||
// 单日不变量守卫（跨日守卫之后的次级细节）：TdInterestPrincipal 必须精确等于经济不变量推导的
|
||||
// 正确本金（mode9=计息器 base，禁任何 (1-cp)/cp 反推；mode2=base*(1-cp)/cp）。
|
||||
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）
|
||||
@@ -521,6 +554,7 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
RunDailyEodFromStart(_eod, new DateTime(2026, 5, 12), new DateTime(2026, 5, 19));
|
||||
var prevEodFull = _eod.LatestEodForPosition(position.id, new DateTime(2026, 5, 19));
|
||||
|
||||
|
||||
// 第二步：2026-05-19 全部平仓剩余 70%（consumedInterest 此时从真实累积的 flow event 读取，
|
||||
// 真实扣除 5/11 部分平仓已结利息——绝无硬编码 0）
|
||||
var fullFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 19), new List<eod_swap_position>(), remainingNotional, remainingNotional);
|
||||
|
||||
@@ -80,16 +80,16 @@ namespace YLErp.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
LastInterestCalculationPositions = positions;
|
||||
return base.CalcSwapInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
eodPositions, positions, posiNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose,
|
||||
orginPv, add, settment, newCalcLast, closeList);
|
||||
}
|
||||
|
||||
public void ExecuteSwapPositionCompose(DateTime settleDate, DateTime preSettleDate)
|
||||
|
||||
@@ -59,17 +59,17 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
protected override List<swap_flow_event> CalcSwapInterests(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
|
||||
decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
|
||||
decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
|
||||
List<swap_flow_event> closeList = null)
|
||||
{
|
||||
var svc = new StubSwapDealService(
|
||||
new OptUserInfo(0, nameof(SwapSingleTradeVerificationTest), OptUserFrom.UnitTest), _floatRates);
|
||||
return svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
|
||||
eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose, needPrice,
|
||||
grossPrice, orginPv, add, settment, newCalcLast, closeList);
|
||||
eodPositions, positions, posiNotionalValue,
|
||||
closePosiNotionalValue, closePrecent, eventType, tdClose,
|
||||
orginPv, add, settment, newCalcLast, closeList);
|
||||
}
|
||||
|
||||
public eod_swap_position ExecuteClose(trade td, swap_position position, DateTime valueDate,
|
||||
@@ -77,7 +77,7 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
List<swap_flow_event> flowEvents, decimal closeNotional, eod_swap_position prevEod)
|
||||
{
|
||||
SaveAutoEodWithCloseInterestPosition(prevEod, null, position, td, valueDate, null,
|
||||
posiLongNotional, posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional, flowEvents, closeNotional, false, 1m,
|
||||
posiLongNotional + posiShortNotional);
|
||||
return PersistedPositions.LastOrDefault();
|
||||
}
|
||||
@@ -213,9 +213,9 @@ namespace UnitTestProject.Modules.SwapModule
|
||||
var interests = svc.GetInterests(
|
||||
td, td.trade_extend, valueDate, valueDate,
|
||||
prevEod, new List<swap_position> { position },
|
||||
closeNotional, closeNotional, 0m, closeNotional, 1m,
|
||||
closeNotional, closeNotional, 1m,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0m, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
false, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||||
Assert.AreEqual(1, interests.Count);
|
||||
return interests[0];
|
||||
}
|
||||
|
||||
@@ -5,12 +5,12 @@ using YLErp.DBModels.Enums;
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 诊断测试：验证「浮动腿 fpositions 仍用 origPositions(orig 100M)」对本 deal 的
|
||||
/// 预付金/返回预付金结果是否产生影响。结论预期：本 deal 利息腿只有 mode 9(标的期初全价)
|
||||
/// 与 mode 5(初始预付金)，CalcNotionalByMode 中 posiLong/posiShort 仅在「多头/空头存续名义本金」
|
||||
/// 分支被消费(L709-716)，故本 deal 即便 fpositions 用 orig 100M，预付金腿结果也不受其影响。
|
||||
/// 本测试仅做诊断/验证，不改动任何生产代码；用反射调用 private CalcNotionalByMode 以直接证明
|
||||
/// “mode 9 / mode 5 的 closePrincipal 不依赖 posiLong/posiShort”。
|
||||
/// 诊断测试骨架：针对 GLMS 双轨持仓(orig/real)构造预付金腿(mode 5)与标的期初全价腿(mode 9)，
|
||||
/// 用于验证“浮动腿 fpositions 用 origPositions 对预付金/标的端计息基数的影响”。
|
||||
/// 计息基数现由 FundingLegStrategyFactory + 各 IFundingLegStrategy 策略类计算
|
||||
/// （原 private CalcNotionalByMode 已重构移除）；多空存续腿的 posiLong/posiShort 因界面禁用
|
||||
/// 已从策略接口删除，故预付金/标的端计息基数不依赖多空头寸。
|
||||
/// 注：当前仅含数据构造，反射诊断方法尚未实现（无 [TestMethod]）。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class SwapUnwindFloatingLegDiagnosticTdd
|
||||
|
||||
@@ -93,9 +93,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = MakePrepayPosition();
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, closePercent,
|
||||
UnderlyingNotional, UnderlyingNotional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, UnderlyingNotional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
false, UnderlyingNotional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
@@ -111,9 +111,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = MakePrepayPosition(fix, rate);
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
eodPositions, new List<swap_position> { position },
|
||||
notional, notional, notional, notional, closePercent,
|
||||
notional, notional, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
false, notional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
@@ -279,9 +279,9 @@ namespace YLErp.Modules.SwapModule
|
||||
};
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
|
||||
eod, new List<swap_position> { position },
|
||||
fix, fix, fix, fix, closePercent,
|
||||
fix, fix, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, fix, false, settment: false, newCalcLast: false, closeList: null);
|
||||
false, fix, false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
@@ -373,9 +373,9 @@ namespace YLErp.Modules.SwapModule
|
||||
// orginPv 传 notional：非预付金腿不走 877-881 的 Fix 对齐，dynomicPrincipal = notional + notional - notional = notional
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
|
||||
eod, new List<swap_position> { position },
|
||||
notional, notional, notional, notional * closePercent, closePercent,
|
||||
notional, notional * closePercent, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
false, notional, false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "非预付金腿应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
@@ -488,9 +488,9 @@ namespace YLErp.Modules.SwapModule
|
||||
};
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
|
||||
eodPos, new List<swap_position> { position },
|
||||
baseP, baseP, baseP, baseP * closePercent, closePercent,
|
||||
baseP, baseP * closePercent, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, baseP, false, settment: eodPath, newCalcLast: false, closeList: null);
|
||||
false, baseP, false, settment: eodPath, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, $"mode={mode} 应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
|
||||
@@ -121,9 +121,9 @@ namespace YLErp.Modules.SwapModule
|
||||
var position = MakePosition(currentNotional);
|
||||
var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||||
MakeLastEod(), new List<swap_position> { position },
|
||||
currentNotional, currentNotional, currentNotional, currentNotional * closePercent, closePercent,
|
||||
currentNotional, currentNotional * closePercent, closePercent,
|
||||
(int)SwapEventTypeEnum.平仓,
|
||||
false, false, 0, N, false, settment: false, newCalcLast: false, closeList: null);
|
||||
false, N, false, settment: false, newCalcLast: false, closeList: null);
|
||||
Assert.AreEqual(1, interests.Count, "标的期初全价腿应生成 1 条 flow_event");
|
||||
return interests[0];
|
||||
}
|
||||
|
||||
@@ -68,7 +68,7 @@ namespace YLErp.Modules.SwapModule
|
||||
/// 捕获真实收盘产生的 swap_flow_event（生产写 DbContext.swap_flow_event）。
|
||||
/// 与 PersistEodSwapPosition 同理，这里只收集不写库，供 GetConsumedInterest 真实计算。
|
||||
/// </summary>
|
||||
protected void PersistFlowEvent(swap_flow_event flowEvent)
|
||||
protected override void PersistFlowEvent(swap_flow_event flowEvent)
|
||||
{
|
||||
if (flowEvent.id == 0) flowEvent.id = _nextId++;
|
||||
FlowEvents.Add(flowEvent);
|
||||
@@ -111,5 +111,16 @@ namespace YLErp.Modules.SwapModule
|
||||
ClientCashCalls.Add((amount, action));
|
||||
return _nextId++;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// AddClientCashInCashOut 生产实现会查 DataCacheProvider.GetClientDataSource().GetData(ClientId)，
|
||||
/// 纯内存测试无客户缓存会抛"客户信息未找到"。与 AddClientCash 同构 no-op，
|
||||
/// 仅捕获调用记录，供断言使用。
|
||||
/// </summary>
|
||||
public override int AddClientCashInCashOut(OtcTradeBase td, double amount, string action, DateTime valueDate)
|
||||
{
|
||||
ClientCashCalls.Add((amount, action));
|
||||
return _nextId++;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -30,9 +30,24 @@ namespace YLErp
|
||||
|
||||
YLServiceLocator.SetServiceCollection(services);
|
||||
|
||||
AppManager.Initialize(YLErp.Enums.SubSystemName.UnitTest, configuration);
|
||||
|
||||
DataCacheManager.UpdateOnce();
|
||||
// P0 容错（2026-08-16）：初始化段（AppManager.Initialize 内部 InitializePsConfig 读 AppConfig 表、
|
||||
// DataCacheManager.UpdateOnce 预热）在测试库不可达时不再让 ModuleInitializer 抛异常连坐全部 903 个
|
||||
// 测试——降级为醒目警告，纯内存测试照常可跑；依赖配置/缓存/库的测试将以各自的连接错误失败
|
||||
// （与降级前表现一致，只是不再全红归因到"类创建失败"）。完全跳过初始化仍用
|
||||
// YLErp_UNIT_TEST_SKIP_INITIALIZATION=1。实测触发链：M1→AppManager.Initialize→ConfigDic→
|
||||
// ServerVersion.AutoDetect→MySQL 不可达（Program.cs:33，2026-08-16 栈实证）。
|
||||
try
|
||||
{
|
||||
AppManager.Initialize(YLErp.Enums.SubSystemName.UnitTest, configuration);
|
||||
DataCacheManager.UpdateOnce();
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
var warn = $"[UnitTest初始化降级] 初始化段失败（测试库不可达？）：{ex.GetType().Name}: {ex.Message}。" +
|
||||
"纯内存测试继续；依赖配置/缓存/数据库的测试将失败——这是网络问题不是代码问题。";
|
||||
Console.WriteLine(warn);
|
||||
logger.Warn(warn);
|
||||
}
|
||||
|
||||
services.AddHttpClient("")
|
||||
.ConfigurePrimaryHttpMessageHandler(messageHandler =>
|
||||
|
||||
@@ -19,6 +19,8 @@ namespace BaseOUDAL
|
||||
|
||||
public DbSet<client_black> client_black { get; set; }
|
||||
|
||||
public DbSet<ClientBlackLog> client_blacklog { get; set; }
|
||||
|
||||
public DbSet<client_file> client_file { get; set; }
|
||||
|
||||
public DbSet<client_file_audit> client_file_audit { get; set; }
|
||||
@@ -57,4 +59,4 @@ namespace BaseOUDAL
|
||||
|
||||
public DbSet<ClientCustomerManage> client_customer_manage { get; set; }
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,20 @@
|
||||
namespace YLErp.Model
|
||||
{
|
||||
public class ClientBlackApprovalQueryRes
|
||||
{
|
||||
public int id { get; set; }
|
||||
public string EncryptId { get; set; }
