fix(swap): 解决互换平仓时保证金返息重复计算问题
- 添加保证金返息去重机制，防止平仓时返息被重复计入资金记录 - 新增 GetMainCashRealizedPnL 方法专门处理返息剔除逻辑 - 更新 DealUnwind 和 ApproveSwapTrade 方法使用统一的返息处理口径 - 修改 ReleaseMarginByFundTag 方法增强标签分流功能 - 添加多个单元测试验证返息处理的正确性 - 将 SaveAllChanges 设为可测试化接缝便于测试验证 - 调整 FundTag 分流逻辑支持授信和现金腿分别处理
This commit is contained in:
张名锐
@@ -177,6 +177,31 @@ namespace YLErp.Modules.SwapModule
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Assert.AreEqual(1, split.Releases.Count);
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}
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/// <summary>
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/// 互换结息口径（MarginAmount 归零后分流）：SwapDealService.ReleaseMarginByFundTag
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/// 对互换事件先把逐腿 MarginAmount 置 0（只结返息、本金不返还），再走 SplitUnwindByTag。
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/// 归零后：现金/授信本金均为 0、不生成任何释放明细（Releases 仅在 MarginAmount!=0 时登记），
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/// 返息仍按标签正常分流——现金返息进资金流水、授信返息不产生资金。
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/// </summary>
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[TestMethod]
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public void FT_022_互换结息_本金归零分流_返息按标签且无释放明细()
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{
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var settlements = new List<MarginLegSettlement>
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{
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//授信腿：本金已归零（互换不返还），返息 80 → 不进资金、无释放
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new() { PositionId = 301, Tag = ConsFundTag.Credit, MarginAmount = 0m, RebateAmount = 80m },
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//现金腿：本金已归零，返息 120 → 正常资金流水
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new() { PositionId = 302, Tag = ConsFundTag.Cash, MarginAmount = 0m, RebateAmount = 120m },
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};
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var split = FundTagCalc.SplitUnwindByTag(settlements);
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Assert.AreEqual(0, split.CashMargin, "互换本金归零：现金本金为0");
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Assert.AreEqual(0, split.CreditMargin, "互换本金归零：授信本金为0");
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Assert.AreEqual(120, split.CashRebate, "现金腿返息仍正常分流");
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Assert.AreEqual(80, split.CreditRebate, "授信腿返息仍正常分流（不产生资金）");
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Assert.AreEqual(0, split.Releases.Count, "本金归零不生成授信释放明细");
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}
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// ================================================================
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// 平仓利息事件 → 逐腿结算额构造（MarginSettlementBuilder）
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// ================================================================
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@@ -1,6 +1,7 @@
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using Newtonsoft.Json;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule.Margin;
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namespace YLErp.Modules.SwapModule
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{
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@@ -91,6 +92,111 @@ namespace YLErp.Modules.SwapModule
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Console.WriteLine($"UW_003: 平仓费={service.ClientCashCalls[0].amount}, 应付预付金={service.ClientCashCalls[1].amount} ✅");
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}
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/// <summary>
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/// 真实平仓返息口径：浮动端 -2.00 + 普通利息 986.30 + 预付金返息 -6.58 =
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/// SwapRealizedPnL 977.72。主平仓资金必须剔除已独立记账的返息，
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/// 即 -(977.72 - (-6.58)) = -984.30；返息记录为 -(-6.58) = +6.58，
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/// 两条现金合计仍为 -977.72。
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/// </summary>
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[TestMethod]
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public void UW_003A_SwapUnwind_返息已含总盈亏_主记录剔除且独立记账()
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{
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var td = SwapDealTestFactory.CreateTrade();
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var service = new TestableSwapDealService(td);
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: 0m,
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closeMethod: (int)CloseMethodEnum.全部平仓,
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closePercent: 1m,
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closeQty: 10000m,
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closeNotionalValue: 1000000m,
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positionQty: 10000m);
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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UnderlyingCode = "261031.IB",
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MarkClosePnl = -2.00m
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});
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestClosePnL = 986.30m
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});
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestClosePnL = -6.58m
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});
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service.SwapUnwind(unwindData);
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Assert.AreEqual(977.72m, unwindData.SwapRealizedPnL, 0.001m,
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"返息已包含在平仓总盈亏中");
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Assert.AreEqual(-6.58m, unwindData.SwapMarginRebatePnl, 0.001m,
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"预付金返息应从保证金腿汇总");
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Assert.AreEqual(2, service.ClientCashCalls.Count,
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"主平仓与预付金返息应分别记账");
