diff --git a/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs b/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs index cb588031..3a8ea7e2 100644 --- a/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs +++ b/UnitTestProject/Modules/SwapModule/DividendEodNoDoubleCountTest.cs @@ -103,6 +103,16 @@ namespace YLErp.Modules.SwapModule DataState = (int)SwapFlowDateStateEnum.完成 }; + private static swap_flow_event CloseEvent(decimal qty, decimal dividendIn, DateTime eventDate) => new swap_flow_event + { + SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.平仓, + PositionId = PositionId, Quantity = qty, DividendIn = dividendIn, + MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m, + TradingAmount = qty * 1.000m, + UnwindDate = eventDate, EventDate = eventDate, PayDate = eventDate, + DataState = (int)SwapFlowDateStateEnum.完成 + }; + private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg) => Assert.IsTrue(Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}"); @@ -159,5 +169,63 @@ namespace YLErp.Modules.SwapModule Console.WriteLine($"[EOD 后] TdPosiDividend={r2.TdPosiDividend} TdCloseDividend={r2.TdCloseDividend} PosiDividendSum={r2.PosiDividendSum}"); Console.WriteLine($"结论:互换实现 {dividendIn} 被扣减(不重复);当日新计 {r2.TdPosiDividend} 挂 PosiDividendSum(不丢失)"); } + + /// + /// 盘中全平(扣持仓→PosiQuantity=0):验证登记日当日分红是否丢失。 + /// + /// 全平 vs 收益互换的关键区别:全平扣持仓,EOD 时 PosiQuantity=0 → 当日新计 TdPosiDividend 不计提(:1834 守卫) + /// + PosiDividendSum 归 0(:1856 else)。若盘中 DividendIn 读 T-1(漏当日新计),则当日分红 + /// 既没进 DividendIn、也没进 PosiDividendSum → 丢失。本测试暴露这个风险。 + /// + /// 序列(StartDate=1/5,每日 0.01×1000=10): + /// D1=1/6 无事件 Copy:PosiDividendSum=10 + /// D2=1/7 盘中全平:DividendIn=GetPreEodDividendSum(读 D1)=10(漏 D2 当日);EOD:PosiQuantity=0→TdPosiDividend=0, PosiDividendSum=0 + /// 应得(登记日持仓享当日)= D1累计(10) + D2当日(10) = 20;实拿 = DividendIn(10) + PosiDividendSum(0) = 10 → 丢失 10 + /// + [TestMethod] + public void 特征化_登记日全平_当日分红丢失10_已知缺陷待修复() + { + var eodSvc = new EodSvcStub(); + var td = CreateTrade(); + var position = CreatePosition(); + var initialEod = CreateInitialEod(); + + // D1=1/6 无事件 EOD + var d1 = new DateTime(2026, 1, 6); + var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate); + AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum"); + + // D2=1/7 盘中全平:DividendIn 由生产方法真实算(读 D1 EOD,当日 EOD 未生成) + var d2 = new DateTime(2026, 1, 7); + var dealSvc = new DealSvcStub( + new List { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } }, + new List { r1 }); + decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2); + AssertDecimalEqual(10m, dividendIn, 0.01m, "全平 DividendIn=读T-1(D1)=10(漏 D2 当日新计)"); + + // 全平事件(扣全部持仓) + var closeEvent = CloseEvent(InitialQty, dividendIn, d2); + + // D2=1/7 EOD(UpdateEodPosition,全平→PosiQuantity=0) + var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List { closeEvent }); + + // 登记日持仓应享当日分红:D1累计 + D2当日(若持仓>0 本应计提 = 1天×0.01×1000=10) + decimal d2AccrualIfHeld = DailyRatePerUnit * 1 * InitialQty; + decimal expectedTotal = r1.PosiDividendSum + d2AccrualIfHeld; // 应得 = 10 + 10 = 20 + decimal actualGot = dividendIn + r2.PosiDividendSum; // 实拿 = DividendIn + 末尾挂着 + decimal lost = expectedTotal - actualGot; + + Console.WriteLine($"[全平] D1累计={r1.PosiDividendSum}, D2当日(若计提)={d2AccrualIfHeld}, 应得={expectedTotal}"); + Console.WriteLine($"[全平] DividendIn={dividendIn}, EOD:TdPosiDividend={r2.TdPosiDividend} PosiDividendSum={r2.PosiDividendSum} PosiQuantity={r2.PosiQuantity}"); + Console.WriteLine($"[全平] 实拿={actualGot}, 丢失={lost}"); + + // 【特征化·已知缺陷】登记日盘中全平,当日分红丢失 10(D2当日新计既没进 DividendIn 也没进 PosiDividendSum)。 + // 根因:①盘中 DividendIn=GetPreEodDividendSum 读 T-1(当日 EOD 未生成,漏当日新计); + // ②EOD 全平 PosiQuantity=0 → TdPosiDividend=0(:1834 不计提当日)+ PosiDividendSum=0(:1856)。 + // 待修复:GetPreEodDividendSum 当日 EOD 不存在时补算当日分红,或全平 EOD 按登记日持仓计提。 + // 修复后改回 AssertDecimalEqual(0m, lost, ...)(不丢失)。 + AssertDecimalEqual(10m, lost, 0.01m, + $"【已知缺陷】登记日盘中全平当日分红丢失={lost}(应得{expectedTotal}, 实拿{actualGot})。待修复。"); + } } }