hjhan
b94cce68ee
删除 项目文档/双入口口径裁决-复利mode2部分平仓-20260816.md： 四轮状态改写的过程文档，终态有价值的技术事实已转移到代码注释与测试锚点。 保留的技术事实（新家）： - SwapEodPositionService:1325：恒1重算中间值不进结算现金流；系统端到端结果由 DI_EXCEL_SCENARIO4 家族对账确认书公式保障（最终全平=剩余额×∏利率，2026-08-18 手算复核）；改动口径前必读该测试家族——破坏 ∏ 恒等式的调整会被其拦截 - ContractReferenceOracleTest:13：Excel 金标准期望值亦符合确认书公式（复核记录） - EntrySemanticsTest 手算锚点 0.036165 保留（公式自含，去文档引用） 清理的 saga 痕迹：契约修复/裁决文档/暂缓/证伪 等过程性话语全部移除， 测试方法名与注释改为中性事实描述；[EOD平仓后收盘结息] 日志文案 '恒1全额结息(历史行为,契约修复暂缓)'→'全额结息(恒1惯例)'。 验证：编译 0 错误；EntrySemantics+Oracle 16/16 绿；全量 928=145/771/12 与基线逐位一致——纯注释/文档/日志文案改动，零逻辑变更。
471 lines
27 KiB
C#
471 lines
27 KiB
C#
using Newtonsoft.Json;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// GetInterests 双显式入口语义字符化测试（Step3"特判降级"的前置钉子）。
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///
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/// 背景：GetIntradayUnwindInterests（盘中：平仓前剩余×实际比例）与
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/// CalcEodPostCloseSettleInterests（EOD平仓后收盘：平仓后剩余×恒1）是同一经济事件
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/// （部分平仓）的两套传参语义，靠 GetInterests 内 mode2 无条件覆盖 / mode9 全平兜底粘合。
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/// 本测试钉死当前行为，使后续特判降级/语义重构有回归网：
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/// ① 复利×mode2：closePrincipal（特判产物）是 CalcDailyCompoundInterest 的重放本金——
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/// 两入口 closePosiNotionalValue 均为实际平掉额 → InterestAmount 必须相等；
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/// ② 单利×mode2：CalcDailySimpleInterest 消费的是 posiPrincipal×closePercent——
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/// 盘中(平仓前×比例) vs EOD(剩余×1) 数值口径可能不同，本测试【记录现状】（见各断言注释）；
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/// ③ mode9 全平（posi=0）：兜底覆盖生效，结息额非零。
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///
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/// 数据基建复用 GetInterestsUnitTest_T0 的构建器口径（T+0，4/27起息，"11"算头算尾）。
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/// </summary>
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[TestClass]
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public class GetInterestsEntrySemanticsTest
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{
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private const decimal Principal = 1000m;
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private const decimal FixedRate = 0.01m;
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private const decimal FloatRate = 0.001m;
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private const int AnnualDays = 365;
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private const int ResetPeriod = 3;
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private static readonly DateTime TradeDate = new(2026, 4, 27);
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime ExerciseDate = new(2027, 4, 27);
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private static readonly DateTime UnwindDate = new(2026, 4, 30);
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// 平仓前剩余 1000，平掉 30%（300），收盘后剩余 700
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private const decimal PreClose = 1000m;
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private const decimal Closed = 300m;
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private const decimal Remaining = 700m;
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private const decimal ClosePercent = 0.3m;
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#region Stub（浮动利率内存取价，与 T0 同款）
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private sealed class StubSwapDealService : SwapDealService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public StubSwapDealService(OptUserInfo optUser, IReadOnlyDictionary<DateTime, double> floatRates) : base(optUser)
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{
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_floatRates = floatRates;
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}
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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if (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase)) { rate = 0; return false; }
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if (_floatRates.TryGetValue(valueDate.Date, out rate)) return true;
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rate = 0;
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return false;
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}
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// 离线自洽：本测试场景无历史已结利息，等价于此前"空库查询返回 0"的行为，
