张名锐
ac7b04e79d
- 将 BondPaymentService.GetBondPayments 方法的过滤条件从 reg_date 改为 payment_date - 更新相关日志信息显示 [分红-付息日口径] 替代 [分红-登记日口径] - 修正单元测试中的注释和变量名，统一使用 payment_date 口径描述 - 修改测试数据构造，验证按实际付息日进行票息计提的逻辑 - 更新相关文档注释，明确日期口径变更的具体实现方式
277 lines
17 KiB
C#
277 lines
17 KiB
C#
using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.EodModule;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 端到端：盘中收益互换（DividendIn 由生产方法 GetPreEodDividendSum 真实算出）→ 保存 → EOD，
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/// 验证分红【不重复累计】（EOD TdCloseDividend 扣减 DividendIn）且【不丢失】（当日新计进 PosiDividendSum）。
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///
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/// 与 MultiUnwindDividendConservationTest.MU_001 的区别：MU_001 的互换 DividendIn 是测试喂的常量；
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/// 本测试的 DividendIn 由生产方法 GetPreEodDividendSum 真实算出（读 EOD 快照），再喂给 EOD——
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/// 覆盖"预览算 DividendIn + EOD 扣减"的完整链路（MU_001 的缺口）。
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/// </summary>
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[TestClass]
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public class DividendEodNoDoubleCountTest
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{
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private const int SwapTradeId = 9200;
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private const long PositionId = 9201;
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private const decimal InitialQty = 1000m;
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private const decimal RegPer100 = 1.0m; // 每 100 元面值票息 1.0 → qty(1000) 时单期分红 = 1.0×1000/100 = 10
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private static readonly DateTime StartDate = new(2026, 1, 5);
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#region 内存债券付息数据（payment_date 口径，真实生产 GetBondPayments 读取）
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private const string BondUnderlying = "210210.IB";
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private static List<BondPayment> BondPayments() => new List<BondPayment>
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{
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// 付息日 1/6、1/7 各一期
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new BondPayment { underlyingCode = BondUnderlying, reg_date = new DateTime(2026, 1, 5), payment_date_pl = new DateTime(2026, 1, 6), payment_date = new DateTime(2026, 1, 6), payment_interest = RegPer100 },
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new BondPayment { underlyingCode = BondUnderlying, reg_date = new DateTime(2026, 1, 6), payment_date_pl = new DateTime(2026, 1, 7), payment_date = new DateTime(2026, 1, 7), payment_interest = RegPer100 },
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};
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#endregion
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#region Stubs
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/// <summary>SwapDealService stub：暴露 GetPreEodDividendSum，注入 EOD 数据（不连库）。</summary>
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private sealed class DealSvcStub : SwapDealService
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{
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private readonly List<eod_swap> _eodSwaps;
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private readonly List<eod_swap_position> _eodPositions;
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public DealSvcStub(List<eod_swap> eodSwaps, List<eod_swap_position> eodPositions)
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: base(OptUserInfo.UnitTestUser) { _eodSwaps = eodSwaps; _eodPositions = eodPositions; }
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public decimal ExposeGetPreEodDividendSum(int tradeId, long positionId, DateTime dealDate)
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=> GetPreEodDividendSum(tradeId, positionId, dealDate);
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protected override IQueryable<eod_swap> QueryPreEodSwaps(int tradeId)
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=> _eodSwaps.Where(x => x.SwapTradeId == tradeId).AsQueryable();
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protected override eod_swap_position QueryPreEodPosition(int tradeId, long positionId, DateTime valueDate)
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=> _eodPositions.FirstOrDefault(x => x.SwapTradeId == tradeId && x.PositionId == positionId && x.ValueDate == valueDate);
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}
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/// <summary>真实 BondPaymentService（payment_date 口径）seam：仅注入内存 BondPayment 数据，票息计算走生产 GetBondPayments+CalcPayment。</summary>
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private sealed class RealBondPaymentService : BondPaymentService
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{
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private readonly List<BondPayment> _data;
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public RealBondPaymentService(List<BondPayment> data, OptUserInfo userInfo) : base(userInfo) { _data = data; }
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protected override IQueryable<BondPayment> QueryBondPayments(string underlyingCode)
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=> _data.Where(x => x.underlyingCode == underlyingCode).AsQueryable();
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}
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/// <summary>SwapEodPositionService stub：暴露 UpdateEodPosition/CopyEodPosition；CalcBondPayment 桥接真实 BondPaymentService（payment_date 口径）。</summary>
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private sealed class EodSvcStub : TestableSwapEodPositionService
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{
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private readonly List<BondPayment> _bondPayments;
