test(swap): 增加 GLMS-20260703-0002 平仓利息复现用例(真实FR007+真实函数)
- 调用系统 GetInterests 真实路径(复利/单利两条), 用截图中的真实 FR007 定盘值 在 07-06/07-13 两个重置点真实取数, 复现系统值 -13,667.85 与业务实际值 -13,668.02 - 断言两者差异 0.17 元来自复利第二段本金并入 - 仅保留调用系统函数的断言, 不内嵌手算, 验算见 GLMS20260703_平仓利息验算.xlsx
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hjhan
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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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/// GLMS-20260703-0002 债券TRS 平仓利息差异 - 仅调用系统函数复现
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/// ============================================================================
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/// 客户测试环境这笔债券TRS（截图确认）：
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/// 成交/持仓名义本金 = 279,486,108.21
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/// 起息日(StartDate=SettleDate) = 2026-07-06，平仓日(UnwindDate) = 2026-07-20
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/// 年化天数 = 365，计息模式 = 算头不算尾("10")，计息天数 = 14 天
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/// 利率 = FR007-1.55%（浮动利率腿），重置频率 = 7 天，interest_rule = 0（当前营业日）
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/// 截图 FR007：07-06=1.42%, 07-13=1.425%（重置点取当前营业日）
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///
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/// 观察结果：
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/// 系统计算的平仓盈亏（利息端）= -13,667.85
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/// 实际应得平仓盈亏（利息端）= -13,668.02
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/// 差异 = 0.17 元
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///
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/// 代码走查结论（SwapDealService）：
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/// 平仓路径：GetInterests → CalcSwapDealInterest → CalcUnwindInterest
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/// → InitSwapDealInterest → CalcDailyCompoundInterest / CalcDailySimpleInterest
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/// FR007 取数规则：只在"重置日"(i % interest_rest_days == 0) 取一次 FR007，非重置日沿用上一重置日。
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/// 本例 07-06~07-20 跨 2 个重置周期，取 2 次 FR007：
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/// - 第一段(07-06~07-12)：取 07-06 当前营业日 FR007 = 1.42%
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/// - 第二段(07-13~07-19)：取 07-13 当前营业日 FR007 = 1.425%
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/// 差异根因：系统配置走 <复利>，导致 07-13 重置日把前 7 天累计利息并入本金，
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/// 第二段计息本金降为 279,479,140.20，最终利息绝对值比单利少 0.17 元。
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/// 若按业务口径走 <单利>，则本金全程保持 279,486,108.21，利息 = -13,668.02。
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///
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/// 本测试不再做任何手工计算（手算/验算见同目录 Excel：GLMS20260703_平仓利息验算.xlsx），
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/// 只做：构造输入 → 调用系统真实函数 GetInterests → 与截图已知结果断言。
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/// ============================================================================
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[TestClass]
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public class GLMS20260703CloseInterestTest
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{
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#region 内部类：固定利率模拟服务（不触碰 DB，但按日期返回 FR007 截图值）
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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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/// <summary>单元测试记录：生产代码每次调用 TryGetFloatRate 的日期与结果。</summary>
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public readonly List<(DateTime RequestDate, double Rate)> FloatRateCalls = new();
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/// <summary>
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/// 按截图 eod_commodity_future_price.ValueDate 返回 FR007 ReferencePrice（小数）。
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/// 生产环境由 TryGetFloatRate 去行情/DB 取数；单元测试用截图硬编码快照替代。
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/// </summary>
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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rate = 0d;
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if (underlyingCode != "FR007") return false;
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var fr007 = new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 7, 3)] = 0.0143,
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[new DateTime(2026, 7, 6)] = 0.0142,
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[new DateTime(2026, 7, 7)] = 0.0143,
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[new DateTime(2026, 7, 8)] = 0.0143,
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[new DateTime(2026, 7, 9)] = 0.0143,
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[new DateTime(2026, 7, 10)] = 0.0142,
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[new DateTime(2026, 7, 13)] = 0.01425,
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[new DateTime(2026, 7, 14)] = 0.0143,
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[new DateTime(2026, 7, 15)] = 0.0144,
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[new DateTime(2026, 7, 16)] = 0.0144,
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[new DateTime(2026, 7, 17)] = 0.0144,
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[new DateTime(2026, 7, 20)] = 0.0143,
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};
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if (fr007.TryGetValue(valueDate.Date, out rate))
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{
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FloatRateCalls.Add((valueDate.Date, rate));
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return true;
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}
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// 若请求日期不在硬编码表（如 interest_rule=-1 调到周末），返回最近有值日的 FR007
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var nearest = fr007.Keys.OrderByDescending(d => d)
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.FirstOrDefault(d => d <= valueDate.Date);
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if (nearest != default)
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{
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rate = fr007[nearest];
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FloatRateCalls.Add((valueDate.Date, rate));
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return true;
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}
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return false;
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}
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}
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#endregion
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#region 测试常量（来自客户测试环境截图 GLMS-20260703-0002）
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/// <summary>成交/持仓名义本金</summary>
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private const decimal Notional = 279486108.21m;
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/// <summary>年化天数</summary>
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private const int AnnualDays = 365;
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/// <summary>固定利差 -1.55%（FR007-1.55%）</summary>