|
||||
public string ProcessStatus { get; set; }
|
||||
public int ProcessOrderId { get; set; }
|
||||
public string ProcessRoleName { get; set; }
|
||||
public string ClientName { get; set; }
|
||||
public int ProcessRoleId { get; set; }
|
||||
public string Comments { get; set; }
|
||||
public string ApprovalOptName { get; set; }
|
||||
public DateTime? ApprovalOptDate { get; set; }
|
||||
public string State { get; set; }
|
||||
public int? creator_id { get; set; }
|
||||
public string creator_name { get; set; }
|
||||
public DateTime? creator_time { get; set; }
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,18 @@
|
||||
using YLErp.Helpers;
|
||||
|
||||
namespace YLErp.Model
|
||||
{
|
||||
/// <summary>
|
||||
/// 黑名单审批请求。
|
||||
/// </summary>
|
||||
public class ClientBlackAuditReq
|
||||
{
|
||||
public string enid { get; set; }
|
||||
|
||||
public int id => DataProtectHelper.DecryptInt(enid);
|
||||
|
||||
public string status { get; set; }
|
||||
|
||||
public string auditComment { get; set; }
|
||||
}
|
||||
}
|
||||
@@ -1,67 +0,0 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Text;
|
||||
using System.Threading.Tasks;
|
||||
|
||||
namespace YLErp.Model.HengTaiModel
|
||||
{
|
||||
public class SwapUnwindReq
|
||||
{
|
||||
public SwapUnwindReq() {
|
||||
ACCTSWAP_TERMINATE = new SwapUnwindData();
|
||||
}
|
||||
public SwapUnwindData ACCTSWAP_TERMINATE {get;set;}
|
||||
}
|
||||
public class SwapUnwindData
|
||||
{
|
||||
/// <summary>
|
||||
/// 客户交易号
|
||||
/// </summary>
|
||||
public string CUSTORDID { get; set; }
|
||||
/// <summary>
|
||||
/// 返回的时候EXT_NO 对应推送的CUSTORDID
|
||||
/// </summary>
|
||||
public string EXT_NO { get; set; }
|
||||
/// <summary>
|
||||
/// 合约编号，推送不需要给，返回对应推送的EXT_NO
|
||||
/// </summary>
|
||||
public string CONTRACT_CODE { get; set; }
|
||||
/// <summary>
|
||||
/// 终止类型 全部终止 1 部分终止 0
|
||||
/// </summary>
|
||||
public string TERMINATE_TYPE { get; set; }
|
||||
/// <summary>
|
||||
/// 终止数量
|
||||
/// </summary>
|
||||
public string TERMINATE_COUNT { get; set; }
|
||||
/// <summary>
|
||||
/// 终止日期
|
||||
/// </summary>
|
||||
public string TERMINATE_DAY { get; set; }
|
||||
/// <summary>
|
||||
/// 支付日期
|
||||
/// </summary>
|
||||
public string PAY_DAY { get; set; }
|
||||
/// <summary>
|
||||
/// 资产端终止金额 不可为空
|
||||
/// </summary>
|
||||
public string ZCD_AMOUNT { get; set; }
|
||||
/// <summary>
|
||||
/// 固定端终止金额 不可为空
|
||||
/// </summary>
|
||||
public string GDD_AMOUNT { get; set; }
|
||||
/// <summary>
|
||||
/// 交易状态 不可为空 0新建，1审批中
|
||||
/// </summary>
|
||||
public string ORDSTATUS { get; set; }
|
||||
/// <summary>
|
||||
/// 固定端费用
|
||||
/// </summary>
|
||||
public string FIX_FEE { get; set; }
|
||||
/// <summary>
|
||||
/// 资产端费用
|
||||
/// </summary>
|
||||
public string ASSET_FEE { get; set;}
|
||||
}
|
||||
}
|
||||
@@ -14,6 +14,12 @@ namespace YLErp.Model
|
||||
/// </summary>
|
||||
public string Name { get; set; }
|
||||
|
||||
public DateTime? DateFromOptDate { get; set; }
|
||||
|
||||
public DateTime? DateToOptDate { get; set; }
|
||||
|
||||
public string ClientBlackStates { get; set; }
|
||||
|
||||
|
||||
}
|
||||
}
|
||||
|
||||
@@ -0,0 +1,94 @@
|
||||
using YLErp.Model;
|
||||
|
||||
namespace YLErp.Modules.ClientModule
|
||||
{
|
||||
public static class ClientBlackApprovalPolicy
|
||||
{
|
||||
public static readonly string[] EffectiveStates =
|
||||
{
|
||||
client_black.已加入,
|
||||
client_black.删除审批中,
|
||||
client_black.删除已拒绝
|
||||
};
|
||||
|
||||
public static bool IsEffective(string state)
|
||||
{
|
||||
return EffectiveStates.Contains(state);
|
||||
}
|
||||
|
||||
public static bool CanSubmitAddition(string state)
|
||||
{
|
||||
return state == client_black.未提交 || state == client_black.新增已拒绝;
|
||||
}
|
||||
|
||||
public static ClientBlackAdditionResult GetAdditionResult(bool hasApprovalProcess)
|
||||
{
|
||||
return hasApprovalProcess
|
||||
? new ClientBlackAdditionResult(client_black.未提交, 0, false)
|
||||
: new ClientBlackAdditionResult(client_black.已加入, -2, true);
|
||||
}
|
||||
|
||||
public static bool CanRequestRemoval(string state)
|
||||
{
|
||||
return state == client_black.已加入 || state == client_black.删除已拒绝;
|
||||
}
|
||||
|
||||
public static bool CanDeleteDraft(string state)
|
||||
{
|
||||
return state == client_black.未提交 || state == client_black.新增已拒绝;
|
||||
}
|
||||
|
||||
public static ClientBlackRemovalResult GetRemovalResult(bool hasApprovalProcess)
|
||||
{
|
||||
return hasApprovalProcess
|
||||
? new ClientBlackRemovalResult(client_black.删除审批中, 1, false)
|
||||
: new ClientBlackRemovalResult(client_black.已加入, -2, true);
|
||||
}
|
||||
|
||||
public static bool CanReplaceRemarks(string state)
|
||||
{
|
||||
return state != client_black.新增审批中 && state != client_black.删除审批中;
|
||||
}
|
||||
|
||||
public static bool CanWithdraw(string state, int approvalProcess)
|
||||
{
|
||||
return approvalProcess == 1 &&
|
||||
(state == client_black.新增审批中 || state == client_black.删除审批中);
|
||||
}
|
||||
|
||||
public static string GetRejectedState(string state)
|
||||
{
|
||||
return state switch
|
||||
{
|
||||
client_black.新增审批中 => client_black.新增已拒绝,
|
||||
client_black.删除审批中 => client_black.删除已拒绝,
|
||||
_ => throw new ArgumentException("当前状态不允许拒绝审批", nameof(state))
|
||||
};
|
||||
}
|
||||
|
||||
public static ClientBlackWithdrawResult GetWithdrawResult(string state)
|
||||
{
|
||||
return state switch
|
||||
{
|
||||
client_black.新增审批中 => new ClientBlackWithdrawResult(client_black.未提交, 0),
|
||||
client_black.删除审批中 => new ClientBlackWithdrawResult(client_black.已加入, -2),
|
||||
_ => throw new ArgumentException("当前状态不允许撤回审批", nameof(state))
|
||||
};
|
||||
}
|
||||
|
||||
public static ClientBlackFinalResult GetFinalResult(string state)
|
||||
{
|
||||
return state switch
|
||||
{
|
||||
client_black.新增审批中 => new ClientBlackFinalResult(client_black.已加入, false),
|
||||
client_black.删除审批中 => new ClientBlackFinalResult(null, true),
|
||||
_ => throw new ArgumentException("当前状态不允许完成审批", nameof(state))
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
public readonly record struct ClientBlackWithdrawResult(string State, int ApprovalProcess);
|
||||
public readonly record struct ClientBlackFinalResult(string State, bool ShouldDelete);
|
||||
public readonly record struct ClientBlackAdditionResult(string State, int ApprovalProcess, bool IsEffective);
|
||||
public readonly record struct ClientBlackRemovalResult(string State, int ApprovalProcess, bool ShouldDelete);
|
||||
}
|
||||
@@ -41,6 +41,19 @@ namespace YLErp.Modules.ClientModule
|
||||
{
|
||||
predicate = predicate.And(d => d.Name.Contains(req.Name));
|
||||
}
|
||||
if (!string.IsNullOrEmpty(req.ClientBlackStates))
|
||||
{
|
||||
var states = req.ClientBlackStates.Split(',', StringSplitOptions.RemoveEmptyEntries);
|
||||
predicate = predicate.And(d => states.Contains(d.State));
|
||||
}
|
||||
if (req.DateFromOptDate.HasValue)
|
||||
{
|
||||
predicate = predicate.And(d => d.OptDate >= req.DateFromOptDate.Value);
|
||||
}
|
||||
if (req.DateToOptDate.HasValue)
|
||||
{
|
||||
predicate = predicate.And(d => d.OptDate < req.DateToOptDate.Value.AddDays(1));
|
||||
}
|
||||
}
|
||||
|
||||
var query = DbContext.client_black.AsNoTracking().Where(predicate);
|
||||
@@ -93,6 +106,324 @@ namespace YLErp.Modules.ClientModule
|
||||
return retListResult;
|
||||
}
|
||||
|
||||
public List<approvalprocess> ProcessList()
|
||||
{
|
||||
return DbContextFactory.GetYLDbContext().approvalprocess
|
||||
.Where(s => s.processType == "ClientBlackProcess")
|
||||
.OrderBy(s => s.order)
|
||||
.ToList();
|
||||
}
|
||||
|
||||
public int DeleteClientBlack(IEnumerable<int> ids)
|
||||
{
|
||||
var idList = ids?.Distinct().ToList() ?? new List<int>();
|
||||
if (idList.Count == 0)
|
||||
{
|
||||
throw new ServiceException("请选择要移出的黑名单客户");
|
||||
}
|
||||
|
||||
var rows = DbContext.client_black.Where(x => idList.Contains(x.id)).ToList();
|
||||
if (rows.Count != idList.Count)
|
||||
{
|
||||
throw new ServiceException("未找到要删除的数据");
|
||||
}
|
||||
|
||||
var hasProcess = ProcessList().Any();
|
||||
var submitRemovalApprovalCount = 0;
|
||||
foreach (var row in rows)
|
||||
{
|
||||
if (ClientBlackApprovalPolicy.CanDeleteDraft(row.State))
|
||||
{
|
||||
DbContext.client_black.Remove(row);
|
||||
ClientBlackCategoryLog(row.id, "已删除");
|
||||
continue;
|
||||
}
|
||||
|
||||
if (!ClientBlackApprovalPolicy.CanRequestRemoval(row.State))
|
||||
{
|
||||
throw new ServiceException($"黑名单客户{row.Name}当前状态不允许移出");
|
||||
}
|
||||
|
||||
if (hasProcess)
|
||||
{
|
||||
var result = ClientBlackApprovalPolicy.GetRemovalResult(true);
|
||||
row.State = result.State;
|
||||
row.ApprovalProcess = result.ApprovalProcess;
|
||||
row.ApprovalOptName = UserName;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
ClientBlackCategoryLog(row.id, client_black.删除审批中);
|
||||
submitRemovalApprovalCount++;
|
||||
}
|
||||
else
|
||||
{
|
||||
RemoveEffectiveBlack(row);
|
||||
}
|
||||
}
|
||||
|
||||
DbContext.SaveChanges();
|
||||
return submitRemovalApprovalCount;
|
||||
}
|
||||
|
||||
public void WithdrawApprovalClientBlack(List<int> ids, out int withdrawCount, out string msg)
|
||||
{
|
||||
withdrawCount = 0;
|
||||
msg = "";
|
||||
var rows = DbContext.client_black.Where(x => ids.Contains(x.id)).ToList();
|
||||
foreach (var row in rows)
|
||||
{
|
||||
if (!ClientBlackApprovalPolicy.CanWithdraw(row.State, row.ApprovalProcess))
|
||||
{
|
||||
if (row.ApprovalProcess > 1)
|
||||
{
|
||||
msg += row.Name + ",";
|
||||
}
|
||||
continue;
|
||||
}
|
||||
|
||||
var result = ClientBlackApprovalPolicy.GetWithdrawResult(row.State);
|
||||
row.State = result.State;
|
||||
row.ApprovalProcess = result.ApprovalProcess;
|
||||
row.ApprovalOptName = null;
|
||||
row.ApprovalOptDate = null;
|
||||
ClientBlackCategoryLog(row.id, row.State);
|
||||
withdrawCount++;
|
||||
}
|
||||
DbContext.SaveChanges();
|
||||
}
|
||||
|
||||
public void SubmitApprovalClientBlack(List<int> ids)
|
||||
{
|
||||
var rows = DbContext.client_black.Where(x => ids.Contains(x.id)).ToList();
|
||||
var process = ProcessList();
|
||||
foreach (var row in rows)
|
||||
{
|
||||
if (!ClientBlackApprovalPolicy.CanSubmitAddition(row.State))
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
if (process.Count == 0)
|
||||
{
|
||||
row.State = client_black.已加入;
|
||||
row.ApprovalProcess = -2;
|
||||
