namespace YLErp.Modules.SwapModule { /// /// 平仓比例口径A(占期初名义本金)产品契约测试 /// ================================================================================ /// 产品需求(不可违背): /// ClosePercent 永远是"占期初名义本金(NotionalValue)的比例",即口径A。 /// 例:期初本金 5000 万,首次平 35%(ClosePercent=0.35),剩余 3250 万。 /// 第二次想平掉剩余的 50%,ClosePercent 应 = 1625万/5000万 = 0.325(占期初), /// 而非 0.50(占剩余)。 /// /// 前后端协作约定: /// - 前端(unwindSwapTrade.js):ClosePercent 始终以 NotionalValue 为分母计算/显示 /// - 前端传给后端:ClosePercent 为口径A /// - 后端入口(SwapUnwind/ApplySwapTrade):ToRemainingClosePercent 将 A→B 供内部计算 /// - 后端落库(SaveSwapDealInternal):ToOriginalClosePercent 将 B→A 还原存储 /// - 后端 InitUnwind 默认值:CalcDefaultInitClosePercent = PosiNotionalValue/NotionalValue(口径A) /// /// 本测试守护的回归场景(c9071a4e 曾犯的错误): /// 1. 前端把 oriClosePercent 硬编码为 1(应为 PosiNotionalValue/NotionalValue) /// 2. 前端把 CloseNotionalValue 分母从 NotionalValue 改为 PosiNotionalValue /// 3. 前端把 ClosePercent 分母从 NotionalValue 改为 PosiNotionalValue /// 4. 前端把 getInterestList 的 notionalValue/posiNotionalValue 参数去掉 /// 5. 前端把 calcCloseQtyByPercent 从 SwapCalc.calcCloseQtyByOriginalPercent 改为直接乘 /// 6. 后端 InitUnwind 默认 ClosePercent 改为 1 而非剩余比例 /// /// 与既有测试的关系: /// - ApplySwapTradeClosePercentBugTest:测 A→B 转换函数正确性(函数级) /// - InitUnwindDefaultClosePercentTest:测默认值函数正确性(函数级) /// - 本测试:测完整多步场景的口径A契约(场景级),补齐"装配测试"盲区 /// ================================================================================ [TestClass] public class ClosePercentProductContractTest { // GLMS-20260701-0006 真实数据 private const decimal OriginalNotional = 50_000_000m; // 期初名义本金(NotionalValue) private const decimal FirstClosePercentA = 0.35m; // 第一次平仓35%(口径A) private const decimal RemainingAfter1st = 32_500_000m; // 首次平35%后剩余(PosiNotionalValue) // 第二次想平掉剩余的 50% → 平仓额=16,250,000 → ClosePercent(A)=1625万/5000万=0.325 private const decimal SecondCloseNotional = 16_250_000m; private const decimal SecondClosePercentA = 0.325m; // 口径A:占期初 private const decimal SecondClosePercentB = 0.50m; // 口径B:占剩余 // ================================================================ // 契约1:ClosePercent = CloseNotionalValue / NotionalValue(口径A) // 如果有人把分母改成 PosiNotionalValue,此测试会红 // ================================================================ [TestMethod] public void CPC_001_平仓比例必须用期初名义本金为分母_而非剩余名义本金() { // 正确:口径A = 平仓名义本金 / 期初名义本金 decimal correctA = SecondCloseNotional / OriginalNotional; SwapDealTestFactory.AssertDecimalEqual(SecondClosePercentA, correctA, 1e-10m, "口径A:16,250,000 / 50,000,000 = 0.325"); // 错误:口径B = 平仓名义本金 / 剩余名义本金 decimal buggyB = SecondCloseNotional / RemainingAfter1st; SwapDealTestFactory.AssertDecimalEqual(SecondClosePercentB, buggyB, 1e-10m, "口径B(错误):16,250,000 / 32,500,000 = 0.50"); // 两者必须不同——如果相同说明测试场景退化(首次平仓 remaining==original) Assert.AreNotEqual(correctA, buggyB, "口径A(0.325) 和 口径B(0.50) 