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private const decimal Spread = -0.0155m;
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/// <summary>起息日（td.StartDate = SettleDate，不是成交日）</summary>
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private static readonly DateTime StartDate = new(2026, 7, 6);
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/// <summary>成交日（td.TradeDate，仅作对照；不参与计息起点）</summary>
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private static readonly DateTime TradeDate = new(2026, 7, 3);
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/// <summary>平仓日（valueDate / unwindDate）</summary>
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private static readonly DateTime CloseDate = new(2026, 7, 20);
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/// <summary>系统实际计算的利息绝对值</summary>
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private const decimal SystemInterestAmount = 13667.85m;
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/// <summary>实际应得利息绝对值</summary>
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private const decimal ActualInterestAmount = 13668.02m;
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#endregion
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private SwapDealService _service;
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[TestInitialize]
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public void Init()
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{
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_service = new StubSwapDealService(
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new OptUserInfo(0, nameof(GLMS20260703CloseInterestTest), OptUserFrom.UnitTest));
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}
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#region 测试数据构建器（仅构造输入，不计算利息）
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private static trade CreateTrade()
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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,
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TradeNumber = "GLMS-20260703-0002",
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ClientId = 999998,
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TradeType = "债券TRS",
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TradeDate = TradeDate,
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StartDate = StartDate,
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ExerciseDate = CloseDate.AddDays(1), // 必须 > valueDate，否则 InitInterestDate 会多减一天
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TradeStatus = "已平仓",
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ValidState = "Valid",
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trade_extend = extend
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};
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}
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/// <summary>
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/// 构造债券TRS浮动利率本金腿。FloatRateUnderlyingCode=FR007，利率=FR007-1.55%。
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/// 仅设置输入字段；利息由系统函数 CalcDailyCompoundInterest / CalcDailySimpleInterest 计算。
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/// </summary>
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private static swap_position CreateBondPosition(InterestTypeEnum interestType, int interestRule = 0)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel { Date = CloseDate, Rate = Spread, Settlement = 0 }
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};
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return new swap_position
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{
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id = 1001,
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SwapTradeId = 1,
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PositionType = (int)PositionTypeFlag.Unknown,
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// 债券本金腿：标的期初全价（closePrincipal = posiNotional × closePercent）
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InterestDirection = (int)SwapDirectionEnum.支付,
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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,
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PosiMatuirityDate = CloseDate,
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IsInitial = true,
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Invalid = false,
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InterestType = (int)interestType, // 复利 or 单利
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IsAnnualized = true,
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interest_rest_days = 7, // 7天重置
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interest_rule = interestRule, // 0=当前营业日, -1=前一营业日
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FloatRateUnderlyingCode = "FR007", // 真实浮动利率腿
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FloatRate = 0m,
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PosiNotionalValue = Notional,
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UnderlyingCode = "511160.SH",
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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/// <summary>
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/// 驱动真实平仓利息路径（settment=false → CalcUnwindInterest → InitSwapDealInterest
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/// → CalcDailyCompoundInterest / CalcDailySimpleInterest）。
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/// eodPositions 传空 → 等效"无前日日终快照"，日循环从起始日重算。
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/// </summary>
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private swap_flow_event CalcCloseInterest(InterestTypeEnum interestType, int interestRule = 0)
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{
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var td = CreateTrade();
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var position = CreateBondPosition(interestType, interestRule);
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// 每次计算前清空取数记录，避免同一测试中多次调用互相污染
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((StubSwapDealService)_service).FloatRateCalls.Clear();
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var interests = _service.GetInterests(
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td, td.trade_extend,
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CloseDate, CloseDate, // valueDate / unwindDate
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new List<eod_swap_position>(), // eodPositions（空）
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new List<swap_position> { position },
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Notional, Notional, Notional, Notional, // posiNotional / long / short / closePosiNotional
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1m, // closePercent
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(int)SwapEventTypeEnum.平仓,
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false, false, 0m, Notional, // tdClose / needPrice / grossPrice / orginPv
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false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count);
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return interests[0];
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}
