Merge remote-tracking branch 'origin/glms/feature/1.4.2' into glms/feature/1.4.2

2026-08-27 16:14:07 +08:00
parent d2b6dff598 a7babb95a4
commit db2788b122
40 changed files with 2193 additions and 268 deletions
@@ -142,6 +142,88 @@ namespace YLErp.Modules.EodModuleTests
            Assert.AreEqual(0m, item.InitMarginLoss);
        }

+        [TestMethod]
+        public void BuildContract_历史类别为空_仍推送全部TRS合约()
+        {
+            var valueDate = new DateTime(2026, 2, 10);
+            var eodSwap = new eod_swap { ValueDate = valueDate, SwapTradeId = 1645, SwapTradeNo = "ZSZQ-IS-202602090001" };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 1645, PositionId = 33306, UnderlyingCode = "220208.IB", PositionType = 1 },
+                new() { SwapTradeId = 1645, PositionId = 33307, InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = 0.001m, InterestDirection = 1 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [33306] = new() { id = 33306, category_tag = null },
+                [33307] = new() { id = 33307, category_tag = null }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [1645] = new() { id = 1645, UnderlyingCode = "220208.IB" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+            Assert.AreEqual(1, item.FloatingDirection);
+        }
+
+        [TestMethod]
+        public void BuildContract_增强收益腿不参与固定利率取值()
+        {
+            var eodSwap = new eod_swap { ValueDate = new DateTime(2026, 8, 24), SwapTradeId = 7 };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 7, PositionId = 101, UnderlyingCode = "600000.SH", PositionType = 2 },
+                new() { SwapTradeId = 7, PositionId = 102, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0123m, InterestDirection = 1 },
+                new() { SwapTradeId = 7, PositionId = 103, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0999m, InterestDirection = 2 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [101] = new() { id = 101, category_tag = null },
+                [102] = new() { id = 102, category_tag = "互换利率" },
+                [103] = new() { id = 103, category_tag = "增强收益" }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [7] = new() { id = 7, UnderlyingCode = "600000.SH" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0.0123m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+            Assert.AreEqual(2, item.FloatingDirection);
+        }
+
+        [TestMethod]
+        public void BuildContract_多条互换利率腿_取第一条()
+        {
+            var eodSwap = new eod_swap { ValueDate = new DateTime(2026, 8, 24), SwapTradeId = 7 };
+            var positions = new List<eod_swap_position>
+            {
+                new() { SwapTradeId = 7, PositionId = 101, UnderlyingCode = "600000.SH", PositionType = 1 },
+                new() { SwapTradeId = 7, PositionId = 102, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0123m, InterestDirection = 1 },
+                new() { SwapTradeId = 7, PositionId = 103, InterestMode = (int)InterestModeEnum.固定值, InterestRateDefault = 0.0456m, InterestDirection = 2 }
+            };
+            var swapPositions = new Dictionary<long, swap_position>
+            {
+                [101] = new() { id = 101, category_tag = null },
+                [102] = new() { id = 102, category_tag = "互换利率" },
+                [103] = new() { id = 103, category_tag = "互换利率" }
+            };
+
+            var item = TrsContractKafkaPushService.BuildContract(
+                eodSwap,
+                new Dictionary<int, trade> { [7] = new() { id = 7, UnderlyingCode = "600000.SH" } },
+                positions,
+                swapPositions);
+
+            Assert.AreEqual(0.0123m, item.FixedRate);
+            Assert.AreEqual(1, item.InterestDirection);
