using YLErp.DBModels; using YLErp.DBModels.Enums; namespace YLErp.Modules.SwapModule { /// /// 端到端:盘中收益互换(DividendIn 由生产方法 GetPreEodDividendSum 真实算出)→ 保存 → EOD, /// 验证分红【不重复累计】(EOD TdCloseDividend 扣减 DividendIn)且【不丢失】(当日新计进 PosiDividendSum)。 /// /// 与 MultiUnwindDividendConservationTest.MU_001 的区别:MU_001 的互换 DividendIn 是测试喂的常量; /// 本测试的 DividendIn 由生产方法 GetPreEodDividendSum 真实算出(读 EOD 快照),再喂给 EOD—— /// 覆盖"预览算 DividendIn + EOD 扣减"的完整链路(MU_001 的缺口)。 /// [TestClass] public class DividendEodNoDoubleCountTest { private const int SwapTradeId = 9200; private const long PositionId = 9201; private const decimal InitialQty = 1000m; private const decimal DailyRatePerUnit = 0.01m; // 每单位每天 0.01,便于手算 private static readonly DateTime StartDate = new(2026, 1, 5); #region Stubs /// SwapDealService stub:暴露 GetPreEodDividendSum,注入 EOD 数据(不连库)。 private sealed class DealSvcStub : SwapDealService { private readonly List _eodSwaps; private readonly List _eodPositions; public DealSvcStub(List eodSwaps, List eodPositions) : base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; } public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate) => GetPreEodDividendSum(tradeId, positionId, dealDate); protected override IQueryable QueryPreEodSwaps(int tradeId) => _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable(); protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate) => _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate); } /// SwapEodPositionService stub:暴露 UpdateEodPosition/CopyEodPosition + 线性 CalcBondPayment。 private sealed class EodSvcStub : TestableSwapEodPositionService { public EodSvcStub() : base(nameof(DividendEodNoDoubleCountTest)) { } protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio) { int days = Math.Max(0, (int)(toDate - fromDate).TotalDays); return DailyRatePerUnit * days * qty * shortRatio * directionRatio; } protected override underlying_manager GetUnderlyingData(string underlyingCode) => new underlying_manager { ValueAddedTax = 0m }; protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp) { vobp = 0m; return 1.00m; } public eod_swap_position ExecuteUpdateEodPosition(swap_position swapPosition, eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate, List unwindEvents) => UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents); public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate) => CopyEodPosition(eod, null, td, valueDate, preSettleDate); } #endregion #region 数据构建 private static trade CreateTrade() => new trade { id = SwapTradeId, TradeNumber = "UT-DIV-EOD-001", ClientId = 999999, TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate, ExerciseDate = new DateTime(2027, 1, 5), TradeStatus = "确认成交", ValidState = "Valid", StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY", OriginalStockEqvNotional = (double)(InitialQty * 1.00m) }; private static swap_position CreatePosition() => new swap_position { id = PositionId, SwapTradeId = SwapTradeId, PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long, UnderlyingCode = "210210.IB", ContractSize = 1m, PosiQuantity = InitialQty, PosiNotionalValue = InitialQty, PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m, PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m, IsInitial = true, Invalid = false, PosiTradingFee = 0, PosiTradingFeePending = 0 }; private static eod_swap_position CreateInitialEod() => new eod_swap_position { id = 1, SwapTradeId = SwapTradeId, PositionId = PositionId, ValueDate = StartDate, PosiQuantity = InitialQty, PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long, UnderlyingCode = "210210.IB", ContractSize = 1m, PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m, PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m, PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m, RealizedDividend = 0m, PosiFeePending = 0m, InterestProfitSum = 0m, Invalid = false }; private static swap_flow_event SwapEvent(decimal dividendIn, DateTime eventDate) => new swap_flow_event { SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.互换, PositionId = PositionId, Quantity = 0m, DividendIn = dividendIn, MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m, EventDate = eventDate, PayDate = eventDate, DataState = (int)SwapFlowDateStateEnum.完成 }; private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg) => Assert.IsTrue(Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}"); #endregion /// /// 盘中收益互换:DividendIn 由 GetPreEodDividendSum 真实算(读 T-1 EOD)→ 保存 → EOD。 /// 验证:不重复(EOD TdCloseDividend 扣 DividendIn)+ 不丢失(当日新计进 PosiDividendSum)+ 守恒。 /// /// 序列(StartDate=1/5,每日 0.01×1000=10): /// D1=1/6 无事件 Copy:PosiDividendSum = 0 + 10 = 10 /// D2=1/7 盘中互换:GetPreEodDividendSum(读 D1) → DividendIn=10;保存 swap_event;EOD:新计 10 - 实现 10 → PosiDividendSum=10 /// 守恒:全程新计(10+10) - 全程实现(10) = 末尾 PosiDividendSum(10) /// [TestMethod] public void 盘中收益互换_DividendIn真实算_保存后EOD_不重复不丢失() { var eodSvc = new EodSvcStub(); var td = CreateTrade(); var position = CreatePosition(); var initialEod = CreateInitialEod(); // D1=1/6 无事件 EOD var d1 = new DateTime(2026, 1, 6); var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate); AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum(0+1天×10)"); // D2=1/7 盘中:DividendIn 由生产方法 GetPreEodDividendSum 真实算(读 D1 EOD,当日 EOD 未生成) var d2 = new DateTime(2026, 1, 7); var dealSvc = new DealSvcStub( new List { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } }, new List { r1 }); decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2); AssertDecimalEqual(10m, dividendIn, 0.01m, "盘中 DividendIn=GetPreEodDividendSum 读 T-1(D1)=10"); Console.WriteLine($"[盘中预览] DividendIn={dividendIn}(读 T-1 EOD PosiDividendSum={r1.PosiDividendSum})"); // 保存互换事件(DividendIn=真实算出的值,模拟界面点收益互换后保存) var swapEvent = SwapEvent(dividendIn, d2); // D2=1/7 EOD(UpdateEodPosition,真实生产递推) var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List { swapEvent }); // 断言:不重复 + 不丢失 AssertDecimalEqual(10m, r2.TdPosiDividend, 0.01m, "D2 当日新计(1天×10)"); AssertDecimalEqual(dividendIn, r2.TdCloseDividend, 0.01m, "D2 TdCloseDividend=互换DividendIn(扣减→不重复累计)"); AssertDecimalEqual(10m, r2.PosiDividendSum, 0.01m, "D2 PosiDividendSum=前日10+新计10-实现10=10(当日新计挂着→不丢失)"); // 守恒:全程新计 - 全程实现 = 末尾 PosiDividendSum decimal totalNew = r1.TdPosiDividend + r2.TdPosiDividend; decimal totalRealized = r2.TdCloseDividend; AssertDecimalEqual(r2.PosiDividendSum, totalNew - totalRealized, 0.01m, $"守恒:末尾 PosiDividendSum({r2.PosiDividendSum}) = 全程新计({totalNew}) - 全程实现({totalRealized})"); Console.WriteLine($"[EOD 后] TdPosiDividend={r2.TdPosiDividend} TdCloseDividend={r2.TdCloseDividend} PosiDividendSum={r2.PosiDividendSum}"); Console.WriteLine($"结论:互换实现 {dividendIn} 被扣减(不重复);当日新计 {r2.TdPosiDividend} 挂 PosiDividendSum(不丢失)"); } } }