test(accrual): 新增同日双次部分平仓字符化测试 + EOD基数快照replay诊断
- SwapUnwindSameDayDoublePartialTest: 内存Stub驱动同日两次部分平仓(30%/50%), 验证基数线性累加(0.3N+0.35N=0.65N),推翻"基数不滚动"假设;缺口仅在 调用方是否传陈旧notional,已文档化 - GLMS20260805ClosePercentDiffDiagnoseTest: 从Resources快照反序列化离线重跑 EOD基数诊断,去DB化;无快照Inconclusive,保留Assert.Fail作8/5 bug护栏
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hjhan
@@ -96,6 +96,97 @@ namespace YLErp.Modules.SwapModule
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#endregion
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#region 1.5) 离线回放：从已录快照重跑 EOD 基数诊断（不连库）
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/// <summary>
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/// 去 DB 化回放：从 <see cref="Record_RealSnapshot"/> 落盘的 snapshot_*.json 反序列化
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/// eod_swap_position / swap_position，离线重跑「EOD 预付金基数是否=初始本金」诊断。
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///
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/// 目的：原 Diagnose_100vs40_InterestDiff 直接连 96 库跑 GetUnwindInterests，
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/// 依赖数据库可用性、且每次重跑都重新查库。本方法把「一次录制、内存多次回放」
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/// 落地——录制一次（连库）后，后续诊断完全在内存完成，确定性、可重复、不依赖库。
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///
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/// 语义保持为 bug 护栏：若快照录制时 EOD 基数用了初始本金而非实时剩余，本测试
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/// 仍会 Assert.Fail（不掩盖生产 bug）。录制一份「修复后」的快照即可转绿。
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/// 无快照时 Inconclusive（须先连库跑一次 Record_RealSnapshot）。
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/// </summary>
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[TestMethod]
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[TestCategory("DbDiagnose")]
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public void Replay_100vs40_FromSnapshot()
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{
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var dir = Path.Combine(AppDomain.CurrentDomain.BaseDirectory, "Resources", "DbDiagnose", "GLMS20260805");
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if (!Directory.Exists(dir))
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{
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Assert.Inconclusive($"未找到快照目录 {dir}，请先连库跑一次 Record_RealSnapshot 录制真实数据快照");
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return;
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}
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var files = Directory.GetFiles(dir, "snapshot_*.json").OrderByDescending(f => f).ToArray();
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if (files.Length == 0)
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{
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Assert.Inconclusive($"目录 {dir} 下无 snapshot_*.json，请先连库跑一次 Record_RealSnapshot");
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return;
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}
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var snapshotPath = files[0];
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Console.WriteLine($"✅ 载入快照(离线回放): {snapshotPath}");
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var snapshot = JObject.Parse(File.ReadAllText(snapshotPath));
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var tradeNumber = snapshot.Value<string>("TradeNumber");
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Console.WriteLine($"===== 离线回放 交易 {tradeNumber} =====");
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var eodPrepay = JsonConvert.DeserializeObject<List<eod_swap_position>>(snapshot["EodPositions"].ToString())
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.Where(e => !e.Invalid
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&& (e.InterestMode == (int)InterestModeEnum.初始预付金
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|| e.InterestMode == (int)InterestModeEnum.追加预付金))
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.OrderBy(e => e.ValueDate).ThenBy(e => e.PositionId).ToList();
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var origPrepay = JsonConvert.DeserializeObject<List<swap_position>>(snapshot["Positions"].ToString())
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.Where(p => !p.Invalid && p.IsInitial
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&& (p.InterestMode == (int)InterestModeEnum.初始预付金 || p.InterestMode == (int)InterestModeEnum.追加预付金)).ToList();
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var realPrepay = JsonConvert.DeserializeObject<List<swap_position>>(snapshot["Positions"].ToString())
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.Where(p => !p.Invalid && !p.IsInitial
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&& (p.InterestMode == (int)InterestModeEnum.初始预付金 || p.InterestMode == (int)InterestModeEnum.追加预付金)).ToList();
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bool bugDetected = false;
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if (eodPrepay.Count == 0)
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{
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Console.WriteLine(" （快照无预付金腿 EOD 记录 → 无可诊断的基数 bug）");
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}
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else
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{
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Console.WriteLine($" {"ValueDate",-12}{"PosId",-8}{"Mode",-6}{"TdInterestPrincipal",-20}{"InterestProfitSum",-20}");
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foreach (var e in eodPrepay)
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{
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Console.WriteLine($" {e.ValueDate:yyyy-MM-dd} {e.PositionId,-8}{e.InterestMode,-6}{e.TdInterestPrincipal,-20}{e.InterestProfitSum,-20}");
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}
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Console.WriteLine("\n ---- 预付金本金基数三方对比（离线）----");
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foreach (var orig in origPrepay)
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{
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var real = realPrepay.FirstOrDefault(r => r.PositionId == orig.id);