+        }
+
        private static TestableTrsContractKafkaPushService CreateService(RecordingKafkaProducer producer, DateTime valueDate)
        {
            return new TestableTrsContractKafkaPushService(
@@ -94,6 +94,23 @@ namespace YLErp.Modules.SwapModule
            Assert.AreEqual(20, day3, 1e-6);
        }

+        /// <summary>
+        /// 授信垫付的初始预付金计入已缴（2026-08-27 修正，交易2538实证）：
+        /// 初始预付金走授信腿不产生应付预付金流水（现金净收额=0），已缴初始=授信初始占用净额——
+        /// 目标追加 = 维持 −（现金净收额+初始授信占用净额），否则每个结算日按维持全额重复开追加。
+        /// </summary>
+        [TestMethod]
+        public void AM_009_授信初始预付金计入已缴_不重复追加()
+        {
+            //交易2538 首日实际数据：维持2,808,000；初始预付金2,000,000全走授信（现金净收额0）
+            var payableNetCash = 0d;
+            var initCreditNet = 2_000_000d;
+            var target = SwapAdditionalMarginCalc.CalcTarget(2_808_000, payableNetCash + initCreditNet);
+            Assert.AreEqual(808_000, target, 1e-6);
+
+            //对照：修正前只扣现金净收额 → 目标2,808,000 全额追加（多收2,000,000 授信占用，即本BUG）
+        }
+
        /// <summary>
        /// 追保回落（维持下降到应付之下）不返还：目标为 0 → 已补足保持，新增 0；
        /// 超付部分由可用资金公式的负缺口（Σ维持−累计）体现，不产生返还记录。
@@ -131,6 +131,55 @@ namespace YLErp.Modules.SwapModule
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 2.00));
        }

+        /// <summary>
+        /// 层间空隙不落最深层（2026-08-27 修正，交易2538实证）：
+        /// 真实模板空头档位 (−∞,0.99]∪(1.00,1.03]，(0.99,1.00] 为价格在期初附近小幅波动的"未触发追保"空隙——
+        /// 此前兜底一律按最深层计，ratio≈0.99999 被错误收取最深档（0.04×基数）。
+        /// 修正后：空隙返回 null（追加保证金按0）；仅穿出最深层边界（ratio>最深上界）才按最深层计。
+        /// </summary>
+        [TestMethod]
+        public void SS_008_空头层间空隙_不落最深层_追加为零()
+        {
+            //模板"保证金测试01"实际配置形态：第1层 (−∞,0.99]，第2~4层 (1.00,1.03]
+            var tiers = new List<SpanTierConfig>
+            {
+                Tier(null, 0.99, 0.01),
+                Tier(1.00, 1.01, 0.02),
+                Tier(1.01, 1.02, 0.03),
+                Tier(1.02, 1.03, 0.04),
+            };
+            //交易2538 08-24：净价100 → ratio = 100/100.0011 ≈ 0.99999 落 (0.99,1.00] 空隙 → 不追保
+            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, false, 0.99999));
+            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, false, 0.995));
+            //空隙边界归第1层
+            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, false, 0.99));
+            //空隙上方正常落档
+            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, false, 1.005));
+            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, false, 1.015));
+            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.025));
+            //穿出最深层上界 → 按最深层计（原有语义不变）
+            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.0301));
+        }
+
+        /// <summary>
+        /// 多头层间空隙同理：空隙返回 null（追加0），仅跌破最深层下界才按最深层计。
+        /// </summary>
+        [TestMethod]
+        public void SS_009_多头层间空隙_不落最深层()
+        {
+            var tiers = new List<SpanTierConfig>
+            {
+                Tier(0.98, null, 0.01),
+                Tier(0.96, 0.97, 0.03),   //留出 (0.97,0.98) 空隙
+                Tier(0.95, 0.96, 0.04),
+            };
+            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, true, 0.975));
+            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, true, 0.9699));
+            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.955));
+            //穿出最深层下界 → 按最深层计（原有语义不变）
+            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.94));
+        }
+
        [TestMethod]
        public void SS_008_无可用层_返回null()
        {
@@ -0,0 +1,89 @@
+using System.IO.Compression;
+using System.Text;
+using Newtonsoft.Json.Linq;
+using YLErp.Office.Converters;
+
+namespace YLErp.PluginTests
+{
+    /// <summary>
+    /// 国联确认书模板协议段勾选框占位符化后的渲染验证：