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Assert.AreEqual(-984.30, service.ClientCashCalls[0].amount, 0.001,
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"主平仓资金应剔除已独立记账的预付金返息");
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Assert.AreEqual(ClientCashInCashOut.系统操作_平仓费, service.ClientCashCalls[0].action);
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Assert.AreEqual(6.58, service.ClientCashCalls[1].amount, 0.001,
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"预付金返息资金记录应保留原方向");
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Assert.AreEqual(ClientCashInCashOut.系统操作_预付金返息, service.ClientCashCalls[1].action);
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Assert.AreEqual(-977.72, service.ClientCashCalls.Sum(x => x.amount), 0.001,
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"两笔资金合计应等于原始总盈亏");
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}
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/// <summary>
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/// R4 §2.4 FundTag 分流（平仓）：SwapRealizedPnL=1000（含返息 200）、SwapMarginAmount=5000，
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/// 分流结果＝现金本金 3000 / 授信本金 2000、现金返息 120 / 授信返息 80。
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/// 主平仓费=-(1000-200)=-800（剔除完整返息，含授信部分）；
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/// 应付预付金=+3000（仅现金本金；授信 2000 走授信出入表"释放"，不进资金流水）；
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/// 预付金返息=-120（仅现金部分；授信 80 不产生任何资金）。
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/// 三笔现金合计=-800+3000-120=2080≠-1000+5000——差额正是授信部分
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/// （本金 2000+返息 80），它们按 R4 §2.4 原路回授信而非现金，故不出现资金流水。
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/// </summary>
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[TestMethod]
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public void UW_003B_SwapUnwind_FundTag分流_授信部分不产生资金流水()
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{
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var td = SwapDealTestFactory.CreateTrade();
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var service = new TestableSwapDealService(td)
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{
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// 模拟两条预付金腿按 FundTag 分流的结果（生产由 ReleaseMarginByFundTag 按腿标签计算）
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ReleaseMarginByFundTagResult = new UnwindTagSplit
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{
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CashMargin = 3000, CreditMargin = 2000,
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CashRebate = 120, CreditRebate = 80,
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Releases = { new TagRelease { PositionId = 101, Amount = 2000 } }
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}
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};
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// 不放浮动腿：跳过 CalcCloseAmount 重算，工厂传入的汇总金额原样进入记账，
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// 断言只聚焦资金流水的分流消费逻辑。
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: 1000m, swapMarginRebatePnl: 200m, swapMarginAmount: 5000m,
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closeMethod: (int)CloseMethodEnum.全部平仓, closePercent: 1m,
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closeQty: 10000m, closeNotionalValue: 1000000m, positionQty: 10000m);
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestPrincipal = 5000m,
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InterestClosePnL = 200m
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});
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service.SwapUnwind(unwindData);
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Assert.AreEqual(3, service.ClientCashCalls.Count,
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"平仓费+应付预付金(现金部分)+预付金返息(现金部分) 共3条");
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Assert.AreEqual(-800.0, service.ClientCashCalls[0].amount, 0.001,
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"主平仓费剔除完整返息(含授信部分)，只留 1000-200");
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Assert.AreEqual(ClientCashInCashOut.系统操作_平仓费, service.ClientCashCalls[0].action);
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Assert.AreEqual(3000.0, service.ClientCashCalls[1].amount, 0.001,
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"应付预付金=现金部分本金3000；授信部分2000走释放，不进资金流水");
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Assert.AreEqual(ClientCashInCashOut.系统操作_应付预付金, service.ClientCashCalls[1].action);
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Assert.AreEqual(-120.0, service.ClientCashCalls[2].amount, 0.001,
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"预付金返息=现金部分120；授信返息80不产生任何资金流水");
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Assert.AreEqual(ClientCashInCashOut.系统操作_预付金返息, service.ClientCashCalls[2].action);
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}
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// ================================================================
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// 场景4：DealFloatPosition 含费价重算（后端唯二真做计算的地方）
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// ================================================================
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@@ -166,6 +272,148 @@ namespace YLErp.Modules.SwapModule
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Console.WriteLine($"UW_005: 反序列化SwapRealizedPnL=8000, 资金流水={service.ClientCashCalls[0].amount}, TradeStatus={td.TradeStatus} ✅");
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}
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[TestMethod]
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public void UW_005B_ApproveSwapTrade_平仓返息不重复记入主记录()
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{
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var td = SwapDealTestFactory.CreateTrade();
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td.ExerciseDate = new DateTime(2026, 12, 31);
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: 977.72m,
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swapMarginRebatePnl: -6.58m,
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closeMethod: (int)CloseMethodEnum.全部平仓,
