test(swap): EQD-6977 罚息契约钉死——金标准恒等式(全期=已结+罚息,含不算尾/中段平仓双承接量) + 边界四象限 + 部分平仓 + 冻结取率规则
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hjhan
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.Penalty;
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namespace UnitTestProject.Modules.SwapModule.Penalty
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{
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/// <summary>
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/// EQD-6977 罚息冻结利率解析契约测试。
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/// 规则（需求 2.2.2）：冻结为「最后一个重置区间」定盘；终止日为重置日也取上一区间。
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/// </summary>
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[TestClass]
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public class PenaltyLegRateResolverTest
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{
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private const decimal Spread = 0.05m; // +500bp
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private static readonly DateTime UnwindDate = new(2026, 8, 25);
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private static swap_position CreateFloatPosition(int interestRule = 0)
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=> new()
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.支付,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = Spread,
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PosiStartDate = new DateTime(2026, 7, 31),
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interest_rest_days = 7, interest_rule = interestRule,
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FloatRateUnderlyingCode = "FR007",
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FloatRate = 0.0185m
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};
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[TestMethod]
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public void 浮动腿_preEod快照优先_重置日下午仍取上一区间()
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{
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// 8/25 为重置日且下午已出新价的边缘场景：preEod.FloatRate（昨日区间定盘）仍优先，
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// 解析器不做任何取价——「终止日取上一区间」由快照语义天然覆盖。
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var p = CreateFloatPosition();
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: 0.0210m,
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unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("preEod 在场时不应取价"));
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Assert.AreEqual(Spread + 0.0210m, rate.AllInRate, "冻结 all-in = 利差 + 上一区间定盘");
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}
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[TestMethod]
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public void 浮动腿_无preEod_按前一营业日取价日取定盘()
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{
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var p = CreateFloatPosition(interestRule: 0); // 当前营业日规则
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DateTime? askedDate = null;
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate,
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tryGetFixing: d => { askedDate = d; return 0.0195m; });
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Assert.AreEqual(new DateTime(2026, 8, 24), askedDate, "取价日 = GetFixingDate(8/24, rule=0)");
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Assert.AreEqual(Spread + 0.0195m, rate.AllInRate);
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}
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[TestMethod]
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public void 浮动腿_无preEod_缺价抛异常()
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{
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var p = CreateFloatPosition();
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Assert.ThrowsException<Exception>(() =>
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PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate, tryGetFixing: _ => null));
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}
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[TestMethod]
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public void 固定腿_不取价_直接固定利率()
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{
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var p = CreateFloatPosition();
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p.FloatRateUnderlyingCode = null;
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("固定腿不应取价"));
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Assert.AreEqual(Spread, rate.AllInRate);
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}
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}
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}
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using YLErp;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.Penalty;
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namespace UnitTestProject.Modules.SwapModule.Penalty
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{
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/// <summary>
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/// EQD-6977 平仓罚息计算器契约测试。
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///
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/// 金标准恒等式（需求核心语义"利息端盈亏等同于持有至到期"）：
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/// 全期利息 = 平仓日已结利息 + 罚息窗口利息
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/// 历史口径：7/31 起息、8/31 到期、7 天重置（8/7/8/14/8/21/8/28）、8/25 提前终止
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/// （平仓日落在 8/21–8/28 重置段中间——复利承接两分量的关键场景）。
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/// </summary>
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[TestClass]
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public class SwapPenaltyInterestCalculatorTest
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{
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private const decimal Notional = 100_000_000m;
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private const decimal Rate = 0.0225m; // 冻结 all-in 年化
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 7, 31);
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private static readonly DateTime MaturityDate = new(2026, 8, 31);
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private static readonly DateTime UnwindDate = new(2026, 8, 25);
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private static readonly DateTime LastResetBeforeUnwind = new(2026, 8, 21);
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private static trade CreateTrade()
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=> new()
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{
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id = 1, TradeNumber = "UT-EQD6977", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = MaturityDate, TradeStatus = "确认成交", ValidState = "Valid"
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};
