BugFix 预付金取错了资产类型规则

2026-08-27 20:41:53 +08:00
parent d43aed63e7
commit cd615a612a
2 changed files with 168 additions and 22 deletions
@@ -0,0 +1,144 @@
+using YLErp.BLL;
+using YLErp.DBModels;
+using YLErp.Enums;
+using YLErp.Modules.MarginModule;
+
+namespace YLErp.Modules.CalcModules
+{
+    /// <summary>
+    /// GetRateByTemplate 资产类型先行匹配回归（连 dev 库，2026-08-27 顺序裁定：先品种后期限）：
+    /// 期限档仅利率债允许配置，品种匹配在期限之前——防止非利率债标的被利率债期限档行截胡
+    /// （交易2567 实证：信用债标的按 "<5y" 精确匹配到利率债行，信用债行 BondTerm 空永远不参与）。
+    /// 标的代码用库里不存在的代码（GetApplicableMarginTerm 无标的兜底返回 <5y），不依赖真实标的行情数据。
+    /// 测试数据全部带 "ZZZ-品种先行测试-" 名称前缀，TestInitialize/TestCleanup 双向清理。
+    /// </summary>
+    [TestClass]
+    public class MarginTemplateV2InstrumentFirstMatchTest
+    {
+        private const string Marker = "ZZZ-品种先行测试-";
+        private DateTime EffectiveDate = new DateTime(2000, 1, 1);
+
+        private YLContext db;
+
+        [TestInitialize]
+        public void Init()
+        {
+            db = new YLContext();
+            Cleanup();
+        }
+
+        [TestCleanup]
+        public void CleanupFixture()
+        {
+            Cleanup();
+            db.Dispose();
+        }
+
+        private void Cleanup()
+        {
+            var templateIds = db.margin_template_v2.Where(x => x.Name.StartsWith(Marker)).Select(x => x.id).ToList();
+            if (templateIds.Count > 0)
+            {
+                db.margin_template_detail.RemoveRange(db.margin_template_detail.Where(x => templateIds.Contains(x.MarginTemplateId)));
+                db.margin_template_v2.RemoveRange(db.margin_template_v2.Where(x => templateIds.Contains(x.id)));
+                db.SaveChanges();
+            }
+        }
+
+        private margin_template_v2 AddTieredTemplate()
+        {
+            var t = new margin_template_v2
+            {
+                Name = Marker + "分档",
+                IsDefault = false,
+                IsForClient = false,
+                IsValid = true,
+                TradeTypes = "收益互换",
+                RuleType = (int)MarginRuleTypeEnum.区间追保结构,
+                UnderlyingSeperateType = (int)UnderlyingSeperateTypeEnum.CustomInstrumentType,
+                ValueDate = EffectiveDate
+            };
+            db.margin_template_v2.Add(t);
+            db.SaveChanges();
+            return t;
+        }
+
+        private void AddDetail(int templateId, UnderlyingTypeEnum underlyingType, string bondTermJson, double initRate, double maintainRate)
+        {
+            db.margin_template_detail.Add(new margin_template_detail
+            {
+                MarginTemplateId = templateId,
+                ValueDate = EffectiveDate,
+                UnderlyingType = underlyingType,
+                SpanConfigJson = bondTermJson,
+                MarginRatio1 = initRate,
+                MarginRatio2 = maintainRate
+            });
+        }
+
+        /// <summary>
+        /// 信用债标的不被利率债期限档行截胡：term 恒为 "<5y"（标的不存在兜底），
+        /// 旧序会精确命中利率债 <5y 行；新序品种先行应命中信用债行（BondTerm 空）。
+        /// </summary>
+        [TestMethod]
+        public void TI_001_信用债标的_命中信用债行_不被利率债期限档截胡()
+        {
+            var tpl = AddTieredTemplate();
