feat(accrual): 新增 AccrueSimplePeriod + 影子测试
第2步迁移: CalcDailySimpleInterest（盘中单利多日）。 新增纯函数 AccrueSimplePeriod: - 单利特征: 计息本金恒定(差分 = priorAccrualPrincipal + positionPrincipal - originalPv) - 按重置日分段, 每段用 AccrualDays 算天数×日利息(无逐日循环) - 续接 priorValueDate 之后的日期 修复: SwapInterest.Round 是 private, 新方法改用 Math.Round。 修复: IReadOnlyList 无 IndexOf, 改用 for 循环索引。 影子测试(2个,全过): - 固定利率无归档: 旧新一致(差分本金=0,利息=0,符合旧逻辑) - 有归档续接+部分平仓50%: 旧新一致 验证: 编译0错误, 全量517测试7失败(基线一致)。
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hjhan
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using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Newtonsoft.Json;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Derivatives.Interest;
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namespace UnitTestProject.Modules.SwapModule.Accrual
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{
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/// <summary>
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/// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs FundingLegAccrual.AccrueSimplePeriod（新分段纯函数）。
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/// </summary>
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[TestClass]
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public class SimplePeriodShadowTest
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{
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private const decimal Notional = 100_000_000m;
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private const decimal Spread = 0.0025m;
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 4, 21);
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private static readonly DateTime EndDate = new(2026, 5, 11); // 21天, 7天周期→重置日 4/28, 5/5
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private static trade CreateTrade()
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{
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return new trade
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{
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id = 1, TradeNumber = "UT-SIMPLE-SHADOW", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
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trade_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, InterestCalcMode = "10", SettlementRules = 0
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})
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}
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};
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}
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private static swap_position CreatePosition()
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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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 = Spread,
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InterestPrincipalFix = Notional,
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PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
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IsInitial = true, Invalid = false,
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InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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}
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private sealed class StubSvc : SwapDealService
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{
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public StubSvc() : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest)) { }
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}
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/// <summary>
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/// 固定利率（无FR007）算头不算尾，全平，无历史归档。
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/// </summary>
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[TestMethod]
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public void 影子_固定利率_无归档_旧新一致()
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{
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var td = CreateTrade();
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var position = CreatePosition();
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var flowEvent = new swap_flow_event { InterestRate = Spread };
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var preEod = new eod_swap_position { id = 0, TdInterestPrincipal = 0, InterestProfitSum = 0 };
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// 旧方法
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
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AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);
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// 新方法：固定利率全段相同
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// 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
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var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
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var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0
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var result = FundingLegAccrual.AccrueSimplePeriod(
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priorUnrealized: 0m,
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accrualPrincipal: 0m, // 差分=0(无归档时 preEod.TdInterestPrincipal=0)
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closeRatio: 1m,
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segmentRates: segRates,
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startDate: StartDate,
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endDate: EndDate,
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priorValueDate: DateTime.MinValue,
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boundary: AccrualBoundary.StartOnly,
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annualDays: AnnualDays,
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isAnnualized: true);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
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Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
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}
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/// <summary>
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/// 有历史归档（preEod.id != 0），续接上一日终。
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/// </summary>
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[TestMethod]
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public void 影子_有归档_续接_旧新一致()
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{
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var position = CreatePosition();
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var preEodDate = new DateTime(2026, 5, 4); // 上一日终 = 第14天
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var preEod = new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 1001,
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ValueDate = preEodDate,
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TdInterestPrincipal = Notional,
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InterestProfitSum = 200_000m,
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PosiNotionalValue = Notional, FloatRate = 0m
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};
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var flowEvent = new swap_flow_event { InterestRate = Spread };
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// 旧方法
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
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AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);
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// 新方法
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// 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
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var accrualPrincipal = Notional + Notional - Notional;
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var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
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var result = FundingLegAccrual.AccrueSimplePeriod(
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priorUnrealized: 200_000m * 0.5m, // InterestProfitSum × closePercent
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accrualPrincipal: accrualPrincipal,
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closeRatio: 0.5m,
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segmentRates: segRates,
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startDate: StartDate,
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endDate: EndDate,
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priorValueDate: preEodDate,
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boundary: AccrualBoundary.StartOnly,
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annualDays: AnnualDays,
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isAnnualized: true);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
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Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
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}
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}
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}
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