refactor(margin): 保证金去除'计息基数'错误概念, 改用余额建模
保证金就是保证金——有余额、有利率、有利息, 不存在'计息基数/Notional'概念。 现有代码把保证金塞进 InterestPrincipalFix 当计息腿处理是错误建模。 修正: - 删除 MarginLeg.cs(CalcBalance/accrualFactor 是融资腿的概念, 不该用在保证金) - 新增 MarginAccount.cs: 管理余额变动(Deposit追加/Withdraw释放), 不含计息 - MarginBalance: 注释去掉'计息基数', 改为'保证金余额' - IMarginResolver.Resolve: 去掉 accrualFactor 参数(融资腿比例, 非保证金概念) - CashMargin/CreditMargin/GuaranteeMargin: 同步去掉 accrualFactor - 枚举注释: '计息余额' → '余额' 保证金利息由 SwapInterest 纯函数按 余额×利率×天数/年化 计算, MarginAccount 只提供余额, 不掺计息逻辑。 验证: sln编译0错误, 全量486测试7失败(基线一致,零回归)。
This commit is contained in:
hjhan
@@ -4,40 +4,53 @@ using YLErp.Modules.SwapModule.Margin;
|
||||
namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
{
|
||||
/// <summary>
|
||||
/// 保证金利息计提（MarginLeg）单测。验证计息余额计算，以及三种形态解析器可互换产余额。
|
||||
/// 替换原 InterestLegStrategyTest 里的预付金（PrepayLeg）用例——预付金已迁出利息腿限界上下文。
|
||||
/// 保证金账户(MarginAccount)单测。验证余额变动（追加/释放/返还）。
|
||||
/// 保证金就是保证金——有余额、有利率、有利息，不存在"计息基数/Notional"概念。
|
||||
/// </summary>
|
||||
[TestClass]
|
||||
public class MarginLegTest
|
||||
{
|
||||
private const decimal Balance = 2_000_000m;
|
||||
private const decimal Opening = 2_000_000m;
|
||||
|
||||
#region MarginAccount 余额变动
|
||||
|
||||
[TestMethod]
|
||||
public void 计息余额_默认不缩放_等于保证金全额()
|
||||
public void 账户_初始余额等于期初保证金()
|
||||
{
|
||||
var leg = new MarginLeg();
|
||||
var r = leg.CalcBalance(Balance);
|
||||
Assert.AreEqual(Balance, r.Balance, "默认不缩放，余额=保证金全额");
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
Assert.AreEqual(Opening, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 计息余额_部分释放_按适用比例缩放()
|
||||
public void 账户_追加保证金_余额增加()
|
||||
{
|
||||
var leg = new MarginLeg();
|
||||
var r = leg.CalcBalance(Balance, 0.5m);
|
||||
Assert.AreEqual(1_000_000m, r.Balance, "部分释放：余额×适用比例");
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Deposit(500_000m);
|
||||
Assert.AreEqual(2_500_000m, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 计息余额_零适用比例_为零()
|
||||
public void 账户_释放保证金_余额减少()
|
||||
{
|
||||
var leg = new MarginLeg();
|
||||
var r = leg.CalcBalance(Balance, 0m);
|
||||
Assert.AreEqual(0m, r.Balance);
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Withdraw(800_000m);
|
||||
Assert.AreEqual(1_200_000m, account.Balance.Balance);
|
||||
}
|
||||
|
||||
[TestMethod]
|
||||
public void 三种形态解析器_均可互换产出余额()
|
||||
public void 账户_释放超过余额_不低于零()
|
||||
{
|
||||
var account = new MarginAccount(new MarginBalance(Opening));
|
||||
account.Withdraw(3_000_000m);
|
||||
Assert.AreEqual(0m, account.Balance.Balance, "保证金余额不低于零");
|
||||
}
|
||||
|
||||
#endregion
|
||||
|
||||
#region 三种保证金形态解析器
|
||||
|
||||
[TestMethod]
|
||||
public void 三种形态解析器_各自返回正确Form和余额()
|
||||
{
|
||||
IMarginResolver cash = new CashMargin();
|
||||
IMarginResolver credit = new CreditMargin();
|
||||
@@ -47,9 +60,11 @@ namespace UnitTestProject.Modules.SwapModule.Margin
