hjhan
a179675efd
BuildFrontendValidationDiffs/FrontendPnlDiff/AddDiffIfOverThreshold 从2043行 SwapDealService 移至新文件，本文件仅留调用+日志。纯位置迁移，零行为变更。
317 lines
16 KiB
C#
317 lines
16 KiB
C#
using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Helpers;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// SwapFrontendPnlValidator.BuildFrontendValidationDiffs 的回归测试。
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/// -----------------------------------------------------------------
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/// 守卫提交 41553970 "fix(swap): 修复债券结息价差盈亏计算逻辑"。
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///
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/// 背景：ValidateFrontendPnL 用 FrontendCalcReference 重算盈亏与前端值比对，
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/// 原为 private void + 吞异常，无法单测。拆出 BuildFrontendValidationDiffs 纯函数：
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/// - 入参：UnwindData + isIncome
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/// - 返回：null（前置条件不满足）或 List<FrontendPnlDiff>（超阈值的差异项）
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/// - 副作用：无（日志留在 ValidateFrontendPnL 外层）
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///
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/// 本测试锁定：
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/// 1) 前端值与后端重算一致 → 返回空列表
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/// 2) 前端值与后端重算不一致 → 返回对应字段差异
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/// 3) 无浮动腿 → 返回 null
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/// 4) PosiGrossPrice=0 → 返回 null
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/// 5) PositionQty/CloseQty 口径（41553970 修复点）正确传入
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/// </summary>
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[TestClass]
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public class SwapFrontendPnlValidateTest
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{
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// ================================================================
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// 场景1：前端值与后端重算一致 → 返回空列表
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// 用 FC_001 同款输入：债券多头，PosiGrossPrice=1.02, TradingAmountAvg=105,
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// CloseQty=1000, PayDirection=1, PositionType=1, TradingFee="20"
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// 后端重算：MarkClosePnl=30, FloatPnlSum=50, SwapRealizedPnL=50, SwapCloseAmount=50
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// 前端也填这些值 → 无差异
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// ================================================================
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[TestMethod]
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public void 前后端一致_返回空差异列表()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50m, swapCloseAmount: 50m, markClosePnl: 30m);
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNotNull(diffs, "前置条件满足应返回列表而非 null");
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Assert.AreEqual(0, diffs.Count,
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$"前后端一致应无差异，实际 {diffs.Count} 条：{string.Join(",", diffs.Select(d => d.Field))}");
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}
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// ================================================================
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// 场景2：SwapRealizedPnL 前端填错 → 返回该字段差异
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// 后端重算 SwapRealizedPnL=50, SwapCloseAmount=50；
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// 前端 SwapRealizedPnL 故意填 60（SwapCloseAmount 保持 50 一致）→ 只 SwapRealizedPnL 有差异
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// ================================================================
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[TestMethod]
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public void SwapRealizedPnL前端填错_返回该字段差异()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 60m, // 故意填错（正确=50）
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swapCloseAmount: 50m, // 保持一致
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markClosePnl: 30m); // 保持一致
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNotNull(diffs);
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CollectionAssert.AreEquivalent(
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new[] { "SwapRealizedPnL" },
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diffs.Select(d => d.Field).ToArray(),
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"应只捕获 SwapRealizedPnL 的差异");
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var diff = diffs.Single(d => d.Field == "SwapRealizedPnL");
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Assert.AreEqual(60m, diff.FrontendValue, "前端值=60");
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Assert.AreEqual(50m, diff.BackendValue, 0.01m, "后端重算=50");
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Assert.AreEqual(10m, diff.Delta, 0.01m, "Delta=10");
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}
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// ================================================================
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// 场景3：MarkClosePnl 前端填错 → 返回该字段差异
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// 后端重算 MarkClosePnl=30；前端故意填 25（其他保持一致）→ 只 MarkClosePnl 有差异
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// ================================================================
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[TestMethod]
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public void MarkClosePnl前端填错_返回该字段差异()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50m,
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swapCloseAmount: 50m,
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markClosePnl: 25m); // 故意填错（正确=30）
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNotNull(diffs);
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CollectionAssert.AreEquivalent(
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new[] { "MarkClosePnl" },
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diffs.Select(d => d.Field).ToArray(),
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"应只捕获 MarkClosePnl 的差异");
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var diff = diffs.Single(d => d.Field == "MarkClosePnl");
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Assert.AreEqual(25m, diff.FrontendValue);
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Assert.AreEqual(30m, diff.BackendValue, 0.01m);
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Assert.AreEqual(-5m, diff.Delta, 0.01m);
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}
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// ================================================================
