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

2026-08-20 11:51:25 +08:00
parent 6a32181ef7
commit ed86402aba
2 changed files with 294 additions and 0 deletions
@@ -0,0 +1,81 @@
+using YLErp.DBModels.Enums;
+using YLErp.Modules.SwapModule;
+using YLErp.Modules.SwapModule.Accrual;
+using YLErp.Modules.SwapModule.Penalty;
+
+namespace UnitTestProject.Modules.SwapModule.Penalty
+{
+    /// <summary>
+    /// EQD-6977 罚息冻结利率解析契约测试。
+    /// 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。
+    /// </summary>
+    [TestClass]
+    public class PenaltyLegRateResolverTest
+    {
+        private const decimal Spread = 0.05m; // +500bp
+        private static readonly DateTime UnwindDate = new(2026, 8, 25);
+
+        private static swap_position CreateFloatPosition(int interestRule = 0)
+            => new()
+            {
+                id = 1001, SwapTradeId = 1, PosiDirection = 0,
+                InterestDirection = (int)SwapDirectionEnum.支付,
+                InterestMode = (int)InterestModeEnum.标的期初全价,
+                InterestRateDefault = Spread,
+                PosiStartDate = new DateTime(2026, 7, 31),
+                interest_rest_days = 7, interest_rule = interestRule,
+                FloatRateUnderlyingCode = "FR007",
+                FloatRate = 0.0185m
+            };
+
+        [TestMethod]
+        public void 浮动腿_preEod快照优先_重置日下午仍取上一区间()
+        {
+            // 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，
+            // 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。
+            var p = CreateFloatPosition();
+            var rate = PenaltyLegRateResolver.ResolveFrozenRate(
+                p, spread: Spread, preEodFloatRate: 0.0210m,
+                unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("preEod 在场时不应取价"));
+
+            Assert.AreEqual(Spread + 0.0210m, rate.AllInRate, "冻结 all-in = 利差 + 上一区间定盘");
+        }
+
+        [TestMethod]
+        public void 浮动腿_无preEod_按前一营业日取价日取定盘()
+        {
+            var p = CreateFloatPosition(interestRule: 0); // 当前营业日规则
+            DateTime? askedDate = null;
+            var rate = PenaltyLegRateResolver.ResolveFrozenRate(
+                p, spread: Spread, preEodFloatRate: null,
+                unwindDate: UnwindDate,
+                tryGetFixing: d => { askedDate = d; return 0.0195m; });
+
+            Assert.AreEqual(new DateTime(2026, 8, 24), askedDate, "取价日 = GetFixingDate(8/24, rule=0)");
+            Assert.AreEqual(Spread + 0.0195m, rate.AllInRate);
+        }
+
+        [TestMethod]
+        public void 浮动腿_无preEod_缺价抛异常()
+        {
+            var p = CreateFloatPosition();
+            Assert.ThrowsException<Exception>(() =>
+                PenaltyLegRateResolver.ResolveFrozenRate(
+                    p, spread: Spread, preEodFloatRate: null,
+                    unwindDate: UnwindDate, tryGetFixing: _ => null));
+        }
+
+        [TestMethod]
+        public void 固定腿_不取价_直接固定利率()
+        {
+            var p = CreateFloatPosition();
+            p.FloatRateUnderlyingCode = null;
+
+            var rate = PenaltyLegRateResolver.ResolveFrozenRate(
+                p, spread: Spread, preEodFloatRate: null,
+                unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("固定腿不应取价"));
+
+            Assert.AreEqual(Spread, rate.AllInRate);
+        }
+    }
+}