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// 使复利路径(GetConsumedInterest)不再依赖数据库连通（YLErp_UNIT_TEST_SKIP_INITIALIZATION=1 可跑）。
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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=> 0m;
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}
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private static SwapDealService CreateService() => new StubSwapDealService(
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new OptUserInfo(0, nameof(GetInterestsEntrySemanticsTest), OptUserFrom.UnitTest),
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new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 27)] = (double)FloatRate,
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[new DateTime(2026, 4, 28)] = (double)FloatRate,
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[new DateTime(2026, 4, 29)] = (double)FloatRate,
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[new DateTime(2026, 4, 30)] = (double)FloatRate,
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});
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#endregion
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#region 数据构建（T0 口径）
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private static trade CreateTrade()
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "11", // 算头算尾
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SettlementRules = 0
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})
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};
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return new trade
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{
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id = 1, TradeNumber = "UT-INT-ENTRY-SEMANTICS", ClientId = 999998,
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TradeType = "收益互换", TradeDate = TradeDate, StartDate = StartDate,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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trade_extend = extend
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};
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}
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private static swap_position CreatePosition(InterestModeEnum mode, InterestTypeEnum interestType, bool floating = false)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
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};
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)mode,
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InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)interestType,
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IsAnnualized = true, interest_rest_days = ResetPeriod, interest_rule = 0,
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FloatRateUnderlyingCode = floating ? "FR007" : null,
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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private static eod_swap_position CreatePreEod(decimal interestSum, decimal principal)
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=> new()
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{
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id = 1, SwapTradeId = 1, PositionId = 1001, ValueDate = new DateTime(2026, 4, 29),
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ClientId = 999998, FloatRate = FloatRate, TdInterestPrincipal = principal,
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PosiNotionalValue = principal, InterestIncomeSum = interestSum, InterestProfitSum = interestSum
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};
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#endregion
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/// <summary>
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/// 复利×mode2×部分平仓30%：【同请求形状⇒同额】oracle（契约目标语义，修复落地时的现成回归网）。
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///
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/// 修复前（b01b485e 钉住的分歧）：盘中 0.036165（平掉额全程重放=确认书公式）vs
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/// EOD 0.059042（恒1 掉进全平专属分支，全腿待实现+末段增量，无契约依据，重算结果被丢弃）。
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/// 说明：EOD 平仓后收盘走恒1惯例形状；端到端结算结果由 DI_EXCEL_SCENARIO4 家族对账确认书公式保障
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/// （平仓前剩余+实际平掉额+真实比例），部分平仓不再进 closePrecent==1 分支。
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/// （最终全平=剩余额×∏利率，2026-08-18 手算复核 Excel BL/BN 均符合）。
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/// 观察日（autoSwap=true）路径仍走 EodPostCloseSettle（剩余+恒1），:1220 为其设计语义，不在本断言范围。
