EQD-6968: 不算尾计息不再因平仓日FR007未发布误拦平仓（缺价回退上一重置日利率，有价仍取新利率）

2026-08-17 11:22:37 +08:00
parent feee779994
commit bc401bd687
2 changed files with 274 additions and 12 deletions
@@ -0,0 +1,236 @@
+using Newtonsoft.Json;
+using YLErp.DBModels.Enums;
+
+namespace YLErp.Modules.SwapModule
+{
+    /// <summary>
+    /// EQD-6968 FR007 不算尾平仓"上午未发布"误拦截 - RED 复现，修复后转绿（内存，不连库）
+    /// 任务编号 EQD-6968；现象报告日 2026-08-17。参照 GLMS20260703CloseInterestTest 内存 FR007 写法。
+    /// </summary>
+    [TestClass]
+    public class GLMS20260817Fr007UnwindMorningTest
+    {
+        private sealed class StubSwapDealService : SwapDealService
+        {
+            private readonly bool _includeCloseDate;
+
+            public StubSwapDealService(OptUserInfo optUser, bool includeCloseDate) : base(optUser)
+            {
+                _includeCloseDate = includeCloseDate;
+            }
+
+            public readonly List<(DateTime RequestDate, double Rate)> FloatRateCalls = new();
+
+            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
+            {
+                rate = 0d;
+                if (underlyingCode != "FR007") return false;
+
+                var fr007 = new Dictionary<DateTime, double>
+                {
+                    [new DateTime(2026, 7, 6)] = 0.0142,
+                    [new DateTime(2026, 7, 13)] = 0.01425,
+                };
+                if (_includeCloseDate)
+                    fr007[new DateTime(2026, 7, 20)] = 0.0143;
+
+                if (fr007.TryGetValue(valueDate.Date, out rate))
+                {
+                    FloatRateCalls.Add((valueDate.Date, rate));
+                    return true;
+                }
+                return false;
+            }
+        }
+
+        private const decimal Notional = 279486108.21m;
+        private const int AnnualDays = 365;
+        private const decimal Spread = -0.0155m;
+        private static readonly DateTime StartDate = new(2026, 7, 6);
+        private static readonly DateTime TradeDate = new(2026, 7, 3);
+        private static readonly DateTime CloseDate = new(2026, 7, 20);
+
+        private SwapDealService MakeService(bool includeCloseDate)
+        {
+            return new StubSwapDealService(
+                new OptUserInfo(0, nameof(GLMS20260817Fr007UnwindMorningTest), OptUserFrom.UnitTest),
+                includeCloseDate);
+        }
+
+        private static trade CreateTrade()
+        {
+            var extend = new trade_extend
+            {
+                TradeId = 1,
+                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
+                {
+                    AnnualDays = AnnualDays,
+                    InterestCalcMode = "10",
+                    SettlementRules = 0
+                })
+            };
+            return new trade
+            {
+                id = 1,
+                TradeNumber = "GLMS-20260817-FR007-MORNING",
+                ClientId = 999998,
+                TradeType = "债券TRS",
+                TradeDate = TradeDate,
+                StartDate = StartDate,
+                ExerciseDate = CloseDate.AddDays(1),
+                TradeStatus = "已平仓",
+                ValidState = "Valid",
+                trade_extend = extend
+            };
+        }
+
+        private static swap_position CreateBondPosition(InterestTypeEnum interestType, int interestRule = 0)
+        {
+            var intervalModels = new List<IntervalModel>
+            {
+                new IntervalModel { Date = CloseDate, Rate = Spread, Settlement = 0 }
+            };
+            return new swap_position
+            {
+                id = 1001,
+                SwapTradeId = 1,
+                PositionType = (int)PositionTypeFlag.Unknown,
+                InterestDirection = (int)SwapDirectionEnum.支付,
+                InterestMode = (int)InterestModeEnum.标的期初全价,
+                InterestRateDefault = Spread,
+                InterestPrincipalFix = Notional,
+                PosiStartDate = StartDate,
+                PosiMatuirityDate = CloseDate,
+                IsInitial = true,
+                Invalid = false,
+                InterestType = (int)interestType,
+                IsAnnualized = true,
+                interest_rest_days = 7,
+                interest_rule = interestRule,
+                FloatRateUnderlyingCode = "FR007",
+                FloatRate = 0m,
+                PosiNotionalValue = Notional,
+                UnderlyingCode = "2500002.IB",
+                InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
+            };
+        }
+
+        private swap_flow_event CalcCloseInterest(SwapDealService svc, InterestTypeEnum interestType, int interestRule = 0)
