188 lines
9.5 KiB
C#
188 lines
9.5 KiB
C#
using YLErp.DBModels;
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using YLErp.Modules.SwapModule.Margin;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// R2 阶段三 §3.1 引擎单笔计算场景测试（SwapSpanMarginCalc.CalcTradeMaintenanceMargin，收盘价由调用方解析后注入，
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/// 覆盖"需要收盘价"的各场景：取到价落档、未取到价兜底、试算初始、期初价缺省、方向与腿缺失）。
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/// 收盘价解析（债券中债估值净价/ETF收盘价/取不到置0）在 MarginCalculationBase.CalcSwapSpanMaintenanceMargin 胶水层，
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/// 价格源本身的读库行为见 SwapSpanPriceSourceTest。
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/// </summary>
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[TestClass]
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public class SwapSpanMarginEngineTest
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{
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private static SpanTierConfig Tier(double? lower, double? upper, double? amountRate)
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=> new() { Lower = lower, Upper = upper, AmountRate = amountRate };
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private static SpanConfig LongShortCfg() => new()
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{
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LongSpans = new List<SpanTierConfig>
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{
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Tier(0.97, null, 0.00), Tier(0.94, 0.97, 0.03), Tier(0.91, 0.94, 0.06), Tier(0.88, 0.91, 0.09)
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},
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ShortSpans = new List<SpanTierConfig>
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{
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Tier(null, 1.03, 0.00), Tier(1.03, 1.06, 0.03), Tier(1.06, 1.09, 0.06), Tier(1.09, 1.12, 0.09)
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}
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};
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/// <summary>标的腿（多空），posiDirection/positionType 组合出方向</summary>
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private static swap_position UnderlyingLeg(int posiDirection, int positionType,
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decimal grossPrice, decimal? netPrice, decimal quantity, string code = "240004.IB")
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=> new()
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{
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PosiDirection = posiDirection,
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PositionType = positionType,
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UnderlyingCode = code,
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PosiGrossPrice = grossPrice,
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PosiNetNoFeePrice = netPrice,
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PosiQuantity = quantity
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};
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/// <summary>初始预付金腿（InterestMode=5），interestDirection 1=收取 2=支付</summary>
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private static swap_position MarginLeg(int interestDirection, decimal principal)
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=> new() { InterestMode = 5, InterestDirection = interestDirection, InterestPrincipalFix = principal };
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// ================================================================
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// 收盘价取到 → 落档计算
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// ================================================================
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/// <summary>债券客户看多：收取端标的腿 PositionType=Short → 客户看多；净价 92.0/期初净价 98.5 落第3层</summary>
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[TestMethod]
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public void SE_001_债券客户看多_净价落第3层()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(posiDirection: 1, positionType: 2, grossPrice: 101.0m, netPrice: 98.5m, quantity: 100000m),
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MarginLeg(interestDirection: 1, principal: 500000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(
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tradeInitialMargin: null, spanCfg: LongShortCfg(), legs, isInitialCalc: false, closePrice: 92.0);
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//追加 = 6% × 期初全价101 × 券面100000 = 606000；维持 = 500000 + 606000
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Assert.AreEqual(1106000, maintenance.Value, 1e-6);
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}
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/// <summary>ETF客户看空：收取端标的腿 PositionType=Long → 客户看空；收盘 1.32/期初净价 1.25 落第2层</summary>
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[TestMethod]
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public void SE_002_ETF客户看空_收盘价落第2层()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(posiDirection: 1, positionType: 1, grossPrice: 1.25m, netPrice: 1.25m, quantity: 1000000m, code: "511010.SH"),
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MarginLeg(interestDirection: 1, principal: 200000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(
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tradeInitialMargin: null, spanCfg: LongShortCfg(), legs, isInitialCalc: false, closePrice: 1.32);
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//ratio=1.056 ∈ (1.03,1.06] → 追加 = 3% × 1.25 × 1000000 = 37500；维持 = 200000 + 37500
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Assert.AreEqual(237500, maintenance.Value, 1e-6);
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}
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/// <summary>收盘价大幅下跌穿出最深层：按最深层比例计（追加=9%），不叠加也不归零</summary>
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[TestMethod]
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public void SE_003_价格穿出最深层_按最深层计()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, grossPrice: 101.0m, netPrice: 98.5m, quantity: 100000m),
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MarginLeg(1, 500000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, false, closePrice: 80.0);
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Assert.AreEqual(500000 + 0.09 * 101.0 * 100000, maintenance.Value, 1e-6);
