zszq-trs/UnitTestProject/Modules/SwapModule/SwapSpanMarginCalcTest.cs

using YLErp.DBModels;
using YLErp.Modules.SwapModule.Margin;

namespace YLErp.Modules.SwapModule
{
    /// <summary>
    /// R2 阶段三 §3.1 区间追保纯函数测试：落档边界值（恰好等于档界）、看多/看空方向、
    /// 追保金额=AmountRate×期初全价×券面总额（累计到所落档位，直取）、
    /// 维持保证金=(初始+总追加)×我方净收取方向。
    /// 区间结构（docx 确认书追保表同型）：多头 第1层[Lower,+∞)、第n层[Lower,Upper)；空头 第1层(−∞,Upper]、第n层(Lower,Upper]。
    /// </summary>
    [TestClass]
    public class SwapSpanMarginCalcTest
    {
        private static SpanTierConfig Tier(double? lower, double? upper, double? amountRate)
            => new() { Lower = lower, Upper = upper, AmountRate = amountRate };

        /// <summary>客户看多 4 层（A=3% 口径：97/94/91/88，比例 0/3%/6%/9%）</summary>
        private static List<SpanTierConfig> LongTiers() => new()
        {
            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),
        };

        /// <summary>客户看空 4 层（A=3% 口径：103/106/109/112，比例 0/3%/6%/9%）</summary>
        private static List<SpanTierConfig> ShortTiers() => new()
        {
            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),
        };

        // ================================================================
        // HasSpanConfig：方案B结构判定（存量 x/y 配置回落旧公式）
        // ================================================================

        [TestMethod]
        public void SS_001_空配置_视为存量xy()
        {
            Assert.IsFalse(SwapSpanMarginCalc.HasSpanConfig(null));
            Assert.IsFalse(SwapSpanMarginCalc.HasSpanConfig(new SpanConfig()));
            Assert.IsFalse(SwapSpanMarginCalc.HasSpanConfig(new SpanConfig
            {
                LongSpans = new List<SpanTierConfig> { new SpanTierConfig(), null },
                ShortSpans = new List<SpanTierConfig> { new SpanTierConfig() }
            }));
        }

        [TestMethod]
        public void SS_002_任一方向或线有值_视为新结构()
        {
            Assert.IsTrue(SwapSpanMarginCalc.HasSpanConfig(new SpanConfig { WarnLine = 0.91 }));
            Assert.IsTrue(SwapSpanMarginCalc.HasSpanConfig(new SpanConfig { LongSpans = new List<SpanTierConfig> { Tier(0.97, null, 0) } }));
            Assert.IsTrue(SwapSpanMarginCalc.HasSpanConfig(new SpanConfig { ShortSpans = new List<SpanTierConfig> { Tier(null, 1.03, 0) } }));
        }

        // ================================================================
        // IsCustomerLong：与确认书同规则（收取端同向、支付端反向，客户取反）
        // ================================================================

        [TestMethod]
        public void SS_003_客户方向判定()
        {
            //我方收取端：PositionType 同向 → 我方多头 → 客户看空
            Assert.IsFalse(SwapSpanMarginCalc.IsCustomerLong(posiDirection: 1, positionType: 1));
            Assert.IsTrue(SwapSpanMarginCalc.IsCustomerLong(posiDirection: 1, positionType: 2));
            //我方支付端：PositionType 反向 → 我方空头 → 客户看多
            Assert.IsTrue(SwapSpanMarginCalc.IsCustomerLong(posiDirection: 2, positionType: 1));
            Assert.IsFalse(SwapSpanMarginCalc.IsCustomerLong(posiDirection: 2, positionType: 2));
        }

        // ================================================================
        // MatchTier 多头：[Lower, Upper)，第1层上不封顶；边界恰好等于档界
        // ================================================================

        [TestMethod]
        public void SS_004_多头落档_区间内与边界值()
        {
            var tiers = LongTiers();
            //未触发（价格充足）→ 第1层
            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, true, 1.00));
            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, true, 0.97));   //恰好=第1层下界
            //第2层 [0.94, 0.97)
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, true, 0.9699));
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, true, 0.94));   //恰好=第2层下界
            //第3层 [0.91, 0.94)
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.9399));
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.91));
            //第4层 [0.88, 0.91)
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, true, 0.9099));
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, true, 0.88));   //恰好=最深层下界
        }

