using System; using System.Collections.Generic; using Microsoft.VisualStudio.TestTools.UnitTesting; using YLErp.Derivatives.Interest; // InterestResult, AccrualBoundary, SwapInterest using YLErp.Modules.SwapModule.Accrual; // SimpleInterestAccrual namespace UnitTestProject.Modules.SwapModule.Accrual { /// /// 性格化测试:部分平仓时 TdInterestAmount 的 carry-in 是否被错误缩放。 /// 调用真实纯函数 SimpleInterestAccrual.AccruePeriod,参数与线上 SwapDealService.cs:1290 完全一致 /// (priorAccrued = InterestProfitSum * closePercent)。先钉死“当前行为”,修复后再改断言。 /// [TestClass] public class TdCarryInCharacterizationTest { [TestMethod] public void 部分平仓_历史累计利息_carryIn被缩放_复现当前行为() { // ── 例子(教学用整数,非市场真实利率)── // 昨日(上一EOD)全腿累计利息 InterestProfitSum = 100(不缩放口径,下游 EOD :1300/:1370 当累计用) // 今日部分平仓 closePercent = 0.3(平 30%) // 计息基数 notional = 1000(全腿) // 单段、年化=false、利率 0.10、区间 1 天 → 今日未缩放增量 = 1000*0.10*1 = 100 decimal interestProfitSum = 100m; decimal closePercent = 0.3m; decimal notional = 1000m; var segmentRates = new List<(DateTime, decimal)> { (new DateTime(2026, 6, 1), 0.10m) }; var startDate = new DateTime(2026, 6, 1); var endDate = new DateTime(2026, 6, 2); // 区间 1 天(StartOnly 边界 → days=1) var priorValueDate = new DateTime(2026, 5, 31); var boundary = AccrualBoundary.StartOnly; // 线上真实调用(SwapDealService.cs:1290):priorAccrued = InterestProfitSum * closePercent var result = SimpleInterestAccrual.AccruePeriod( priorAccrued: interestProfitSum * closePercent, // = 30 ← 已缩放 notional: notional, unwindFraction: closePercent, segmentRates: segmentRates, startDate: startDate, endDate: endDate, priorValueDate: priorValueDate, boundary: boundary, annualDays: 365, isAnnualized: false); Console.WriteLine("==== 当前代码(buggy)实际输出 ===="); Console.WriteLine($"InterestAmount (Accrued) = {result.Accrued}"); Console.WriteLine($"TdInterestAmount (AccruedToday) = {result.AccruedToday}"); // ── 推演(当前代码)── // InterestAmount = 30 + 300*0.10*1(=30) = 60 (缩放累计,正确) // TdInterestAmount= 30 + 1000*0.10*1(=100) = 130 ← 应为 200 // 差距 = 100*(1-0.3) = 70,即历史累计被砍掉的那一截。 Assert.AreEqual(60m, result.Accrued); Assert.AreEqual(130m, result.AccruedToday); // 当前 buggy 值,先钉死现状 // ── 期望值(修复后)── // TdInterestAmount 应为:InterestProfitSum(100, 不缩放) + 今日未缩放增量(100) = 200 // 修复 = SwapDealService.cs:1290 改传 InterestProfitSum(去 *closePercent) // + SimpleInterestAccrual.cs:68 accrued = priorAccrued * unwindFraction // 修复后 InterestAmount 仍 = 60(不变,正确),TdInterestAmount = 200。 } } }