+            AddDetail(tpl.id, UnderlyingTypeEnum.TBonds, "{\"BondTerm\":\"<5y\"}", 0.11, 0.12);
+            AddDetail(tpl.id, UnderlyingTypeEnum.CreditBonds, null, 0.05, 0.06);
+            db.SaveChanges();
+
+            var rate = MarginTemplateV2RateHelper.GetRateByTemplate(tpl, "ZZZ-NOT-EXIST-CD.IB", "CreditBonds", DateTime.Today, db);
+            Assert.IsNotNull(rate, "品种先行后信用债行（BondTerm 空）应经期限兜底命中");
+            Assert.AreEqual(0.05m, rate.InitRate.Value, "应取信用债行的初始预付金率，而非利率债 <5y 行的 0.11");
+            Assert.AreEqual(0.06m, rate.MaintainRate.Value, "应取信用债行的维持预付金率，而非利率债 <5y 行的 0.12");
+        }
+
+        /// <summary>
+        /// 利率债标的行为不变：品种命中利率债行后，期限精确档 "<5y" 命中对应期限行（压过 5y-10y 行）。
+        /// </summary>
+        [TestMethod]
+        public void TI_002_利率债标的_品种内期限精确档仍生效()
+        {
+            var tpl = AddTieredTemplate();
+            AddDetail(tpl.id, UnderlyingTypeEnum.TBonds, "{\"BondTerm\":\"<5y\"}", 0.11, 0.12);
+            AddDetail(tpl.id, UnderlyingTypeEnum.TBonds, "{\"BondTerm\":\"5y-10y\"}", 0.13, 0.14);
+            db.SaveChanges();
+
+            var rate = MarginTemplateV2RateHelper.GetRateByTemplate(tpl, "ZZZ-NOT-EXIST-TB.IB", "TBonds", DateTime.Today, db);
+            Assert.IsNotNull(rate);
+            Assert.AreEqual(0.11m, rate.InitRate.Value, "期限兜底 <5y 时应精确命中 <5y 档行");
+            Assert.AreEqual(0.12m, rate.MaintainRate.Value);
+        }
+
+        /// <summary>
+        /// 模板未配标的品种时的既有兜底不变：品种行与通配行均无 → 不缩小行集，回落期限匹配（与旧序一致）。
+        /// </summary>
+        [TestMethod]
+        public void TI_003_模板未配品种_回落期限匹配_行为不变()
+        {
+            var tpl = AddTieredTemplate();
+            AddDetail(tpl.id, UnderlyingTypeEnum.TBonds, "{\"BondTerm\":\"<5y\"}", 0.11, 0.12);
+            db.SaveChanges();
+
+            var rate = MarginTemplateV2RateHelper.GetRateByTemplate(tpl, "ZZZ-NOT-EXIST-CF.IB", "CommodityFutures", DateTime.Today, db);
+            Assert.IsNotNull(rate, "品种落空应回落到期限匹配（旧行为兜底），不应返回 null");
+            Assert.AreEqual(0.11m, rate.InitRate.Value);
+        }
+
+        /// <summary>
+        /// 品种行与期限行均无法匹配时返回 null：非利率债标的不再"借用"利率债期限档行，
+        /// 由调用方按无预付金要求兜底（引擎不产出 trade_span）。
+        /// </summary>
+        [TestMethod]
+        public void TI_004_品种与期限均无匹配行_返回null()
+        {
+            var tpl = AddTieredTemplate();
+            AddDetail(tpl.id, UnderlyingTypeEnum.TBonds, "{\"BondTerm\":\"5y-10y\"}", 0.13, 0.14);
+            db.SaveChanges();
+
+            var rate = MarginTemplateV2RateHelper.GetRateByTemplate(tpl, "ZZZ-NOT-EXIST-CD.IB", "CreditBonds", DateTime.Today, db);
+            Assert.IsNull(rate, "信用债标的不应命中利率债 5y-10y 期限行");
+        }
+    }
+}
@@ -129,19 +129,39 @@ namespace YLErp.Modules.MarginModule
            var latestValueDate = detailQuery.Max(x => x.ValueDate);
            var details = detailQuery.Where(x => x.ValueDate == latestValueDate).ToList();

-            //4.利率债/分档ETF 期限档匹配：精确档 → "全部"（BondTerm 为空）兜底
+            //4.资产类型先行（2026-08-27 顺序裁定：先品种后期限）：按资产类型分档的模板先按标的品种缩小行集——
+            //品种行 → 通配行（None/All）→ 均无则不缩小（回落到与旧序一致的期限匹配，模板未配该品种的既有兜底不变）。
+            //期限档仅利率债允许配置（ConsMarginTerm），品种匹配必须在期限之前：期限精确匹配对任何标的恒有 term
