using System; using System.Collections.Generic; using Microsoft.VisualStudio.TestTools.UnitTesting; using Newtonsoft.Json; using YLErp; using YLErp.DBModels; using YLErp.DBModels.Enums; using YLErp.Modules.SwapModule; using YLErp.Modules.SwapModule.Accrual; using YLErp.Derivatives.Interest; namespace UnitTestProject.Modules.SwapModule.Accrual { /// /// 影子测试:CalcDailySimpleInterest(旧逐日循环)vs FundingLegAccrual.AccrueSimplePeriod(新分段纯函数)。 /// [TestClass] public class SimplePeriodShadowTest { private const decimal Notional = 100_000_000m; private const decimal Spread = 0.0025m; private const int AnnualDays = 365; private static readonly DateTime StartDate = new(2026, 4, 21); private static readonly DateTime EndDate = new(2026, 5, 11); // 21天, 7天周期→重置日 4/28, 5/5 private static trade CreateTrade() { return new trade { id = 1, TradeNumber = "UT-SIMPLE-SHADOW", ClientId = 999998, TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate, ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid", trade_extend = new trade_extend { TradeId = 1, ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson { AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0 }) } }; } private static swap_position CreatePosition() { return new swap_position { id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Spread, InterestPrincipalFix = Notional, PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1), IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true, interest_rest_days = 7, interest_rule = 0, FloatRateUnderlyingCode = null, InterestSwapInterval = "[]" }; } private sealed class StubSvc : SwapDealService { public StubSvc() : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest)) { } } /// /// 固定利率(无FR007)算头不算尾,全平,无历史归档。 /// [TestMethod] public void 影子_固定利率_无归档_旧新一致() { var td = CreateTrade(); var position = CreatePosition(); var flowEvent = new swap_flow_event { InterestRate = Spread }; var preEod = new eod_swap_position { id = 0, TdInterestPrincipal = 0, InterestProfitSum = 0 }; // 旧方法 decimal oldI = 0, oldTd = 0; var svc = new StubSvc(); svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent, AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd); // 新方法:固定利率全段相同 // 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0 var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) }; var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0 var result = FundingLegAccrual.AccrueSimplePeriod( priorAccrued: 0m, notional: 0m, unwindFraction: 1m, segmentRates: segRates, startDate: StartDate, endDate: EndDate, priorValueDate: DateTime.MinValue, boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true); Console.WriteLine($"旧: I={oldI} Td={oldTd}"); Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}"); Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致"); } /// /// 有历史归档(preEod.id != 0),续接上一日终。 /// [TestMethod] public void 影子_有归档_续接_旧新一致() { var position = CreatePosition(); var preEodDate = new DateTime(2026, 5, 4); // 上一日终 = 第14天 var preEod = new eod_swap_position { id = 1, SwapTradeId = 1, PositionId = 1001, ValueDate = preEodDate, TdInterestPrincipal = Notional, InterestProfitSum = 200_000m, PosiNotionalValue = Notional, FloatRate = 0m }; var flowEvent = new swap_flow_event { InterestRate = Spread }; // 旧方法 decimal oldI = 0, oldTd = 0; var svc = new StubSvc(); svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent, AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd); // 新方法 // 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv var accrualPrincipal = Notional + Notional - Notional; var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) }; var result = FundingLegAccrual.AccrueSimplePeriod( priorAccrued: 200_000m * 0.5m, notional: accrualPrincipal, unwindFraction: 0.5m, segmentRates: segRates, startDate: StartDate, endDate: EndDate, priorValueDate: preEodDate, boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true); Console.WriteLine($"旧: I={oldI} Td={oldTd}"); Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}"); Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致"); } } }