        [TestMethod]
        public void SS_005_多头穿出最深层_按最深层计()
        {
            var tiers = LongTiers();
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, true, 0.8799));
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, true, 0.50));
        }

        // ================================================================
        // MatchTier 空头：(Lower, Upper]，第1层下不设限；边界恰好等于档界
        // ================================================================

        [TestMethod]
        public void SS_006_空头落档_区间内与边界值()
        {
            var tiers = ShortTiers();
            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, false, 1.00));
            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, false, 1.03));  //恰好=第1层上界
            //第2层 (1.03, 1.06]
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, false, 1.0301));
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, false, 1.06));  //恰好=第2层上界
            //第3层 (1.06, 1.09]
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, false, 1.0601));
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, false, 1.09));
            //第4层 (1.09, 1.12]
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.0901));
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.12));
        }

        [TestMethod]
        public void SS_007_空头穿出最深层_按最深层计()
        {
            var tiers = ShortTiers();
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.1201));
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 2.00));
        }

        /// <summary>
        /// 层间空隙不落最深层（2026-08-27 修正，交易2538实证）：
        /// 真实模板空头档位 (−∞,0.99]∪(1.00,1.03]，(0.99,1.00] 为价格在期初附近小幅波动的"未触发追保"空隙——
        /// 此前兜底一律按最深层计，ratio≈0.99999 被错误收取最深档（0.04×基数）。
        /// 修正后：空隙返回 null（追加保证金按0）；仅穿出最深层边界（ratio>最深上界）才按最深层计。
        /// </summary>
        [TestMethod]
        public void SS_008_空头层间空隙_不落最深层_追加为零()
        {
            //模板"保证金测试01"实际配置形态：第1层 (−∞,0.99]，第2~4层 (1.00,1.03]
            var tiers = new List<SpanTierConfig>
            {
                Tier(null, 0.99, 0.01),
                Tier(1.00, 1.01, 0.02),
                Tier(1.01, 1.02, 0.03),
                Tier(1.02, 1.03, 0.04),
            };
            //交易2538 08-24：净价100 → ratio = 100/100.0011 ≈ 0.99999 落 (0.99,1.00] 空隙 → 不追保
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, false, 0.99999));
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, false, 0.995));
            //空隙边界归第1层
            Assert.AreSame(tiers[0], SwapSpanMarginCalc.MatchTier(tiers, false, 0.99));
            //空隙上方正常落档
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, false, 1.005));
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, false, 1.015));
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.025));
            //穿出最深层上界 → 按最深层计（原有语义不变）
            Assert.AreSame(tiers[3], SwapSpanMarginCalc.MatchTier(tiers, false, 1.0301));
        }

        /// <summary>
        /// 多头层间空隙同理：空隙返回 null（追加0），仅跌破最深层下界才按最深层计。
        /// </summary>
        [TestMethod]
        public void SS_009_多头层间空隙_不落最深层()
        {
            var tiers = new List<SpanTierConfig>
            {
                Tier(0.98, null, 0.01),
                Tier(0.96, 0.97, 0.03),   //留出 (0.97,0.98) 空隙
                Tier(0.95, 0.96, 0.04),
            };
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(tiers, true, 0.975));
            Assert.AreSame(tiers[1], SwapSpanMarginCalc.MatchTier(tiers, true, 0.9699));
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.955));
            //穿出最深层下界 → 按最深层计（原有语义不变）
            Assert.AreSame(tiers[2], SwapSpanMarginCalc.MatchTier(tiers, true, 0.94));
        }

        [TestMethod]
        public void SS_008_无可用层_返回null()
        {
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(null, true, 0.9));
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(new List<SpanTierConfig>(), false, 1.0));
            Assert.IsNull(SwapSpanMarginCalc.MatchTier(new List<SpanTierConfig> { new SpanTierConfig() }, true, 0.9));
        }

        // ================================================================
        // 追保金额与维持保证金公式
        // ================================================================

