test(swap): 扩展DealInterests测试-多次互换守恒+预付金ratio翻转
新增2个测试场景: - DI_SWAP_MULTI_001: 攒10天→互换结清→再攒5天→再互换结清 守恒约束: RealizedInterest+InterestIncomeSum=全程利息(17天) 验证多次互换结算后利息不丢失/不重复 - DI_MARGIN_001: 预付金腿(初始预付金,marginTypes)互换结清后 RealizedInterest应为负(ratio翻转:收取→-1→支付方向) 验证cs:789-793的marginTypes ratio翻转逻辑 验证: 89(T0/T1)+7(DealInterests)=96全通过,无回归。
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hjhan
@@ -422,6 +422,174 @@ namespace YLErp.Modules.SwapModule
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Console.WriteLine($"连续5天归档：InterestIncomeSum 从0递增到{runningIncomeSum:F6} = 5×{DailyInterest:F6} ✅");
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}
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// ================================================================
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// 场景4：互换→收盘→再攒→再互换 守恒验证
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// ================================================================
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#region 场景4：多次互换结算守恒
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/// <summary>
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/// [DI_SWAP_MULTI_001] 攒10天→互换结清→再攒5天→再互换结清
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/// ---------------------------------------------------------------
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/// 验证：第一次互换后 InterestIncomeSum≈当天新计（攒的10天付了），
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/// 再攒5天后 InterestIncomeSum≈6天（5天新攒+1天当天新计），
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/// 第二次互换后 InterestIncomeSum≈当天新计（攒的6天又付了）。
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///
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/// 守恒约束：两次互换结算的 TdCloseInterest 之和 = 全程利息（15天+2天新计）。
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/// </summary>
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[TestMethod]
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public void DI_SWAP_MULTI_001_多次互换结算守恒()
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{
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var td = CreateTrade();
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var position = CreateInterestPosition();
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// --- Phase 1: 攒10天（4/27~5/6），到5/6 ---
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var date10 = StartDate.AddDays(10); // 5/7
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decimal sum10days = Math.Round(Principal * FixedRate * 10 / AnnualDays,
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ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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var preEod10 = CreatePreEod(date10.AddDays(-1), sum10days - DailyInterest); // 前日=9天
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// 当天新计让它到10天
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var svc1 = new StubEodPositionService();
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svc1.ExecuteDealInterests(new List<swap_position> { position },
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new List<eod_swap_position> { preEod10 }, date10, td,
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new List<swap_flow_event>(), Principal, 0m, 0m, 1m, Principal);
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var eod10days = svc1.PersistedPositions[0];
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AssertDecimal(sum10days, eod10days.InterestIncomeSum, "10天后待实现应=10天利息");
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Console.WriteLine($"Phase1: 攒10天 InterestIncomeSum={eod10days.InterestIncomeSum:F6}");
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// --- Phase 2: 5/7 互换结清 ---
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var swapDate1 = date10; // 同天互换
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var svc2 = new StubEodPositionService();
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var swapEvt1 = CreateSwapFlowEvent(swapDate1, sum10days);
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var swapResult1 = svc2.ExecuteSaveEodInterestPosition(
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eod10days, null, position, td, swapDate1, new List<swap_flow_event> { swapEvt1 });
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// 互换后待实现≈当天新计（攒的10天付了，但当天又产生1天新计）
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decimal dailyInc = Math.Round(Principal * FixedRate / AnnualDays,
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ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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AssertDecimal(dailyInc, swapResult1.InterestIncomeSum, "第一次互换后待实现≈当天新计");
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decimal firstRealized = swapResult1.TdCloseInterest;
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Console.WriteLine($"Phase2: 第一次互换 TdCloseInterest={firstRealized:F6}, 待实现={swapResult1.InterestIncomeSum:F6}");
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// --- Phase 3: 再攒5天 ---
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decimal runningSum = swapResult1.InterestIncomeSum;
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var runningDate = swapDate1.AddDays(1);
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for (int i = 0; i < 5; i++)
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{
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var svc = new StubEodPositionService();
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var preEod = CreatePreEod(runningDate.AddDays(-1), runningSum);
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// 需要 preEod.RealizedInterest 累积
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preEod.RealizedInterest = swapResult1.RealizedInterest;
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svc.ExecuteDealInterests(new List<swap_position> { position },
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new List<eod_swap_position> { preEod }, runningDate, td,
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new List<swap_flow_event>(), Principal, 0m, 0m, 1m, Principal);
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runningSum = svc.PersistedPositions[0].InterestIncomeSum;
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runningDate = runningDate.AddDays(1);
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}
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Console.WriteLine($"Phase3: 再攒5天后 InterestIncomeSum={runningSum:F6}");
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// --- Phase 4: 再互换结清 ---
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var svc4 = new StubEodPositionService();
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var preEodFinal = CreatePreEod(runningDate.AddDays(-1), runningSum);
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preEodFinal.RealizedInterest = swapResult1.RealizedInterest;
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var swapEvt2 = CreateSwapFlowEvent(runningDate, runningSum);
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var swapResult2 = svc4.ExecuteSaveEodInterestPosition(
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preEodFinal, null, position, td, runningDate, new List<swap_flow_event> { swapEvt2 });
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decimal secondRealized = swapResult2.TdCloseInterest;