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var latestEod = eodPrepay.Where(e => e.PositionId == orig.id).OrderByDescending(e => e.ValueDate).FirstOrDefault();
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var realFix = real?.InterestPrincipalFix ?? 0;
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var eodTd = latestEod?.TdInterestPrincipal ?? 0;
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Console.WriteLine($" PosId={orig.id} origFix(初始)={orig.InterestPrincipalFix} realFix(剩余)={realFix} EOD.TdInterestPrincipal(最新)={eodTd}");
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bool eodMatchesOrig = Math.Abs((double)(eodTd - orig.InterestPrincipalFix)) < 0.01;
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bool eodMatchesReal = Math.Abs((double)(eodTd - realFix)) < 0.01;
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if (eodMatchesOrig && !eodMatchesReal && orig.InterestPrincipalFix != realFix)
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{
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bugDetected = true;
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Console.WriteLine($" ⚠⚠ EOD 基数=初始本金（≠剩余）→ 坐实：日终用了初始预付金本金而非实时剩余，后续利息计算基数错误！");
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}
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}
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}
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// bug 护栏：快照若录制到基数 bug，离线回放仍须红，不掩盖生产事故。
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// 修复生产并重新录制快照后，此断言自然转绿。
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Assert.IsFalse(bugDetected,
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"离线回放复现 8/5 基数 bug：EOD 预付金基数用了初始本金而非实时剩余。需先修复生产、再录制新快照让本测试转绿。");
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}
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#endregion
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#region 2) 诊断：100% vs 40% 利息差异根因定位（连库跑）
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[TestMethod]
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@@ -0,0 +1,152 @@
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using Newtonsoft.Json;
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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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{
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/// <summary>
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/// 【同日多次部分平仓 · unwind 基数滚动表征测试】
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/// ============================================================================
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/// 背景：unwind 计息基数公式 basis = priorNotional + notional - baseNotional
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/// (FundingLegAccrual / CalcDailyCompoundInterestByEod 同源)，其中
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/// - priorNotional = 上一日终归档 eod_swap_position.TdInterestPrincipal
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/// - baseNotional = orginPv = ResolveUnwindPreviousNotional(lastEod)（上一日终浮动端名义本金）
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/// - notional = 当前持仓名义本金（posiNotionalValue，来自实时持仓）
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/// 既有测试（AS_* / SwapUnwindPrepay*Tdd）全是「单事件」场景，没有覆盖
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/// 「同一天第 2 次部分平仓」：第 1 次平仓后持仓已缩减，第 2 次平仓传入的
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/// notional 应是缩减后的实时值。本文件用内存对象驱动真实 GetInterests 两次，
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/// 定性验证「同日多次部分平仓」的应返还本金/计息基数是否按线性拆分。
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///
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/// 建模：标的期初全价腿(mode=9)，初始名义本金 N=1,000,000；上一日终归档
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/// eod.TdInterestPrincipal=N、PosiNotionalValue=N（lastEod）。
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/// 第1次平仓 30%（closePercent=0.3，传入 notional=N）
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/// 第2次平仓剩余 50%（closePercent=0.5，传入 notional=0.7N=实时缩减后）
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/// 预期（领域线性）：IP1=0.3N、IP2=0.5×0.7N=0.35N，合计 0.65N。
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/// 若公式在 notional 正确传入时仍非线性 → 暴露 unwind 基数滚动缺陷。
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/// 注：本测试同时是「前置条件护栏」——它证明"只要调用方传入实时缩减后的
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/// notional，公式即线性正确"；若生产在第2次平仓时传入的是未缩减的陈旧 notional，
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/// 则结果会偏离，需另查调用方（GetUnwindInterests 的 notional 来源）。
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/// ============================================================================
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/// </summary>
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[TestClass]
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public class SwapUnwindSameDayDoublePartialTest
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{
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private sealed class StubSwapDealService : SwapDealService
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{
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public StubSwapDealService(OptUserInfo optUser) : base(optUser) { }
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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rate = 0;
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return false; // 标的期初全价腿无浮动标的，不查库
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}
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}
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private const decimal N = 1_000_000m; // 初始名义本金（标的期初全价维度）
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 8, 1);
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private static readonly DateTime LastEodDate = new(2026, 8, 4);
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private static readonly DateTime UnwindDate = new(2026, 8, 5);
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private SwapDealService _svc;
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[TestInitialize]
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public void Init() => _svc = new StubSwapDealService(new OptUserInfo(0, nameof(SwapUnwindSameDayDoublePartialTest), OptUserFrom.UnitTest));
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private static trade MakeTrade()