在多次部分平仓后必须不同,否则测试场景退化"); Console.WriteLine($"口径A={correctA}(正确),口径B={buggyB}(错误)"); } // ================================================================ // 契约2:CloseNotionalValue = ClosePercent × NotionalValue(口径A) // 如果有人把乘数改成 PosiNotionalValue,此测试会红 // ================================================================ [TestMethod] public void CPC_002_平仓名义本金必须用期初名义本金为乘数_而非剩余名义本金() { // 正确:口径A → CloseNotionalValue = ClosePercent(A) × NotionalValue decimal correctNotional = SecondClosePercentA * OriginalNotional; SwapDealTestFactory.AssertDecimalEqual(SecondCloseNotional, correctNotional, 1e-6m, "口径A:0.325 × 50,000,000 = 16,250,000"); // 错误:口径B → CloseNotionalValue = ClosePercent(A) × PosiNotionalValue // 如果前端传口径A的0.325但误用 PosiNotionalValue 做乘数 decimal buggyNotional = SecondClosePercentA * RemainingAfter1st; // 0.325 × 32,500,000 = 10,562,500 ≠ 16,250,000 Assert.AreNotEqual(SecondCloseNotional, buggyNotional, "口径A的0.325 × 剩余本金32,500,000 = 10,562,500 ≠ 16,250,000,乘数错了"); Console.WriteLine($"正确={correctNotional},错误(用剩余)={buggyNotional}"); } // ================================================================ // 契约3:oriClosePercent = PosiNotionalValue / NotionalValue(不能硬编码为1) // 如果有人把 oriClosePercent 改成 1,此测试会红 // ================================================================ [TestMethod] public void CPC_003_最多可平比例必须为剩余除以期初_不能硬编码为1() { // 正确:oriClosePercent = PosiNotionalValue / NotionalValue decimal correctOri = RemainingAfter1st / OriginalNotional; SwapDealTestFactory.AssertDecimalEqual(0.65m, correctOri, 1e-10m, "oriClosePercent = 32,500,000 / 50,000,000 = 0.65"); // 错误:硬编码为 1(c9071a4e 的错误) decimal buggyOri = 1m; Assert.AreNotEqual(correctOri, buggyOri, "多次部分平仓后 oriClosePercent 必须小于 1,硬编码 1 会允许平超过剩余持仓"); // 首次平仓时 oriClosePercent 才等于 1(remaining == original) decimal firstTimeOri = OriginalNotional / OriginalNotional; SwapDealTestFactory.AssertDecimalEqual(1m, firstTimeOri, 1e-10m, "首次平仓时 oriClosePercent = 1(remaining == original)"); Console.WriteLine($"多次部分平仓后:oriClosePercent={correctOri}(≠1),首次:{firstTimeOri}(=1)"); } // ================================================================ // 契约4:CloseQty 必须经过 A→B 转换,不能直接 PositionQty × ClosePercent(A) // 如果有人删除 calcCloseQtyByOriginalPercent 调用改为直接乘,此测试会红 // ================================================================ [TestMethod] public void CPC_004_平仓数量必须经过口径A到B转换_不能直接乘() { // 场景:期初数量 32,500,000(=剩余数量),oriClosePercent=0.65 // 用户输入 ClosePercent(A) = 0.325(想平剩余的 50%) decimal positionQty = RemainingAfter1st; // 32,500,000 decimal oriClosePercent = RemainingAfter1st / OriginalNotional; // 0.65 // 正确:CloseQty = PositionQty × (ClosePercent(A) / oriClosePercent) // = 32,500,000 × (0.325 / 0.65) = 32,500,000 × 0.5 = 16,250,000 decimal correctQty = positionQty * (SecondClosePercentA / oriClosePercent); SwapDealTestFactory.AssertDecimalEqual(16_250_000m, correctQty, 1e-6m, "正确:32,500,000 × (0.325/0.65) = 