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public EodSvcStub(List<BondPayment> bondPayments) : base(nameof(DividendEodNoDoubleCountTest)) { _bondPayments = bondPayments; }
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protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
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{
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// 桥接真实生产口径：GetBondPayments 按 payment_date 过滤 + CalcPayment 累加
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var svc = new RealBondPaymentService(_bondPayments, OptUserInfo.UnitTestUser);
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return svc.CalcPayment(underlyingCode, fromDate, toDate, qty, shortRatio, directionRatio);
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}
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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=> new underlying_manager { ValueAddedTax = 0m };
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protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
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{ vobp = 0m; return 1.00m; }
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public eod_swap_position ExecuteUpdateEodPosition(swap_position swapPosition, eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
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=> UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents);
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public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate)
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=> CopyEodPosition(eod, null, td, valueDate, preSettleDate);
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}
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#endregion
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#region 数据构建
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private static trade CreateTrade() => new trade
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{
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id = SwapTradeId, TradeNumber = "UT-DIV-EOD-001", ClientId = 999999,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = new DateTime(2027, 1, 5), TradeStatus = "确认成交", ValidState = "Valid",
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StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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OriginalStockEqvNotional = (double)(InitialQty * 1.00m)
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};
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private static swap_position CreatePosition() => new swap_position
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{
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id = PositionId, SwapTradeId = SwapTradeId,
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PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PosiQuantity = InitialQty, PosiNotionalValue = InitialQty,
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PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
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PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
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IsInitial = true, Invalid = false,
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PosiTradingFee = 0, PosiTradingFeePending = 0
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};
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private static eod_swap_position CreateInitialEod() => new eod_swap_position
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{
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id = 1, SwapTradeId = SwapTradeId, PositionId = PositionId,
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ValueDate = StartDate, PosiQuantity = InitialQty,
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PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
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PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
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PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m,
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RealizedDividend = 0m, PosiFeePending = 0m,
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InterestProfitSum = 0m, Invalid = false
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};
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private static swap_flow_event SwapEvent(decimal dividendIn, DateTime eventDate) => new swap_flow_event
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{
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SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.互换,
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PositionId = PositionId, Quantity = 0m, DividendIn = dividendIn,
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MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
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EventDate = eventDate, PayDate = eventDate,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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private static swap_flow_event CloseEvent(decimal qty, decimal dividendIn, DateTime eventDate) => new swap_flow_event
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{
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SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.平仓,
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PositionId = PositionId, Quantity = qty, DividendIn = dividendIn,
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MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
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TradingAmount = qty * 1.000m,
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UnwindDate = eventDate, EventDate = eventDate, PayDate = eventDate,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tol, string msg)
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=> Assert.IsTrue(Math.Abs(expected - actual) <= tol, $"{msg}: expected={expected} actual={actual}");