        [TestMethod]
        public void SS_009_追保金额_比例乘期初全价乘券面()
        {
            //第2层 3%：0.03 × 期初全价101.5 × 券面10000 = 30450
            Assert.AreEqual(30450, SwapSpanMarginCalc.CalcAdditionalMargin(Tier(0.94, 0.97, 0.03), 101.5, 10000), 1e-6);
            //第1层 0% → 0
            Assert.AreEqual(0, SwapSpanMarginCalc.CalcAdditionalMargin(Tier(0.97, null, 0), 101.5, 10000), 1e-6);
            //未配置比例/null 层 → 0
            Assert.AreEqual(0, SwapSpanMarginCalc.CalcAdditionalMargin(null, 101.5, 10000), 1e-6);
            Assert.AreEqual(0, SwapSpanMarginCalc.CalcAdditionalMargin(Tier(0.94, 0.97, null), 101.5, 10000), 1e-6);
        }

        [TestMethod]
        public void SS_010_维持保证金_初始加追加乘方向()
        {
            //我方净收取 +1
            Assert.AreEqual(80450, SwapSpanMarginCalc.CalcMaintenanceMargin(50000, 30450, 1), 1e-6);
            //我方净支付 −1（负值=客户应收）
            Assert.AreEqual(-80450, SwapSpanMarginCalc.CalcMaintenanceMargin(50000, 30450, -1), 1e-6);
        }

        /// <summary>docx 数值复算（客户看多，A=3%）：期初净价98.5 → 当前净价92.0 落第3层，追加=6%×101×100000</summary>
        [TestMethod]
        public void SS_011_客户看多数值复算()
        {
            var tiers = LongTiers();
            var ratio = 92.0 / 98.5;
            var tier = SwapSpanMarginCalc.MatchTier(tiers, isCustomerLong: true, priceRatio: ratio);
            Assert.AreSame(tiers[2], tier);
            var additional = SwapSpanMarginCalc.CalcAdditionalMargin(tier, initPrice: 101.0, quantity: 100000);
            Assert.AreEqual(0.06 * 101.0 * 100000, additional, 1e-6);
            var maintenance = SwapSpanMarginCalc.CalcMaintenanceMargin(500000, additional, direction: 1);
            Assert.AreEqual(500000 + 0.06 * 101.0 * 100000, maintenance, 1e-6);
        }

        /// <summary>docx 数值复算（客户看空，A=3%）：期初价98.5 → 收盘价104.0 落第2层，追加=3%×101×100000</summary>
        [TestMethod]
        public void SS_012_客户看空数值复算()
        {
            var tiers = ShortTiers();
            var ratio = 104.0 / 98.5;
            var tier = SwapSpanMarginCalc.MatchTier(tiers, isCustomerLong: false, priceRatio: ratio);
            Assert.AreSame(tiers[1], tier);
            var additional = SwapSpanMarginCalc.CalcAdditionalMargin(tier, initPrice: 101.0, quantity: 100000);
            Assert.AreEqual(0.03 * 101.0 * 100000, additional, 1e-6);
        }

        /// <summary>
        /// BUG-25 回归：配置层未按浅→深排序时，穿出最深层的回落不依赖数组顺序——
        /// 多头取最小下界层、空头取最大上界层（Last() 假定有序，乱序时回落错层）。
        /// </summary>
        [TestMethod]
        public void SS_013_穿层回落_乱序配置按边界取最深层()
        {
            //多头乱序（浅→深：0.97/0.94/0.91/0.88 → 打乱为 0.91/0.97/0.88/0.94）
            var longShuffled = new List<SpanTierConfig>
            {
                Tier(0.91, 0.94, 0.06),
                Tier(0.97, null, 0.00),
                Tier(0.88, 0.91, 0.09),
                Tier(0.94, 0.97, 0.03),
            };
            var longDeepest = SwapSpanMarginCalc.MatchTier(longShuffled, isCustomerLong: true, priceRatio: 0.85);
            Assert.AreEqual(0.88, longDeepest.Lower);
            Assert.AreEqual(0.09, longDeepest.AmountRate);

            //空头乱序（浅→深：1.03/1.06/1.09/1.12 → 打乱为 1.09/1.03/1.12/1.06）
            var shortShuffled = new List<SpanTierConfig>
            {
                Tier(1.06, 1.09, 0.06),
                Tier(null, 1.03, 0.00),
                Tier(1.09, 1.12, 0.09),
                Tier(1.03, 1.06, 0.03),
            };
            var shortDeepest = SwapSpanMarginCalc.MatchTier(shortShuffled, isCustomerLong: false, priceRatio: 1.15);
            Assert.AreEqual(1.12, shortDeepest.Upper);
            Assert.AreEqual(0.09, shortDeepest.AmountRate);
        }
    }
}