16,250,000"); // 错误:CloseQty = PositionQty × ClosePercent(A)(直接乘,不做转换) // = 32,500,000 × 0.325 = 10,562,500 ❌ decimal buggyQty = positionQty * SecondClosePercentA; Assert.AreNotEqual(correctQty, buggyQty, "直接乘会得到 10,562,500 而非 16,250,000,数量算少 35%"); // JS 浮点精度守卫:32500000×(0.5/0.65) 可能 = 24999999.999999996 // SwapCalc.calcCloseQtyByOriginalPercent 用 roundHalfAwayFromZero 修复 decimal jsFloatTrap = (decimal)((double)positionQty * ((double)SecondClosePercentA / (double)oriClosePercent)); Console.WriteLine($"正确={correctQty},错误(直接乘)={buggyQty},JS浮点陷阱={jsFloatTrap}"); } // ================================================================ // 契约5:后端 A→B→A 往返转换必须还原(多次部分平仓场景) // 守护 SwapUnwind/ApplySwapTrade 入口的 ToRemainingClosePercent + SaveSwapDealInternal 的 ToOriginalClosePercent // ================================================================ [TestMethod] public void CPC_005_多次部分平仓_A到B到A往返转换必须还原原值() { // 第二次部分平仓:前端传 ClosePercent(A) = 0.325 decimal closePercentA = SecondClosePercentA; // 后端入口:A → B decimal closePercentB = SwapDealService.ToRemainingClosePercent( closePercentA, OriginalNotional, RemainingAfter1st); SwapDealTestFactory.AssertDecimalEqual(SecondClosePercentB, closePercentB, 1e-10m, "A→B:0.325 × 50,000,000 / 32,500,000 = 0.50"); // 后端落库:B → A 还原 decimal restoredA = SwapDealService.ToOriginalClosePercent( closePercentB, OriginalNotional, RemainingAfter1st); SwapDealTestFactory.AssertDecimalEqual(closePercentA, restoredA, 1e-10m, "B→A 还原:0.50 × 32,500,000 / 50,000,000 = 0.325(必须等于原始A)"); Console.WriteLine($"A={closePercentA} → B={closePercentB} → A'={restoredA} ✅ 往返还原"); } // ================================================================ // 契约6:后端 InitUnwind 默认 ClosePercent = PosiNotionalValue / NotionalValue(口径A) // 不能硬编码为 1(c9071a4e 前端硬编码1的错误在后端等价于此) // ================================================================ [TestMethod] public void CPC_006_InitUnwind默认值必须为剩余除以期初_不能硬编码为1() { // 多次部分平仓后:期初 50M,剩余 32.5M decimal defaultValue = SwapDealService.CalcDefaultInitClosePercent( OriginalNotional, RemainingAfter1st); // 正确:0.65(占期初的"平剩余全部"比例) SwapDealTestFactory.AssertDecimalEqual(0.65m, defaultValue, 1e-10m, "CalcDefaultInitClosePercent(50M, 32.5M) = 0.65(口径A)"); // 不能是 1(硬编码错误) Assert.AreNotEqual(1m, defaultValue, "多次部分平仓后默认值不能为1,否则意味着'平掉原始全部'而非'平剩余全部'"); Console.WriteLine($"InitUnwind 默认 ClosePercent(A) = {defaultValue}(≠1)✅"); } // ================================================================ // 契约7:SwapUnwind 第二次部分平仓必须正确做 A→B 转换 // 这是"装配测试"——验证后端入口确实执行了转换,而不只是函数本身正确 // ================================================================ [TestMethod] public void CPC_007_SwapUnwind第二次部分平仓_入口必须将ClosePercent从A转为B() { // 模拟 GLMS-20260701-0006 第二次部分平仓 var td = new trade { id = 2001, TradeNumber = "CPC-TEST-007", TradeType = "收益互换", TradeStatus = "确认成交", ValidState = "Valid", StockEqvNotional = (double)RemainingAfter1st, // 32,500,000 OriginalStockEqvNotional = (double)OriginalNotional, // 50,000,000 Notional = (double)RemainingAfter1st, TradeAmount = (double)RemainingAfter1st }; var service = new TestableSwapDealService(td); // 前端传 ClosePercent = 0.325(口径A,占期初) var unwindData = new UnwindData { SwapTradeId = td.id, SwapRealizedPnL = 1000m, SwapCloseAmount = 1000m, CloseMethod = (int)CloseMethodEnum.