fix: 兼容TRS日终推送历史利息腿类别为空

2026-08-27 13:16:01 +08:00
parent 679117f82a
commit 877cf9dc4f
2 changed files with 99 additions and 8 deletions
@@ -142,6 +142,88 @@ namespace YLErp.Modules.EodModuleTests
            Assert.AreEqual(0m, item.InitMarginLoss);
        }

+        [TestMethod]
+        public void BuildContract_历史类别为空_仍推送全部TRS合约()
+        {
+            var valueDate = new DateTime(2026, 2, 10);
+            var eodSwap = new eod_swap { ValueDate = valueDate, SwapTradeId = 1645, SwapTradeNo = "ZSZQ-IS-202602090001" };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 1645, PositionId = 33306, UnderlyingCode = "220208.IB", PositionType = 1 },
+                new() { SwapTradeId = 1645, PositionId = 33307, InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = 0.001m, InterestDirection = 1 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [33306] = new() { id = 33306, category_tag = null },
+                [33307] = new() { id = 33307, category_tag = null }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [1645] = new() { id = 1645, UnderlyingCode = "220208.IB" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+            Assert.AreEqual(1, item.FloatingDirection);
+        }
+
+        [TestMethod]
+        public void BuildContract_增强收益腿不参与固定利率取值()
+        {
+            var eodSwap = new eod_swap { ValueDate = new DateTime(2026, 8, 24), SwapTradeId = 7 };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 7, PositionId = 101, UnderlyingCode = "600000.SH", PositionType = 2 },
+                new() { SwapTradeId = 7, PositionId = 102, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0123m, InterestDirection = 1 },
+                new() { SwapTradeId = 7, PositionId = 103, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0999m, InterestDirection = 2 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [101] = new() { id = 101, category_tag = null },
+                [102] = new() { id = 102, category_tag = "互换利率" },
+                [103] = new() { id = 103, category_tag = "增强收益" }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [7] = new() { id = 7, UnderlyingCode = "600000.SH" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0.0123m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+            Assert.AreEqual(2, item.FloatingDirection);
+        }
+
+        [TestMethod]
+        public void BuildContract_多条互换利率腿_取第一条()
+        {
+            var eodSwap = new eod_swap { ValueDate = new DateTime(2026, 8, 24), SwapTradeId = 7 };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 7, PositionId = 101, UnderlyingCode = "600000.SH", PositionType = 1 },
+                new() { SwapTradeId = 7, PositionId = 102, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0123m, InterestDirection = 1 },
+                new() { SwapTradeId = 7, PositionId = 103, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0456m, InterestDirection = 2 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [101] = new() { id = 101, category_tag = null },
+                [102] = new() { id = 102, category_tag = "互换利率" },
+                [103] = new() { id = 103, category_tag = "互换利率" }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [7] = new() { id = 7, UnderlyingCode = "600000.SH" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0.0123m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+        }
+
        private static TestableTrsContractKafkaPushService CreateService(RecordingKafkaProducer producer, DateTime valueDate)
        {
            return new TestableTrsContractKafkaPushService(
@@ -140,7 +140,7 @@ namespace YLErp.Modules.EodModule
                .ToList();
            var positionIds = eodPositions.Select(x => x.PositionId).Distinct().ToList();
            var swapPositions = _dbContext.swap_position
-                .Where(x => positionIds.Contains(x.id) && !x.Invalid && x.category_tag == InterestCategory)
+                .Where(x => positionIds.Contains(x.id) && !x.Invalid)
                .AsNoTracking()
                .ToDictionary(x => x.id);

@@ -167,18 +167,27 @@ namespace YLErp.Modules.EodModule
            }

            var positions = eodPositions.Where(x => x.SwapTradeId == eodSwap.SwapTradeId).ToList();
-            var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode) && swapPositions.ContainsKey(x.PositionId)).ToList();
-            var interest = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
+            var floating = positions.Where(x => !string.IsNullOrWhiteSpace(x.UnderlyingCode)).ToList();
+            var interestCandidates = positions.Where(x => string.IsNullOrWhiteSpace(x.UnderlyingCode)
                && ConsTrade.InterestModels.Contains(x.InterestMode)
                && swapPositions.TryGetValue(x.PositionId, out var swapPosition)
-                && swapPosition.category_tag == InterestCategory).ToList();
+                && (swapPosition.category_tag == InterestCategory || string.IsNullOrWhiteSpace(swapPosition.category_tag)))
+                .ToList();

-            if (floating.Count != 1 || interest.Count != 1)
+            // 互换利率腿优先；同类别多腿按当前查询顺序取第一条。历史类别为空时保留利息方向，
+            // 但 fixedRate 按约定置 0，避免把未标注类别的历史值当作已确认利率。
+            var interest = interestCandidates.FirstOrDefault(x =>
+                swapPositions.TryGetValue(x.PositionId, out var swapPosition)
+                && swapPosition.category_tag == InterestCategory);
+            var isUncategorizedInterest = interest == null && interestCandidates.Count > 0;
+            interest ??= interestCandidates.FirstOrDefault();
+
+            if (floating.Count != 1 || interest == null)
            {
-                throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{interest.Count}");
+                throw new InvalidOperationException($"TRS legs invalid, swapTradeId:{eodSwap.SwapTradeId}, floating:{floating.Count}, interest:{(interest == null ? 0 : 1)}");
            }

-            var interestLeg = interest[0];
+            var interestLeg = interest;
            var floatingLeg = floating[0];
            return new TrsContractSnapshotItem
            {
@@ -193,7 +202,7 @@ namespace YLErp.Modules.EodModule
                Dv01 = eodSwap.dv01 ?? 0,
                StartDate = trade.StartDate?.ToString(DateFormat),
                MaturityDate = trade.ExerciseDate?.ToString(DateFormat),
-                FixedRate = interestLeg.InterestRateDefault,
+                FixedRate = isUncategorizedInterest ? 0 : interestLeg.InterestRateDefault,
                InterestDirection = interestLeg.InterestDirection,
                FloatingDirection = floatingLeg.PositionType,
                InitMarginGain = eodSwap.InitMarginGain,