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// 场景4：无浮动腿（FlowEvents 为空）→ 返回 null
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// ================================================================
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[TestMethod]
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public void 无浮动腿_返回null()
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{
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var unwindData = new UnwindData
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{
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SwapTradeId = 1,
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CloseQty = 1000,
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PositionQty = 1000,
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FlowEvents = new List<swap_flow_event>() // 完全空
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};
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNull(diffs, "无浮动腿应返回 null（跳过校验）");
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}
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// ================================================================
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// 场景5：浮动腿 PosiGrossPrice=0 → 返回 null（避免误报）
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// ================================================================
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[TestMethod]
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public void 浮动腿PosiGrossPrice为零_返回null()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 0m, // 前端未传 → 0
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tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50m, swapCloseAmount: 0m, markClosePnl: 30m);
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNull(diffs, "PosiGrossPrice=0 应返回 null（避免误报）");
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}
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// ================================================================
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// 场景6：41553970 修复点 —— PositionQty 必须正确传入后端重算
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// 旧 bug：PositionQty 未传入，导致部分平仓时盈亏口径错误。
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// 验证：PositionQty != CloseQty 时，后端重算仍按真实 PositionQty 走
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// （本场景构造部分平仓：CloseQty=500, PositionQty=1000）
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// 平仓页 unwind 用 CloseQty 算 MarkClosePnl：
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// MarkClosePnl = 500×(1.05−1.02)×1×1 = 15
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// FloatPnlSum = 15 + 20 + 0 + 0 = 35
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// SwapRealizedPnL = SwapCloseAmount = 35
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// ================================================================
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[TestMethod]
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public void 部分平仓_PositionQty正确传入后端重算()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 500, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 35m, // 与后端重算一致
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swapCloseAmount: 35m, // 与后端重算一致
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markClosePnl: 15m); // 与后端重算一致
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false);
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Assert.IsNotNull(diffs);
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Assert.AreEqual(0, diffs.Count,
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$"部分平仓 PositionQty 正确传入应无差异，实际 {diffs.Count} 条：" +
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string.Join(",", diffs.Select(d => $"{d.Field}(fe={d.FrontendValue},be={d.BackendValue})")));
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}
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// ================================================================
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// 场景7：阈值边界 —— 差异恰好等于阈值(0.01)不报，超过才报
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// 后端重算 SwapRealizedPnL=50, SwapCloseAmount=50；
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// 前端 SwapRealizedPnL 填 50.01 → 差异 0.01 不> 0.01 → 不报
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// 前端 SwapRealizedPnL 填 50.02 → 差异 0.02 > 0.01 → 报
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// （SwapCloseAmount 保持 50 一致，不参与本场景断言）
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// ================================================================
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[TestMethod]
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public void 阈值边界_差异等于阈值不报_超过才报()
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{
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// 差异 = 0.01，不 > 0.01，不报
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var unwindDataEq = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50.01m, swapCloseAmount: 50m, markClosePnl: 30m);
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var diffsEq = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindDataEq, isIncome: false);
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Assert.IsNotNull(diffsEq);
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Assert.IsFalse(diffsEq.Any(d => d.Field == "SwapRealizedPnL"),
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"差异=0.01 不> 阈值，不应报 SwapRealizedPnL");
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// 差异 = 0.02 > 0.01，报
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var unwindDataOver = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50.02m, swapCloseAmount: 50m, markClosePnl: 30m);
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var diffsOver = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindDataOver, isIncome: false);
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Assert.IsNotNull(diffsOver);
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Assert.IsTrue(diffsOver.Any(d => d.Field == "SwapRealizedPnL"),
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"差异=0.02 > 阈值，应报 SwapRealizedPnL");
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}
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// ================================================================
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// 场景8：isIncome=true 走 CalcIncome 路径 —— 确保分支选择正确
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// 结息页公式与平仓页不同，构造一致场景验证不抛异常且返回列表
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// ================================================================
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[TestMethod]
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public void IsIncome为true_走CalcIncome分支_返回列表()
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{