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private static swap_position CreatePosition(InterestTypeEnum interestType, SwapDirectionEnum direction)
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=> new()
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)direction,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = Rate,
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InterestPrincipalFix = Notional,
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PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
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IsInitial = true, Invalid = false,
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InterestType = (int)interestType,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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private static AccrualPolicy Policy(swap_position p)
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=> AccrualPolicy.BuildEod(p, AnnualDays, p.InterestType == (int)InterestTypeEnum.复利);
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/// <summary>常率复利重放 [7/31, endDate]，重置段 = 每 7 天。</summary>
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private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary)
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{
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var segs = new List<(DateTime, decimal)>();
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for (var d = StartDate; d <= endDate; d = d.AddDays(7)) segs.Add((d, Rate));
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return CompoundInterestAccrual.AccruePeriod(
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notional: Notional, segmentRates: segs,
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startDate: StartDate, endDate: endDate,
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boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _).Accrued;
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}
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private static swap_flow_event CalcCompoundPenalty(
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swap_position p, decimal closePrincipal, bool settled, decimal capitalized, decimal carryIn)
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=> SwapPenaltyInterestCalculator.CalcPenalty(
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CreateTrade(), p, closePrincipal: closePrincipal,
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unwindDate: UnwindDate, maturityDate: MaturityDate,
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unwindDaySettled: settled, maturityCalcLast: true,
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capitalizedInterest: capitalized, carryInInterest: carryIn,
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frozenRate: FundingLegRate.Fixed(Rate),
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policy: Policy(p), resetAnchor: StartDate,
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eventType: (int)SwapEventTypeEnum.平仓, valueDate: UnwindDate);
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[TestMethod]
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public void 金标准恒等式_复利_全期等于已结加罚息()
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{
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var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
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var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
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var carryIn = elapsed - capitalized;
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var e = CalcCompoundPenalty(p, Notional, settled: true, capitalized, carryIn);
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var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
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Assert.AreEqual((double)full, (double)(elapsed + e.InterestAmount), 0.0001,
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$"全期({full}) 应等于 已结({elapsed}) + 罚息({e.InterestAmount})；承接①={capitalized} ②={carryIn}");
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}
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[TestMethod]
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public void 金标准恒等式_复利_不算尾平仓日()
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{
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// 不算尾：正常结算未计 8/25 → 罚息含 8/25（IncludeStart=true），承接②少一天
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var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.StartOnly);
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var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
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var carryIn = elapsed - capitalized;
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var e = CalcCompoundPenalty(p, Notional, settled: false, capitalized, carryIn);
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var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
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Assert.AreEqual((double)full, (double)(elapsed + e.InterestAmount), 0.0001,
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"不算尾时罚息窗口须补回平仓日，恒等式仍成立");
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}
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[TestMethod]
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public void 单利固定腿_剩余期限利息等于公式()
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{
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// 需求 2.2.1：剩余利息 = 固定 × 名义本金 × 剩余天数 / 计息基准
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// 算尾平仓日 + 到期算尾：窗口 (8/25, 8/31] = 6 天
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var e = SwapPenaltyInterestCalculator.CalcPenalty(
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CreateTrade(), CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付),
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closePrincipal: Notional,
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unwindDate: UnwindDate, maturityDate: MaturityDate,
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unwindDaySettled: true, maturityCalcLast: true,
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capitalizedInterest: 0m, carryInInterest: 0m,
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frozenRate: FundingLegRate.Fixed(Rate),
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policy: Policy(CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付)),
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resetAnchor: StartDate,
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eventType: (int)SwapEventTypeEnum.平仓, valueDate: UnwindDate);
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var expected = Rate * Notional * 6m / AnnualDays;
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Assert.AreEqual((double)expected, (double)e.InterestAmount, 0.0001, "6 天 = 8/26..8/31");
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}
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[TestMethod]
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public void 边界四象限_剩余天数口径正确()
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{