部分平仓, ClosePercent = SecondClosePercentA, // 0.325(口径A) CloseQty = 16_250_000m, CloseNotionalValue = SecondCloseNotional, // 16,250,000 PositionQty = RemainingAfter1st, // 32,500,000 NotionalValue = OriginalNotional, // 50,000,000(期初) PosiNotionalValue = RemainingAfter1st, // 32,500,000(剩余) ValueDate = new DateTime(2026, 7, 14), UnwindDate = new DateTime(2026, 7, 15), StartDate = new DateTime(2026, 7, 1) }; service.SwapUnwind(unwindData); // 验证 SwapUnwind 被调用 Assert.AreEqual(1, service.SaveSwapDealCalls.Count, "SwapUnwind 应调用 SaveSwapDeal"); // 验证传给 SaveSwapDeal 的 ClosePercent 已转为口径B var savedData = service.SaveSwapDealCalls[0].data; decimal expectedB = SwapDealService.ToRemainingClosePercent( SecondClosePercentA, OriginalNotional, RemainingAfter1st); SwapDealTestFactory.AssertDecimalEqual(expectedB, savedData.ClosePercent, 1e-10m, "SwapUnwind 应将 ClosePercent 从口径A(0.325)转为口径B(0.50)"); // 口径B 不等于口径A(验证转换确实发生了) Assert.AreNotEqual(SecondClosePercentA, savedData.ClosePercent, "口径B(0.50) 不应等于口径A(0.325),否则说明转换缺失"); Console.WriteLine($"SwapUnwind: 输入A={SecondClosePercentA} → 输出B={savedData.ClosePercent} ✅"); } // ================================================================ // 契约8:完整多步场景——3次平仓合计应等于期初本金 // 首次35%(A) → 第二次平剩余50%(A=0.325) → 第三次全平剩余(A=0.325) // 合计 CloseNotionalValue = 17.5M + 16.25M + 16.25M = 50M = 原始本金 // ================================================================ [TestMethod] public void CPC_008_三次部分平仓合计本金必须等于期初名义本金() { decimal remaining = OriginalNotional; // 50,000,000 decimal totalClosed = 0m; // Step1: 平 35%(首次,remaining == original, A = B = 0.35) decimal step1A = 0.35m; decimal step1Notional = step1A * OriginalNotional; // 17,500,000 totalClosed += step1Notional; remaining -= step1Notional; // 32,500,000 // Step2: 平剩余的 50% → A = 16,250,000 / 50,000,000 = 0.325 decimal step2Notional = 16_250_000m; decimal step2A = step2Notional / OriginalNotional; // 0.325 // 后端 A→B 转换 decimal step2B = SwapDealService.ToRemainingClosePercent( step2A, OriginalNotional, remaining); SwapDealTestFactory.AssertDecimalEqual(0.50m, step2B, 1e-10m, "Step2: A=0.325 → B=0.50(平剩余50%)"); totalClosed += step2Notional; remaining -= step2Notional; // 16,250,000 // Step3: 全平剩余 → A = 16,250,000 / 50,000,000 = 0.325 decimal step3Notional = remaining; decimal step3A = step3Notional / OriginalNotional; // 0.325 decimal step3B = SwapDealService.ToRemainingClosePercent( step3A, OriginalNotional, remaining); SwapDealTestFactory.AssertDecimalEqual(1.0m, step3B, 