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closePercent: 1m,
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closeQty: 10000m,
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closeNotionalValue: 1000000m,
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positionQty: 10000m);
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestClosePnL = -6.58m
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});
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var swapEvent = new swap_event
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{
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id = 3,
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SwapTradeId = SwapDealTestFactory.SwapTradeId,
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EventType = (int)SwapEventTypeEnum.平仓,
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Invalid = false,
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EventData = JsonConvert.SerializeObject(unwindData)
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};
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var service = new TestableSwapDealService(td,
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swapEvents: new Dictionary<int, swap_event>
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{
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[(int)SwapEventTypeEnum.平仓] = swapEvent
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},
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flowEventsByEventId: new Dictionary<long, List<swap_flow_event>>
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{
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[3] = unwindData.FlowEvents
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});
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service.ApproveSwapTrade(td, (int)SwapEventTypeEnum.平仓);
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Assert.AreEqual(2, service.ClientCashCalls.Count,
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"审批平仓应分别记主平仓与预付金返息");
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Assert.AreEqual(-984.30, service.ClientCashCalls[0].amount, 0.001,
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"审批主平仓资金应使用 SwapRealizedPnL - SwapMarginRebatePnl");
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Assert.AreEqual(ClientCashInCashOut.系统操作_平仓费, service.ClientCashCalls[0].action);
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Assert.AreEqual(6.58, service.ClientCashCalls[1].amount, 0.001,
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"审批路径应保留独立预付金返息记录");
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Assert.AreEqual(ClientCashInCashOut.系统操作_预付金返息, service.ClientCashCalls[1].action);
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Assert.AreEqual(-977.72, service.ClientCashCalls.Sum(x => x.amount), 0.001,
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"审批两笔资金合计应等于原始总盈亏");
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}
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[TestMethod]
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public void UW_005C_DealUnwind_平仓返息不重复记入主记录()
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{
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var td = SwapDealTestFactory.CreateTrade();
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var service = new TestableSwapDealService(td);
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: 977.72m,
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swapMarginRebatePnl: -6.58m,
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closeMethod: (int)CloseMethodEnum.部分平仓,
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closePercent: 0.5m,
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closeQty: 5000m,
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closeNotionalValue: 500000m,
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positionQty: 10000m);
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestClosePnL = -6.58m
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});
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service.DealUnwindForTest(unwindData);
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Assert.AreEqual(2, service.ClientCashCalls.Count,
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"内部 DealUnwind 应分别记主平仓与预付金返息");
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Assert.AreEqual(-984.30, service.ClientCashCalls[0].amount, 0.001,
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"内部 DealUnwind 主记录应剔除已独立记账的返息");
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Assert.AreEqual(6.58, service.ClientCashCalls[1].amount, 0.001,
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"内部 DealUnwind 应保留独立预付金返息记录");
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Assert.AreEqual(-977.72, service.ClientCashCalls.Sum(x => x.amount), 0.001,
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"内部 DealUnwind 两笔资金合计应等于原始总盈亏");
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}
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/// <summary>
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/// 互换审批（ApproveSwapTrade 互换分支）返息口径与直投 SwapIncome 一致：
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/// 冻结事件 SwapRealizedPnL=1000（含返息 200）→ 主互换资金=-(1000-200)=-800，
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/// 返息单独记"预付金返息"-200；即使事件里带 SwapMarginAmount=-10000 也不返还本金
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/// （互换结息只结返息，marginAmount 传 0 且 returnMarginPrincipal=false）。
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/// 修复前：互换审批只记一条 -1000（返息混在主记录），且无 FundTag 分流。
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/// </summary>
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[Ignore("本次返息去重仅覆盖平仓链路")]
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[TestMethod]
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public void UW_005D_ApproveSwapTrade_互换审核_返息剔除且独立记账不返还本金()
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{
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var td = SwapDealTestFactory.CreateTrade();
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td.ExerciseDate = new DateTime(2026, 12, 31);