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var p = CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付);
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var td = CreateTrade();
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// 8/26..8/31 共 6 个计息日候选；IncludeStart 加 8/25、IncludeEnd 加 8/31 由约定裁剪
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var cases = new (bool settled, bool calcLast, int days)[]
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{
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(true, true, 6), // (8/25, 8/31] 8/26..8/31
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(true, false, 5), // (8/25, 8/31) 8/26..8/30
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(false, true, 7), // [8/25, 8/31] 8/25..8/31
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(false, false, 6), // [8/25, 8/31) 8/25..8/30
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};
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foreach (var (settled, calcLast, days) in cases)
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{
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var e = SwapPenaltyInterestCalculator.CalcPenalty(
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td, p, closePrincipal: Notional,
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unwindDate: UnwindDate, maturityDate: MaturityDate,
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unwindDaySettled: settled, maturityCalcLast: calcLast,
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capitalizedInterest: 0m, carryInInterest: 0m,
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frozenRate: FundingLegRate.Fixed(Rate),
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policy: Policy(p), resetAnchor: StartDate,
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eventType: (int)SwapEventTypeEnum.平仓, valueDate: UnwindDate);
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var expected = Rate * Notional * days / AnnualDays;
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Assert.AreEqual((double)expected, (double)e.InterestAmount, 0.0001,
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$"settled={settled}, calcLast={calcLast} → {days} 天");
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}
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}
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[TestMethod]
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public void 部分平仓_仅被平份额计罚息()
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{
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var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
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var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
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var carryIn = elapsed - capitalized;
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// 被平 30%：本金与两承接量同比缩放，罚息应恰为全额的 30%
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var full = CalcCompoundPenalty(p, Notional, true, capitalized, carryIn);
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var partial = CalcCompoundPenalty(p, Notional * 0.3m, true, capitalized * 0.3m, carryIn * 0.3m);
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Assert.AreEqual((double)(full.InterestAmount * 0.3m), (double)partial.InterestAmount, 0.0001,
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"被平 30%（本金与承接量同比）罚息应恰为全额的 30%");
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}
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[TestMethod]
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public void 事件字段_与正常利息流同构_罚息原因与方向盈亏()
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{
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var e = SwapPenaltyInterestCalculator.CalcPenalty(
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CreateTrade(), CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付),
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closePrincipal: Notional,
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unwindDate: UnwindDate, maturityDate: MaturityDate,
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unwindDaySettled: true, maturityCalcLast: true,
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capitalizedInterest: 0m, carryInInterest: 0m,
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frozenRate: FundingLegRate.Fixed(Rate),
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policy: Policy(CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付)),
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resetAnchor: StartDate,
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eventType: (int)SwapEventTypeEnum.平仓, valueDate: UnwindDate);
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Assert.AreEqual(SwapPenaltyInterestCalculator.PenaltyEventReason, e.EventReason, "事件原因=罚息");
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Assert.AreEqual((int)SwapEventTypeEnum.平仓, e.EventType, "事件类型=平仓（下游聚合无差别）");
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Assert.AreEqual(UnwindDate, e.UnwindDate, "UnwindDate=平仓日（不伪造成到期日）");
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Assert.AreEqual((int)SwapFlowDateStateEnum.完成, e.DataState);
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Assert.AreEqual((double)e.InterestAmount, (double)(-e.InterestClosePnL), 0.0001,
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"支付方向：InterestClosePnL = InterestAmount × (-1)");
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}
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[TestMethod]
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public void 零剩余期限_金额为零()
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{
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var e = SwapPenaltyInterestCalculator.CalcPenalty(
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CreateTrade(), CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付),
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closePrincipal: Notional,
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unwindDate: MaturityDate, maturityDate: MaturityDate,
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unwindDaySettled: true, maturityCalcLast: true,
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capitalizedInterest: 90_000m, carryInInterest: 10_000m,
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frozenRate: FundingLegRate.Fixed(Rate),
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policy: Policy(CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付)),
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resetAnchor: StartDate,
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eventType: (int)SwapEventTypeEnum.平仓, valueDate: MaturityDate);
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Assert.AreEqual(0m, e.InterestAmount, "平仓日=到期日无剩余期限，罚息为 0（承接量不产生利息）");
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}
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}
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}
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Reference in New Issue
Block a user