test(swap): 补非预付金单利腿(标的期初全价)部分平仓回归，实证修复对所有单利腿通用

用户追问修复是否波及非预付金腿。CalcDailySimpleInterest 是所有单利腿 (InterestType=0)的盘中计息通用函数，预付金腿(mode5/6)只是使用者之一。新增非预付金腿(标的期初全价=9，orginPv 走交易名义本金、不对齐 Fix)用例： - 50%%→500,000、10%%→100,000、100%%→1,000,000(N=1,000,000) - buggy 会给 N×closePercent^7，证明非预付金腿此前也中招、修复后统一线性缩放 - 100%% 用例锚定 closePercent=1 时修复前后恒等(零影响于日常计息/全平) SwapUnwindPrepayPrincipalBugTdd 现 12 绿。
2026-07-14 16:45:27 +08:00
parent 83a55dab33
commit 9bf3c4b9c6
1 changed files with 92 additions and 0 deletions
@@ -317,6 +317,98 @@ namespace YLErp.Modules.SwapModule
                "100% 平仓: 应返还本金应=Fix=9,180,000（closePercent=1 时指数 bug 不显现，须保持正确）");
        }

+        // ---- 非预付金腿(标的期初全价=9)同样验证：证明修复对所有"单利盘中"腿通用且正确 ----
+        // CalcDailySimpleInterest 是所有单利腿(InterestType=0)的盘中计息通用函数，非预付金专用。
+        // 用户关切：修复会否波及非预付金腿？结论——
+        //   · closePercent=1(日常计息/全平)时 1^N=1=1^1，修复前后逐位恒等，零影响；
+        //   · closePercent<1(部分平仓)时，所有单利腿此前都被同一 bug 指数级缩小，修复后统一为
+        //     正确的线性缩放(平仓 X% => 本金×X)，这是修正而非破坏。
+        // 本组用非预付金腿(标的期初全价=9，orginPv 不被对齐为 Fix、走交易名义本金)独立复现并锁定。
+        private const decimal NonPrepayNotional = 1_000_000m;
+
+        private swap_flow_event CalcUnwindMultiDayNonPrepay(decimal closePercent, decimal notional = NonPrepayNotional,
+            int restDays = 7, decimal rate = 0m)
+        {
+            var extend = new trade_extend
+            {
+                TradeId = 1,
+                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                {
+                    AnnualDays = AnnualDays,
+                    InterestCalcMode = "10", // 算头不算尾（与生产一致）
+                    SettlementRules = 0
+                })
+            };
+            var td = new trade
+            {
+                id = 1, TradeNumber = "UT-NONPREPAY-EXP", ClientId = 999998,
+                TradeType = "收益互换", TradeDate = ProdPosiStart, StartDate = ProdPosiStart,
+                ExerciseDate = ProdUnwindDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
+                StockEqvNotional = (double)notional, Notional = (double)notional,
+                trade_extend = extend
+            };
+            var position = new swap_position
+            {
+                id = 2002, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.收取,
+                InterestMode = (int)InterestModeEnum.标的期初全价, // 非预付金腿(=9)：orginPv 不会被对齐为 Fix
+                InterestRateDefault = rate, InterestPrincipalFix = 0m,
+                PosiStartDate = ProdPosiStart, PosiMatuirityDate = ProdUnwindDate.AddYears(1),
+                IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
+                IsAnnualized = true, interest_rest_days = restDays,
+                interest_rule = 0, FloatRateUnderlyingCode = null,
+                InterestSwapInterval = "[]"
+            };
+            var eod = new List<eod_swap_position>
+            {
+                new eod_swap_position
+                {
+                    id = 8, SwapTradeId = 1, PositionId = 2002,
+                    ValueDate = ProdEodValueDate,
+                    TdInterestPrincipal = notional, // 计息基数=名义本金 → dynomicPrincipal = eodTd + notional - orginPv = notional
+                    PosiNotionalValue = notional,
+                    InterestProfitSum = 0m, FloatRate = 0m
+                }
+            };
+            // orginPv 传 notional：非预付金腿不走 877-881 的 Fix 对齐，dynomicPrincipal = notional + notional - notional = notional
+            var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
+                eod, new List<swap_position> { position },
+                notional, notional, notional, notional * closePercent, closePercent,
+                (int)SwapEventTypeEnum.平仓,
+                false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
+            Assert.AreEqual(1, interests.Count, "非预付金腿应生成 1 条 flow_event");
+            return interests[0];
+        }
+
+        [TestMethod]
+        public void 非预付金腿_部分平仓50_盘中重置周期7天_应线性缩放不受指数bug影响()
+        {
+            var fe = CalcUnwindMultiDayNonPrepay(0.5m);
+            Console.WriteLine($"[TDD][非预付金50%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=7,812.5, 期望=500,000)");
+            // 正确：N×0.5=500,000。buggy：N×0.5^7=7,812.5（同一指数 bug，证明非预付金腿此前也中招）。
+            Assert.AreEqual(500_000m, fe.InterestPrincipal,
+                "非预付金腿(标的期初全价) 50% 平仓应=名义本金×0.5=500,000，不应被 closePercent^7 缩小");
+        }
+
+        [TestMethod]
+        public void 非预付金腿_部分平仓10_盘中重置周期7天_应线性缩放不受指数bug影响()
+        {
+            var fe = CalcUnwindMultiDayNonPrepay(0.1m);
+            Console.WriteLine($"[TDD][非预付金10%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=0.1, 期望=100,000)");
+            Assert.AreEqual(100_000m, fe.InterestPrincipal,
+                "非预付金腿(标的期初全价) 10% 平仓应=名义本金×0.1=100,000，不应被 closePercent^7 缩小");
+        }
+
+        [TestMethod]
+        public void 非预付金腿_全平_修复前后恒等_零影响()
+        {
+            // closePercent=1 时 1^N=1=1^1：这是"修复不波及非平仓/全平计息"的数学不变量证明。
+            var fe = CalcUnwindMultiDayNonPrepay(1m);
+            Console.WriteLine($"[TDD][非预付金100%] 实测 InterestPrincipal={fe.InterestPrincipal} (期望=1,000,000)");
+            Assert.AreEqual(NonPrepayNotional, fe.InterestPrincipal,
+                "非预付金腿 全平应=名义本金(closePercent=1 时修复前后恒等，日常计息/全平零影响)");
+        }
+
        [TestMethod]
        public void 多次部分平仓_计息基数也被根因修复_利息基于保证金本金()
        {