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10", // 算头不算尾
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SettlementRules = 0
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})
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};
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return new trade
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{
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id = 1, TradeNumber = "UT-SAMEDAY-2UNWIND", ClientId = 999997,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = new DateTime(2027, 8, 1), TradeStatus = "确认成交", ValidState = "Valid",
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StockEqvNotional = (double)N, Notional = (double)N,
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trade_extend = extend
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};
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}
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/// <summary>标的期初全价腿(mode=9)，单利、重置周期1天（无重置日分支，隔离基数滚动行为）。</summary>
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private static swap_position MakePosition(decimal posiNotionalValue)
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = 0.01m, InterestPrincipalFix = 0m,
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PosiStartDate = StartDate, PosiMatuirityDate = new DateTime(2027, 8, 1),
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 1,
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interest_rule = 0, FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]",
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PosiNotionalValue = posiNotionalValue
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};
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}
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/// <summary>上一日终归档：basis 锚点。TdInterestPrincipal=N、PosiNotionalValue=N（lastEod 尚未缩减）。</summary>
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private static List<eod_swap_position> MakeLastEod()
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{
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return new List<eod_swap_position>
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{
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new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 1001,
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ValueDate = LastEodDate,
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TdInterestPrincipal = N,
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PosiNotionalValue = N,
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InterestProfitSum = 0m, FloatRate = 0m
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}
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};
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}
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/// <summary>
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/// 驱动一次盘中平仓（与前端平仓页相同路径，仅用内存对象、不查库）。
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/// <paramref name="currentNotional"/> = 本次平仓时实时持仓名义本金；
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/// <paramref name="closePercent"/> = 占剩余比例（前端 ToRemainingClosePercent 转换后的值）。
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/// orginPv 取 lastEod 名义本金 N（与 GetUnwindInterests 真实传参 ResolveUnwindPreviousNotional(lastEod) 一致）。
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/// </summary>
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private swap_flow_event CalcUnwind(decimal currentNotional, decimal closePercent)
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{
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var td = MakeTrade();
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var position = MakePosition(currentNotional);
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var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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MakeLastEod(), new List<swap_position> { position },
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currentNotional, currentNotional, currentNotional, currentNotional * closePercent, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, N, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "标的期初全价腿应生成 1 条 flow_event");
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return interests[0];
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}
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[TestMethod]
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public void 同日两次部分平仓_应返还本金应线性拆分且合计等于65pct()
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{
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// 第1次：平仓 30%（持仓仍满 N）
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var fe1 = CalcUnwind(N, 0.3m);
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// 第2次：同日再平剩余 50%（持仓已缩减为 0.7N，传入实时 notional）
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var fe2 = CalcUnwind(0.7m * N, 0.5m);
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Console.WriteLine($"[表征] 第1次(30%) InterestPrincipal={fe1.InterestPrincipal} InterestAmount={fe1.InterestAmount}");
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Console.WriteLine($"[表征] 第2次(剩余50%) InterestPrincipal={fe2.InterestPrincipal} InterestAmount={fe2.InterestAmount}");
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Console.WriteLine($"[表征] 合计 InterestPrincipal={fe1.InterestPrincipal + fe2.InterestPrincipal} (期望=0.65N={(0.65m * N)})");
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// 领域预期（线性）：第1次返 0.3N，第2次返 0.5×0.7N=0.35N，合计 0.65N
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Assert.AreEqual(0.3m * N, fe1.InterestPrincipal,
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"第1次平仓30%: 应返还本金应=0.3N（线性）");
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Assert.AreEqual(0.35m * N, fe2.InterestPrincipal,
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"第2次平仓剩余50%: 应返还本金应=0.5×0.7N=0.35N（基于实时缩减后的 notional，线性）");
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Assert.AreEqual(0.65m * N, fe1.InterestPrincipal + fe2.InterestPrincipal,
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"同日两次部分平仓合计应返还本金应=0.65N（线性拆分，无重复/遗漏）");
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}
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}
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}
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