row.ApprovalOptName = UserName;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
var notifications = new List<(Client oldClient, Client newClient)>();
|
||||
ApplyEffectiveAddition(row.Name, notifications);
|
||||
ClientBlackCategoryLog(row.id, client_black.已加入, "未设置审批流程，直接通过");
|
||||
DbContext.SaveChanges();
|
||||
SendClientNotifications(notifications);
|
||||
continue;
|
||||
}
|
||||
|
||||
row.State = client_black.新增审批中;
|
||||
row.ApprovalProcess = 1;
|
||||
row.ApprovalOptName = UserName;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
ClientBlackCategoryLog(row.id, client_black.新增审批中);
|
||||
}
|
||||
DbContext.SaveChanges();
|
||||
}
|
||||
|
||||
public string AuditClientBlack(ClientBlackAuditReq req, bool isBatch = false, string optType = "")
|
||||
{
|
||||
var row = DbContext.client_black.Find(req.id);
|
||||
if (row == null)
|
||||
{
|
||||
throw new ServiceException("审批失败,系统中没有该黑名单记录");
|
||||
}
|
||||
if (row.State != client_black.新增审批中 && row.State != client_black.删除审批中)
|
||||
{
|
||||
throw new ServiceException("当前黑名单不在审批中");
|
||||
}
|
||||
|
||||
var process = ProcessList();
|
||||
var currentNode = process.FirstOrDefault(x => x.order == row.ApprovalProcess);
|
||||
if (currentNode == null || !UserBLL.GetRolesByUserId(UserId).Any(x => x.Id == currentNode.roleId))
|
||||
{
|
||||
throw new ServiceException("当前用户无权审批该节点");
|
||||
}
|
||||
if (req.status == "reject")
|
||||
{
|
||||
row.State = ClientBlackApprovalPolicy.GetRejectedState(row.State);
|
||||
row.ApprovalProcess = -1;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
row.OptId = UserId;
|
||||
row.OptName = UserName;
|
||||
row.OptDate = DateTime.Now;
|
||||
ClientBlackCategoryLog(row.id, row.State, req.auditComment);
|
||||
DbContext.SaveChanges();
|
||||
return "提交成功";
|
||||
}
|
||||
|
||||
if (req.status != "pass")
|
||||
{
|
||||
throw new ServiceException("status参数不支持:" + req.status);
|
||||
}
|
||||
|
||||
var nextNode = process.FirstOrDefault(x => x.order > row.ApprovalProcess);
|
||||
if (nextNode != null)
|
||||
{
|
||||
row.ApprovalProcess = nextNode.order;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
row.OptId = UserId;
|
||||
row.OptName = UserName;
|
||||
row.OptDate = DateTime.Now;
|
||||
ClientBlackCategoryLog(row.id, row.State, req.auditComment);
|
||||
DbContext.SaveChanges();
|
||||
return "提交成功";
|
||||
}
|
||||
|
||||
var final = ClientBlackApprovalPolicy.GetFinalResult(row.State);
|
||||
if (final.ShouldDelete)
|
||||
{
|
||||
RemoveEffectiveBlack(row, req.auditComment, isBatch ? optType : null);
|
||||
DbContext.SaveChanges();
|
||||
}
|
||||
else
|
||||
{
|
||||
row.State = final.State;
|
||||
row.ApprovalProcess = -2;
|
||||
row.ApprovalOptDate = DateTime.Now;
|
||||
var notifications = new List<(Client oldClient, Client newClient)>();
|
||||
ApplyEffectiveAddition(row.Name, notifications);
|
||||
ClientBlackCategoryLog(row.id, isBatch ? optType : row.State, req.auditComment);
|
||||
DbContext.SaveChanges();
|
||||
SendClientNotifications(notifications);
|
||||
}
|
||||
return "提交成功";
|
||||
}
|
||||
|
||||
public SearchListResult<ClientBlackApprovalQueryRes> ClientBlackApprovalQuery(ClientBlackReq req)
|
||||
{
|
||||
var process = ProcessList();
|
||||
var predicate = PredicateBuilder.Create<client_black>(x => x.ApprovalProcess > 0);
|
||||
if (!string.IsNullOrWhiteSpace(req.Name))
|
||||
{
|
||||
predicate = predicate.And(x => x.Name.Contains(req.Name));
|
||||
}
|
||||
var query = from row in DbContext.client_black.AsNoTracking().Where(predicate)
|
||||
select new ClientBlackApprovalQueryRes
|
||||
{
|
||||
id = row.id,
|
||||
EncryptId = row.EncryptId,
|
||||
ProcessOrderId = row.ApprovalProcess,
|
||||
ProcessRoleId = 0,
|
||||
ProcessStatus = "审批中 流程" + (row.ApprovalProcess - 1) + "/" + process.Count,
|
||||
State = row.State,
|
||||
ClientName = row.Name,
|
||||
Comments = row.Remarks,
|
||||
ApprovalOptName = row.ApprovalOptName,
|
||||
ApprovalOptDate = row.ApprovalOptDate,
|
||||
creator_id = row.creator_id,
|
||||
creator_name = row.creator_name,
|
||||
creator_time = row.creator_time
|
||||
};
|
||||
if (string.IsNullOrEmpty(req.sidx))
|
||||
{
|
||||
req.sidx = "ApprovalOptDate";
|
||||
req.sord = "desc";
|
||||
}
|
||||
var result = query.OrderByDescending(x => x.ApprovalOptDate).ToSearchList(req);
|
||||
var roles = new ErpBaseContext().Roles
|
||||
.Select(x => new { x.Id, x.Name })
|
||||
.ToDictionary(x => x.Id, x => x.Name);
|
||||
foreach (var item in result.rows)
|
||||
{
|
||||
var node = process.FirstOrDefault(x => x.order == item.ProcessOrderId);
|
||||
if (node == null)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
|
||||
item.ProcessRoleId = node.roleId;
|
||||
item.ProcessRoleName = roles.TryGetValue(node.roleId, out var roleName) ? roleName : string.Empty;
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
private void ApplyEffectiveAddition(string name, List<(Client oldClient, Client newClient)> notifications)
|
||||
{
|
||||
var client = DbContext.client.FirstOrDefault(c => c.Name == name);
|
||||
if (client == null)
|
||||
{
|
||||
return;
|
||||
}
|
||||
var dt = DateTime.Now;
|
||||
var oldClient = client.Clone();
|
||||
if (client.ProcessStatus == "已开户")
|
||||
{
|
||||
client.ProcessOrderId = -4;
|
||||
client.ProcessStatus = "已休眠";
|
||||
client.OptId = UserId;
|
||||
client.OptName = UserName;
|
||||
client.OptDate = dt;
|
||||
DbContext.ClientAuditLog.Add(new ClientAuditLog
|
||||
{
|
||||
ClientId = client.id,
|
||||
OptType = "休眠",
|
||||
Changes = string.Empty,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = dt
|
||||
});
|
||||
notifications.Add((oldClient, client));
|
||||
}
|
||||
DbContext.ClientAuditLog.Add(new ClientAuditLog
|
||||
{
|
||||
ClientId = client.id,
|
||||
OptType = "加入黑名单",
|
||||
Changes = string.Empty,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = dt
|
||||
});
|
||||
}
|
||||
|
||||
private void RemoveEffectiveBlack(client_black row, string changes = null, string optType = null)
|
||||
{
|
||||
var client = DbContext.client.FirstOrDefault(c => c.Name == row.Name);
|
||||
if (client != null)
|
||||
{
|
||||
DbContext.ClientAuditLog.Add(new ClientAuditLog
|
||||
{
|
||||
ClientId = client.id,
|
||||
OptType = "移除黑名单",
|
||||
Changes = string.Empty,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = DateTime.Now
|
||||
});
|
||||
}
|
||||
DbContext.client_black.Remove(row);
|
||||
ClientBlackCategoryLog(row.id, optType ?? "已删除", changes);
|
||||
}
|
||||
|
||||
private void SendClientNotifications(List<(Client oldClient, Client newClient)> notifications)
|
||||
{
|
||||
foreach (var (oldClient, newClient) in notifications)
|
||||
{
|
||||
new ClientKafkaService(_kafkaProduce).Send(newClient, oldClient);
|
||||
}
|
||||
}
|
||||
|
||||
public void ClientBlackCategoryLog(int clientblackId, string optType, string changes = null)
|
||||
{
|
||||
DbContext.client_blacklog.Add(new ClientBlackLog
|
||||
{
|
||||
ClientBlackId = clientblackId,
|
||||
OptType = optType,
|
||||
Changes = changes,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = DateTime.Now
|
||||
});
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 客户黑名单导入
|
||||
/// </summary>
|
||||
@@ -165,37 +496,47 @@ namespace YLErp.Modules.ClientModule
|
||||
|
||||
public void AddClientBlack(IEnumerable<client_black> list, bool checkStatus)
|
||||
{
|
||||
var inputList = list?.ToList() ?? new List<client_black>();
|
||||
var errMsgList = new List<string>();
|
||||
var nameList = list.Select(O => O.Name);
|
||||
var dbList = DbContext.client_black.Where(O => nameList.Contains(O.Name));
|
||||
var nameList = inputList.Select(O => O.Name).ToList();
|
||||
var dbList = DbContext.client_black.Where(O => nameList.Contains(O.Name)).ToList();
|
||||
foreach (var item in dbList)
|
||||
{
|
||||
var obj = inputList.FirstOrDefault(O => O.Name.Equals(item.Name, StringComparison.OrdinalIgnoreCase));
|
||||
if (obj == null)
|
||||
{
|
||||
continue;
|
||||
}
|
||||
if (!ClientBlackApprovalPolicy.CanReplaceRemarks(item.State))
|
||||
{
|
||||
throw new ServiceException("黑名单客户在审批中无法修改！");
|
||||
}
|
||||
if (checkStatus && !string.IsNullOrWhiteSpace(item.Remarks) && item.Remarks != obj.Remarks)
|
||||
{
|
||||
errMsgList.Add($"{item.Name}");
|
||||
}
|
||||
}
|
||||
if (checkStatus)
|
||||
{
|
||||
foreach (var item in dbList)
|
||||
{
|
||||
var obj = list.First(O => O.Name.Equals(item.Name, StringComparison.OrdinalIgnoreCase));
|
||||
if (!string.IsNullOrWhiteSpace(item.Remarks) && item.Remarks != obj.Remarks)
|
||||
{
|
||||
errMsgList.Add($"{item.Name}");
|
||||
continue;
|
||||
}
|
||||
}
|
||||
if (errMsgList.Count > 0)
|
||||
{
|
||||
var msg = "";
|
||||
if (errMsgList.Count <= 5)
|
||||
{
|
||||
msg = $"客户:{string.Join(",", errMsgList)},备注已存在,是否替换?";
|
||||
msg = $"客户:{string.Join(",", errMsgList)}当前已在黑名单中，本次将修改备注，备注已存在，是否确认？";
|
||||
}
|
||||
else
|
||||
{
|
||||
msg = $"{string.Join(",", errMsgList.Take(5))} 等{errMsgList.Count}个客户,备注已存在,是否替换?";
|
||||
msg = $"{string.Join(",", errMsgList.Take(5))} 等{errMsgList.Count}个客户当前已在黑名单中，本次将修改备注，备注已存在，是否确认？";
|
||||
}
|
||||
throw new ServiceException(msg);
|
||||
}
|
||||
}
|
||||
// 在外部定义列表来保存需要通知的客户对
|
||||
var clientsToNotify = new List<(Client oldClient, Client newClient)>();
|
||||
foreach (var item in list)
|
||||
var newItems = new List<client_black>();
|
||||
var processList = ProcessList();
|
||||
foreach (var item in inputList)
|
||||
{
|
||||
if (string.IsNullOrWhiteSpace(item.Name))
|
||||
{
|
||||
@@ -206,61 +547,45 @@ namespace YLErp.Modules.ClientModule
|
||||
item.OptId = UserId;
|
||||
item.OptName = UserName;
|
||||
item.OptDate = DateTime.Now;
|
||||
var clientexistence = DbContext.client.FirstOrDefault(c => c.Name == item.Name);
|
||||
if (clientexistence != null)
|
||||
var existing = dbList.FirstOrDefault(x => x.Name.Equals(item.Name, StringComparison.OrdinalIgnoreCase));
|
||||
if (existing != null)
|
||||
{
|
||||
var dt = DateTime.Now;
|
||||
if (clientexistence.ProcessStatus == "已开户")
|
||||
var oldRemarks = existing.Remarks;
|
||||
existing.Remarks = item.Remarks;
|
||||
existing.OptId = UserId;
|
||||
existing.OptName = UserName;
|
||||
existing.OptDate = DateTime.Now;
|
||||
if (oldRemarks != existing.Remarks)
|
||||
{
|
||||
var oldClient= clientexistence.Clone();
|
||||
clientexistence.ProcessOrderId = -4;
|
||||
clientexistence.ProcessStatus = "已休眠";
|
||||