+    /// 客户开户维护的主协议类型（client_meta.MainProtocolType，1=NAFMII，其余 SAC）
+    /// 决定协议段 ☑/□ 勾选位置，模板不再依赖 Wingdings 2 硬编码复选框。
+    /// </summary>
+    [TestClass]
+    public class TestGuoLianConfirmTemplate
+    {
+        private static string TemplatePath =>
+            Path.Combine(AppContext.BaseDirectory, "..\\..\\..\\..\\Plugins\\YLErp.Plugins.GuoLian\\App_Docs\\contract_template",
+                "国联民生-收益互换交易确认书-境内模板-【客户看多】-【现券】-清洁版.docx");
+
+        private static string OutputDir => Path.Combine(AppContext.BaseDirectory, "TestOutputs");
+
+        private static JsonVarDic BuildVarDic(bool isNafmii)
+        {
+            var varDic = new JsonVarDic();
+            varDic.SetVar("合同编号", "GL-20260827-001");
+            varDic.SetVar("客户名称", "测试客户");
+            varDic.SetVar("主协议编号", "GL-ZU-2026-001");
+            varDic.SetVar("补充协议编号", "GL-BC-2026-001");
+
+            static string Check(bool on) => on ? "☑" : "□";
+            varDic.SetVar("主协议SAC勾选", Check(!isNafmii));
+            varDic.SetVar("主协议NAFMII勾选", Check(isNafmii));
+            varDic.SetVar("补充协议SAC勾选", Check(!isNafmii));
+            varDic.SetVar("补充协议NAFMII勾选", Check(isNafmii));
+            varDic.SetVar("协会证券业勾选", "□");
+            varDic.SetVar("协会交易商勾选", "□");
+            varDic.SetVar("定义文件商品勾选", "□");
+            varDic.SetVar("定义文件利率勾选", "□");
+            varDic.SetVar("定义文件债券勾选", "□");
+            // 利率类型勾选框（同模板内另一处 ☑/□ 占位符），一并驱动以便预览完整
+            varDic.SetVar("IsFixed", isNafmii ? "□" : "☑");
+            varDic.SetVar("IsFloat", isNafmii ? "☑" : "□");
+            return varDic;
+        }
+
+        private static string RenderAndReadBody(bool isNafmii, string fileName)
+        {
+            Directory.CreateDirectory(OutputDir);
+            var targetPath = Path.Combine(OutputDir, fileName);
+            OfficeFileConverter.ConvertByUsingDocTemplate(TemplatePath, targetPath, BuildVarDic(isNafmii));
+
+            using var zip = ZipFile.OpenRead(targetPath);
+            var entry = zip.GetEntry("word/document.xml");
+            using var stream = entry.Open();
+            using var reader = new StreamReader(stream, Encoding.UTF8);
+            var xml = reader.ReadToEnd();
+
+            // 勾选框与协议名称分属不同 run，断言前拼接纯文本
+            var plainText = new StringBuilder();
+            foreach (System.Text.RegularExpressions.Match m in System.Text.RegularExpressions.Regex.Matches(xml, @"<w:t[^>]*>(.*?)</w:t>"))
+            {
+                plainText.Append(m.Groups[1].Value);
+            }
+            return plainText.ToString();
+        }
+
+        [TestMethod("测试-国联确认书-SAC客户协议段勾选")]
+        public void TestSacAgreementChecked()
+        {
+            var body = RenderAndReadBody(isNafmii: false, "guolian_confirm_sac.docx");
+
+            Assert.IsTrue(body.Contains("☑《中国证券期货市场衍生品交易主协议》/"), "SAC 客户主协议应勾选 SAC");
+            Assert.IsTrue(body.Contains("□《中国银行间市场金融衍生产品交易主协议（2009年版）》"), "SAC 客户主协议不应勾选 NAFMII");
+            Assert.IsTrue(body.Contains("☑《中国证券期货市场衍生品交易主协议》补充协议"), "SAC 客户补充协议应勾选 SAC");
+            Assert.IsFalse(body.Contains("{{主协议SAC勾选}}"), "协议段占位符应全部被替换");
+        }
+
+        [TestMethod("测试-国联确认书-NAFMII客户协议段勾选")]
+        public void TestNafmiiAgreementChecked()
+        {
+            var body = RenderAndReadBody(isNafmii: true, "guolian_confirm_nafmii.docx");
+
+            Assert.IsTrue(body.Contains("□《中国证券期货市场衍生品交易主协议》/"), "NAFMII 客户主协议不应勾选 SAC");
+            Assert.IsTrue(body.Contains("☑《中国银行间市场金融衍生产品交易主协议（2009年版）》"), "NAFMII 客户主协议应勾选 NAFMII");
+            Assert.IsTrue(body.Contains("☑《中国银行间市场金融衍生产品交易主协议（2009年版）补充协议》"), "NAFMII 客户补充协议应勾选 NAFMII");
+            Assert.IsFalse(body.Contains("{{主协议NAFMII勾选}}"), "协议段占位符应全部被替换");
+        }
+    }
+}