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#endregion
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/// <summary>
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/// 盘中收益互换：DividendIn 由 GetPreEodDividendSum 真实算（读 T-1 EOD）→ 保存 → EOD。
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/// 验证：不重复（EOD TdCloseDividend 扣 DividendIn）+ 不丢失（当日新计进 PosiDividendSum）+ 守恒。
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///
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/// 序列（StartDate=1/5，payment_date 1/6、1/7 各一期，每期 = qty×per100/100 = 10）：
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/// D1=1/6 无事件 Copy：窗口(1/5,1/6] 命中 payment_date 1/6 → TdPosiDividend=10，PosiDividendSum=10
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/// D2=1/7 盘中互换：GetPreEodDividendSum(读 D1) → DividendIn=10；保存 swap_event；EOD 窗口(1/6,1/7] 命中 payment_date 1/7 → 新计 10 - 实现 10 → PosiDividendSum=10
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/// 守恒：全程新计(10+10) - 全程实现(10) = 末尾 PosiDividendSum(10)
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/// </summary>
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[TestMethod]
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public void 盘中收益互换_DividendIn真实算_保存后EOD_不重复不丢失()
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{
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var eodSvc = new EodSvcStub(BondPayments());
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var td = CreateTrade();
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var position = CreatePosition();
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var initialEod = CreateInitialEod();
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// D1=1/6 无事件 EOD
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var d1 = new DateTime(2026, 1, 6);
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var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate);
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AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum(0+1天×10)");
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// D2=1/7 盘中：DividendIn 由生产方法 GetPreEodDividendSum 真实算（读 D1 EOD，当日 EOD 未生成）
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var d2 = new DateTime(2026, 1, 7);
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var dealSvc = new DealSvcStub(
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new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } },
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new List<eod_swap_position> { r1 });
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decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2);
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AssertDecimalEqual(10m, dividendIn, 0.01m, "盘中 DividendIn=GetPreEodDividendSum 读 T-1(D1)=10");
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Console.WriteLine($"[盘中预览] DividendIn={dividendIn}（读 T-1 EOD PosiDividendSum={r1.PosiDividendSum}）");
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// 保存互换事件（DividendIn=真实算出的值，模拟界面点收益互换后保存）
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var swapEvent = SwapEvent(dividendIn, d2);
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// D2=1/7 EOD（UpdateEodPosition，真实生产递推）
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var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List<swap_flow_event> { swapEvent });
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// 断言：不重复 + 不丢失
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AssertDecimalEqual(10m, r2.TdPosiDividend, 0.01m, "D2 当日新计(1天×10)");
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AssertDecimalEqual(dividendIn, r2.TdCloseDividend, 0.01m, "D2 TdCloseDividend=互换DividendIn（扣减→不重复累计）");
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AssertDecimalEqual(10m, r2.PosiDividendSum, 0.01m, "D2 PosiDividendSum=前日10+新计10-实现10=10（当日新计挂着→不丢失）");
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// 守恒：全程新计 - 全程实现 = 末尾 PosiDividendSum
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decimal totalNew = r1.TdPosiDividend + r2.TdPosiDividend;
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decimal totalRealized = r2.TdCloseDividend;
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AssertDecimalEqual(r2.PosiDividendSum, totalNew - totalRealized, 0.01m,
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$"守恒：末尾 PosiDividendSum({r2.PosiDividendSum}) = 全程新计({totalNew}) - 全程实现({totalRealized})");
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Console.WriteLine($"[EOD 后] TdPosiDividend={r2.TdPosiDividend} TdCloseDividend={r2.TdCloseDividend} PosiDividendSum={r2.PosiDividendSum}");
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Console.WriteLine($"结论：互换实现 {dividendIn} 被扣减（不重复）；当日新计 {r2.TdPosiDividend} 挂 PosiDividendSum（不丢失）");
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}
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/// <summary>
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/// 付息日当日全平（盘中平仓→收盘持仓 0）：按各交易场所规定，不享有付息日当日的分红。
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/// </summary>
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[TestMethod]
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public void 付息日全平_按交易场所规定不享有当日分红()
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{
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var eodSvc = new EodSvcStub(BondPayments());
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var td = CreateTrade();
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var position = CreatePosition();
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var initialEod = CreateInitialEod();
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// D1=1/6 无事件 EOD
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var d1 = new DateTime(2026, 1, 6);
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var r1 = eodSvc.ExecuteCopyEodPosition(initialEod, td, d1, StartDate);
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AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum");