clientexistence.OptId = UserId;
|
||||
clientexistence.OptName = UserName;
|
||||
clientexistence.OptDate = dt;
|
||||
|
||||
DbContext.ClientAuditLog.Add(new ClientAuditLog
|
||||
{
|
||||
ClientId = clientexistence.id,
|
||||
OptType = "休眠",
|
||||
Changes = string.Empty,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = dt
|
||||
});
|
||||
// 如果原有状态是已开户，添加到通知列表
|
||||
if (oldClient != null)
|
||||
{
|
||||
clientsToNotify.Add((oldClient, clientexistence));
|
||||
}
|
||||
ClientBlackCategoryLog(existing.id, "修改备注", $"备注：{oldRemarks ?? string.Empty} -> {existing.Remarks ?? string.Empty}");
|
||||
}
|
||||
///日志记录
|
||||
DbContext.ClientAuditLog.Add(new ClientAuditLog
|
||||
{
|
||||
ClientId = clientexistence.id,
|
||||
OptType = "加入黑名单",
|
||||
Changes = string.Empty,
|
||||
DataType = "00",
|
||||
OptId = UserId,
|
||||
OptName = UserName,
|
||||
OptDate = dt
|
||||
});
|
||||
continue;
|
||||
}
|
||||
var additionResult = ClientBlackApprovalPolicy.GetAdditionResult(processList.Any());
|
||||
item.State = additionResult.State;
|
||||
item.ApprovalProcess = additionResult.ApprovalProcess;
|
||||
item.creator_id = UserId;
|
||||
item.creator_name = UserName;
|
||||
item.creator_time = DateTime.Now;
|
||||
if (additionResult.IsEffective)
|
||||
{
|
||||
ApplyEffectiveAddition(item.Name, clientsToNotify);
|
||||
}
|
||||
newItems.Add(item);
|
||||
}
|
||||
if (dbList.Any())
|
||||
DbContext.client_black.AddRange(newItems);
|
||||
DbContext.SaveChanges();
|
||||
foreach (var item in newItems)
|
||||
{
|
||||
DbContext.client_black.RemoveRange(dbList);
|
||||
DbContext.SaveChanges();
|
||||
ClientBlackCategoryLog(item.id, item.State);
|
||||
}
|
||||
DbContext.client_black.AddRange(list);
|
||||
DbContext.SaveChanges();
|
||||
// 发送Kafka消息
|
||||
foreach (var (oldClient, newClient) in clientsToNotify)
|
||||
{
|
||||
new ClientKafkaService(_kafkaProduce).Send(newClient, oldClient);
|
||||
}
|
||||
var importHasTagClientNames = list.Where(p => p.Tags != null && p.Tags.Count > 0).Select(p => p.Name).Distinct().ToList();
|
||||
var importHasTagClientNames = inputList.Where(p => p.Tags != null && p.Tags.Count > 0).Select(p => p.Name).Distinct().ToList();
|
||||
if (importHasTagClientNames != null && importHasTagClientNames.Count > 0)
|
||||
{
|
||||
var dbClients = DbContext.client.AsNoTracking().Where(p => importHasTagClientNames.Contains(p.Name)).Select(p => new ClientSimpleDto
|
||||
@@ -273,7 +598,7 @@ namespace YLErp.Modules.ClientModule
|
||||
var tagService = new TagService(OptUser);
|
||||
dbClients.ForEach(p =>
|
||||
{
|
||||
var importInfo = list.FirstOrDefault(d => d.Name.Equals(p.Name));
|
||||
var importInfo = inputList.FirstOrDefault(d => d.Name.Equals(p.Name));
|
||||
if (importInfo != null)
|
||||
{
|
||||
tagService.SetClientTagForClientImport(new TagModule.Dto.SetClientTagForClientEditRequest { ClientId = p.id, Tags = importInfo.Tags });
|
||||
|
||||
@@ -317,7 +317,7 @@ namespace YLErp.Modules.ClientModule
|
||||
{
|
||||
return "第" + rowNum + "行客户类别，机构属性，客户性质关联性质有误，导入失败";
|
||||
}
|
||||
if (DbContext.client_black.Any(c => c.Name == Name))
|
||||
if (DbContext.client_black.Any(c => c.Name == Name && ClientBlackApprovalPolicy.EffectiveStates.Contains(c.State)))
|
||||
{
|
||||
return $"客户'{Name}'已经存在于黑名单中”";
|
||||
}
|
||||
@@ -1070,7 +1070,7 @@ namespace YLErp.Modules.ClientModule
|
||||
}
|
||||
}
|
||||
}
|
||||
if (DbContext.client_black.Any(c => c.Name == Name))
|
||||
if (DbContext.client_black.Any(c => c.Name == Name && ClientBlackApprovalPolicy.EffectiveStates.Contains(c.State)))
|
||||
{
|
||||
return "" + Name + "客户已经存在于黑名单中”";
|
||||
}
|
||||
@@ -1733,7 +1733,7 @@ namespace YLErp.Modules.ClientModule
|
||||
|
||||
//默认为1
|
||||
IsReceiveEmail = 1;
|
||||
if (DbContext.client_black.Any(c => c.Name == Name))
|
||||
if (DbContext.client_black.Any(c => c.Name == Name && ClientBlackApprovalPolicy.EffectiveStates.Contains(c.State)))
|
||||
{
|
||||
return "" + Name + "客户已经存在于黑名单中";
|
||||
}
|
||||
|
||||
@@ -130,7 +130,7 @@ namespace YLErp.Modules.ClientModule
|
||||
|
||||
try
|
||||
{
|
||||
if (DbContext.client_black.Any(c => c.Name == client.Name))
|
||||
if (DbContext.client_black.Any(c => c.Name == client.Name && ClientBlackApprovalPolicy.EffectiveStates.Contains(c.State)))
|
||||
{
|
||||
client.RejectOrderId = client.ApprovalOrderId;
|
||||
client.ApprovalOrderId = -1;
|
||||
|
||||
@@ -158,7 +158,7 @@ namespace YLErp.Modules.ClientModule
|
||||
throw new ServiceException("客户名称 必须填写");
|
||||
}
|
||||
|
||||
if (DbContext.client_black.Any(c => c.Name == req.Name))
|
||||
if (DbContext.client_black.Any(c => c.Name == req.Name && ClientBlackApprovalPolicy.EffectiveStates.Contains(c.State)))
|
||||
{
|
||||
throw new ServiceException("该客户为黑名单客户，无法进行下一步操作");
|
||||
}
|
||||
|
||||
@@ -703,7 +703,7 @@ namespace YLErp.Modules.ClientModule
|
||||
|
||||
//新增时,新的客户名如果在黑名单里，不允许新增
|
||||
//修改时,旧的客户名如果在黑名单里，不允许修改
|
||||
if (!isAddNew && !req.Name.Equals(blackNameForCheck) && DbContext.client_black.Any(x => x.Name == blackNameForCheck))
|
||||
if (!isAddNew && !req.Name.Equals(blackNameForCheck) && DbContext.client_black.Any(x => x.Name == blackNameForCheck && ClientBlackApprovalPolicy.EffectiveStates.Contains(x.State)))
|
||||
{
|
||||
throw new ServiceException("该客户为黑名单客户," + (req.id > 0 ? "不允许修改客户名称" : "不允许新增"));
|
||||
}
|
||||
|
||||
@@ -149,8 +149,14 @@ namespace YLErp.Modules.DataProviderModule
|
||||
price = 0;
|
||||
|
||||
valueDate = valueDate.Date;
|
||||
|
||||
// FR007 走整表快照缓存（预载全历史，O(1) 命中零查询）。miss=行尚不存在（当日未发布/补录），
|
||||
// 继续直查库兜底——miss 永不进快照（负缓存防线，详见 Fr007FixingCache 注释）。
|
||||
if (underlyingCode == Fr007FixingCache.UnderlyingCode && Fr007FixingCache.TryGet(valueDate, out price))
|
||||
return true;
|
||||
|
||||
using var db = DbContextFactory.GetYLDbContext();
|
||||
var data = db.eod_commodity_future_price.Where(x => x.ValueDate == valueDate && x.UnderlyingCode == underlyingCode).OrderByDescending(o => o.ValueDate).FirstOrDefault();
|
||||
var data = db.eod_commodity_future_price.Where(x => x.ValueDate == valueDate && x.UnderlyingCode == underlyingCode).FirstOrDefault();
|
||||
|
||||
if (data != null)
|
||||
{
|
||||
@@ -158,6 +164,11 @@ namespace YLErp.Modules.DataProviderModule
|
||||
// 利息腿计算直接作为 floatRate 参与 principal*(fixedRate+floatRate)/annualDays，无需再 ÷100。
|
||||
price = data.ReferencePrice ?? 0;
|
||||
|
||||
// 快照漏掉的行(当日新发布/补录历史)直查命中——失效快照，下次访问整表重载后回到 O(1)，
|
||||
// 否则该键在 TTL 窗口内每次读取都退化为点查。
|
||||
if (underlyingCode == Fr007FixingCache.UnderlyingCode)
|
||||
Fr007FixingCache.Invalidate();
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
|
||||
@@ -0,0 +1,109 @@
|
||||
using YLErp.Modules;
|
||||
|
||||
namespace YLErp.Modules.DataProviderModule
|
||||
{
|
||||
/// <summary>
|
||||
/// FR007 定盘快照缓存。定盘是"每工作日一个数、发布后不变"的小表（一年约 250 行，全历史数千行），
|
||||
/// 故采用整表快照而非逐键缓存：
|
||||
///
|
||||
/// <para>① <b>预载</b>：首次访问一次性 SELECT 全历史进字典，此后读取 O(1)、零查询；</para>
|
||||
/// <para>② <b>miss 不进快照</b>（负缓存防线）：当日定盘 ~11:15 后才出现、历史可补录——
|
||||
/// 字典查不到必须回退直查库，绝不能把"查不到"缓存住，否则发布后仍沿用旧利率；</para>
|
||||
/// <para>③ <b>写侧版本失效</b>：经应用的 FR007 写入（SwapFlowService 新增/修改/删除）立即失效，
|
||||
/// 下次访问整表重载一次；</para>
|
||||
/// <para>④ <b>TTL 1 分钟兜底</b>：覆盖直改库与其他通用价格写入口（导入/复制/合成等），
|
||||
/// 可见性窗口 ≤1 分钟，重启无需。</para>
|
||||
///
|
||||
/// <para>快照以引用替换发布（Volatile.Write），读侧要么看到旧快照要么看到新快照，无撕裂；
|
||||
/// 重载加锁去抖，避免并发下重复整表查询。</para>
|
||||
/// </summary>
|
||||
public static class Fr007FixingCache
|
||||
{
|
||||
public const string UnderlyingCode = "FR007";
|
||||
|
||||
/// <summary>TTL：兜底"直接改库/通用写入口"的可见性窗口（FR007 专属写入口走版本失效，不受此限）。</summary>
|
||||
internal static TimeSpan Ttl = TimeSpan.FromMinutes(1);
|
||||
|
||||
/// <summary>测试接缝：时钟（默认 UtcNow Ticks）。</summary>
|
||||
internal static Func<long> NowTicks = () => DateTime.UtcNow.Ticks;
|
||||
|
||||
/// <summary>测试接缝：快照装载器（默认直查库）。返回 日期→ReferencePrice 全量映射。</summary>
|
||||
internal static Func<Dictionary<DateTime, double>> LoadSnapshot = LoadFromDb;
|
||||
|
||||
private static Dictionary<DateTime, double> _snapshot = new();
|
||||
private static bool _loaded; // 是否已完成首次装载
|
||||
private static long _loadedAt; // 快照装载时刻（NowTicks 口径）
|
||||
private static long _writeVersion; // 写侧版本（Invalidate 递增）
|
||||
private static long _snapVersion; // 装载时的写侧版本
|
||||
private static readonly object _reloadLock = new();
|
||||
|
||||
private static Dictionary<DateTime, double> LoadFromDb()
|
||||
{
|
||||
using var db = DbContextFactory.GetYLDbContext();
|
||||
return db.eod_commodity_future_price
|
||||
.Where(x => x.UnderlyingCode == UnderlyingCode && x.ReferencePrice != null)
|
||||
.Select(x => new { x.ValueDate, Price = x.ReferencePrice!.Value })
|
||||
.AsEnumerable()
|
||||
.GroupBy(x => x.ValueDate.Date)
|
||||
.ToDictionary(g => g.Key, g => g.First().Price);
|
||||
}
|
||||
|
||||
/// <summary>命中返回 true。miss 仅代表"快照里没有"，调用方须直查库兜底（当日新发布/补录）。</summary>
|
||||
public static bool TryGet(DateTime valueDate, out double price)
|
||||
{
|
||||
EnsureFresh();
|
||||
return Volatile.Read(ref _snapshot).TryGetValue(valueDate.Date, out price);
|
||||
}
|
||||
|
||||
/// <summary>写侧失效：FR007 行经应用新增/修改/删除后调用，下次访问整表重载。</summary>
|
||||
public static void Invalidate() => Interlocked.Increment(ref _writeVersion);
|
||||
|
||||
/// <summary>重置为未装载状态并恢复默认接缝（仅测试用）。</summary>
|
||||
internal static void ResetForTest()
|
||||
{
|
||||
lock (_reloadLock)
|
||||
{
|
||||
_snapshot = new Dictionary<DateTime, double>();
|
||||
_loaded = false;
|
||||
_loadedAt = 0;
|
||||
_writeVersion = 0;
|
||||
_snapVersion = 0;
|
||||
Ttl = TimeSpan.FromMinutes(1);
|
||||
NowTicks = () => DateTime.UtcNow.Ticks;
|
||||
LoadSnapshot = LoadFromDb;
|
||||
}
|
||||
}
|
||||
|
||||
private static void EnsureFresh()
|
||||
{
|
||||
if (IsFresh()) return;
|
||||
lock (_reloadLock)
|
||||
{
|
||||
if (IsFresh()) return;
|
||||
try
|
||||
{
|
||||
var snap = LoadSnapshot();
|
||||
Volatile.Write(ref _snapshot, snap);
|
||||
Volatile.Write(ref _loaded, true);
|
||||
Volatile.Write(ref _loadedAt, NowTicks());
|
||||
Volatile.Write(ref _snapVersion, Volatile.Read(ref _writeVersion));
|
||||
}
|
||||
catch (Exception ex)
|
||||
{
|
||||
// 重载失败(如DB抖动)：保留旧快照并重置TTL时钟——历史定盘不可变，旧值依旧正确；
|
||||
// 同时防止每次读取都重试全表SELECT(重试风暴)。不抛：命中继续走旧快照，
|
||||
// miss照旧回退直查库，新数据取不到仍会在直查处响亮报错。
|
||||
// 注：版本失效(Invalidate)后的重载失败不会被TTL掩盖——版本不相等会持续重试直到成功。
|
||||
Volatile.Write(ref _loaded, true);
|
||||
Volatile.Write(ref _loadedAt, NowTicks());