1e-10m, "Step3: A=0.325 → B=1.0(全平剩余)"); totalClosed += step3Notional; remaining -= step3Notional; // 0 // 守恒:合计 = 期初 SwapDealTestFactory.AssertDecimalEqual(OriginalNotional, totalClosed, 1e-6m, "三次平仓合计必须 = 期初名义本金 50,000,000"); SwapDealTestFactory.AssertDecimalEqual(0m, remaining, 1e-6m, "三次平仓后剩余必须 = 0"); Console.WriteLine($"Step1: A=0.35, Notional=17,500,000"); Console.WriteLine($"Step2: A=0.325→B=0.50, Notional=16,250,000"); Console.WriteLine($"Step3: A=0.325→B=1.00, Notional=16,250,000"); Console.WriteLine($"合计={totalClosed} = 期初{OriginalNotional} ✅"); } // ================================================================ // 契约9:GetUnwindInterestList 必须接收 notionalValue 和 posiNotionalValue // 前端 getInterestList 传这两个参数给后端做 A→B 转换 // 如果前端删掉这两个参数,后端 ToRemainingClosePercent 在 posiNotionalValue=0 时会跳过转换 // ================================================================ [TestMethod] public void CPC_009_ToRemainingClosePercent_PosiNotionalValue为零时跳过转换_前端必须传值() { // 模拟前端不传 notionalValue/posiNotionalValue(默认0) decimal result = SwapDealService.ToRemainingClosePercent( SecondClosePercentA, notionalValue: 0, posiNotionalValue: 0); // posiNotionalValue <= 0 时直接返回原值(不转换) SwapDealTestFactory.AssertDecimalEqual(SecondClosePercentA, result, 1e-10m, "posiNotionalValue=0 时不做转换——所以前端必须传 notionalValue/posiNotionalValue"); // 正确:前端传值后转换正常 decimal resultWithValues = SwapDealService.ToRemainingClosePercent( SecondClosePercentA, OriginalNotional, RemainingAfter1st); SwapDealTestFactory.AssertDecimalEqual(SecondClosePercentB, resultWithValues, 1e-10m, "前端传值后:A=0.325 → B=0.50 ✅"); // 两者必须不同 Assert.AreNotEqual(result, resultWithValues, "传 vs 不传 notionalValue 结果不同——前端必须传,否则利息计算用错口径"); Console.WriteLine($"不传值(默认0):{result}(未转换,错误地用A算利息)"); Console.WriteLine($"传值:{resultWithValues}(正确转换为B)"); } // ================================================================ // 契约10:首次平仓 A==B(退化场景,不应误报) // 首次平仓时 NotionalValue == PosiNotionalValue,A=B,转换系数=1 // 这是既有测试全绿的原因——必须用非退化场景才能捕获回归 // ================================================================ [TestMethod] public void CPC_010_首次平仓A等于B_退化场景_不能作为唯一测试() { decimal closePercentA = 0.35m; decimal firstRemaining = OriginalNotional; // 首次 remaining == original decimal convertedB = SwapDealService.ToRemainingClosePercent( closePercentA, OriginalNotional, firstRemaining); // 首次平仓:A == B(转换系数 = 1) SwapDealTestFactory.AssertDecimalEqual(closePercentA, convertedB, 1e-10m, "首次平仓 remaining==original → A==B==0.35(退化场景)"); // 退化场景下即使不做转换结果也一样——这就是既有测试全绿的原因 decimal noConversion = closePercentA; Assert.AreEqual(noConversion, convertedB, "退化场景:做不做转换结果一样 → 无法发现'转换缺失'的bug"); Console.WriteLine($"⚠ 退化场景:A={closePercentA} == B={convertedB}(首次平仓,无法暴露双重转换bug)"); Console.WriteLine($"✅ 非退化场景见 CPC_005/007:A=0.325 ≠ B=0.50(多次部分平仓后才能暴露)"); } } }