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/// </summary>
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[TestMethod]
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public void 复利_mode2_部分平仓_双入口契约口径一致()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.复利, floating: true);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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var intraday = CreateService().GetIntradayUnwindInterests(InterestCalcRequest.IntradayUnwind(
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td, td.trade_extend, UnwindDate, UnwindDate, eodPositions, positions,
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PreClose, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null));
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// 契约口径形状（与盘中同形状）：平仓前剩余 1000 + 平掉额 300 + 真实比例 0.3
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var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, PreClose, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, intraday.Count);
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Assert.AreEqual(1, eodPostClose.Count);
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Console.WriteLine($"[复利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
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// 契约 oracle：两入口同请求形状必须同额（=确认书公式"平掉额×全程参考利率"）
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Assert.AreEqual(intraday[0].InterestAmount, eodPostClose[0].InterestAmount, 0.000000001m,
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"GetInterests 层契约目标：同请求形状必须同额（生产入口修复暂缓中，本断言为落地时的现成回归网）");
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// 手算锚点：300×[(1+0.011×3/365)×(1+0.011×1/365)−1]=0.036165（确认书公式）
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Assert.AreEqual(0.036165m, Math.Round(intraday[0].InterestAmount, 6, MidpointRounding.AwayFromZero),
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"盘中重放=契约公式手算锚点 0.036165");
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}
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/// <summary>
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/// 【回归钉子】复利×mode2×部分平仓：观察日路径（EodPostCloseSettle 剩余+恒1）保持设计语义不回退。
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/// 修复只改 autoSwap=false 分支；观察日恒1 全量结息是 :1220 分支的设计意图（结现），锁死其当前值。
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/// </summary>
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[TestMethod]
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public void 复利_mode2_部分平仓_观察日恒1语义保持()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.复利, floating: true);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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var observationDay = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, Remaining, Closed, 1m,
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(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, observationDay.Count);
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Assert.AreEqual(0.059041913305m, observationDay[0].InterestAmount, 0.000000001m,
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"观察日(autoSwap=true)路径：剩余+恒1 的全平分支为其设计语义（结现），修复不得改变此值");
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}
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/// <summary>
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/// 单利×mode2×部分平仓30%：记录两入口当前口径（快照×比例 vs 重放基数差异面）。
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/// 单利消费 posiPrincipal×closePercent：盘中 1000×0.3 vs EOD 700×1 —— 若两值不等，
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/// 这是当前系统的已知口径差异面（非断言失败项），数值以 Console 留档，供特判降级时对照。
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/// </summary>
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[TestMethod]
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public void 单利_mode2_部分平仓_双入口口径留档()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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var intraday = CreateService().GetIntradayUnwindInterests(InterestCalcRequest.IntradayUnwind(
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td, td.trade_extend, UnwindDate, UnwindDate, eodPositions, positions,
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PreClose, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null));
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// 契约口径形状（与盘中同形状）：平仓前剩余 1000 + 平掉额 300 + 真实比例 0.3
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var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, PreClose, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, intraday.Count);