|
||||
LogFactory.GetLogger("Fr007FixingCache").Error("FR007定盘缓存重载失败，沿用旧快照", ex);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
private static bool IsFresh()
|
||||
=> Volatile.Read(ref _loaded)
|
||||
&& Volatile.Read(ref _snapVersion) == Volatile.Read(ref _writeVersion)
|
||||
&& NowTicks() - Volatile.Read(ref _loadedAt) <= Ttl.Ticks;
|
||||
}
|
||||
}
|
||||
@@ -98,8 +98,13 @@ namespace YLErp.Modules.EodModule
|
||||
/// <returns></returns>
|
||||
public List<BondPayment> GetBondPayments(string underlyingCode, DateTime startDate, DateTime endDate)
|
||||
{
|
||||
var result = DbContext.bondPayment.Where(x => x.underlyingCode == underlyingCode
|
||||
&& x.payment_date > startDate && x.payment_date <= endDate).AsNoTracking().ToList();
|
||||
// GLMS-20260105-0006：票息归属按债权登记日(reg_date)判定，而非支付日(pay_date_PL/pay_date_act)。
|
||||
// 登记日当天 EOD 即应计提；原按支付日口径会让"登记日≠支付日"的债券漏计（二者恰差一工作日时缺陷被掩盖）。
|
||||
var result = QueryBondPayments(underlyingCode)
|
||||
.Where(x => x.reg_date > startDate && x.reg_date <= endDate)
|
||||
.AsNoTracking().ToList();
|
||||
Log.Info($"[分红-登记日口径] GetBondPayments underlyingCode={underlyingCode} 区间=({startDate:yyyy-MM-dd},{endDate:yyyy-MM-dd}] 按reg_date过滤, 命中 {result.Count} 条: " +
|
||||
string.Join(",", result.Select(r => r.reg_date?.ToString("yyyy-MM-dd"))));
|
||||
|
||||
// 让 Copy/Update EOD 始终只依赖 BondPaymentService，而不必在收盘链路直接累加 ex_dividend_info。
|
||||
// 口径约定：bond_payment_info.payment_interest 对 Stock/Fund 统一按“每 10 份派现金额”存储，
|
||||
@@ -149,6 +154,13 @@ namespace YLErp.Modules.EodModule
|
||||
return result;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 可测性 seam：返回某债券的全部付息记录（未做日期过滤）。测试可 override 注入内存数据，
|
||||
/// 以验证日期口径（GLMS-20260105-0006：应按债权登记日 reg_date 而非支付日 pay_date_PL/pay_date_act 判定）。
|
||||
/// </summary>
|
||||
protected virtual IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
|
||||
=> DbContext.bondPayment.Where(x => x.underlyingCode == underlyingCode);
|
||||
|
||||
|
||||
public List<BondPayment> GetTargetDatePayments(string underlyingCode, DateTime targetDate)
|
||||
{
|
||||
|
||||
@@ -52,11 +52,7 @@ SwapModule/
|
||||
│
|
||||
├── Margin/ 保证金（mode 5/6）
|
||||
│ ├── MarginModes mode 判断（含 ForLinq for EF Core）
|
||||
│ ├── MarginBalance 保证金余额（值对象）
|
||||
│ ├── MarginAccount 余额管理 + AccrueInterest 计息入口
|
||||
│ ├── MarginCalc 纯函数（PreviousBalance/FlipDirection/AccumulateSettlement）
|
||||
│ ├── IMarginResolver 保证金形态接口
|
||||
│ └── Cash/Credit/Guarantee 三种形态实现
|
||||
│ └── MarginCalc 纯函数（PreviousBalance/FlipDirection/AccumulateSettlement）
|
||||
│
|
||||
├── ReturnLegs/ 标的端
|
||||
│ ├── ReturnLegSummary 标的端汇总值
|
||||
@@ -66,6 +62,14 @@ SwapModule/
|
||||
│ ├── DirectionRatio 方向因子（LongShort + ReceivePay）
|
||||
│ └── PositionValueCalc 持仓价值汇总（利息端 + 浮动端）
|
||||
│
|
||||
├── Accrual/ 计息（生产实现，自洽域）
|
||||
│ ├── InterestMath 共用数学：Round/AccrualDays/FundingLegPrecision + AccrualBoundary/InterestResult
|
||||
│ ├── SimpleInterestAccrual 单利纯函数（AccrueEod 单日 + AccruePeriod 多日）
|
||||
│ ├── CompoundInterestAccrual 复利纯函数（EodBasis/AccrueEod/AccruePeriod）
|
||||
│ ├── AccrualPolicy 计息政策（算头算尾/单复利/重置周期/年化）
|
||||
│ ├── AccrualTrace 计息 trace 收集器（SwapCalcTrace.Write 常驻落盘）
|
||||
│ └── FundingLegRate all-in 利率值对象
|
||||
│
|
||||
├── SwapDealService.cs 盘中平仓/互换主逻辑
|
||||
├── SwapEodPositionService.cs EOD 日终归档主逻辑
|
||||
├── SwapDealIndexFixer.cs SwapDealService 专用取价器（委托 TryGetFloatRate）
|
||||
@@ -76,12 +80,16 @@ SwapModule/
|
||||
|
||||
```
|
||||
Interest/
|
||||
├── SwapInterest.cs 纯函数库（AccrueSimple/AccrueCompound/ApplyUnwind）
|
||||
├── IIndexFixer.cs 取价接口
|
||||
├── IndexFixerBase.cs 取价日计算工具
|
||||
└── Fr007IndexFixer.cs FR007 取价生产实现（调 EodPriceQueryService）
|
||||
└── IndexFixerBase.cs 取价日计算工具
|
||||
```
|
||||
|
||||
> 注：① `Fr007IndexFixer.cs`（FR007 取价生产实现）在 SwapModule 下，不在本目录。
|
||||
> ② 2026-08 计息类型（InterestMath/AccrualBoundary/InterestResult/AccrualTrace）已整体迁至 SwapModule/Accrual/，
|
||||
> Core 不再持有计息实现。原 Core 层 SwapInterest 的算法方法（AccrueSimple/AccrueCompoundInArrears/ApplyUnwind/
|
||||
> AccrueUnrealized/ToInterestRate）与 AccrualContext/InterestRate 从未接线（生产走 Accrual/ 目录），作为孤儿死代码删除——
|
||||
> 其舍入/rollover 口径与生产实现已分叉，若将来重建须先补对账测试，勿凭记忆复原。
|
||||
|
||||
## InterestModeEnum（显式赋值，DB 契约）
|
||||
|
||||
```
|
||||
@@ -132,7 +140,7 @@ Unknown = 0
|
||||
|---|---|---|
|
||||
| 公司行为（送股/拆股） | QtyRollforward.corpActionDeltaQty | ✅ |
|
||||
| 公司行为（登记日快照） | DividendCalc + BondPayment | 见 corp-action-refactor-proposal.md |
|
||||
| 保证金配置/规则/占用 | MarginAccount + MarginCalc | ✅ |
|
||||
| 保证金配置/规则/占用 | MarginCalc | ✅ |
|
||||
| RecordMarginCashFlow 迁入 Margin | AddClientCash 加 virtual | 待做 |
|
||||
| EOD 编排拆分 | SwapPositionCompose | 待业务需求驱动 |
|
||||
```
|
||||
|
||||
@@ -1,5 +1,3 @@
|
||||
using YLErp.Derivatives.Interest;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
@@ -11,7 +9,7 @@ namespace YLErp.Modules.SwapModule.Accrual;
|
||||
/// </summary>
|
||||
public sealed class AccrualPolicy
|
||||
{
|
||||
/// <summary>算头算尾约定（复用 SwapInterest 已有的 AccrualBoundary，物理上杜绝 calcFirst/calcLast 传反）。</summary>
|
||||
/// <summary>算头算尾约定（AccrualBoundary，物理上杜绝 calcFirst/calcLast 传反）。</summary>
|
||||
public AccrualBoundary Convention { get; }
|
||||
|
||||
/// <summary>是否复利（利滚利）。来自 DB 的 InterestTypeEnum；单利=false，复利=true。</summary>
|
||||
@@ -29,4 +27,8 @@ public sealed class AccrualPolicy
|
||||
|
||||
public AccrualPolicy(AccrualBoundary convention, bool isCompound, int resetPeriodDays, int annualDays, bool isAnnualized = false)
|
||||
=> (Convention, IsCompound, ResetPeriodDays, AnnualDays, IsAnnualized) = (convention, isCompound, resetPeriodDays, annualDays, isAnnualized);
|
||||
|
||||
/// <summary>从 swap_position 构造 EOD 计息政策（算头算尾，重置周期取 interest_rest_days）。</summary>
|
||||
public static AccrualPolicy BuildEod(DBModels.swap_position position, int annualDays, bool isCompound)
|
||||
=> new(AccrualBoundary.Both, isCompound, position.interest_rest_days ?? 1, annualDays, position.IsAnnualized);
|
||||
}
|
||||
|
||||
@@ -1,49 +0,0 @@
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
/// 融资腿逐日计息的跨日状态（不可变值对象）。
|
||||
/// 这是"待实现利息"在日间滚动的快照，区别于已落库的 <c>swap_flow_event</c>。
|
||||
///
|
||||
/// 旧字段 → 领域命名映射（DB 列不可改，仅在边界处适配；本类内部一律用下列自描述名）：
|
||||
/// <list type="table">
|
||||
/// <item><term>TdInterestPrincipal</term><description>逐日滚动的计息本金 → <see cref="AccrualPrincipal"/></description></item>
|
||||
/// <item><term>InterestIncomeSum</term><description>累计待实现利息 → <see cref="UnrealizedInterest"/></description></item>
|
||||
/// <item><term>consumedInterest</term><description>历史已实现利息(legacy) → <see cref="RealizedInterest"/></description></item>
|
||||
/// <item><term>ValueDate</term><description>快照截至日 → <see cref="ValueDate"/>（EOD 续接起算日，Bug C / 5-11 跳过需据此判断从哪天接续）。</description></item>
|
||||
/// </list>
|
||||
/// </summary>
|
||||
public readonly struct AccrualState
|
||||
{
|
||||
/// <summary>用于计算当日利息的计息本金。单利=名义本金基数；复利=本金+累计利息。</summary>
|
||||
public decimal AccrualPrincipal { get; }
|
||||
|
||||
/// <summary>累计待实现（未平仓）利息。</summary>
|
||||
public decimal UnrealizedInterest { get; }
|
||||
|
||||
/// <summary>历史各次平仓已确认的已实现利息，从剩余待实现中扣除。</summary>
|
||||
public decimal RealizedInterest { get; }
|
||||
|
||||
/// <summary>快照截至日（来自 eod_swap_position.ValueDate）。编排层据此判断计息区间起点，避免 5-11 等"跳过日"误重算。</summary>
|
||||
public DateTime ValueDate { get; }
|
||||
|
||||
public AccrualState(decimal accrualPrincipal, decimal unrealizedInterest, decimal realizedInterest, DateTime valueDate)
|
||||
=> (AccrualPrincipal, UnrealizedInterest, RealizedInterest, ValueDate) = (accrualPrincipal, unrealizedInterest, realizedInterest, valueDate);
|
||||
|
||||
/// <summary>向后兼容：未携带快照日期时（如纯内存构造）用默认日。</summary>
|
||||
public AccrualState(decimal accrualPrincipal, decimal unrealizedInterest, decimal realizedInterest)
|
||||
: this(accrualPrincipal, unrealizedInterest, realizedInterest, default) { }
|
||||
|
||||
/// <summary>空状态（新开仓首个计息日之前）。</summary>
|
||||
public static readonly AccrualState Zero = new(0m, 0m, 0m);
|
||||
|
||||
/// <summary>
|
||||
/// 从上一日日终归档 <see cref="eod_swap_position"/> 适配（边界适配：DB 列名 → 领域名）。
|
||||
/// 仅映射计息状态；名义本金基数 / 平仓比例 / 已实现利息等由调用方另行传入。
|
||||
/// </summary>
|
||||
public static AccrualState FromPreviousEod(eod_swap_position previousEod)
|
||||
=> previousEod == null || previousEod.id == 0
|
||||
? Zero
|
||||
: new AccrualState(previousEod.TdInterestPrincipal, previousEod.InterestIncomeSum, 0m, previousEod.ValueDate);
|
||||
}
|
||||
+9
-9
@@ -1,14 +1,10 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using YLErp.Derivatives.Interest;
|
||||
|
||||
namespace YLErp.Core.Interest;
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
/// 计息过程追踪收集器（值对象，非日志）。
|
||||
/// 计息过程追踪收集器（值对象，非日志）。2026-08 自 Core 层（YLErp.Core.Interest）迁入 DAL，
|
||||
/// 与 Simple/CompoundInterestAccrual、AccrualBoundary 同处一域，Core 不再持有计息类型。
|
||||
///
|
||||
/// <para><b>为什么是收集器而不是日志调用</b>：计息数学（SwapInterest / FundingLegAccrual）必须保持纯函数、
|
||||
/// <para><b>为什么是收集器而不是日志调用</b>：计息数学（Simple/CompoundInterestAccrual）必须保持纯函数、
|
||||
/// 可单测、不依赖 NLog；但按工程铁律，关键路径日志须<b>无条件常驻落盘</b>（出问题时事后翻日志定位，不能依赖开关）。
|
||||
/// 折中：纯函数把"发生了什么"记录为结构化条目写入本收集器，由<b>适配器(IO 边界)</b>统一经
|
||||
/// <c>SwapCalcTrace.Write</c> 常驻落盘。落盘职责归一处，计息代码零日志依赖、保持干净。</para>
|
||||
@@ -71,6 +67,10 @@ public sealed class AccrualTrace
|
||||
=> Add(AccrualTraceEvent.End, default,
|
||||
$"END accrued={totalAccrued:F6} today={totalToday:F6}");
|
||||
|
||||
/// <summary>自由文本注解（如罚息接缝的诊断行），不绑定特定计息语义。</summary>
|
||||
public void Note(string message)
|
||||
=> Add(AccrualTraceEvent.Note, default, message);
|
||||
|
||||
private void Add(AccrualTraceEvent step, DateTime date, string line)
|
||||
=> _entries.Add(new AccrualTraceEntry(step, date, line));
|
||||
|
||||
@@ -82,7 +82,7 @@ public sealed class AccrualTrace
|
||||
/// <summary>追踪条目的语义类别（对应 QuantLib/Strata 的"事件"概念），便于程序化筛选（如"只看重置日"）。</summary>
|
||||
public enum AccrualTraceEvent
|
||||
{
|
||||
Start, DayAccrual, ResetBefore, ResetAfter, Rollover, Unwind, End
|
||||
Start, DayAccrual, ResetBefore, ResetAfter, Rollover, Unwind, End, Note
|
||||
}
|
||||
|
||||
/// <summary>单条追踪记录：类别 + 日期 + 已渲染文本。</summary>
|
||||
@@ -1,6 +1,3 @@
|
||||
using YLErp.Core.Interest;
|
||||
using YLErp.Derivatives.Interest;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
@@ -9,7 +6,7 @@ namespace YLErp.Modules.SwapModule.Accrual;
|
||||
/// </summary>
|
||||
public static class CompoundInterestAccrual
|
||||
{
|
||||