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Console.WriteLine($"Phase4: 第二次互换 TdCloseInterest={secondRealized:F6}, 待实现={swapResult2.InterestIncomeSum:F6}");
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// 守恒：两次互换实现的 + 最终待实现 = 全程天数 × dailyInc
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// 全程天数 = 10天(Phase1) + 1天(第一次互换当天新计) + 5天(Phase3) + 1天(第二次互换当天新计) = 17天
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// 但第一次互换的当天新计进了 InterestIncomeSum 没进 TdCloseInterest，
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// 第二次互换同理。所以守恒 = RealizedInterest合计 + 最终InterestIncomeSum = 全程利息
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decimal totalDays = 10 + 1 + 5 + 1; // 17天
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decimal expectedTotalInterest = Math.Round(Principal * FixedRate * totalDays / AnnualDays,
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ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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decimal actualTotal = swapResult2.RealizedInterest + swapResult2.InterestIncomeSum;
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Console.WriteLine($"守恒: RealizedInterest({swapResult2.RealizedInterest:F6}) + InterestIncomeSum({swapResult2.InterestIncomeSum:F6}) = {actualTotal:F6}");
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Console.WriteLine($"期望: {totalDays}天 × {dailyInc:F6} = {expectedTotalInterest:F6}");
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AssertDecimal(expectedTotalInterest, actualTotal,
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"已实现+待实现 应=全程利息（守恒）");
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}
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#endregion
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// ================================================================
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// 场景5：预付金腿（marginTypes ratio 翻转）符号验证
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// ================================================================
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#region 场景5：预付金腿 ratio 翻转
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/// <summary>
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/// [DI_MARGIN_001] 预付金腿互换结清后 RealizedInterest 应为负（支付方向）
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/// ---------------------------------------------------------------
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/// 预付金腿 InterestDirection=收取(1)，但 marginTypes 会把 ratio 翻转为 -1。
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/// SwapPositionValue 应为负（负债），RealizedInterest 也应为负（券商支付）。
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/// 验证 cs:789-793 的 ratio 翻转逻辑。
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/// ---------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void DI_MARGIN_001_预付金腿RealizedInterest为负()
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{
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var service = new StubEodPositionService();
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var td = CreateTrade();
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var settleDate = new DateTime(2026, 5, 10);
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// 预付金腿（初始预付金 InterestMode=5，InterestDirection=收取）
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var marginPosition = new swap_position
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{
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id = 2001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.初始预付金,
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InterestRateDefault = 0.005m, InterestPrincipalFix = 500m,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 1, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = null
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};
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// 攒10天的预付金利息
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decimal marginDaily = Math.Round(500m * 0.005m / AnnualDays,
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ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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decimal margin10days = marginDaily * 10;
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var preEod = new eod_swap_position
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{
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id = 200, SwapTradeId = 1, PositionId = 2001, ValueDate = settleDate.AddDays(-1),
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ClientId = 999998, InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestIncomeSum = margin10days, InterestProfitSum = margin10days,
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RealizedInterest = 0m, InterestRateDefault = 0.005m,
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TdInterestPrincipal = 500m, PosiNotionalValue = 500m,
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InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true,
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interest_rest_days = 1, FloatRate = 0m
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};
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// 互换结清
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var swapEvent = new swap_flow_event
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{
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id = 3001, SwapTradeId = 1, EventType = (int)SwapFlowEventTypeEnum.互换,
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EventDate = settleDate, UnwindDate = settleDate, PositionId = 2001,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestAmount = margin10days, InterestClosePnL = -margin10days, // 预付金 ratio 翻转后为负
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InterestRate = 0.005m, InterestMode = (int)InterestModeEnum.初始预付金,
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InterestPrincipal = 500m, FloatRate = 0m,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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var result = service.ExecuteSaveEodInterestPosition(
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preEod, null, marginPosition, td, settleDate, new List<swap_flow_event> { swapEvent });
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// 预付金 marginTypes 翻转 ratio=-1
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// RealizedInterest = 0 + TdCloseInterest(margin10days) * ratio(-1) = -margin10days
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AssertDecimal(-margin10days, result.RealizedInterest,
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"预付金腿 RealizedInterest 应为负（ratio翻转后支付方向）");
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Console.WriteLine($"预付金腿 RealizedInterest={result.RealizedInterest:F6}（负=支付）✅");
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Console.WriteLine($"SwapPositionValue={result.SwapPositionValue:F6}（应≈当天新计×ratio=-正）");
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}
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#endregion
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#endregion
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}
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}
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