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Assert.AreEqual(1, eodPostClose.Count);
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Console.WriteLine($"[单利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
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Console.WriteLine($"[单利mode2] TdInterestAmount: 盘中={intraday[0].TdInterestAmount} / EOD={eodPostClose[0].TdInterestAmount}");
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// 契约目标：两入口同请求形状必须同额（单利：平掉额基数 + 快照×比例链路一致）
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Assert.AreEqual(intraday[0].InterestAmount, eodPostClose[0].InterestAmount, 0.000000001m,
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"GetInterests 层契约目标：单利×mode2 同请求形状必须同额（生产入口修复暂缓中）");
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Assert.IsTrue(intraday[0].InterestAmount != 0m, "盘中单利结息额不应为0");
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}
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/// <summary>
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/// mode9 全平（契约目标形状：平仓前剩余=平掉额=1000、比例恒1）：
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/// 结息额非零且=全平语义（:1220 全平分支：待实现+末段增量，尾差一次带走——设计意图维持）。
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/// </summary>
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[TestMethod]
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public void 复利_mode9_全平_兜底覆盖生效结息额非零()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.标的期初全价, InterestTypeEnum.复利, floating: true);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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// 全平：平仓前剩余=平掉=1000，比例恒1（全平专属分支）
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var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, PreClose, PreClose, 1m,
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(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, result.Count);
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Console.WriteLine($"[复利mode9全平] InterestAmount={result[0].InterestAmount}");
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Assert.IsTrue(result[0].InterestAmount != 0m,
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"mode9 全平：结息本金=平掉额(1000)，结息额非零（全平语义钉子）");
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}
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#region CalcEodPostCloseSettleInterests 接缝映射钉子
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/// <summary>
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/// 参数捕获 stub：拦下 CalcSwapInterests 的全部实参，不触库、不真算。
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/// </summary>
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private sealed class CalcSwapInterestsCapture : TestableSwapEodPositionService
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{
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public CalcSwapInterestsCapture() : base(nameof(GetInterestsEntrySemanticsTest)) { }
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public List<swap_flow_event> CapturedCloseList = null;
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public bool CapturedTdClose;
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public int CapturedEventType;
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public decimal CapturedPosiNotional;
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public decimal CapturedClosePosiNotional;
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public decimal CapturedClosePercent;
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public decimal CapturedOrginPv;
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public bool CapturedAdd;
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public bool CapturedSettment;
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public bool CapturedNewCalcLast;
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public int CallCount;
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protected override List<swap_flow_event> CalcSwapInterests(
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trade td, trade_extend tradeExtend,
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DateTime valueDate, DateTime unwindDate,
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List<eod_swap_position> eodPositions, List<swap_position> positions,
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decimal posiNotionalValue,
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decimal closePosiNotionalValue, decimal closePrecent,
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int eventType, bool tdClose,