private const int Precision = SwapInterest.FundingLegPrecision;
|
||||
private const int Precision = InterestMath.FundingLegPrecision;
|
||||
|
||||
/// <summary>复利日终计息基数（单一真相源，纯函数与调用方共用）：
|
||||
/// 重置日 = notional + 累计利息×剩余比例(利息并入本金)；非重置日 = priorNotional（昨日滚动基数）。
|
||||
@@ -52,8 +49,8 @@ public static class CompoundInterestAccrual
|
||||
|
||||
var totalAccrued = priorAccrued * unwindFraction + dayInterest;
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(totalAccrued, Precision),
|
||||
SwapInterest.Round(tdInterest, Precision));
|
||||
InterestMath.Round(totalAccrued, Precision),
|
||||
InterestMath.Round(tdInterest, Precision));
|
||||
|
||||
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
@@ -64,6 +61,11 @@ public static class CompoundInterestAccrual
|
||||
/// 复利多日计息（替换 CalcDailyCompoundInterest 的纯数学部分）。
|
||||
/// 从 startDate 到 endDate 全程重放，每个重置日把累计利息并入本金。
|
||||
/// </summary>
|
||||
/// <param name="carryInInterest">
|
||||
/// 窗口前已计未结转利息（EQD-6977 罚息承接）：在【首个重置日】并入计息基数——
|
||||
/// 与"持有至到期"全期轨迹严格对齐（恒等式：全期复利 = 平仓日已结利息 + 罚息窗口利息）。
|
||||
/// 默认 0 时与旧行为逐位一致。与 resetCarryInterest 互斥使用（后者是全平重放的末段存量替代）。
|
||||
/// </param>
|
||||
public static InterestResult AccruePeriod(
|
||||
decimal notional,
|
||||
IReadOnlyList<(DateTime StartDate, decimal Rate)> segmentRates,
|
||||
@@ -76,10 +78,14 @@ public static class CompoundInterestAccrual
|
||||
decimal realizedInterest,
|
||||
decimal unwindFraction,
|
||||
out decimal finalBasis,
|
||||
AccrualTrace? trace = null)
|
||||
AccrualTrace? trace = null,
|
||||
decimal carryInInterest = 0m)
|
||||
{
|
||||
decimal accrualBasis = notional;
|
||||
decimal accrued = 0m;
|
||||
// carryInInterest 是"窗口前已计未结转利息"：先并入 accrued，随首个重置日的
|
||||
// basis = notional + accrued 一并资本化，并在其后每个重置日持续留在基数里
|
||||
//（与全窗口重放时 accrued 含全部历史利息的轨迹严格一致）；最终报告时扣除。
|
||||
decimal accrued = carryInInterest;
|
||||
|
||||
trace?.MarkStart(startDate, endDate, boundary, annualDays, isAnnualized);
|
||||
|
||||
@@ -107,7 +113,7 @@ public static class CompoundInterestAccrual
|
||||
|
||||
var segIncludeStart = (si == 0) ? boundary.IncludeStart : true;
|
||||
var segIncludeEnd = isLastSegment ? boundary.IncludeEnd : false;
|
||||
var days = SwapInterest.AccrualDays(segmentRates[si].StartDate, segEnd,
|
||||
var days = InterestMath.AccrualDays(segmentRates[si].StartDate, segEnd,
|
||||
AccrualBoundary.Of(segIncludeStart, segIncludeEnd));
|
||||
if (days <= 0) continue;
|
||||
|
||||
@@ -119,13 +125,16 @@ public static class CompoundInterestAccrual
|
||||
|
||||
finalBasis = accrualBasis;
|
||||
|
||||
// 报告口径只含窗口内增量（carryIn 是窗口前已结利息，由正常平仓流单独结算）
|
||||
accrued -= carryInInterest;
|
||||
|
||||
if (realizedInterest != 0m)
|
||||
trace?.Unwind(endDate, unwindFraction, realizedInterest * unwindFraction, accrued - realizedInterest * unwindFraction);
|
||||
accrued -= realizedInterest * unwindFraction;
|
||||
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(accrued, Precision),
|
||||
SwapInterest.Round(accrued, Precision));
|
||||
InterestMath.Round(accrued, Precision),
|
||||
InterestMath.Round(accrued, Precision));
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
|
||||
@@ -1,3 +1,5 @@
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
@@ -26,4 +28,10 @@ public readonly struct FundingLegRate
|
||||
/// <summary>构造浮动腿利率（all-in = 加点利差 + 指数定盘）。</summary>
|
||||
public static FundingLegRate Floating(decimal spread, decimal indexFixing)
|
||||
=> new(spread + indexFixing);
|
||||
|
||||
/// <summary>从 swap_position 构造：固定腿→Fixed(spread)，浮动腿→Floating(spread+fixing)。</summary>
|
||||
public static FundingLegRate Build(swap_position position, decimal spread, decimal effectiveFloat)
|
||||
=> string.IsNullOrEmpty(position.FloatRateUnderlyingCode)
|
||||
? Fixed(spread)
|
||||
: Floating(spread, effectiveFloat);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,104 @@
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
// 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）
|
||||
//
|
||||
// 概念 唯一用词 与既有代码的对应
|
||||
// ───────────────────────────────────────────────────────────────────
|
||||
// 区间起点/终点 Start / End startDate / endDate
|
||||
// 计息 Accrue CalcDailySimpleInterest / CalcDailyCompoundInterest
|
||||
// 平仓 Unwind unwindPercent（既有字段 closePercent）
|
||||
// 已实现利息 Realized realizedInterest（legacy 字段 consumedInterest）
|
||||
// 待实现收益 Unrealized 预付金模式下的待实现收益余额
|
||||
// 计息基数 principal principal / dynomicPrincipal
|
||||
// 年化天数 annualDays tradeExtend.ExtendObj.AnnualDays
|
||||
//
|
||||
// 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。
|
||||
// 出参改用自描述名（Accrued / AccruedToday），因为 "Td" 对新读者是黑话。
|
||||
// ─────────────────────────────────────────────────────────────────────────────
|
||||
|
||||
/// <summary>
|
||||
/// 计息区间边界（算头 / 算尾）。
|
||||
/// 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。
|
||||
/// </summary>
|
||||
public readonly struct AccrualBoundary
|
||||
{
|
||||
/// <summary>算头：含 startDate。</summary>
|
||||
public bool IncludeStart { get; }
|
||||
|
||||
/// <summary>算尾：含 endDate。</summary>
|
||||
public bool IncludeEnd { get; }
|
||||
|
||||
private AccrualBoundary(bool includeStart, bool includeEnd)
|
||||
=> (IncludeStart, IncludeEnd) = (includeStart, includeEnd);
|
||||
|
||||
/// <summary>算头算尾 [start, end]。</summary>
|
||||
public static readonly AccrualBoundary Both = new(true, true);
|
||||
|
||||
/// <summary>算头不算尾 [start, end)。</summary>
|
||||
public static readonly AccrualBoundary StartOnly = new(true, false);
|
||||
|
||||
/// <summary>不算头算尾 (start, end]。</summary>
|
||||
public static readonly AccrualBoundary EndOnly = new(false, true);
|
||||
|
||||
/// <summary>不算头不算尾 (start, end)。</summary>
|
||||
public static readonly AccrualBoundary None = new(false, false);
|
||||
|
||||
/// <summary>由既有 calcFirst / calcLast 布尔对构造，供旧调用方渐进迁移。</summary>
|
||||
public static AccrualBoundary Of(bool includeStart, bool includeEnd) => new(includeStart, includeEnd);
|
||||
|
||||
public override string ToString()
|
||||
=> $"{(IncludeStart ? "算头" : "不算头")}{(IncludeEnd ? "算尾" : "不算尾")}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计息结果。Accrued → 记账字段 InterestAmount / InterestProfitSum；AccruedToday → TdInterestAmount。
|
||||
/// </summary>
|
||||
public readonly struct InterestResult
|
||||
{
|
||||
/// <summary>区间累计应计利息。</summary>
|
||||
public decimal Accrued { get; }
|
||||
|
||||
/// <summary>末日（当日）应计利息。</summary>
|
||||
public decimal AccruedToday { get; }
|
||||
|
||||
public InterestResult(decimal accrued, decimal accruedToday)
|
||||
=> (Accrued, AccruedToday) = (accrued, accruedToday);
|
||||
|
||||
public static readonly InterestResult Zero = new(0m, 0m);
|
||||
|
||||
public override string ToString() => $"Accrued={Accrued}, AccruedToday={AccruedToday}";
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 利息腿共用数学工具：舍入、应计天数、精度常量。
|
||||
///
|
||||
/// <para><b>沿革</b>：2026-08 自 Core 层 SwapInterest 迁入 DAL（生产消费面整体搬家）。
|
||||
/// 原 SwapInterest 的算法方法（AccrueSimple/AccrueCompoundInArrears/ApplyUnwind/AccrueUnrealized）
|
||||
/// 与 AccrualContext/InterestRate 始终未接线（生产计息走本目录 Simple/CompoundInterestAccrual，
|
||||
/// 两者舍入与 rollover 口径已分叉），作为孤儿死代码删除——接线前须先补对账，勿凭记忆重建。</para>
|
||||
///
|
||||
/// <para>为何不复用 Qdp 的 IDayCount：
|
||||
/// 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；
|
||||
/// b. 精度——Qdp 返回 double 年化系数，本系统 decimal 对账；
|
||||
/// c. 依赖方向——Qdp 用自有 Date 类型，引入会让本模块反向依赖定价库。</para>
|
||||
/// </summary>
|
||||
public static class InterestMath
|
||||
{
|
||||
/// <summary>资金腿与保证金腿的生产计息精度（落库/对账均以 12 位为准）。
|
||||
/// 提升至公共常量，消除 SwapDealService 与 SimpleInterestAccrual 的重复定义。</summary>
|
||||
public const int FundingLegPrecision = 12;
|
||||
|
||||
/// <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>
|
||||
public static int AccrualDays(DateTime startDate, DateTime endDate, AccrualBoundary boundary)
|
||||
{
|
||||
var s = boundary.IncludeStart ? startDate : startDate.AddDays(1);
|
||||
var e = boundary.IncludeEnd ? endDate : endDate.AddDays(-1);
|
||||
var days = (int)(e - s).TotalDays + 1; // 含两端
|
||||
return days < 0 ? 0 : days;
|
||||
}
|
||||
|
||||
/// <summary>统一舍入：MidpointRounding.AwayFromZero。所有计息路径收口到此处，避免散落的 Math.Round 不一致。</summary>
|
||||
public static decimal Round(decimal value, int precision)
|
||||
=> Math.Round(value, precision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
@@ -1,6 +1,3 @@
|
||||
using YLErp.Core.Interest;
|
||||
using YLErp.Derivatives.Interest;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.Accrual;
|
||||
|
||||
/// <summary>
|
||||
@@ -9,7 +6,7 @@ namespace YLErp.Modules.SwapModule.Accrual;
|
||||
/// </summary>
|
||||
public static class SimpleInterestAccrual
|
||||
{
|
||||
private const int Precision = SwapInterest.FundingLegPrecision;
|
||||
private const int Precision = InterestMath.FundingLegPrecision;
|
||||
|
||||
/// <summary>
|
||||
/// 单利日终计息（替换 CalcDailySimpleInterestByEod 的纯数学部分）。
|
||||
@@ -38,8 +35,8 @@ public static class SimpleInterestAccrual
|
||||
|
||||
var totalAccrued = priorAccrued + dayInterest;
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(totalAccrued, Precision),
|
||||
SwapInterest.Round(tdInterest, Precision));
|
||||
InterestMath.Round(totalAccrued, Precision),
|
||||
InterestMath.Round(tdInterest, Precision));
|
||||
|
||||
trace?.Day(0, eodDate, allInRate, displayBasis, dayInterest, totalAccrued);
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
@@ -85,7 +82,7 @@ public static class SimpleInterestAccrual
|
||||
var includeStart = effectiveStart == startDate ? boundary.IncludeStart : true;
|
||||
var isLastSegment = si == segmentRates.Count - 1;
|
||||
var segBoundary = AccrualBoundary.Of(includeStart, isLastSegment && boundary.IncludeEnd);
|
||||
var days = SwapInterest.AccrualDays(effectiveStart, segEnd, segBoundary);
|
||||
var days = InterestMath.AccrualDays(effectiveStart, segEnd, segBoundary);
|
||||
if (days <= 0) { segStart = segEnd; continue; }
|
||||
|
||||
var dailyRate = isAnnualized ? segmentRates[si].Rate / annualDays : segmentRates[si].Rate;
|
||||
@@ -98,8 +95,8 @@ public static class SimpleInterestAccrual
|
||||
}
|
||||
|
||||
var result = new InterestResult(
|
||||
SwapInterest.Round(accrued, Precision),
|
||||
SwapInterest.Round(accruedUnscaled, Precision));
|
||||
InterestMath.Round(accrued, Precision),
|
||||
InterestMath.Round(accruedUnscaled, Precision));
|
||||
trace?.MarkEnd(result.Accrued, result.AccruedToday);
|
||||
return result;
|