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// income 页 MarkClosePnl = PositionQty × ContractSize × (ExitPrice×scale − EntryPrice) × floatRatio
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// = 1000 × 1 × (105×0.01 − 1.02) × 1 = 30
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// FloatPnlSum = 30 + 20 = 50；SwapRealizedPnL = SwapCloseAmount = 50
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50m, swapCloseAmount: 50m, markClosePnl: 30m);
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: true);
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Assert.IsNotNull(diffs, "isIncome=true 也应返回列表（可能为空或有差异）");
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// 不锁死具体差异，只验证分支可达、不抛异常
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}
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// ================================================================
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// 场景9：自定义阈值 —— threshold=1.0 时小差异不报
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// 后端 SwapRealizedPnL=50, SwapCloseAmount=50；
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// 前端 SwapRealizedPnL=50.5（差异 0.5 < 1.0 不报），SwapCloseAmount=50 一致
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// ================================================================
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[TestMethod]
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public void 自定义大阈值_小差异不报()
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{
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var unwindData = BuildBaseUnwindData(
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posiGrossPrice: 1.02m, tradingAmountAvg: 105m,
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closeQty: 1000, positionQty: 1000,
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tradingFee: "20", tradingFeePending: "0", dividendIn: "0",
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payDirection: 1, positionType: 1,
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swapRealizedPnL: 50.5m, // 差异 0.5
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swapCloseAmount: 50m,
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markClosePnl: 30m);
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var diffs = SwapFrontendPnlValidator.BuildFrontendValidationDiffs(unwindData, isIncome: false, threshold: 1.0m);
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Assert.IsNotNull(diffs);
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Assert.IsFalse(diffs.Any(d => d.Field == "SwapRealizedPnL"),
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"threshold=1.0 时差异 0.5 不应报");
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}
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// ================================================================
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// Helper：构造带一条浮动腿 + 一条利息腿的 UnwindData
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// 默认用债券（UnderlyingInstrumentType 走 IsBond=true → multiplier=100）
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// 字段值与 FrontendCalcCharacterizationTest.FC_001 对齐
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// ================================================================
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private static UnwindData BuildBaseUnwindData(
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decimal posiGrossPrice,
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decimal tradingAmountAvg,
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decimal closeQty,
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decimal positionQty,
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string tradingFee,
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string tradingFeePending,
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string dividendIn,
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int payDirection,
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int positionType,
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decimal swapRealizedPnL,
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decimal swapCloseAmount,
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decimal markClosePnl)
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{
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// 浮动腿（债券，有 UnderlyingCode）
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var floatLeg = new swap_flow_event
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{
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UnderlyingCode = "511160.SH",
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UnderlyingInstrumentType = "Bond",
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PosiGrossPrice = posiGrossPrice,
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TradingAmountAvg = tradingAmountAvg,
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ContractSize = 1m,
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PayDirection = payDirection,
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PositionType = positionType,
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TradingFee = decimal.Parse(tradingFee),
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TradingFeePending = decimal.Parse(tradingFeePending),
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DividendIn = decimal.Parse(dividendIn),
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MarkClosePnl = markClosePnl,
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InterestMode = (int)InterestModeEnum.标的期初全价
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};
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// 利息腿（无 UnderlyingCode）
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var interestLeg = new swap_flow_event
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{
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InterestMode = (int)InterestModeEnum.固定值,
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InterestClosePnL = 0m
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};
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return new UnwindData
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{
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SwapTradeId = 1,
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CloseQty = closeQty,
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PositionQty = positionQty,
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CloseNotionalValue = closeQty * 100m, // 债券面值 100
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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FlowEvents = new List<swap_flow_event> { floatLeg, interestLeg }
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};
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}
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}
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}
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