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}
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// ================================================================
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// 收盘价未取到 / 试算 —— 兜底行为
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// ================================================================
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/// <summary>当天无收盘价（closePrice=0）：不抛错，追加按0、维持=初始保证金（引擎侧另记告警日志）</summary>
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[TestMethod]
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public void SE_004_无收盘价_追加为0维持等于初始()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, 101.0m, 98.5m, 100000m),
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MarginLeg(1, 500000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, isInitialCalc: false, closePrice: 0);
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Assert.AreEqual(500000, maintenance.Value, 1e-6);
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}
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/// <summary>试算初始（isInitialCalc=true）：即使有收盘价也只出初始项——追加保证金为收盘后口径，试算不产出</summary>
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[TestMethod]
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public void SE_005_试算初始_不参与追加()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, 101.0m, 98.5m, 100000m),
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MarginLeg(1, 500000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, isInitialCalc: true, closePrice: 92.0);
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Assert.AreEqual(500000, maintenance.Value, 1e-6);
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}
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/// <summary>期初净价缺失：比基回落期初全价（close/initGross）</summary>
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[TestMethod]
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public void SE_006_期初净价缺省_回落期初全价()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, grossPrice: 98.5m, netPrice: null, quantity: 100000m),
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MarginLeg(1, 500000m)
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};
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//close=92.0/98.5 落第3层
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, false, closePrice: 92.0);
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Assert.AreEqual(500000 + 0.06 * 98.5 * 100000, maintenance.Value, 1e-6);
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}
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// ================================================================
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// 腿数据缺失与方向
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// ================================================================
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/// <summary>无标的腿（缺期初价）：返回 null，引擎跳过该交易不产出 trade_span</summary>
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[TestMethod]
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public void SE_007_无标的腿_返回null()
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{
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var legs = new List<swap_position> { MarginLeg(1, 500000m) };
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Assert.IsNull(SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, false, closePrice: 92.0));
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Assert.IsNull(SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), new List<swap_position>(), false, 92.0));
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}
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/// <summary>我方支付初始保证金（InterestDirection=支付）：方向取 −1，维持保证金为负（客户应收）</summary>
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[TestMethod]
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public void SE_008_我方支付预付金_维持为负()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, 101.0m, 98.5m, 100000m),
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MarginLeg(interestDirection: 2, principal: 500000m)
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, false, closePrice: 92.0);
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Assert.AreEqual(-(500000 + 0.06 * 101.0 * 100000), maintenance.Value, 1e-6);
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}
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/// <summary>无预付金腿：初始保证金回落交易录入值 trade.InitialMargin（客户应付常态，方向+1）</summary>
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[TestMethod]
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public void SE_009_无预付金腿_回落交易录入初始保证金()
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{
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var legs = new List<swap_position> { UnderlyingLeg(1, 2, 101.0m, 98.5m, 100000m) };
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(300000, LongShortCfg(), legs, false, closePrice: 92.0);
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Assert.AreEqual(300000 + 0.06 * 101.0 * 100000, maintenance.Value, 1e-6);
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}
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/// <summary>多条预付金腿按收付净额定初始与方向（净支付 → −1）</summary>
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[TestMethod]
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public void SE_010_多预付金腿_按净收取定方向()
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{
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var legs = new List<swap_position>
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{
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UnderlyingLeg(1, 2, 101.0m, 98.5m, 100000m),
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MarginLeg(1, 200000m), //收取 20万
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MarginLeg(2, 500000m) //支付 50万 → 净支付 30万
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};
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var maintenance = SwapSpanMarginCalc.CalcTradeMaintenanceMargin(null, LongShortCfg(), legs, false, closePrice: 0);
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Assert.AreEqual(-300000, maintenance.Value, 1e-6);
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}
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}
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}
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