|
||||
Assert.AreEqual(MarginForm.Credit, credit.Form);
|
||||
Assert.AreEqual(MarginForm.Guarantee, guarantee.Form);
|
||||
|
||||
Assert.AreEqual(1_000_000m, cash.Resolve(Balance, 0.5m).Balance);
|
||||
Assert.AreEqual(1_000_000m, credit.Resolve(Balance, 0.5m).Balance);
|
||||
Assert.AreEqual(1_000_000m, guarantee.Resolve(Balance, 0.5m).Balance);
|
||||
Assert.AreEqual(Opening, cash.Resolve(Opening).Balance);
|
||||
Assert.AreEqual(Opening, credit.Resolve(Opening).Balance);
|
||||
Assert.AreEqual(Opening, guarantee.Resolve(Opening).Balance);
|
||||
}
|
||||
|
||||
#endregion
|
||||
}
|
||||
}
|
||||
|
||||
@@ -1,10 +1,10 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>现金保证金：计息余额 = 现金余额。</summary>
|
||||
/// <summary>现金保证金：余额 = 现金余额。</summary>
|
||||
public sealed class CashMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Cash;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount, decimal accrualFactor = 1m)
|
||||
=> new(postedAmount * accrualFactor);
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
|
||||
@@ -1,10 +1,10 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>授信保证：计息余额 = 已用授信额度。</summary>
|
||||
/// <summary>授信保证：余额 = 已用授信额度。</summary>
|
||||
public sealed class CreditMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Credit;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount, decimal accrualFactor = 1m)
|
||||
=> new(postedAmount * accrualFactor);
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
|
||||
@@ -1,10 +1,10 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>担保品：计息余额 = 担保品市值。</summary>
|
||||
/// <summary>担保品：余额 = 担保品市值。</summary>
|
||||
public sealed class GuaranteeMargin : IMarginResolver
|
||||
{
|
||||
public MarginForm Form => MarginForm.Guarantee;
|
||||
|
||||
public MarginBalance Resolve(decimal postedAmount, decimal accrualFactor = 1m)
|
||||
=> new(postedAmount * accrualFactor);
|
||||
public MarginBalance Resolve(decimal postedAmount)
|
||||
=> new(postedAmount);
|
||||
}
|
||||
|
||||
@@ -3,22 +3,22 @@ namespace YLErp.Modules.SwapModule.Margin;
|
||||
/// <summary>保证金形态：现金 / 授信 / 担保。预留扩展。</summary>
|
||||
public enum MarginForm
|
||||
{
|
||||
/// <summary>现金保证金：计息余额 = 现金余额。</summary>
|
||||
/// <summary>现金保证金：余额 = 现金余额。</summary>
|
||||
Cash,
|
||||
/// <summary>授信保证：计息余额 = 已用授信额度。</summary>
|
||||
/// <summary>授信保证：余额 = 已用授信额度。</summary>
|
||||
Credit,
|
||||
/// <summary>担保品：计息余额 = 担保品市值。</summary>
|
||||
/// <summary>担保品：余额 = 担保品市值。</summary>
|
||||
Guarantee,
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// 按保证金形态解析计息余额。三种形态可互换地产出一个 MarginBalance（满足 LSP），
|
||||
/// 这是保证金领域唯一合理的多态点（差异仅在"余额如何取得"），不同于错误地套用利息腿接口。
|
||||
/// 当前为铺设骨架，具体余额来源（资金流水 / 授信占用 / 担保估值）后续按形态填充。
|
||||
/// 按保证金形态解析余额。三种形态可互换地产出一个 MarginBalance（满足 LSP），
|
||||
/// 这是保证金领域唯一合理的多态点（差异仅在"余额如何取得"）。
|
||||
/// 具体余额来源（资金流水 / 授信占用 / 担保估值）后续按形态填充。
