test(swap): EQD-6977 罚息接缝 headless 单测——固定/浮动腿追加 IsPenaltyInterest 标记 + 承接恒等式(全期=已结+罚息)

2026-08-20 13:23:12 +08:00
parent 35a84cd60d
commit bb8130698f
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+using YLErp.Modules.SwapModule.Accrual;
+using YLErp.Modules.SwapModule.Penalty;
+
+namespace UnitTestProject.Modules.SwapModule.Penalty
+{
+    /// <summary>
+    /// EQD-6977 罚息接缝 headless 测试（无 DB：spread/preEod/取价 全部以委托注入）。
+    /// 锁定：Append 在融资腿上追加 IsPenaltyInterest=1 的同构罚息流；承接恒等式（全期=已结+罚息）。
+    /// </summary>
+    [TestClass]
+    public class PenaltyInterestAppenderTest
+    {
+        private const decimal Notional = 100_000_000m;
+        private const decimal Rate = 0.0225m; // 冻结 all-in 年化
+        private const int AnnualDays = 365;
+        private static readonly DateTime StartDate = new(2026, 7, 31);
+        private static readonly DateTime MaturityDate = new(2026, 8, 31);
+        private static readonly DateTime UnwindDate = new(2026, 8, 25);
+
+        private static trade CreateTrade()
+            => new()
+            {
+                id = 1, TradeNumber = "UT-APPEND", ClientId = 999998,
+                TradeType = "收益互换", StartDate = StartDate, TradeDate = StartDate,
+                ExerciseDate = MaturityDate, TradeStatus = "确认成交", ValidState = "Valid"
+            };
+
+        private static swap_position FixedLeg(InterestTypeEnum interestType)
+            => new()
+            {
+                id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
+                InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = Rate,
+                InterestPrincipalFix = Notional, PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
+                IsInitial = true, Invalid = false, InterestType = (int)interestType,
+                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
+                FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
+            };
+
+        private static void RunAppend(swap_position p, out List<swap_flow_event> interests,
+            Func<swap_position, decimal>? getSpread = null)
+        {
+            getSpread ??= _ => Rate;
+            interests = new List<swap_flow_event>();
+            PenaltyInterestAppender.Append(
+                CreateTrade(), new List<swap_position> { p }, interests, UnwindDate, AnnualDays,
+                unwindDaySettled: true, maturityCalcLast: true,
+                posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
+                getSpread: getSpread,
+                getPreEodFloatRate: _ => null,
+                tryGetFixing: (d, code) => (decimal?)Rate);
+        }
+
+        [TestMethod]
+        public void 固定腿_single利_追加罚息流且标记列()
+        {
+            RunAppend(FixedLeg(InterestTypeEnum.单利), out var interests);
+
+            Assert.AreEqual(1, interests.Count, "应恰好追加 1 笔罚息");
+            var e = interests[0];
+            Assert.AreEqual(1, e.IsPenaltyInterest, "IsPenaltyInterest 应置 1");
+            Assert.AreEqual(SwapPenaltyInterestCalculator.PenaltyEventReason, e.EventReason, "事件原因=罚息");
+            // 窗口 (8/25, 8/31] = 6 天（算尾平仓日 + 到期算尾）
+            var expected = Rate * Notional * 6m / AnnualDays;
+            Assert.AreEqual((double)expected, (double)e.InterestAmount, 0.0001, "单利罚息=利率×本金×天数/基准");
+        }
+
+        [TestMethod]
+        public void 浮动腿_经取价委托解析冻结率并追加()
+        {
+            var p = FixedLeg(InterestTypeEnum.单利);
+            p.FloatRateUnderlyingCode = "FR007"; // 浮动腿：走 tryGetFixing
+            p.InterestMode = (int)InterestModeEnum.标的期初全价;
+            // 浮动腿 all-in = 加点利差(spread) + 指数定盘(fixing)；零利差时与固定腿同值
+            RunAppend(p, out var interests, getSpread: _ => 0m);
+
+            Assert.AreEqual(1, interests.Count);
+            Assert.AreEqual(1, interests[0].IsPenaltyInterest);
+            // 取价委托恒返回 Rate → all-in = 0 + Rate，与固定腿同值
+            var expected = Rate * Notional * 6m / AnnualDays;
+            Assert.AreEqual((double)expected, (double)interests[0].InterestAmount, 0.0001, "浮动腿冻结率=取价委托值(零利差)");
+        }
+
+        [TestMethod]
+        public void 复利_承接恒等式_全期等于已结加罚息()
+        {
+            var p = FixedLeg(InterestTypeEnum.复利);
+            RunAppend(p, out var interests);
+
+            Assert.AreEqual(1, interests.Count);
+            Assert.AreEqual(1, interests[0].IsPenaltyInterest);
+
+            // 与金标准测试同款 CompoundAccruedTo(AccrualBoundary.Both)：全期=已结+罚息 恒等式
+            var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
+            var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
+            Assert.AreEqual((double)full, (double)(elapsed + interests[0].InterestAmount), 0.0001,
+                "全期(冻结率重放) 应等于 已结 + 罚息；承接量推导正确");
+        }
+
+        /// <summary>常率复利重放 [StartDate, endDate]，重置段 = 每 7 天（与金标准测试一致）。</summary>
+        private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary)
+        {
+            var segs = new List<(DateTime, decimal)>();
+            for (var d = StartDate; d <= endDate; d = d.AddDays(7)) segs.Add((d, Rate));
+            return CompoundInterestAccrual.AccruePeriod(
+                notional: Notional, segmentRates: segs,
+                startDate: StartDate, endDate: endDate,
+                boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
+                resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
+                finalBasis: out _).Accrued;
+        }
+    }
+}