||||
}
|
||||
|
||||
@@ -0,0 +1,65 @@
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// 平仓比例(ClosePercent) 数学——占期初(A) / 占剩余(B) 两种口径的转换。
|
||||
/// 从 SwapDealService 提取为共享模块，两个 service 均可引用。
|
||||
/// </summary>
|
||||
public static class ClosePercentMath
|
||||
{
|
||||
/// <summary>
|
||||
/// 取上一日终的浮动端名义本金（orginPv 的来源）。
|
||||
/// 优先取浮动腿 PosiNotionalValue 之和，取不到用 eod_swap 多空绝对值之和，都没有用 currentNotional 兜底。
|
||||
/// </summary>
|
||||
public static decimal ResolveUnwindPreviousNotional(
|
||||
eod_swap lastEod,
|
||||
IEnumerable<eod_swap_position> lastEodPositions,
|
||||
decimal currentNotional)
|
||||
{
|
||||
var floatingPositions = lastEodPositions?.Where(x => x.PosiDirection > 0).ToList();
|
||||
decimal previousNotional;
|
||||
if (floatingPositions?.Count > 0)
|
||||
{
|
||||
previousNotional = floatingPositions.Sum(x => x.PosiNotionalValue);
|
||||
}
|
||||
else
|
||||
{
|
||||
previousNotional = lastEod == null
|
||||
? currentNotional
|
||||
: Math.Abs(lastEod.NotionalValueLong) + Math.Abs(lastEod.NotionalValueShort);
|
||||
}
|
||||
|
||||
return previousNotional == 0m && currentNotional != 0m
|
||||
? currentNotional
|
||||
: previousNotional;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// A(占期初) → B(占剩余)，用于把前端传入的占期初比例换算成后端计算用的占剩余比例。
|
||||
/// </summary>
|
||||
public static decimal ToRemainingClosePercent(decimal originalClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (posiNotionalValue <= 0) return originalClosePercent;
|
||||
var remaining = originalClosePercent * notionalValue / posiNotionalValue;
|
||||
return remaining > 1 ? 1 : remaining;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// B(占剩余) → A(占期初)，用于落库 / 事件列表展示还原。见 ToRemainingClosePercent。
|
||||
/// </summary>
|
||||
public static decimal ToOriginalClosePercent(decimal remainingClosePercent, decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
if (notionalValue <= 0) return remainingClosePercent;
|
||||
return remainingClosePercent * posiNotionalValue / notionalValue;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算 InitUnwind 默认占期初(A)平仓比例 = PosiNotionalValue / NotionalValue。
|
||||
/// 未平仓时 =1（平100%）；部分平仓后自动变为剩余比例。
|
||||
/// </summary>
|
||||
public static decimal CalcDefaultInitClosePercent(decimal notionalValue, decimal posiNotionalValue)
|
||||
{
|
||||
return notionalValue > 0 ? posiNotionalValue / notionalValue : 1;
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,183 @@
|
||||
using System;
|
||||
using System.Collections.Generic;
|
||||
using YLErp;
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels.Enums;
|
||||
using YLErp.Modules.SwapModule.ReturnLegs;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// 互换日终盈亏/精度计算纯函数集合。
|
||||
/// 自 SwapEodPositionService 抽出，支持无库单测；同类内部调用无需前缀。
|
||||
/// </summary>
|
||||
public static class EodPnlCalculator
|
||||
{
|
||||
// 日终利息待实现需跨日累计，按表设计保留 12 位；已实现结算仍按金额两位处理。
|
||||
private const int EodInterestStoragePrecision = 12;
|
||||
|
||||
internal static decimal RoundMoney(decimal value)
|
||||
{
|
||||
return Math.Round(value, ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
internal static decimal RoundEodInterest(decimal value)
|
||||
{
|
||||
return Math.Round(value, EodInterestStoragePrecision, MidpointRounding.AwayFromZero);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 仅在写入 eod_swap_position 前统一快照精度。
|
||||
/// 浮动腿收益最终以金额两位展示和存储；利息腿的待实现、计息基数及利率保留 12 位，
|
||||
/// 使部分结算后的尾差可继续参与后续计息。
|
||||
/// </summary>
|
||||
internal static void NormalizeEodPositionForStorage(eod_swap_position position)
|
||||
{
|
||||
if (string.IsNullOrEmpty(position.UnderlyingCode))
|
||||
{
|
||||
// 利息腿没有标的代码：待实现字段保留高精度，已实现结算字段收敛到金额两位。
|
||||
position.InterestPrincipalFix = RoundEodInterest(position.InterestPrincipalFix);
|
||||
position.InterestRateDefault = RoundEodInterest(position.InterestRateDefault);
|
||||
position.InterestFeePending = RoundEodInterest(position.InterestFeePending);
|
||||
position.TdInterestPrincipal = RoundEodInterest(position.TdInterestPrincipal);
|
||||
position.TdInterestRate = RoundEodInterest(position.TdInterestRate);
|
||||
position.TdInterestIncome = RoundEodInterest(position.TdInterestIncome);
|
||||
position.TdInterestFee = RoundEodInterest(position.TdInterestFee);
|
||||
position.InterestIncomeSum = RoundEodInterest(position.InterestIncomeSum);
|
||||
position.InterestFeeSum = RoundEodInterest(position.InterestFeeSum);
|
||||
position.InterestProfitSum = RoundEodInterest(position.InterestProfitSum);
|
||||
position.FloatRate = RoundEodInterest(position.FloatRate);
|
||||
position.SwapPositionValue = RoundEodInterest(position.SwapPositionValue);
|
||||
position.TdCloseInterest = RoundMoney(position.TdCloseInterest);
|
||||
position.TdCloseInterestFee = RoundMoney(position.TdCloseInterestFee);
|
||||
position.RealizedInterest = RoundMoney(position.RealizedInterest);
|
||||
position.RealizedInterestFee = RoundMoney(position.RealizedInterestFee);
|
||||
}
|
||||
else
|
||||
{
|
||||
// 浮动腿有标的代码：其损益作为金额结果落库，统一按两位四舍五入。
|
||||
position.TdPosiDividend = RoundMoney(position.TdPosiDividend);
|
||||
position.PosiMtmPnL = RoundMoney(position.PosiMtmPnL);
|
||||
position.PosiDividendSum = RoundMoney(position.PosiDividendSum);
|
||||
position.PosiFeePending = RoundMoney(position.PosiFeePending);
|
||||
position.PosiProfitSum = RoundMoney(position.PosiProfitSum);
|
||||
position.TdCloseMtmPnl = RoundMoney(position.TdCloseMtmPnl);
|
||||
position.TdCloseDividend = RoundMoney(position.TdCloseDividend);
|
||||
position.TdCloseFee = RoundMoney(position.TdCloseFee);
|
||||
position.RealizedMtmPnL = RoundMoney(position.RealizedMtmPnL);
|
||||
position.RealizedDividend = RoundMoney(position.RealizedDividend);
|
||||
position.RealizedFee = RoundMoney(position.RealizedFee);
|
||||
position.SwapPositionValue = RoundMoney(position.SwapPositionValue);
|
||||
}
|
||||
position.RealizedPnl = RoundMoney(position.RealizedPnl);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 浮动腿累计已实现盈亏由盯市、分红和费用三个已实现组成项汇总。
|
||||
/// 各组成项已经按本方视角落库，此处不再额外转换方向。
|
||||
/// </summary>
|
||||
internal static void SetFloatingRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 汇总单条日终腿的我方已实现收益。
|
||||
/// 浮动腿及普通利息腿维持数据库记录的方向；初始/追加预付金腿的利息
|
||||
/// 则与保证金本金方向相反。这样“收取对手方保证金”产生的利息会作为
|
||||
/// 我方支付给对手方的成本计入，而不会错误增加框架合约已实现收益。
|
||||
/// 抽为静态纯函数以支持无库单测（marginTypes 等价于 ConsTrade.InterestMarginModels）。
|
||||
/// </summary>
|
||||
public static decimal CalculateSwapRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
|
||||
return position.RealizedMtmPnL
|
||||
+ position.RealizedDividend
|
||||
+ position.RealizedFee
|
||||
+ position.RealizedInterest * interestRatio
|
||||
+ position.RealizedInterestFee;
|
||||
}
|
||||
|
||||
/// <summary>填充框架合约的持仓腿汇总字段（多空名义本金/市值/浮动盈亏/dv01/平仓量）。
|
||||
/// SaveEodSwap 与 UpdateEodSwap 共用，消除 ~10 行重复。</summary>
|
||||
internal static void FillPositionLegSummary(eod_swap eod_Swap, List<eod_swap_position> positions)
|
||||
{
|
||||
eod_Swap.NotionalValueLong = Math.Round(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.PosiNotionalValue), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
eod_Swap.NotionalValueShort = Math.Round(-Math.Abs(positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.PosiNotionalValue)), ConsGlobal.MoneyRound, MidpointRounding.AwayFromZero);
|
||||
eod_Swap.MarketValueLong = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Long).Sum(s => s.UnderlyingMarketValue);
|
||||
eod_Swap.MarketValueShort = positions.Where(x => x.PositionType == (int)PositionTypeFlag.Short).Sum(s => s.UnderlyingMarketValue);
|
||||
eod_Swap.FloatingPnL = positions.Sum(s => s.PosiProfitSum);
|
||||
eod_Swap.dv01 = positions.Sum(s => s.dv01 ?? 0);
|
||||
eod_Swap.TdCloseQty = positions.Sum(s => s.TdCloseQty);
|
||||
}
|
||||
|
||||
/// <summary>利息腿 PnL 汇总（按方向比例 + 保证金翻转）。原 SaveEodSwap/UpdateEodSwap 各一段 ForEach。</summary>
|
||||
internal static decimal SumInterestPnL(List<eod_swap_position> interestPositions)
|
||||
{
|
||||
decimal interestPnL = 0;
|
||||
foreach (var x in interestPositions)
|
||||
interestPnL += x.InterestProfitSum * DirectionRatio.InterestLegPnl(x.InterestDirection, x.InterestMode);
|
||||
return interestPnL;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 风险报表符号归一化：把历史两种符号口径的 TdCloseInterest/RealizedInterest
|
||||
/// 统一按"绝对金额 × 业务方向"重写。普通利息腿收取为正、支付为负；
|
||||
/// 预付金腿利息方向与保证金本金方向相反。随后重算 RealizedPnl。
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapReportInterestSignNormalizeTest）。
|
||||
/// 仅当 InterestDirection > 0 时执行（与原内联逻辑等价）。
|
||||
/// </summary>
|
||||
public static void NormalizeInterestSignForReport(eod_swap_position position)
|
||||
{
|
||||
if (position.InterestDirection <= 0) return;
|
||||
|
||||
if (position.InterestMode == (int)InterestModeEnum.标的期初全价)
|
||||
{
|
||||
return;
|
||||
}
|
||||
var interestRatio = DirectionRatio.InterestLegPnl(position.InterestDirection, position.InterestMode);
|
||||
position.TdCloseInterest = Math.Abs(position.TdCloseInterest) * interestRatio;
|
||||
position.RealizedInterest = Math.Abs(position.RealizedInterest) * interestRatio;
|
||||
// 兼容修复前已落库的利息腿：当时只累计了明细字段，未同步写入 RealizedPnl。
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利率。多条初始/追加预付金腿按本金绝对值加权，
|
||||
/// 不按收付方向轧差，避免相反方向本金抵消后放大利率。
|
||||
/// </summary>
|
||||
internal static decimal CalculateWeightedMarginRate(IEnumerable<swap_position> margins)
|
||||
{
|
||||
var marginList = margins.ToList();
|
||||
var totalWeight = marginList.Sum(x => Math.Abs(x.InterestPrincipalFix));
|
||||
return totalWeight == 0
|
||||
? 0
|
||||
: marginList.Sum(x => x.InterestRateDefault * Math.Abs(x.InterestPrincipalFix)) / totalWeight;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 计算预付金利息金额。InterestIncomeSum 已是各腿利息金额，
|
||||
/// 按收取为正、支付为负直接轧差求和，不做本金加权。
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapWeightedMarginInterestTest）。
|
||||
/// </summary>
|
||||
public static decimal CalculateWeightedMarginInterest(IEnumerable<eod_swap_position> margins)
|
||||
{
|
||||
return margins.Sum(x =>
|
||||
x.InterestIncomeSum * DirectionRatio.ReceivePay(x.InterestDirection));
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 固定利息腿的累计已实现盈亏 = 累计已实现利息 + 累计已实现利息费用。
|
||||
/// 4 处 SaveAutoEodInterestPosition/SaveEodInterestPosition 路径口径一致，
|
||||
/// 抽为 public static 纯函数以支持无库单测（见 SwapFixedLegRealizedPnlTest），
|
||||
/// 并消除复制粘贴带来的笔误风险（如 L1296 历史双分号）。
|
||||
/// </summary>
|
||||
