diff --git a/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs b/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs new file mode 100644 index 00000000..cb588031 --- /dev/null +++ b/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs @@ -0,0 +1,163 @@ +using YLErp.DBModels; +using YLErp.DBModels.Enums; + +namespace YLErp.Modules.SwapModule +{ + /// + /// 端到端:盘中收益互换(DividendIn 由生产方法 GetPreEodDividendSum 真实算出)→ 保存 → EOD, + /// 验证分红【不重复累计】(EOD TdCloseDividend 扣减 DividendIn)且【不丢失】(当日新计进 PosiDividendSum)。 + /// + /// 与 MultiUnwindDividendConservationTest.MU_001 的区别:MU_001 的互换 DividendIn 是测试喂的常量; + /// 本测试的 DividendIn 由生产方法 GetPreEodDividendSum 真实算出(读 EOD 快照),再喂给 EOD—— + /// 覆盖"预览算 DividendIn + EOD 扣减"的完整链路(MU_001 的缺口)。 + /// + [TestClass] + public class DividendEodNoDoubleCountTest + { + private const int SwapTradeId = 9200; + private const long PositionId = 9201; + private const decimal InitialQty = 1000m; + private const decimal DailyRatePerUnit = 0.01m; // 每单位每天 0.01,便于手算 + private static readonly DateTime StartDate = new(2026, 1, 5); + + #region Stubs + + /// SwapDealService stub:暴露 GetPreEodDividendSum,注入 EOD 数据(不连库)。 + private sealed class DealSvcStub : SwapDealService + { + private readonly List _eodSwaps; + private readonly List _eodPositions; + public DealSvcStub(List eodSwaps, List eodPositions) + : base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; } + public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate) + => GetPreEodDividendSum(tradeId, positionId, dealDate); + protected override IQueryable QueryPreEodSwaps(int tradeId) + => _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable(); + protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate) + => _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate); + } + + /// SwapEodPositionService stub:暴露 UpdateEodPosition/CopyEodPosition + 线性 CalcBondPayment。 + private sealed class EodSvcStub : TestableSwapEodPositionService + { + public EodSvcStub() : base(nameof(DividendEodNoDoubleCountTest)) { } + protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio) + { + int days = Math.Max(0, (int)(toDate - fromDate).TotalDays); + return DailyRatePerUnit * days * qty * shortRatio * directionRatio; + } + protected override underlying_manager GetUnderlyingData(string underlyingCode) + => new underlying_manager { ValueAddedTax = 0m }; + protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp) + { vobp = 0m; return 1.00m; } + public eod_swap_position ExecuteUpdateEodPosition(swap_position swapPosition, eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate, List unwindEvents) + => UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents); + public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate) + => CopyEodPosition(eod, null, td, valueDate, preSettleDate); + } + + #endregion + + #region 数据构建 + + private static trade CreateTrade() => new trade + { + id = SwapTradeId, TradeNumber = "UT-DIV-EOD-001", ClientId = 999999, + TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate, + ExerciseDate = new DateTime(2027, 1, 5), TradeStatus = "确认成交", ValidState = "Valid", + StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY", + OriginalStockEqvNotional = (double)(InitialQty * 1.00m) + }; + + private static swap_position CreatePosition() => new swap_position + { + id = PositionId, SwapTradeId = SwapTradeId, + PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long, + UnderlyingCode = "210210.IB", ContractSize = 1m, + PosiQuantity = InitialQty, PosiNotionalValue = InitialQty, + PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m, + PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m, + IsInitial = true, Invalid = false, + PosiTradingFee = 0, PosiTradingFeePending = 0 + }; + + private static eod_swap_position CreateInitialEod() => new eod_swap_position + { + id = 1, SwapTradeId = SwapTradeId, PositionId = PositionId, + ValueDate = StartDate, PosiQuantity = InitialQty, + PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long, + UnderlyingCode = "210210.IB", ContractSize = 1m, + PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m, + PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m, + PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m, + RealizedDividend = 0m, PosiFeePending = 0m, + InterestProfitSum = 0m, Invalid = false + }; + + private static swap_flow_event SwapEvent(decimal dividendIn, DateTime eventDate) => new swap_flow_event + { + SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.互换, + PositionId = PositionId, Quantity = 0m, DividendIn = dividendIn, + MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m, + EventDate = eventDate, PayDate = eventDate, + DataState = (int)SwapFlowDateStateEnum.完成 + }; + + private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg) + => Assert.IsTrue(Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}"); + + #endregion + + /// + /// 盘中收益互换:DividendIn 由 GetPreEodDividendSum 真实算(读 T-1 EOD)→ 保存 → EOD。 + /// 验证:不重复(EOD TdCloseDividend 扣 DividendIn)+ 不丢失(当日新计进 PosiDividendSum)+ 守恒。 + /// + /// 序列(StartDate=1/5,每日 0.01×1000=10): + /// D1=1/6 无事件 Copy:PosiDividendSum = 0 + 10 = 10 + /// D2=1/7 盘中互换:GetPreEodDividendSum(读 D1) → DividendIn=10;保存 swap_event;EOD:新计 10 - 实现 10 → PosiDividendSum=10 + /// 守恒:全程新计(10+10) - 全程实现(10) = 末尾 PosiDividendSum(10) + /// + [TestMethod] + public void 盘中收益互换_DividendIn真实算_保存后EOD_不重复不丢失() + { + var eodSvc = new EodSvcStub(); + var td = CreateTrade(); + var position = CreatePosition(); + var initialEod = CreateInitialEod(); + + // D1=1/6 无事件 EOD + var d1 = new DateTime(2026, 1, 6); + var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate); + AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum(0+1天×10)"); + + // D2=1/7 盘中:DividendIn 由生产方法 GetPreEodDividendSum 真实算(读 D1 EOD,当日 EOD 未生成) + var d2 = new DateTime(2026, 1, 7); + var dealSvc = new DealSvcStub( + new List { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } }, + new List { r1 }); + decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2); + AssertDecimalEqual(10m, dividendIn, 0.01m, "盘中 DividendIn=GetPreEodDividendSum 读 T-1(D1)=10"); + Console.WriteLine($"[盘中预览] DividendIn={dividendIn}(读 T-1 EOD PosiDividendSum={r1.PosiDividendSum})"); + + // 保存互换事件(DividendIn=真实算出的值,模拟界面点收益互换后保存) + var swapEvent = SwapEvent(dividendIn, d2); + + // D2=1/7 EOD(UpdateEodPosition,真实生产递推) + var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List { swapEvent }); + + // 断言:不重复 + 不丢失 + AssertDecimalEqual(10m, r2.TdPosiDividend, 0.01m, "D2 当日新计(1天×10)"); + AssertDecimalEqual(dividendIn, r2.TdCloseDividend, 0.01m, "D2 TdCloseDividend=互换DividendIn(扣减→不重复累计)"); + AssertDecimalEqual(10m, r2.PosiDividendSum, 0.01m, "D2 PosiDividendSum=前日10+新计10-实现10=10(当日新计挂着→不丢失)"); + + // 守恒:全程新计 - 全程实现 = 末尾 PosiDividendSum + decimal totalNew = r1.TdPosiDividend + r2.TdPosiDividend; + decimal totalRealized = r2.TdCloseDividend; + AssertDecimalEqual(r2.PosiDividendSum, totalNew - totalRealized, 0.01m, + $"守恒:末尾 PosiDividendSum({r2.PosiDividendSum}) = 全程新计({totalNew}) - 全程实现({totalRealized})"); + + Console.WriteLine($"[EOD 后] TdPosiDividend={r2.TdPosiDividend} TdCloseDividend={r2.TdCloseDividend} PosiDividendSum={r2.PosiDividendSum}"); + Console.WriteLine($"结论:互换实现 {dividendIn} 被扣减(不重复);当日新计 {r2.TdPosiDividend} 挂 PosiDividendSum(不丢失)"); + } + } +}