+            //（GetApplicableMarginTerm 兜底 <5y），非利率债标的会被利率债期限档行截胡、本品种行（BondTerm 空）永远不参与
+            //(2026-08-27 交易2567 实证：信用债标的按 "<5y" 命中利率债行多收追保)
+            var candidates = details;
+            if (template.UnderlyingSeperateType == (int)UnderlyingSeperateTypeEnum.CustomInstrumentType
+                && Enum.TryParse<UnderlyingTypeEnum>(underlyingInstrumentType, out var instrumentFlag))
+            {
+                var byInstrument = details.Where(x => (x.UnderlyingType & instrumentFlag) > 0).ToList();
+                if (!byInstrument.Any())
+                {
+                    byInstrument = details.Where(x => x.UnderlyingType == UnderlyingTypeEnum.None || x.UnderlyingType == UnderlyingTypeEnum.All).ToList();
+                }
+                if (byInstrument.Any())
+                {
+                    candidates = byInstrument;
+                }
+            }
+
+            //5.期限档匹配（利率债四档）：精确档 → "全部"（BondTerm 为空）兜底
            var term = UnderlyingHelper.GetApplicableMarginTerm(underlyingCode, valueDate);
-            var matched = details.Where(x => x.SpanConfig != null && x.SpanConfig.BondTerm == term).ToList();
+            var matched = candidates.Where(x => x.SpanConfig != null && x.SpanConfig.BondTerm == term).ToList();
            if (!matched.Any())
            {
-                matched = details.Where(x => x.SpanConfig == null || string.IsNullOrEmpty(x.SpanConfig.BondTerm)).ToList();
+                matched = candidates.Where(x => x.SpanConfig == null || string.IsNullOrEmpty(x.SpanConfig.BondTerm)).ToList();
            }
            if (!matched.Any())
            {
                return null;
            }

-            //5.ETF 子类行优先（子类区分度高于期限）：标的有 EtfSubType（基金类）时优先取 EtfKind=子类 的行——
+            //6.ETF 子类行优先（子类区分度高于期限）：标的有 EtfSubType（基金类）时优先取 EtfKind=子类 的行——
            //期限档匹配未命中子类行时再单独尝试"子类 + BondTerm 空"（子类不分档通配）；无子类行维持原 matched（基金通配兜底）
            var underlyingCategory = GetUnderlyingCategory(underlyingCode, underlyingInstrumentType);
            if (underlyingCategory != null)
@@ -149,24 +169,6 @@ namespace YLErp.Modules.MarginModule
                matched = PreferCategoryRows(matched, details, underlyingCategory);
            }

-            if (template.UnderlyingSeperateType == (int)UnderlyingSeperateTypeEnum.CustomInstrumentType
-                && Enum.TryParse<UnderlyingTypeEnum>(underlyingInstrumentType, out var instrumentFlag))
-            {
-                var byInstrument = matched.Where(x => (x.UnderlyingType & instrumentFlag) > 0).ToList();
-                if (byInstrument.Any())
-                {
-                    matched = byInstrument;
-                }
-                else
-                {
-                    var wildcard = matched.Where(x => x.UnderlyingType == UnderlyingTypeEnum.None || x.UnderlyingType == UnderlyingTypeEnum.All).ToList();
-                    if (wildcard.Any())
-                    {
-                        matched = wildcard;
-                    }
-                }
-            }
-
            var detail = matched.First();
            return new MarginRateResult
            {