public static void SetFixedLegRealizedPnl(eod_swap_position position)
|
||||
{
|
||||
position.RealizedPnl = position.RealizedInterest + position.RealizedInterestFee;
|
||||
}
|
||||
}
|
||||
}
|
||||
@@ -0,0 +1,19 @@
|
||||
using System;
|
||||
using System.Linq;
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule
|
||||
{
|
||||
/// <summary>
|
||||
/// eod_swap_position 查询收口（Query Object）。
|
||||
/// 规则"某交易某日日终的有效持仓 = SwapTradeId 匹配 + ValueDate 匹配 + 未作废(!Invalid)"集中于此，
|
||||
/// 避免多处复制同一谓词导致语义漂移（漏写 !Invalid 即静默出 bug）。
|
||||
/// 仅返回 IQueryable，不调用 SaveChanges，不破坏跟踪/Include/事务边界。
|
||||
/// </summary>
|
||||
public static class EodSwapPositionQueries
|
||||
{
|
||||
public static IQueryable<eod_swap_position> ActiveByTradeAndDate(
|
||||
this IQueryable<eod_swap_position> query, int tradeId, DateTime valueDate)
|
||||
=> query.Where(x => x.SwapTradeId == tradeId && x.ValueDate == valueDate && !x.Invalid);
|
||||
}
|
||||
}
|
||||
@@ -11,6 +11,6 @@ public sealed class ContractNotionalLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.合约名义本金规模;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(posiNotional * closePercent, posiNotional, closePercent);
|
||||
}
|
||||
|
||||
@@ -12,6 +12,6 @@ public sealed class FixedAmountLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.固定值;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(fix, fix, 1m);
|
||||
}
|
||||
|
||||
@@ -22,10 +22,8 @@ public interface IFundingLegStrategy
|
||||
/// </summary>
|
||||
/// <param name="fix">合约固定本金（固定值/预付金腿用；其余腿忽略）。</param>
|
||||
/// <param name="posiNotional">当前剩余名义本金（数量 × 全价）。</param>
|
||||
/// <param name="posiLong">多头剩余名义本金（多空存续腿用，当前界面已禁用）。</param>
|
||||
/// <param name="posiShort">空头剩余名义本金。</param>
|
||||
/// <param name="closePercent">平仓比例（占剩余，0~1）。</param>
|
||||
NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent);
|
||||
NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent);
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
|
||||
@@ -1,4 +1,4 @@
|
||||
using YLErp.DBModels;
|
||||
using YLErp.DBModels;
|
||||
|
||||
namespace YLErp.Modules.SwapModule.FundingLegs;
|
||||
|
||||
@@ -7,13 +7,13 @@ namespace YLErp.Modules.SwapModule.FundingLegs;
|
||||
/// 计息基数 = 标的期初含费全价(PosiGrossPrice/EntryDirtyPrice) × 数量。
|
||||
/// "期初(Entry)"是关键——建仓时点的全价，非当前估值全价。
|
||||
/// 主路径 CalcNotionalByMode 公式与合约名义本金规模(2)相同；
|
||||
/// 差异在衡泰路径会乘 grossPrice 折算（SwapDealService.GetUnwindInterestsByHT），
|
||||
/// 衡泰回执折算路径（原 SwapDealService.GetUnwindInterestsByHT 乘 grossPrice 折算）已随死链清理移除；
|
||||
/// 以及 EOD 复利部分平仓后直接返回剩余本金（禁止反推，SwapEodPositionService:1458-1465）。
|
||||
/// </summary>
|
||||
public sealed class UnderlyingEntryFullPriceLeg : IFundingLegStrategy
|
||||
{
|
||||
public InterestModeEnum Mode => InterestModeEnum.标的期初全价;
|
||||
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal posiLong, decimal posiShort, decimal closePercent)
|
||||
public NotionalResult CalcNotional(decimal fix, decimal posiNotional, decimal closePercent)
|
||||
=> new(posiNotional * closePercent, posiNotional, closePercent);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,91 @@
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// GetInterests 参数对象（2026-08 参数显式化）。
|
||||
///
|
||||
/// 动机：原 GetInterests 20 个位置参数中，名义本金簇（posiNotionalValue/closePosiNotionalValue/closePercent）
|
||||
/// 在【盘中平仓】与【EOD 平仓后收盘】两类场景下语义相反（详见 GetInterests "根因位置"注释与
|
||||
/// GetInterestsEntrySemanticsTest 的口径留档），位置参数无法表达该约束。
|
||||
///
|
||||
/// 用法：只能经两个场景工厂构造——工厂形参名即该场景语义（平仓前剩余 / 平仓后剩余 / 实际平掉额），
|
||||
/// 物理上防止两套语义混传。needPrice/grossPrice（原方法死参数）与 posiLong/posiShortNotionalValue
|
||||
/// （多空组合子系统删除后计息链零消费的管道死参数）均不承载。
|
||||
/// </summary>
|
||||
public sealed class InterestCalcRequest
|
||||
{
|
||||
public trade Td { get; }
|
||||
public trade_extend TradeExtend { get; }
|
||||
public DateTime ValueDate { get; }
|
||||
public DateTime UnwindDate { get; }
|
||||
public List<eod_swap_position> EodPositions { get; }
|
||||
public List<swap_position> Positions { get; }
|
||||
|
||||
/// <summary>当日适用名义本金。语义随场景：盘中=平仓【前】剩余；EOD平仓后收盘=平仓【后】剩余；EOD增量=当前剩余。</summary>
|
||||
public decimal PosiNotionalValue { get; }
|
||||
|
||||
/// <summary>本次实际平掉本金（两场景恒同义）。mode2 无条件覆盖 / mode9 全平兜底的输入。</summary>
|
||||
public decimal ClosePosiNotionalValue { get; }
|
||||
|
||||
/// <summary>平仓比例。语义随场景：盘中=实际比例（B 占剩余）；EOD平仓后收盘=恒1（全额结息）。</summary>
|
||||
public decimal ClosePercent { get; }
|
||||
|
||||
public int EventType { get; }
|
||||
public bool TdClose { get; }
|
||||
public decimal OrginPv { get; }
|
||||
public bool Add { get; }
|
||||
public bool NewCalcLast { get; }
|
||||
public List<swap_flow_event> CloseList { get; }
|
||||
|
||||
/// <summary>是否计罚息（EQD-6977）：利息端按持有至到期计息。由平仓页下拉经 UnwindData 透传；默认 false。</summary>
|
||||
public bool IsPenaltyInterest { get; }
|
||||
|
||||
private InterestCalcRequest(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal posiNotionalValue,
|
||||
decimal closePosiNotionalValue, decimal closePercent,
|
||||
int eventType, bool tdClose, decimal orginPv,
|
||||
bool add, bool newCalcLast, List<swap_flow_event> closeList,
|
||||
bool isPenaltyInterest = false)
|
||||
{
|
||||
Td = td; TradeExtend = tradeExtend; ValueDate = valueDate; UnwindDate = unwindDate;
|
||||
EodPositions = eodPositions; Positions = positions;
|
||||
PosiNotionalValue = posiNotionalValue; ClosePosiNotionalValue = closePosiNotionalValue;
|
||||
ClosePercent = closePercent; EventType = eventType; TdClose = tdClose; OrginPv = orginPv;
|
||||
Add = add; NewCalcLast = newCalcLast; CloseList = closeList;
|
||||
IsPenaltyInterest = isPenaltyInterest;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 【盘中平仓/互换结息】场景（→ GetIntradayUnwindInterests，settment:false 盘中重放）。
|
||||
/// </summary>
|
||||
/// <param name="preCloseNotional">平仓【前】实时剩余本金（原 GetUnwindInterests.stockEqvNotional）。</param>
|
||||
/// <param name="closedNotional">本次实际平掉本金（= preCloseNotional × closePercentRemaining）。</param>
|
||||
/// <param name="closePercentRemaining">平仓比例，B 语义【占剩余】（前端传 A 占期初须先经 ToRemainingClosePercent 转换）。</param>
|
||||
public static InterestCalcRequest IntradayUnwind(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal preCloseNotional, decimal closedNotional, decimal closePercentRemaining,
|
||||
int eventType, bool tdClose, decimal orginPv,
|
||||
bool add, bool newCalcLast, List<swap_flow_event> closeList,
|
||||
bool isPenaltyInterest = false)
|
||||
=> new(td, tradeExtend, valueDate, unwindDate, eodPositions, positions,
|
||||
preCloseNotional, closedNotional, closePercentRemaining,
|
||||
eventType, tdClose, orginPv, add, newCalcLast, closeList, isPenaltyInterest);
|
||||
|
||||
/// <summary>
|
||||
/// 【EOD 当日有平仓后的收盘结息】场景（→ CalcEodPostCloseSettleInterests，settment:false 全额结息）。
|
||||
/// 该场景触发 GetInterests 内 mode2 无条件覆盖 / mode9 全平兜底（见其"根因位置"注释，勿删）。
|
||||
/// </summary>
|
||||
/// <param name="remainingNotionalAfterClose">平仓【后】剩余本金（GetInterests.posiNotionalValue 形参位）。</param>
|
||||
/// <param name="closedNotional">本次实际平掉本金。</param>
|
||||
public static InterestCalcRequest EodPostCloseSettle(
|
||||
trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
|
||||
List<eod_swap_position> eodPositions, List<swap_position> positions,
|
||||
decimal remainingNotionalAfterClose, decimal closedNotional,
|
||||
int eventType, bool tdClose, decimal orginPv,
|
||||
bool add, bool newCalcLast)
|
||||
=> new(td, tradeExtend, valueDate, unwindDate, eodPositions, positions,
|
||||
remainingNotionalAfterClose, closedNotional, 1m, // 恒1：本次事件全额结息（非 closeNational / 期初比例）
|
||||
eventType, tdClose, orginPv, add, newCalcLast, closeList: null);
|
||||
}
|
||||
@@ -0,0 +1,47 @@
|
||||
using YLErp.Models;
|
||||
|
||||
namespace YLErp.Modules.SwapModule;
|
||||
|
||||
/// <summary>
|
||||
/// 利息腿 EOD 归档场景分派规格（纯函数集；表驱动单测见 InterestEodScenarioDispatchTest）。
|
||||
/// 优先级链（承重业务语义，不能乱序）：
|
||||
/// ① hasSwap(手工互换) → 按事件流水重新生成，压制观察日自动结息
|
||||
/// ② observationInterval(观察日) 存在 → 自动结息；同日有平仓 → autoSwap=true
|
||||
/// ③ hasClose(纯平仓, 非观察日) → autoSwap=false
|
||||
/// ④ 普通日 → 复制上一日终并计提当日新增
|
||||
/// 注意：hasSwap/hasClose 是交易级标志（整笔合约当天有无事件），
|
||||
/// observationInterval 是腿级（本条利息腿当天是否观察日）——粒度不同，分派依赖此区分。
|
||||
/// 生产分派点：SwapEodPositionService.DealInterests（分派结构接线前为影子规格，见其分派处注释）。
|
||||
/// </summary>
|
||||
public enum InterestEodScenario
|
||||
{
|
||||
ManualSwap, // ① 手工互换：压制观察日自动结息
|
||||
AutoSettleWithClose, // ② 观察日 + 当日平仓 (autoSwap=true)
|
||||
AutoSettle, // ② 观察日 + 当日无平仓
|
||||
CloseOnly, // ③ 非观察日 + 当日平仓 (autoSwap=false)
|
||||
RollForward, // ④ 普通日滚动
|
||||
}
|
||||
|
||||
public static class InterestEodScenarioDispatch
|
||||
{
|
||||
/// <summary>三分量布尔 → 场景（8 组合表驱动见 InterestEodScenarioDispatchTest）。</summary>
|
||||
public static InterestEodScenario ResolveInterestScenario(bool hasInterval, bool hasSwap, bool hasClose)
|
||||
{
|
||||
if (hasSwap)
|
||||
return InterestEodScenario.ManualSwap;
|
||||
if (hasInterval)
|
||||
return hasClose ? InterestEodScenario.AutoSettleWithClose : InterestEodScenario.AutoSettle;
|
||||
if (hasClose)
|
||||
return InterestEodScenario.CloseOnly;
|
||||
return InterestEodScenario.RollForward;
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 查找利息腿在指定结算日的观察日信息（SwapIntervalList 中 Date==settleDate 且 Settlement==1 的记录）。
|
||||
/// 观察日即自动结息触发日；返回 null 表示当日非观察日。分派见 ResolveInterestScenario。
|
||||
/// </summary>
|
||||
public static IntervalModel FindObservationInterval(swap_position interest, DateTime settleDate)
|
||||
{
|
||||
return interest.SwapIntervalList.FirstOrDefault(x => x.Date == settleDate && x.Settlement == 1);
|
||||
}
|
||||
}
|
||||
@@ -1,10 +0,0 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>现金保证金：余额 = 现金余额。</summary>
|
||||
public sealed class CashMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Cash;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
@@ -1,10 +0,0 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>授信保证：余额 = 已用授信额度。</summary>
|
||||
public sealed class CreditMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Credit;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
@@ -1,10 +0,0 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>担保品：余额 = 担保品市值。</summary>
|
||||
public sealed class GuaranteeMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Guarantee;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
Some files were not shown because too many files have changed in this diff Show More
Reference in New Issue
Block a user