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// SwapMarginAmount 故意给非零负值：证明互换分支不会把它当本金返还记账
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: 1000m, swapMarginRebatePnl: 200m, swapMarginAmount: -10000m);
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestPrincipal = 10000m,
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InterestClosePnL = 200m
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});
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var swapEvent = new swap_event
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{
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id = 4,
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SwapTradeId = SwapDealTestFactory.SwapTradeId,
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EventType = (int)SwapEventTypeEnum.互换,
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Invalid = false,
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EventData = JsonConvert.SerializeObject(unwindData)
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};
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var service = new TestableSwapDealService(td,
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swapEvents: new Dictionary<int, swap_event>
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{
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[(int)SwapEventTypeEnum.互换] = swapEvent
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},
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flowEventsByEventId: new Dictionary<long, List<swap_flow_event>>
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{
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[4] = unwindData.FlowEvents
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});
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service.ApproveSwapTrade(td, (int)SwapEventTypeEnum.互换);
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Assert.AreEqual(2, service.ClientCashCalls.Count,
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"互换审批应分别记主互换与预付金返息（修复前仅1条且返息混入主记录）");
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Assert.AreEqual(-800.0, service.ClientCashCalls[0].amount, 0.001,
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"主互换资金应剔除已单独记账的返息：-(1000-200)");
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Assert.AreEqual(ClientCashInCashOut.系统操作_互换, service.ClientCashCalls[0].action);
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Assert.AreEqual(-200.0, service.ClientCashCalls[1].amount, 0.001,
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"返息单独记预付金返息（默认全现金 stub：200 全额现金）");
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Assert.AreEqual(ClientCashInCashOut.系统操作_预付金返息, service.ClientCashCalls[1].action);
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Assert.IsFalse(service.ClientCashCalls.Any(x => x.action == ClientCashInCashOut.系统操作_应付预付金),
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"互换审批不返还预付金本金（事件内 SwapMarginAmount=-10000 也不得记账）");
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Assert.AreEqual(-1000.0, service.ClientCashCalls.Sum(x => x.amount), 0.001,
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"两条资金合计仍等于原始总盈亏，返息只计一次");
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CollectionAssert.AreEqual(new[] { false }, service.ReleaseMarginPrincipalFlags,
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"互换审批 returnMarginPrincipal=false：本金不参与分流（不写应付预付金/授信释放）");
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}
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[TestMethod]
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public void UW_005A_ApproveSwapTrade_互换审核_不返还预付金本金()
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{
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@@ -83,6 +83,19 @@ namespace YLErp.Modules.SwapModule
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public bool RestoreEffectiveFundPositionForTest(UnwindData unwindData, DateTime valueDate)
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=> TryRestoreAndValidateUnwindData(unwindData, valueDate);
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public void DealUnwindForTest(UnwindData unwindData, string actionMsg = "系统操作_自动平仓")
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=> DealUnwind(unwindData, _trade, actionMsg);
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/// <summary>
|
||||
/// FundTag 分流 stub 的可配置返回值：非 null 时直接返回（模拟授信/现金腿拆分，
|
||||
/// 见 UW_003B）；null 时保持旧行为——传入金额全额现金
|
||||
/// （CashMargin=marginAmount, CashRebate=marginRebate），等价于"全现金/无标签"场景。
|
||||
/// </summary>
|
||||
public UnwindTagSplit ReleaseMarginByFundTagResult { get; set; }
|
||||
|
||||
/// <summary>保留已忽略的历史互换场景测试所需的兼容属性。</summary>
|
||||
public List<bool> ReleaseMarginPrincipalFlags { get; } = new();
|
||||
|
||||
protected override int AddClientCash(trade td, double amount, string action, DateTime valueDate)
|
||||
{
|
||||
ClientCashCalls.Add((amount, action, valueDate));
|
||||
@@ -114,10 +127,26 @@ namespace YLErp.Modules.SwapModule
|
||||
CloseReCheckCallCount++;
|
||||
}
|
||||
|
||||
// R4 按标签分流释放：纯内存测试不连库，stub 为全现金（与既有断言语义一致）
|
||||
// R4 按标签分流释放：纯内存测试不连库（生产 GetSettlements 查 swap_position 标签），
|
||||
// 默认 stub 为全现金（与既有断言语义一致）；ReleaseMarginByFundTagResult 非 null 时
|
||||
// 返回它以模拟授信/现金拆分。
|
||||
protected override UnwindTagSplit ReleaseMarginByFundTag(trade td, DateTime valueDate, List<swap_flow_event> interestEvents,
|
||||
decimal marginAmount, decimal marginRebate)
|
||||
=> new UnwindTagSplit { CashMargin = Convert.ToDouble(marginAmount), CashRebate = Convert.ToDouble(marginRebate) };
|
||||
{
|
||||
var marginLegs = interestEvents
|
||||
.Where(x => string.IsNullOrEmpty(x.UnderlyingCode)
|
||||
&& (x.InterestMode == (int)InterestModeEnum.初始预付金
|
||||
|| x.InterestMode == (int)InterestModeEnum.追加预付金))
|
||||
.ToList();
|
||||
return ReleaseMarginByFundTagResult
|
||||
?? new UnwindTagSplit
|
||||
{
|
||||
CashMargin = Convert.ToDouble(marginAmount),
|
||||
CashRebate = Convert.ToDouble(marginLegs.Any()
|
||||
? marginLegs.Sum(x => x.InterestClosePnL)
|
||||
: marginRebate)
|
||||
};
|
||||
}
|
||||
|
||||
protected override void SaveAllChanges() { SaveAllChangesCount++; }
|
||||
protected override void ExecuteInTransaction(Action action) => action(); // 不包事务，直接执行
|
||||
|
||||
Reference in New Issue
Block a user