226 lines
12 KiB
C#
226 lines
12 KiB
C#
using YLErp.DBModels;
|
||
using YLErp.Modules.SwapModule.Margin;
|
||
|
||
namespace YLErp.Modules.SwapModule
|
||
{
|
||
/// <summary>
|
||
/// EOD 追保腿化改造测试（纯函数层：腿构造、资金来源分配、幂等识别、跨日水位）。
|
||
/// 服务层（SettleAdditionalMargin 的 DB 写入编排）依赖真实库，无内存测试基建——
|
||
/// 此处按服务内实际调用顺序组合 SwapAdditionalMarginCalc / ConsFundTag / FundTagCalc 纯函数验证等价语义：
|
||
/// 增量>0 → BuildEodMarginLeg 建腿 → PreferCredit(腿标签, 交易级资金来源) 回退 → AllocateByLegPreference 分配
|
||
/// （= ApplyMarginFundTags 内部分配），拆单守恒走 ApplySaveTimeSplit（与 SplitLeg 同口径倒挤）。
|
||
/// </summary>
|
||
[TestClass]
|
||
public class SwapAdditionalMarginLegTest
|
||
{
|
||
private static readonly DateTime SettleDate = new(2026, 8, 27);
|
||
|
||
private static trade NewTrade(string fundSource = ConsFundTag.Credit)
|
||
=> new()
|
||
{
|
||
id = 2543,
|
||
TradeNumber = "TRS2026-2543",
|
||
StartDate = new DateTime(2026, 8, 20),
|
||
ExerciseDate = new DateTime(2027, 8, 20),
|
||
SettlementCurrency = "CNY",
|
||
MarginFundSource = fundSource
|
||
};
|
||
|
||
/// <summary>
|
||
/// 目标>累计 → 生成 1 条 mode6 追保腿：与手工追加预付金同形态
|
||
/// （资金腿、IsInitial、收取方向、fix=增量两位 AwayFromZero 舍入、HappenDate=结算日、FundTag=NULL 回退、OptName 打标）。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_001_目标大于累计_生成追保腿()
|
||
{
|
||
var td = NewTrade();
|
||
var target = SwapAdditionalMarginCalc.CalcTarget(2_808_000, 2_000_000);
|
||
Assert.AreEqual(808_000, target, 1e-6);
|
||
|
||
var leg = SwapAdditionalMarginService.BuildEodMarginLeg(td, target, SettleDate, optId: 0);
|
||
|
||
Assert.AreEqual(2543, leg.SwapTradeId);
|
||
Assert.AreEqual(0, leg.PositionType);
|
||
Assert.AreEqual(0, leg.PosiDirection);
|
||
Assert.IsTrue(leg.IsInitial);
|
||
Assert.AreEqual((int)InterestModeEnum.追加预付金, leg.InterestMode);
|
||
Assert.AreEqual((int)SwapDirectionEnum.收取, leg.InterestDirection);
|
||
Assert.AreEqual(808_000m, leg.InterestPrincipalFix);
|
||
Assert.AreEqual(SettleDate, leg.HappenDate);
|
||
Assert.IsNull(leg.FundTag);
|
||
Assert.AreEqual(SwapAdditionalMarginService.EodOptName, leg.OptName);
|
||
Assert.AreEqual("EOD追保", SwapAdditionalMarginService.EodOptName);
|
||
|
||
//两位 AwayFromZero 舍入
|
||
var rounded = SwapAdditionalMarginService.BuildEodMarginLeg(td, 1000.005, SettleDate, optId: 0);
|
||
Assert.AreEqual(1000.01m, rounded.InterestPrincipalFix);
|
||
|
||
//币种：取交易结算币种；交易未设置时回退系统默认 CNY（与存量手工腿口径一致，2026-08-27 修复空币种）
|
||
Assert.AreEqual("CNY", leg.Currency);
|
||
td.SettlementCurrency = null;
|
||
Assert.AreEqual(ConsGlobal.Currency.CNY,
|
||
SwapAdditionalMarginService.BuildEodMarginLeg(td, 100, SettleDate, optId: 0).Currency);
|
||
}
|
||
|
||
/// <summary>
|
||
/// 授信充足（腿未选 → 回退交易级 Credit）：整腿定稿授信占用，现金部分 0（不产生现金流水）。
|
||
/// 占用 remark 必须带"追加保证金"前缀（累计口径与清理链路的硬性识别点）。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_002_授信充足_全额授信零现金流水()
|
||
{
|
||
var td = NewTrade(ConsFundTag.Credit);
|
||
var leg = SwapAdditionalMarginService.BuildEodMarginLeg(td, 1000, SettleDate, optId: 0);
|
||
Assert.IsTrue(ConsFundTag.PreferCredit(leg.FundTag, td.MarginFundSource));
|
||
|
||
var plans = FundTagCalc.AllocateByLegPreference(
|
||
new List<LegAmount> { new() { Leg = leg, Amount = 1000, PreferCredit = true } },
