feat(eodswapposition): 新增框架合约新口径展示功能
- 在EodPnlCalculator中添加CalculateEodSwapRiskNewFields方法，实现新口径计算逻辑 - 创建EodSwapRiskNewFields和EodSwapRiskNewResponse模型类，支持新的展示字段 - 实现SearchEodSwapNewList查询方法，复用旧查询权限控制并计算新字段 - 添加index=3的新框架合约Tab页面，使用独立查询接口和列配置 - 前端JavaScript中实现colModelGridEodSwapNew列模型，替换旧字段并新增9个字段 - 完善导出功能支持新Tab的标准格式导出，保持与旧口径分离 - 更新测试用例验证新框架合约前端接线正确性
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张名锐
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule;
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/// <summary>
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/// EQD-7084 新“框架合约”Tab 的口径测试。
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/// 纯计算测试不依赖数据库，直接锁定 EodPnlCalculator 的新口径。
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/// </summary>
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[TestClass]
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public class SwapEodPositionRiskNewTabTest
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{
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[TestMethod]
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public void 新口径_普通利息排除保证金_浮动收益剔除费用并保留估值总额()
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{
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var floating = new[]
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{
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// EOD 归一后，费用已经按我方收益视角落库；支付费用为负数。
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FloatingLeg("600000", 1, 100m, 0m, -12m, "普通收益互换")
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};
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var interests = new[]
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{
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InterestLeg(1, (int)InterestModeEnum.固定值, 80m, 0.02m, 0.02m),
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InterestLeg(1, (int)InterestModeEnum.初始预付金, 20m, 0.01m, 0.01m)
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};
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var fields = InvokeCalculation(
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floating,
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interests,
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structureType: "普通收益互换",
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notionalValue: 1_000m,
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startDate: new DateTime(2026, 1, 1),
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maturityDate: new DateTime(2026, 12, 31),
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periodAmount: 5m,
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dividendPayDate: 0);
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Assert.AreEqual(100m, GetDecimal(fields, "FloatingUnrealizedPnl"), 0.0001m,
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"新浮动端待实现收益应排除 PosiFeePending：PosiProfitSum(88) - PosiFeePending(-12) = 100");
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Assert.AreEqual(-12m, GetDecimal(fields, "OpeningClosingFee"), 0.0001m,
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"开平仓费用直接使用 EOD 已归一的 PosiFeePending");
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Assert.AreEqual(80m, GetDecimal(fields, "OrdinaryInterestPnl"), 0.0001m,
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"利息端待实现收益应排除初始/维持保证金腿");
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Assert.AreEqual(-20m, GetDecimal(fields, "MarginInterestAmount"), 0.0001m,
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"保证金利息仍应按保证金腿方向计入估值");
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Assert.AreEqual(153m, GetDecimal(fields, "MaturityNettingValuation"), 0.0001m,
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"估值应保持旧口径：100 - 12 + 80 - 20 + 5 = 153；费用只计一次");
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}
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[TestMethod]
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public void 新口径_当前利率合计使用普通利息腿TdInterestRate_并识别FR007()
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{
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var fr007Leg = InterestLeg(2, (int)InterestModeEnum.合约名义本金规模, 20m, 0.03m, 0.018m);
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fr007Leg.FloatRateUnderlyingCode = "FR007";
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fr007Leg.FloatRate = 0.015m;
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var fields = InvokeCalculation(
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new[] { FloatingLeg("600001", 2, 100m, 0m, 0m, "普通收益互换") },
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new[]
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{
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InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m),
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fr007Leg
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},
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structureType: "普通收益互换",
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notionalValue: 100m,
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startDate: new DateTime(2026, 2, 1),
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maturityDate: new DateTime(2026, 8, 1),
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periodAmount: 0m,
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dividendPayDate: 1);
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Assert.AreEqual(0.0305m, GetDecimal(fields, "InterestRatePrice"), 0.0000001m,
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"利率端价格应为普通利息腿当前 TdInterestRate 合计，而非默认利差合计");
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Assert.AreEqual("FR007", GetString(fields, "InterestBenchmark"));
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}
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[TestMethod]
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public void 新口径_普通利息腿无FR007时基准为固定利率()
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{
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var fields = InvokeCalculation(
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new[] { FloatingLeg("600002", 1, 100m, 0m, 0m, "普通收益互换") },
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new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m) },
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structureType: "普通收益互换",
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notionalValue: 100m,
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startDate: new DateTime(2026, 2, 1),
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maturityDate: new DateTime(2026, 8, 1),
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periodAmount: 0m,
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dividendPayDate: 1);
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Assert.AreEqual("固定利率", GetString(fields, "InterestBenchmark"));
