using YLErp.Modules.SwapModule.Margin; namespace YLErp.Modules.SwapModule { /// /// R2 阶段三 §3.2 可用资金公式测试(需求拆分 R2 口径,实时/EOD/报告三处共用 SwapSpanBalanceCalc): /// 客户维度 = Max(现金结存 + 授信 − 已使用授信 + 初始保证金 − 维持保证金, 0); /// 合约维度 = Max(现金结存 + 授信 − 已使用授信 − 交易维度追加保证金合计, 0)。 /// 授信额度为 credit.Credit 合计(保存时已折算比例),现金结存=期末结存(阶段二起授信不进资金)。 /// [TestClass] public class SwapSpanBalanceCalcTest { [TestMethod] public void SB_001_客户维度_现金充足() { //现金200 + 授信100 − 已使用20 + 初始100 − 维持150 = 230 Assert.AreEqual(230, SwapSpanBalanceCalc.CalcClientDimensionAvailable( cashBalance: 200, totalCredit: 100, usedCredit: 20, initialMargin: 100, maintenanceMargin: 150), 1e-6); } [TestMethod] public void SB_002_客户维度_现金不足_截断为0() { //现金20 + 0 − 0 + 100 − 130 = −10 → 0(追加10未补足时无可用资金) Assert.AreEqual(0, SwapSpanBalanceCalc.CalcClientDimensionAvailable( cashBalance: 20, totalCredit: 0, usedCredit: 0, initialMargin: 100, maintenanceMargin: 130), 1e-6); } [TestMethod] public void SB_003_客户维度_授信可用额参与覆盖() { //现金20 + 授信100 − 已使用20 + 100 − 130 = 70 Assert.AreEqual(70, SwapSpanBalanceCalc.CalcClientDimensionAvailable( cashBalance: 20, totalCredit: 100, usedCredit: 20, initialMargin: 100, maintenanceMargin: 130), 1e-6); } [TestMethod] public void SB_004_合约维度_按交易追加合计扣减() { //现金20 + 授信100 − 已使用20 − 追加合计30 = 70 Assert.AreEqual(70, SwapSpanBalanceCalc.CalcContractDimensionAvailable( cashBalance: 20, totalCredit: 100, usedCredit: 20, tradeAdditionalMarginSum: 30), 1e-6); } [TestMethod] public void SB_005_合约维度_扣尽截断为0() { Assert.AreEqual(0, SwapSpanBalanceCalc.CalcContractDimensionAvailable( cashBalance: 20, totalCredit: 0, usedCredit: 0, tradeAdditionalMarginSum: 30), 1e-6); } /// /// 阶段三口径一致性:无追加保证金流水时(阶段四前),两维度公式数值一致—— /// 交易追加合计 = Σ(维持−累计) = 维持 − 初始,与客户维度的 (初始−维持) 项互相抵消。 /// [TestMethod] public void SB_006_阶段三两维度数值一致() { var cash = 20d; var credit = 100d; var used = 20d; var initial = 100d; var maintenance = 130d; var clientDimension = SwapSpanBalanceCalc.CalcClientDimensionAvailable(cash, credit, used, initial, maintenance); var contractDimension = SwapSpanBalanceCalc.CalcContractDimensionAvailable(cash, credit, used, maintenance - initial); Assert.AreEqual(clientDimension, contractDimension, 1e-9); } /// /// 阶段四 §4.2 客户维度双向追保:正数=需追保,不以 0 截断。 /// [TestMethod] public void SB_010_客户维度追保金额_正数需追保() { //追保差额 (维持150 − 初始100)=50;资金 现金5+授信0−已使用0=5 → 追保 = 50 − 5 = 45 Assert.AreEqual(45, SwapSpanBalanceCalc.CalcClientDimensionCallMargin( cashBalance: 5, totalCredit: 0, usedCredit: 0, initialMargin: 100, maintenanceMargin: 150), 1e-6); } [TestMethod] public void SB_011_客户维度追保金额_负数可返还() { //差额 (维持130−初始100)=30,资金 20+100−20=100 → 追保 = 30 − 100 = −70(可返还,不截断为 0) Assert.AreEqual(-70, SwapSpanBalanceCalc.CalcClientDimensionCallMargin( cashBalance: 20, totalCredit: 100, usedCredit: 20, initialMargin: 100, maintenanceMargin: 130), 1e-6); } /// /// 客户维度追保金额与可用资金公式互为反向(去 Max 截断):追保 = −(未截断可用资金)。 /// [TestMethod] public void SB_012_客户维度追保与可用资金反向一致() { var cash = 20d; var credit = 100d; var used = 20d; var initial = 100d; var maintenance = 130d; var available = SwapSpanBalanceCalc.CalcClientDimensionAvailable(cash, credit, used, initial, maintenance); var callMargin = SwapSpanBalanceCalc.CalcClientDimensionCallMargin(cash, credit, used, initial, maintenance); var availableUnfloored = cash + credit - used + initial - maintenance; Assert.AreEqual(-availableUnfloored, callMargin, 1e-9); //可用资金被 0 截断时追保为正(需追保),两者不矛盾 if (availableUnfloored < 0) { Assert.AreEqual(0, available, 1e-9); Assert.IsTrue(callMargin > 0); } } /// /// 合约维度追保金额(需求原文 现金+授信−已使用 的应追加方向取值):账户透支为正=应补足,盈余为负。 /// [TestMethod] public void SB_013_合约维度追保金额_透支为正() { //现金−80 + 授信100 − 已使用30 = −10 → 追保 = 10(应补足) Assert.AreEqual(10, SwapSpanBalanceCalc.CalcContractDimensionCallMargin( cashBalance: -80, totalCredit: 100, usedCredit: 30), 1e-6); } [TestMethod] public void SB_014_合约维度追保金额_盈余为负() { //现金50 + 授信100 − 已使用20 = 130 → 追保 = −130(盈余可返还方向) Assert.AreEqual(-130, SwapSpanBalanceCalc.CalcContractDimensionCallMargin( cashBalance: 50, totalCredit: 100, usedCredit: 20), 1e-6); } } }