#EQD-6948 国联民生-实现保证金规则（2）追保金额的产生与收盘计算 ETF 子类分档（转债ETF/科创债ETF）

2026-08-24 18:23:26 +08:00
parent 13e13fa9a3
commit d43e77ee6f
9 changed files with 398 additions and 52 deletions
@@ -0,0 +1,116 @@
+using YLErp.DBModels;
+using YLErp.Enums;
+using YLErp.Modules.MarginModule;
+
+namespace YLErp.Modules.CalcModules
+{
+    /// <summary>
+    /// ETF 子类分档取数（MarginTemplateV2RateHelper.PreferCategoryRows 纯函数）：
+    /// 标的有 EtfSubType（基金类，分类判定钩子实装=读 underlying_manager.EtfSubType）时，
+    /// 期限档匹配结果内优先取 EtfKind=子类 的行；未命中时回落"子类+BondTerm 空"行；
+    /// 均无则维持原期限档匹配结果（基金通配行兜底）。
+    /// </summary>
+    [TestClass]
+    public class MarginTemplateV2EtfKindMatchTest
+    {
+        private static margin_template_detail Row(int id, UnderlyingTypeEnum ut, string etfKind, string bondTerm)
+            => new()
+            {
+                id = id,
+                UnderlyingType = ut,
+                SpanConfigJson = null,
+                SpanConfig = new SpanConfig { EtfKind = etfKind, BondTerm = bondTerm }
+            };
+
+        private const string CB = "可转债 ETF";
+        private const string STAR = "科创债 ETF";
+
+        [TestMethod]
+        public void EK_001_期限档命中子类行_优先取子类()
+        {
+            //期限档匹配结果内既有 子类行又有 通配行：取子类行
+            var termMatched = new List<margin_template_detail>
+            {
+                Row(1, UnderlyingTypeEnum.Fund, CB, "<5y"),       //子类+精确档
+                Row(2, UnderlyingTypeEnum.Fund, null, "<5y"),      //通配+精确档
+            };
+            var all = new List<margin_template_detail>(termMatched);
+            var matched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, CB);
+            Assert.AreEqual(1, matched.Count);
+            Assert.AreEqual(1, matched[0].id);
+        }
+
+        [TestMethod]
+        public void EK_002_期限档未命中子类行_回落子类空档行()
+        {
+            //期限档匹配(>30y)结果内无子类行 → 取"子类+BondTerm 空"的未分档行
+            var termMatched = new List<margin_template_detail>
+            {
+                Row(2, UnderlyingTypeEnum.Fund, null, null),       //通配（BondTerm 空兜底命中）
+            };
+            var all = new List<margin_template_detail>
+            {
+                Row(1, UnderlyingTypeEnum.Fund, CB, "<5y"),
+                Row(3, UnderlyingTypeEnum.Fund, CB, null),         //子类未分档行（兜底候选）
+                Row(2, UnderlyingTypeEnum.Fund, null, null),
+            };
+            var matched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, CB);
+            Assert.AreEqual(1, matched.Count);
+            Assert.AreEqual(3, matched[0].id);
+        }
+
+        [TestMethod]
+        public void EK_003_无子类行_维持原期限档匹配结果()
+        {
+            //模板无该子类任何行：维持原结果（通配兜底）
+            var termMatched = new List<margin_template_detail>
+            {
+                Row(2, UnderlyingTypeEnum.Fund, null, null),
+            };
+            var all = new List<margin_template_detail>(termMatched)
+            {
+                Row(4, UnderlyingTypeEnum.Fund, STAR, "5y-10y"),   //别的子类不相关
+            };
+            var matched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, CB);
+            Assert.AreEqual(1, matched.Count);
+            Assert.AreEqual(2, matched[0].id);
+        }
+
+        [TestMethod]
+        public void EK_004_多子类并存_各自命中不串()
+        {
+            //转债ETF 与 科创债ETF 各自成组：转债标的只命中转债行
+            var termMatched = new List<margin_template_detail>
+            {
+                Row(1, UnderlyingTypeEnum.Fund, CB, "<5y"),
+                Row(4, UnderlyingTypeEnum.Fund, STAR, "<5y"),
+                Row(2, UnderlyingTypeEnum.Fund, null, "<5y"),
+            };
+            var all = new List<margin_template_detail>(termMatched);
+            var cbMatched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, CB);
+            Assert.AreEqual(1, cbMatched.Count);
+            Assert.AreEqual(1, cbMatched[0].id);
+            var starMatched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, STAR);
+            Assert.AreEqual(1, starMatched.Count);
+            Assert.AreEqual(4, starMatched[0].id);
+        }
+
+        [TestMethod]
+        public void EK_005_子类行但期限档不带BondTerm_不视为未分档兜底()
+        {
+            //子类+分档行（EtfKind=CB + BondTerm 非空）不能当"子类+空档"兜底候选
+            var termMatched = new List<margin_template_detail>
+            {
+                Row(2, UnderlyingTypeEnum.Fund, null, null),
+            };
+            var all = new List<margin_template_detail>
+            {
+                Row(1, UnderlyingTypeEnum.Fund, CB, "<5y"),        //分档行不是兜底候选
+                Row(2, UnderlyingTypeEnum.Fund, null, null),
+            };
+            var matched = MarginTemplateV2RateHelper.PreferCategoryRows(termMatched, all, CB);
+            Assert.AreEqual(1, matched.Count);
+            Assert.AreEqual(2, matched[0].id);
+        }
+    }
+}