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#endregion
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#region 复现用例（仅调用系统函数 + 对照已知结果断言）
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/// <summary>
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/// [GLMS20260703_REPRO_001] 系统路径：InterestType=复利 + 真实FR007 → 复现系统值 -13,667.85
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/// 与生产代码完全一致：7天重置，重置日取当前营业日 FR007，利息并入本金。
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/// </summary>
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[TestMethod]
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public void Reproduce_SystemValue_13667_85_WithCompoundInterest()
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{
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var interest = CalcCloseInterest(InterestTypeEnum.复利);
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var amount2 = Math.Round(interest.InterestAmount, 2, MidpointRounding.AwayFromZero);
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var closePnl2 = Math.Round(interest.InterestClosePnL, 2, MidpointRounding.AwayFromZero);
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Console.WriteLine("系统路径（复利）：");
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Console.WriteLine($" 利息金额(2位显示)={amount2}");
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Console.WriteLine($" 平仓盈亏(利息端,2位)={closePnl2}");
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// 截图给的是"平仓盈亏（利息端）"的绝对值口径，故比较绝对值。
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Assert.AreEqual(SystemInterestAmount, Math.Abs(amount2),
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$"系统复利路径应得到利息绝对值 {SystemInterestAmount}，实际 {amount2}");
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Assert.AreEqual(SystemInterestAmount, Math.Abs(closePnl2),
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$"支付方向平仓盈亏绝对值应为 {SystemInterestAmount}，实际 {closePnl2}");
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}
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/// <summary>
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/// [GLMS20260703_REPRO_002] 实际口径：InterestType=单利 + 真实FR007 → 复现实际值 -13,668.02
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/// 同一 position、同一 FR007、同一计息天数，仅把 InterestType 改为单利，
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/// 利息不并入本金，全程用名义本金 279,486,108.21 计息。
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/// </summary>
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[TestMethod]
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public void Reproduce_ActualValue_13668_02_WithSimpleInterest()
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{
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var interest = CalcCloseInterest(InterestTypeEnum.单利);
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var amount2 = Math.Round(interest.InterestAmount, 2, MidpointRounding.AwayFromZero);
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var closePnl2 = Math.Round(interest.InterestClosePnL, 2, MidpointRounding.AwayFromZero);
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Console.WriteLine("实际口径（单利）：");
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Console.WriteLine($" 利息金额(2位显示)={amount2}");
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Console.WriteLine($" 平仓盈亏(利息端,2位)={closePnl2}");
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Assert.AreEqual(ActualInterestAmount, Math.Abs(amount2),
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$"单利路径应得到利息绝对值 {ActualInterestAmount}，实际 {amount2}");
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Assert.AreEqual(ActualInterestAmount, Math.Abs(closePnl2),
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$"支付方向平仓盈亏绝对值应为 {ActualInterestAmount}，实际 {closePnl2}");
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}
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/// <summary>
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/// [GLMS20260703_REPRO_003] 差异定位：0.17 元 = 复利 vs 单利
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/// 同一笔交易、同一 FR007 取值、同一计息天数，唯一区别是 InterestType，
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/// 系统（复利）比实际（单利）少 0.17 元。
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/// </summary>
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[TestMethod]
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public void PrecisionGap_Is_0_17_ComplexVsSimple()
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{
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var compound = CalcCloseInterest(InterestTypeEnum.复利).InterestAmount;
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var simple = CalcCloseInterest(InterestTypeEnum.单利).InterestAmount;
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// 两者都是负数（支付方向），取绝对值差异
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var gap = Math.Round(Math.Abs(simple) - Math.Abs(compound), 2, MidpointRounding.AwayFromZero);
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Console.WriteLine($"复利 |利息|={Math.Abs(compound):F11}");
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Console.WriteLine($"单利 |利息|={Math.Abs(simple):F11}");
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Console.WriteLine($"差异(2位)={gap}");
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Assert.AreEqual(0.17m, gap, "单利与复利的利息绝对值差异应为 0.17 元");
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}
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/// <summary>
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/// [GLMS20260703_REPRO_004] 验证真实函数确实在 07-06、07-13 两个重置点取了 FR007
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/// （不手算利息，仅检查系统函数实际发起了哪几次取数）。
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/// </summary>
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[TestMethod]
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public void Trace_FloatRate_Taken_Dates()
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{
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var fe = CalcCloseInterest(InterestTypeEnum.复利, interestRule: 0);
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var calls = ((StubSwapDealService)_service).FloatRateCalls;
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Console.WriteLine("TryGetFloatRate 实际调用记录（按调用顺序）：");
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foreach (var (date, rate) in calls)
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{
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Console.WriteLine($" 请求日期={date:yyyy-MM-dd} 返回 FR007={rate:P4}");
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}
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Assert.IsTrue(calls.Any(c => c.RequestDate == new DateTime(2026, 7, 6)), "应取 07-06 的 FR007");
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Assert.IsTrue(calls.Any(c => c.RequestDate == new DateTime(2026, 7, 13)), "应取 07-13 的 FR007");
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Assert.AreEqual(SystemInterestAmount, Math.Abs(Math.Round(fe.InterestAmount, 2, MidpointRounding.AwayFromZero)),
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"interest_rule=0 复利应复现系统值 -13,667.85");
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}
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#endregion
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}
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}
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