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}
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[TestMethod]
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public void 新口径_债券期初价格按风险页约定放大百分价格_并保留合同字段()
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{
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var fields = InvokeCalculation(
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new[] { FloatingLeg("110000", 1, 99.12m, 0m, 0m, "普通债券类收益互换", "Bond") },
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new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 1m, 0.01m, 0.01m) },
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structureType: "普通债券类收益互换",
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notionalValue: 9_900m,
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startDate: new DateTime(2026, 3, 1),
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maturityDate: new DateTime(2027, 3, 1),
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periodAmount: 0m,
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dividendPayDate: 1);
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Assert.AreEqual(99.12m, GetDecimal(fields, "InitialPrice"), 0.0001m,
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"债券日终 PosiGrossPrice 已由 SetPosiPrice 按风险页口径缩放，新接口不能再次乘 100");
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Assert.AreEqual(9_900m, GetDecimal(fields, "NotionalQuantity"), 0.0001m);
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Assert.AreEqual("多头", GetString(fields, "UnderlyingDirection"));
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Assert.AreEqual("110000", GetString(fields, "UnderlyingCode"));
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Assert.AreEqual("Bond", GetString(fields, "UnderlyingInstrumentType"));
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Assert.AreEqual(new DateTime(2026, 3, 1), GetDate(fields, "ContractStartDate"));
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Assert.AreEqual(new DateTime(2027, 3, 1), GetDate(fields, "ContractMaturityDate"));
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}
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private static object InvokeCalculation(
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IEnumerable<eod_swap_position> floating,
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IEnumerable<eod_swap_position> interests,
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string structureType,
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decimal notionalValue,
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DateTime startDate,
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DateTime maturityDate,
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decimal periodAmount,
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int dividendPayDate)
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{
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return EodPnlCalculator.CalculateEodSwapRiskNewFields(
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floating,
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interests,
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structureType,
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notionalValue,
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startDate,
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maturityDate,
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periodAmount,
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dividendPayDate);
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}
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private static decimal GetDecimal(object fields, string name)
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=> Convert.ToDecimal(fields.GetType().GetProperty(name)!.GetValue(fields));
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private static string GetString(object fields, string name)
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=> (string)fields.GetType().GetProperty(name)!.GetValue(fields)!;
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private static DateTime GetDate(object fields, string name)
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=> (DateTime)fields.GetType().GetProperty(name)!.GetValue(fields)!;
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private static eod_swap_position FloatingLeg(
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string code,
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int positionType,
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decimal mtm,
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decimal dividend,
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decimal fee,
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string structureType,
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string instrumentType = null)
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=> new()
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{
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UnderlyingCode = code,
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UnderlyingInstrumentType = instrumentType ?? structureType,
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PositionType = positionType,
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PosiGrossPrice = mtm,
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PosiMtmPnL = mtm,
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PosiDividendSum = dividend,
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PosiFeePending = fee,
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PosiProfitSum = mtm + dividend + fee,
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PosiNotionalValue = 100m
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};
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private static eod_swap_position InterestLeg(
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int direction,
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int mode,
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decimal profit,
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decimal defaultRate,
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decimal currentRate)
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=> new()
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{
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InterestDirection = direction,
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InterestMode = mode,
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InterestProfitSum = profit,
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InterestRateDefault = defaultRate,
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TdInterestRate = currentRate
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};
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}
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