+        {
+            var td = CreateTrade();
+            var position = CreateBondPosition(interestType, interestRule);
+            var interests = svc.GetInterests(
+                td, td.trade_extend,
+                CloseDate, CloseDate,
+                new List<eod_swap_position>(),
+                new List<swap_position> { position },
+                Notional, Notional,
+                1m,
+                (int)SwapEventTypeEnum.平仓,
+                false, Notional,
+                false, settment: false, newCalcLast: false, closeList: null);
+            Assert.AreEqual(1, interests.Count);
+            return interests[0];
+        }
+
+        private static eod_swap_position CreatePreEod()
+        {
+            return new eod_swap_position
+            {
+                id = 5001,
+                PositionId = 1001,
+                ValueDate = new DateTime(2026, 7, 13),
+                FloatRate = 0.01425m,
+                InterestProfitSum = -100000m,
+                TdInterestPrincipal = Notional,
+                InterestIncomeSum = -150000m
+            };
+        }
+
+        private swap_flow_event CalcCloseInterestEod(SwapDealService svc, InterestTypeEnum interestType, List<eod_swap_position> eodPositions)
+        {
+            var td = CreateTrade();
+            var position = CreateBondPosition(interestType);
+            var interests = svc.GetInterests(
+                td, td.trade_extend,
+                CloseDate, CloseDate,
+                eodPositions,
+                new List<swap_position> { position },
+                Notional, Notional,
+                1m,
+                (int)SwapEventTypeEnum.平仓,
+                false, Notional,
+                false, settment: false, newCalcLast: false, closeList: null);
+            Assert.AreEqual(1, interests.Count);
+            return interests[0];
+        }
+
+        /// <summary>
+        /// [RED] 不算尾平仓，平仓日 FR007 未发布（内存缺失）→ 当前抛"获取不到FR007...价格"。
+        /// 期望：修复后应成功返回（不抛）。当前为 RED（测试失败）。
+        /// </summary>
+        [TestMethod]
+        public void Red_UnwindMorning_WithoutCloseDateFr007_ShouldSucceed()
+        {
+            var svc = MakeService(includeCloseDate: false);
+            try
+            {
+                var fe = CalcCloseInterest(svc, InterestTypeEnum.复利);
+                Assert.IsNotNull(fe);
+                Assert.IsFalse(fe.InterestAmount == 0 && fe.FloatRate == 0, "返回的利息不应全为零");
+            }
+            catch (Exception ex)
+            {
+                StringAssert.Contains(ex.Message, "FR007");
+                Assert.Fail($"RED 复现成功：不算尾平仓因平仓日 FR007 未发布被误拦截 —— {ex.Message}");
+            }
+        }
+
+        /// <summary>
+        /// [Baseline] 同场景但提供平仓日 07-20 的 FR007 → 应成功（绿），隔离 stub/路径问题。
+        /// </summary>
+        [TestMethod]
+        public void Baseline_WithCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: true);
+            var fe = CalcCloseInterest(svc, InterestTypeEnum.复利);
+            Assert.IsNotNull(fe);
+            Assert.IsTrue(fe.InterestAmount != 0, "提供末日 FR007 时应正常算出利息");
+        }
+
+        /// <summary>
+        /// [RED-重放] 不算尾全平(带前日日终持仓 → 走重放分支 replayEndDate=平仓日+1)，平仓日 FR007 未发布 → 当前抛。
+        /// 修复后(BuildSegmentRates 用 exclusionEndDate 排除真实平仓日)应成功，平仓日用上一重置日利率。
+        /// </summary>
+        [TestMethod]
+        public void Red_FullClose_WithPreEod_WithoutCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: false);
+            var preEod = CreatePreEod();
+            try
+            {
+                var fe = CalcCloseInterestEod(svc, InterestTypeEnum.复利, new List<eod_swap_position> { preEod });
+                Assert.IsNotNull(fe);
+                Assert.IsFalse(fe.InterestAmount == 0 && fe.FloatRate == 0, "返回的利息不应全为零");
+            }
+            catch (Exception ex)
+            {
+                StringAssert.Contains(ex.Message, "FR007");
+                Assert.Fail($"RED-重放 复现成功：不算尾全平因平仓日 FR007 未发布被误拦截 —— {ex.Message}");
+            }
+        }
+
+        /// <summary>
+        /// [Baseline-重放] 同场景但提供平仓日 07-20 FR007 → 应成功（绿），隔离 stub/路径问题。
+        /// </summary>
+        [TestMethod]
+        public void Baseline_FullClose_WithPreEod_WithCloseDateFr007_Succeeds()
+        {
+            var svc = MakeService(includeCloseDate: true);
+            var preEod = CreatePreEod();
+            var fe = CalcCloseInterestEod(svc, InterestTypeEnum.复利, new List<eod_swap_position> { preEod });
+            Assert.IsNotNull(fe);
+            Assert.IsTrue(fe.InterestAmount != 0, "提供末日 FR007 时应正常算出利息");
+        }
+    }
+}