|
||
creditAvailable: 5_000, ignoreMoneyCheck: false);
|
||
|
||
Assert.AreEqual(1000, plans[0].CreditAmount);
|
||
Assert.AreEqual(0, plans[0].CashAmount);
|
||
Assert.IsFalse(plans[0].NeedSplit);
|
||
//CashAmount==0 → ApplyMarginFundTags 不写现金流水；占用 remark 前缀断言
|
||
Assert.IsTrue((ClientCreditInoutService.AdditionalMarginRemark + "占用")
|
||
.StartsWith(ClientCreditInoutService.AdditionalMarginRemark));
|
||
Assert.IsTrue((ClientCreditInoutService.AdditionalMarginRemark + "拆单授信部分")
|
||
.StartsWith(ClientCreditInoutService.AdditionalMarginRemark));
|
||
}
|
||
|
||
/// <summary>
|
||
/// 额度不足 → 跨界拆单：原腿保留授信部分标 Credit，克隆现金差额腿标 Cash，
|
||
/// 两腿 fix 倒挤守恒（现金流水绑现金腿 id，Deal=现金腿id 由 ApplyMarginFundTags 保证）。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_003_额度不足_拆腿加现金流水()
|
||
{
|
||
var td = NewTrade(ConsFundTag.Credit);
|
||
var leg = SwapAdditionalMarginService.BuildEodMarginLeg(td, 1000, SettleDate, optId: 0);
|
||
|
||
var legs = new List<LegAmount> { new() { Leg = leg, Amount = 1000, PreferCredit = true } };
|
||
var plans = FundTagCalc.AllocateByLegPreference(legs, creditAvailable: 300, ignoreMoneyCheck: false);
|
||
Assert.IsTrue(plans[0].NeedSplit);
|
||
Assert.AreEqual(300, plans[0].CreditAmount);
|
||
Assert.AreEqual(700, plans[0].CashAmount);
|
||
|
||
//ApplySaveTimeSplit 与 SplitLeg 同口径（原腿=授信部分、克隆现金腿倒挤守恒）
|
||
var newLegs = FundTagCalc.ApplySaveTimeSplit(legs, plans);
|
||
Assert.AreEqual(1, newLegs.Count);
|
||
Assert.AreEqual(300m, leg.InterestPrincipalFix);
|
||
Assert.AreEqual(ConsFundTag.Credit, leg.FundTag);
|
||
var cashLeg = newLegs[0];
|
||
Assert.AreEqual(700m, cashLeg.InterestPrincipalFix);
|
||
Assert.AreEqual(ConsFundTag.Cash, cashLeg.FundTag);
|
||
Assert.AreEqual(1000m, leg.InterestPrincipalFix + cashLeg.InterestPrincipalFix);
|
||
//拆单两腿合计=增量，且现金腿为独立期初腿（流水 Deal 绑它）
|
||
Assert.AreEqual(0, cashLeg.id);
|
||
Assert.AreEqual(0, cashLeg.PositionId);
|
||
Assert.IsTrue(cashLeg.IsInitial);
|
||
}
|
||
|
||
/// <summary>
|
||
/// margin_fund_source=Cash：腿未选回退交易级现金 → 整腿定稿现金、全额现金流水、零授信占用。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_004_交易级现金来源_全额现金零占用()
|
||
{
|
||
var td = NewTrade(ConsFundTag.Cash);
|
||
var leg = SwapAdditionalMarginService.BuildEodMarginLeg(td, 1000, SettleDate, optId: 0);
|
||
Assert.IsFalse(ConsFundTag.PreferCredit(leg.FundTag, td.MarginFundSource));
|
||
|
||
var plans = FundTagCalc.AllocateByLegPreference(
|
||
new List<LegAmount> { new() { Leg = leg, Amount = 1000, PreferCredit = false } },
|
||
creditAvailable: 5_000, ignoreMoneyCheck: false);
|
||
|
||
Assert.AreEqual(0, plans[0].CreditAmount);
|
||
Assert.AreEqual(1000, plans[0].CashAmount);
|
||
Assert.IsFalse(plans[0].NeedSplit);
|
||
}
|
||
|
||
/// <summary>
|
||
/// 增量≤0（追保回落/已补足）→ 不产生新腿：目标<已补足 与 目标=0 两种情形均跳过。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_005_增量非正_不产生新腿()
|
||
{
|
||
//已补足：目标 50，已补足 80 → 增量 -30 → 跳过
|
||
var target = SwapAdditionalMarginCalc.CalcTarget(150, 100);
|
||
var increment = Math.Round(target - 80, 2, MidpointRounding.AwayFromZero);
|
||
Assert.IsTrue(increment <= 0);
|
||
|
||
//追保回落到应付之下：目标 0 → 增量 ≤0 → 跳过（超付不返还，负缺口走可用资金公式）
|
||
var fallen = SwapAdditionalMarginCalc.CalcTarget(50, 100);