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// D2=1/7 盘中全平：DividendIn 由生产方法真实算（读 D1 EOD，当日 EOD 未生成）
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var d2 = new DateTime(2026, 1, 7);
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var dealSvc = new DealSvcStub(
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new List<eod_swap> { new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d1 } },
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new List<eod_swap_position> { r1 });
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decimal dividendIn = dealSvc.ExposeGetPreEodDividendSum(SwapTradeId, PositionId, d2);
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AssertDecimalEqual(10m, dividendIn, 0.01m, "全平 DividendIn=读T-1(D1)=10（漏 D2 当日新计）");
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// 全平事件（扣全部持仓）
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var closeEvent = CloseEvent(InitialQty, dividendIn, d2);
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// D2=1/7 EOD（UpdateEodPosition，全平→PosiQuantity=0）
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var r2 = eodSvc.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List<swap_flow_event> { closeEvent });
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decimal expectedTotal = r1.PosiDividendSum;
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decimal actualGot = dividendIn + r2.PosiDividendSum;
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Console.WriteLine($"[付息日全平] 应得(T日前待实现)={expectedTotal}, 实拿(DividendIn+PosiDividendSum)={actualGot}");
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Console.WriteLine($"[付息日全平] DividendIn={dividendIn}, EOD:TdPosiDividend={r2.TdPosiDividend} PosiDividendSum={r2.PosiDividendSum} PosiQuantity={r2.PosiQuantity}");
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AssertDecimalEqual(expectedTotal, actualGot, 0.01m,
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$"实拿应=应得(T日前待实现{expectedTotal})，付息日全平不享有当日分红");
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AssertDecimalEqual(0m, r2.TdPosiDividend, 0.01m, "付息日全平 EOD 不计提当日（PosiQuantity=0，正确）");
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AssertDecimalEqual(0m, r2.PosiDividendSum, 0.01m, "全平后 PosiDividendSum=0");
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}
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/// <summary>
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/// 【死代码删除的边界规格】脏数据（OriginalStockEqvNotional=null / PosiNetPrice=0）不得让
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/// UpdateEodPosition 崩溃，且分红产出与正常数据完全一致。
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/// </summary>
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[TestMethod]
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public void 脏数据边界_死代码涉及字段_不影响EOD分红产出()
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{
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// 正常数据基准
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var eodSvcClean = new EodSvcStub(BondPayments());
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var tdClean = CreateTrade();
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var positionClean = CreatePosition();
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var initialEod = CreateInitialEod();
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var d1 = new DateTime(2026, 1, 6);
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var d2 = new DateTime(2026, 1, 7);
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var r1Clean = eodSvcClean.ExecuteCopyEodPosition(initialEod, tdClean, d1, StartDate);
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var r2Clean = eodSvcClean.ExecuteUpdateEodPosition(positionClean, r1Clean, tdClean, d2, d1,
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new List<swap_flow_event> { CloseEvent(InitialQty, r1Clean.PosiDividendSum, d2) });
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// 脏数据：死代码涉及的两字段置脏（活路径零消费，见方法内 grep 论证）
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var eodSvcDirty = new EodSvcStub(BondPayments());
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var tdDirty = CreateTrade();
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tdDirty.OriginalStockEqvNotional = null; // 死代码 (decimal) 强转崩溃点
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var positionDirty = CreatePosition();
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positionDirty.PosiNetPrice = 0m; // 死代码除零崩溃点
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var r1Dirty = eodSvcDirty.ExecuteCopyEodPosition(initialEod, tdDirty, d1, StartDate);
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var r2Dirty = eodSvcDirty.ExecuteUpdateEodPosition(positionDirty, r1Dirty, tdDirty, d2, d1,
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new List<swap_flow_event> { CloseEvent(InitialQty, r1Dirty.PosiDividendSum, d2) });
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// 脏数据不崩 + 输出与正常数据逐字段一致
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AssertDecimalEqual(r2Clean.TdPosiDividend, r2Dirty.TdPosiDividend, 0.0001m, "TdPosiDividend 不受脏字段影响");
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AssertDecimalEqual(r2Clean.TdCloseDividend, r2Dirty.TdCloseDividend, 0.0001m, "TdCloseDividend 不受脏字段影响");
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AssertDecimalEqual(r2Clean.PosiDividendSum, r2Dirty.PosiDividendSum, 0.0001m, "PosiDividendSum 不受脏字段影响");
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AssertDecimalEqual(r2Clean.RealizedDividend, r2Dirty.RealizedDividend, 0.0001m, "RealizedDividend 不受脏字段影响");
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Console.WriteLine($"[脏数据边界] 正常={r2Clean.PosiDividendSum} 脏数据={r2Dirty.PosiDividendSum}（应相等且不抛异常）");
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}
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}
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}
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