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decimal orginPv,
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bool add = false, bool settment = true, bool newCalcLast = false,
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List<swap_flow_event> closeList = null)
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{
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CallCount++;
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CapturedTdClose = tdClose; CapturedEventType = eventType;
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CapturedPosiNotional = posiNotionalValue; CapturedClosePosiNotional = closePosiNotionalValue;
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CapturedClosePercent = closePrecent; CapturedOrginPv = orginPv;
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CapturedAdd = add; CapturedSettment = settment; CapturedNewCalcLast = newCalcLast;
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CapturedCloseList = closeList;
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return new List<swap_flow_event>();
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}
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public List<swap_flow_event> ExposedEodPostCloseSettle(InterestCalcRequest req)
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=> CalcEodPostCloseSettleInterests(req);
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}
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/// <summary>
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/// 钉死 InterestCalcRequest.EodPostCloseSettle 工厂 → CalcEodPostCloseSettleInterests →
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/// CalcSwapInterests 的位置参数转发契约。这段转发是位置传参最易错位的环节
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/// （posiNotionalValue/closePosiNotionalValue/orginPv 三个相邻同型 decimal，编译器不查错位），
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/// 任何映射改动（含将来删 needPrice/grossPrice 死参数）都必须保持本断言绿。
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/// </summary>
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[TestMethod]
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public void EOD平仓后收盘_工厂到接缝_参数映射钉死()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
|
||
var positions = new List<swap_position> { position };
|
||
|
||
var stub = new CalcSwapInterestsCapture();
|
||
var req = InterestCalcRequest.EodPostCloseSettle(
|
||
td, td.trade_extend, UnwindDate, UnwindDate,
|
||
new List<eod_swap_position> { preEod }, positions,
|
||
remainingNotionalAfterClose: Remaining,
|
||
closedNotional: Closed,
|
||
eventType: (int)SwapEventTypeEnum.平仓, tdClose: false,
|
||
orginPv: PreClose, add: true, newCalcLast: false);
|
||
|
||
stub.ExposedEodPostCloseSettle(req);
|
||
|
||
Assert.AreEqual(1, stub.CallCount, "默认实现应恰好调用一次 CalcSwapInterests（虚接缝兼容既有测试替身）");
|
||
Assert.AreEqual(Remaining, stub.CapturedPosiNotional, "posiNotionalValue 位 = 平仓后剩余(700)——语义核心，错位即红");
|
||
Assert.AreEqual(Closed, stub.CapturedClosePosiNotional, "closePosiNotionalValue 位 = 实际平掉额(300)");
|
||
Assert.AreEqual(1m, stub.CapturedClosePercent, "closePrecent 恒 1（全额结息）");
|
||
Assert.AreEqual((int)SwapEventTypeEnum.平仓, stub.CapturedEventType);
|
||
Assert.IsFalse(stub.CapturedTdClose);
|
||
Assert.AreEqual(PreClose, stub.CapturedOrginPv, "orginPv 位 = 上一日终本金——与相邻 decimal 最易错位处");
|
||
Assert.IsTrue(stub.CapturedAdd);
|
||
Assert.IsFalse(stub.CapturedSettment, "settment=false：走盘中重放算法（EOD平仓后收盘复用重放）");
|
||
Assert.IsFalse(stub.CapturedNewCalcLast);
|
||
Assert.IsNull(stub.CapturedCloseList, "该场景不传 closeList");
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 守恒不变量(§7-1, 免 oracle/免库, 守 EOD平仓后收盘×部分平仓 裸格)
|
||
|
||
// 守恒不变量统一断言在"剩余持仓前递"(preEod.PosiNotionalValue)上：该字段由 CalcUnwindInterest/
|
||
// InitSwapDealInterest 在 preEod.id==0 时写入(posiPrincipal)，与利息算法(单/复、FR007)无关，
|
||
// 是最稳健、码算、免库的守恒观测点。期初(orginPv) = 前递剩余 + 平掉额(closePosiNotionalValue) 必须成立。
|
||
// 全部内存构造(StubSwapDealService 避库)；funding-leg(mode2)不触发早路由 continue，故亦是早路由改动护栏。
|
||
|
||
/// <summary>
|
||
/// 建一个"无历史 eod"快照(id==0)，使引擎把本次剩余持仓写入 preEod.PosiNotionalValue。
|
||
/// </summary>
|
||
private static eod_swap_position NewPreEod(decimal carryPrincipal)
|
||
=> new()
|
||
{
|
||
id = 0, SwapTradeId = 1, PositionId = 1001,
|
||
ValueDate = new DateTime(2026, 4, 29), ClientId = 999998,
|
||
FloatRate = 0m, TdInterestPrincipal = carryPrincipal,
|
||
PosiNotionalValue = carryPrincipal, InterestIncomeSum = 0.05m, InterestProfitSum = 0.05m
|
||
};
|
||
|
||
/// <summary>
|
||
/// §7-1 守恒①：EOD平仓后收盘×部分平仓，引擎把剩余持仓(700)前递进 preEod.PosiNotionalValue，
|
||