|
||||
/// </summary>
|
||||
public interface IMarginResolver
|
||||
{
|
||||
MarginForm Form { get; }
|
||||
|
||||
MarginBalance Resolve(decimal postedAmount, decimal accrualFactor = 1m);
|
||||
MarginBalance Resolve(decimal postedAmount);
|
||||
}
|
||||
|
||||
@@ -0,0 +1,26 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>
|
||||
/// 保证金账户。管理保证金余额的变动（追加/释放/返还），不涉及利息计算——
|
||||
/// 利息由 SwapInterest 纯函数按 余额×利率×天数/年化 计算，保证金账户只提供余额。
|
||||
///
|
||||
/// 保证金是独立的资金管理概念（初始保证金/维持保证金/保证金余额/追保），
|
||||
/// 与融资腿(funding leg)完全无关。现有代码把保证金塞进 InterestMode==5/6
|
||||
/// 当计息腿处理是错误的，本类是正确建模的起点。
|
||||
/// </summary>
|
||||
public sealed class MarginAccount
|
||||
{
|
||||
/// <summary>当前保证金余额。</summary>
|
||||
public MarginBalance Balance { get; private set; }
|
||||
|
||||
public MarginAccount(MarginBalance openingBalance)
|
||||
=> Balance = openingBalance;
|
||||
|
||||
/// <summary>追加保证金（余额增加）。</summary>
|
||||
public void Deposit(decimal amount)
|
||||
=> Balance = new MarginBalance(Balance.Balance + amount);
|
||||
|
||||
/// <summary>释放/返还保证金（余额减少，不低于 0）。</summary>
|
||||
public void Withdraw(decimal amount)
|
||||
=> Balance = new MarginBalance(Math.Max(0m, Balance.Balance - amount));
|
||||
}
|
||||
@@ -1,12 +1,14 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>
|
||||
/// 保证金计息余额。兼容现金、授信、担保等多种保证金形态，不承载 swap 平仓语义。
|
||||
/// 仅表达"本期计息的余额"这一计息基数，与利息腿的 NotionalResult（平仓/持仓本金拆分）无关。
|
||||
/// 保证金余额。现金、授信、担保等多种保证金形态的统一表达。
|
||||
///
|
||||
/// 保证金就是保证金——有余额、有利率、有利息，不存在"计息基数/Notional"概念。
|
||||
/// 余额随追加/释放/盈亏变动，利息由 SwapInterest 纯函数按 余额×利率×天数/年化 计算。
|
||||
/// </summary>
|
||||
public readonly struct MarginBalance
|
||||
{
|
||||
/// <summary>计息余额：现金余额 / 授信占用 / 担保品市值。</summary>
|
||||
/// <summary>保证金余额：现金余额 / 授信占用 / 担保品市值。</summary>
|
||||
public decimal Balance { get; }
|
||||
|
||||
public MarginBalance(decimal balance)
|
||||
|
||||
@@ -1,22 +0,0 @@
|
||||
namespace YLErp.Modules.SwapModule.Margin;
|
||||
|
||||
/// <summary>
|
||||
/// 保证金（预付金）利息计提。独立限界上下文，不继承也不关联任何利息腿
|
||||
/// （IInterestLegStrategy / FixedNotionalLeg 等）——保证金是客户存款/担保，并非互换腿，
|
||||
/// 套用利息腿抽象是此前的类别错误（category error）。
|
||||
///
|
||||
/// 本类只负责把"保证金余额"这一计息基数正确建模与计算。方向翻转、orginPv 维度纠正、
|
||||
/// 持仓对齐等预付金独有逻辑不在本类（原散落在 SwapDealService / SwapEodPositionService），
|
||||
/// 后续按各自独立方法迁移，保持本类最小、可单测。
|
||||
/// </summary>
|
||||
public sealed class MarginLeg
|
||||
{
|
||||
/// <summary>
|
||||
/// 计算计息余额。
|
||||
/// </summary>
|
||||
/// <param name="marginBalance">保证金余额（现金余额 / 授信占用 / 担保品市值）。</param>
|
||||
/// <param name="accrualFactor">本期计息适用比例，默认 1（不缩放）。仅部分释放等场景小于 1。</param>
|
||||
/// <returns>计息基数，不含利率与日计数。</returns>
|
||||
public MarginBalance CalcBalance(decimal marginBalance, decimal accrualFactor = 1m)
|
||||
=> new(marginBalance * accrualFactor);
|
||||
}
|
||||
Reference in New Issue
Block a user