|
||
Assert.AreEqual(0, fallen, 1e-6);
|
||
Assert.IsTrue(Math.Round(fallen - 80, 2, MidpointRounding.AwayFromZero) <= 0);
|
||
}
|
||
|
||
/// <summary>
|
||
/// 幂等：EOD 腿识别（OptName 打标 + mode6 + 重跑窗口）——手工腿（OptName=操作员）与
|
||
/// 窗口外更早历史腿不受影响；重跑时旧腿金额已计入已补足 → 增量 0 不翻倍。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_006_幂等识别与重跑不翻倍()
|
||
{
|
||
var td = NewTrade();
|
||
var eodLeg = SwapAdditionalMarginService.BuildEodMarginLeg(td, 80, SettleDate, optId: 0);
|
||
var manualLeg = new swap_position
|
||
{
|
||
InterestMode = (int)InterestModeEnum.追加预付金,
|
||
OptName = "张三",
|
||
HappenDate = SettleDate
|
||
};
|
||
var initLeg = new swap_position
|
||
{
|
||
InterestMode = (int)InterestModeEnum.初始预付金,
|
||
OptName = SwapAdditionalMarginService.EodOptName,
|
||
HappenDate = SettleDate
|
||
};
|
||
var earlierEodLeg = SwapAdditionalMarginService.BuildEodMarginLeg(td, 50, SettleDate.AddDays(-2), optId: 0);
|
||
|
||
Assert.IsTrue(SwapAdditionalMarginService.IsEodMarginLeg(eodLeg, SettleDate));
|
||
Assert.IsFalse(SwapAdditionalMarginService.IsEodMarginLeg(manualLeg, SettleDate));
|
||
Assert.IsFalse(SwapAdditionalMarginService.IsEodMarginLeg(initLeg, SettleDate));
|
||
//重跑窗口起点防误删更早历史日已归属腿
|
||
Assert.IsFalse(SwapAdditionalMarginService.IsEodMarginLeg(earlierEodLeg, SettleDate));
|
||
Assert.IsTrue(SwapAdditionalMarginService.IsEodMarginLeg(earlierEodLeg, SettleDate.AddDays(-2)));
|
||
|
||
//重跑：旧腿簿记已计入已补足（现金 30 + 授信 50 = 80）→ 目标不变、增量 0
|
||
var target = SwapAdditionalMarginCalc.CalcTarget(180, 100);
|
||
var rerunIncrement = Math.Round(target - 30 - 50, 2, MidpointRounding.AwayFromZero);
|
||
Assert.AreEqual(0, rerunIncrement, 1e-6);
|
||
}
|
||
|
||
/// <summary>
|
||
/// 跨日序列（映射交易2538实例）：首日补足水位后，维保回落不返还、回升只补差额，累计已补足不越目标水位。
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void AM_LEG_007_跨日序列_不越水位()
|
||
{
|
||
const double payableNet = 2_000_000; //初始预付金全走授信（占用净额）
|
||
var fundedLegs = new List<double>();
|
||
|
||
//D1 维持 2,808,000 → 目标 808,000 → 腿1
|
||
var day1Target = SwapAdditionalMarginCalc.CalcTarget(2_808_000, payableNet);
|
||
var day1Increment = Math.Round(day1Target - fundedLegs.Sum(), 2, MidpointRounding.AwayFromZero);
|
||
Assert.AreEqual(808_000, day1Increment, 1e-6);
|
||
fundedLegs.Add(day1Increment);
|
||
|
||
//D2 维保回落至 2,500,000 → 目标 500,000 < 已补足 → 无新腿（不返还）
|
||
var day2Target = SwapAdditionalMarginCalc.CalcTarget(2_500_000, payableNet);
|
||
var day2Increment = Math.Round(day2Target - fundedLegs.Sum(), 2, MidpointRounding.AwayFromZero);
|
||
Assert.IsTrue(day2Increment <= 0);
|
||
|
||
//D3 维保回升至 3,000,000 → 目标 1,000,000 − 已补足 808,000 = 增量 192,000 → 腿2
|
||
var day3Target = SwapAdditionalMarginCalc.CalcTarget(3_000_000, payableNet);
|
||
var day3Increment = Math.Round(day3Target - fundedLegs.Sum(), 2, MidpointRounding.AwayFromZero);
|
||
Assert.AreEqual(192_000, day3Increment, 1e-6);
|
||
fundedLegs.Add(day3Increment);
|
||
|
||
//D3 重跑：已补足=目标 → 增量 0，总量恒等不越水位
|
||
var day3Rerun = Math.Round(day3Target - fundedLegs.Sum(), 2, MidpointRounding.AwayFromZero);
|
||
Assert.AreEqual(0, day3Rerun, 1e-6);
|
||
Assert.AreEqual(day3Target, fundedLegs.Sum(), 1e-6);
|
||
}
|
||
}
|
||
}
|