/// 且 期初 = 前递剩余(码算) + 平掉额(输入) = 1000。
|
||
/// 守 2035e1df 裸格(§6 空洞1)：若 EOD 入口把前递值误写成平掉额/期初，守恒等式即破。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void EOD平仓后收盘_部分平仓_守恒_剩余前递且期初等于剩余加平掉额()
|
||
{
|
||
var td = CreateTrade();
|
||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||
var preEod = NewPreEod(Remaining); // 无历史 eod → 引擎写回剩余
|
||
var eodPositions = new List<eod_swap_position> { preEod };
|
||
var positions = new List<swap_position> { position };
|
||
|
||
var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||
eodPositions, positions, Remaining, Closed, 1m,
|
||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||
|
||
Assert.AreEqual(1, result.Count, "EOD平仓后收盘部分平仓应产生 1 条利息事件");
|
||
// 码算：引擎把剩余持仓前递(return 700)
|
||
Assert.AreEqual(Remaining, preEod.PosiNotionalValue,
|
||
"EOD平仓后收盘必须把剩余持仓(700)前递进 preEod.PosiNotionalValue；若误写平掉额/期初则守恒破坏");
|
||
// 守恒：期初 = 前递剩余(码算) + 平掉额(输入)
|
||
Assert.AreEqual(PreClose, preEod.PosiNotionalValue + Closed,
|
||
"期初(orginPv=1000) 必须 = 剩余(700) + 平掉额(300)；本金口径不守恒则利息算错");
|
||
}
|
||
|
||
/// <summary>
|
||
/// §7-1 守恒②：EOD平仓后收盘×全平，剩余持仓前递=0(清仓)。守全平非零边界的互补面。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void EOD平仓后收盘_全平_守恒_剩余前递归零()
|
||
{
|
||
var td = CreateTrade();
|
||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||
var preEod = NewPreEod(0m);
|
||
var eodPositions = new List<eod_swap_position> { preEod };
|
||
var positions = new List<swap_position> { position };
|
||
|
||
var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||
eodPositions, positions, 0m, PreClose, 1m,
|
||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||
|
||
Assert.AreEqual(1, result.Count);
|
||
Assert.AreEqual(0m, preEod.PosiNotionalValue,
|
||
"全平后剩余持仓前递必须为 0；非 0 表示平仓未清仓，守恒破坏");
|
||
Assert.AreEqual(PreClose, preEod.PosiNotionalValue + PreClose,
|
||
"全平守恒：期初(1000) = 剩余(0) + 平掉额(1000)");
|
||
}
|
||
|
||
/// <summary>
|
||
/// §7-1 守恒③(逐日)：两次部分平仓，Day2 剩余前递 = 当日剩余(码算)，且 期初 - 前递剩余 = 平掉额，
|
||
/// 构成跨日携带链守恒。Day1 期初1000→平300剩700；Day2 期初700→平210剩490；累计平掉510+剩余490=1000。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void EOD平仓后收盘_两次部分平仓_逐日守恒_期初减剩余前递等于平掉额()
|
||
{
|
||
var td = CreateTrade();
|
||
var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
|
||
|
||
// Day1：期初1000，平300，剩700
|
||
var preEod1 = NewPreEod(PreClose);
|
||
var result1 = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||
new List<eod_swap_position> { preEod1 }, new List<swap_position> { position },
|
||
Remaining, Closed, 1m,
|
||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: PreClose,
|
||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||
Assert.AreEqual(1, result1.Count);
|
||
Assert.AreEqual(Remaining, preEod1.PosiNotionalValue, "Day1 剩余前递应为 700");
|
||
|
||
// Day2：期初=Day1剩余700，平210，剩490
|
||
const decimal day2OrginPv = 700m;
|
||
const decimal day2Closed = 210m;
|
||
const decimal day2Remaining = 490m;
|
||
var preEod2 = NewPreEod(day2OrginPv); // 承载=Day1剩余700
|
||
var result2 = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
|
||
new List<eod_swap_position> { preEod2 }, new List<swap_position> { position },
|
||
day2Remaining, day2Closed, 1m,
|
||
(int)SwapEventTypeEnum.平仓, tdClose: false, orginPv: day2OrginPv,
|
||
add: false, settment: false, newCalcLast: false, closeList: null);
|
||
|
||
Assert.AreEqual(1, result2.Count);
|
||
// 码算：Day2 剩余前递=当日剩余(490)
|
||
Assert.AreEqual(day2Remaining, preEod2.PosiNotionalValue, "Day2 剩余前递=剩余(490,码算值)");
|
||
// 逐日守恒：期初 - 剩余前递 = 平掉额(210)
|
||
Assert.AreEqual(day2Closed, day2OrginPv - preEod2.PosiNotionalValue,
|
||
"Day2 守恒：期初(700) - 剩余前递(490) 必须 = 平掉额(210)；跨日携带链本金不守恒则利息算错");
|
||
}
|
||
|
||
/// <summary>
|
||
/// §7-1 守恒④(纯数学，ClosePercentMath)：多次平仓累计占期初比例 = 1 - ∏(1 - 各次剩余口径)。
|
||
/// 初次占期初30%(平300/名义1000)→剩余口径0.3；二次占期初50%(平350/剩余700)→剩余口径0.5；
|
||
/// 累计平掉 = 1 - 0.7×0.5 = 0.65。验证 ClosePercentMath 双口径换算在多次平仓下不漂移。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void 多次平仓_占期初累计比例等于各次剩余口径连乘补数()
|
||
{
|
||
var b1 = ClosePercentMath.ToRemainingClosePercent(0.3m, 1000m, 1000m);
|
||
Assert.AreEqual(0.3m, b1, "初次平仓占期初30% → 剩余口径应为 0.3");
|
||
var b2 = ClosePercentMath.ToRemainingClosePercent(0.5m, 700m, 700m);
|
||
Assert.AreEqual(0.5m, b2, "二次平仓占期初50%(占剩余700) → 剩余口径应为 0.5");
|
||
|
||
var cumulativeClosed = 1m - (1m - b1) * (1m - b2);
|
||
Assert.AreEqual(0.65m, cumulativeClosed, 0.0000001m,
|
||
"多次平仓累计平掉比例必须=各次剩余口径连乘的补数；否则本金口径在多次平仓下分裂");
|
||
|
||
var back = ClosePercentMath.ToOriginalClosePercent(cumulativeClosed, 1000m, 1000m);
|
||
Assert.AreEqual(0.65m, back, 0.0000001m, "累计占期初比例反向还原必须一致");
|
||
}
|
||
|
||
#endregion
|
||
}
|
||
}
|