zszq-trs/UnitTestProject/Modules/SwapModule/Accrual/ContractReferenceOracleTest.cs

using Microsoft.VisualStudio.TestTools.UnitTesting;
using Newtonsoft.Json;
using YLErp;
using YLErp.DBModels.Enums;
using YLErp.Modules.SwapModule;

namespace UnitTestProject.Modules.SwapModule.Accrual
{
    /// <summary>
    /// 契约参考实现 oracle 落地（TEST-MATRIX §7 第 5 步）——两段式：
    ///
    /// ① oracle 自验证：手算锚点直接钉 ContractReferenceCalc（独立于生产引擎，公式正确性
    ///    由裁决文档 §1.1/§1.2 已核过的手算值保证——真实规模 5000 万/2.05%/90 天 与玩具 4 天）。
    /// ② 引擎对照：主力族（mode9 标的期初全价 / mode2 合约名义本金规模 × FR007 × 复利 × "10"）
    ///    盘中 T+0 部分平仓 30%，GetInterests 重放结果 必须 == 契约 oracle（容差 0.01 元，§7.4）。
    ///    这是本矩阵第一个"契约公式独立参考实现"级 oracle 的引擎对照用例（此前仅有 Excel 手算/工单值）。
    ///
    /// 引擎对照用恒定 FR007 利率表——刻意免疫"利率确定日=重置日上一营业日 vs 当日"的取价日
    /// 约定差异（任何确定日取到的都是同一利率），单独验证 ∏ 公式/重置期切分/算头不算尾/末段收口；
    /// 取价日维度（E 维，66a97e03）由变利率用例在 oracle 侧钉住（§①第 4 例），引擎侧后续补。
    ///
    /// 坐标登记：mode9/mode2 × 复利 × "10" × T+0 × 部分平仓30% × B=跨12个完整重置期+末段 × E=恒定利率。
    /// </summary>
    [TestClass]
    public class ContractReferenceOracleTest
    {
        // ── 生产参数（TEST-MATRIX §8：7 天重置 / A365 / 真实点差 +0.25% / 千万级名义）──
        private const decimal Spread = 0.0025m;        // 点差 +0.25%（确认书真实点差）
        private const decimal Fr007 = 0.018m;          // FR007 示意水平 1.8% → all-in 2.05%
        private const int ResetDays = 7;
        private const int AnnualDaysConst = 365;
        private const decimal Notional = 50_000_000m;  // 名义 5000 万
        private const decimal ClosedNotional = 15_000_000m; // 平掉 30% = 1500 万
        private const decimal ClosePercent = 0.3m;

        private static readonly DateTime StartDate = new(2026, 4, 27);  // 周一,起息日
        private static readonly DateTime Unwind90 = new(2026, 7, 26);   // 90 天 = 12×7 + 6 末段
        private static readonly DateTime Unwind89 = new(2026, 7, 25);   // 89 天 = 12×7 + 5 末段
        private static readonly DateTime ExerciseDate = new(2027, 4, 27);

        #region ① oracle 自验证（手算锚点）

        [TestMethod]
        public void 契约公式_恒定利率_90天12整期加6天末段_等于手算()
        {
            var rate = ContractReferenceCalc.ReferenceRateAbsolute(
                StartDate, Unwind90, ResetDays, Spread, _ => Fr007,
                calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
            // 手算：(1+0.0205×7/365)^12 × (1+0.0205×6/365) − 1（python 高精度复核）
            Assert.AreEqual(0.0050666026m, rate, 0.0000000009m, "90 天参考利率(绝对)必须等于 ∏ 公式手算值");

            var interest = ContractReferenceCalc.ClosedInterest(ClosedNotional, rate);
            Assert.AreEqual(75999.04m, interest, 0.01m, "平掉 1500 万 × 参考利率 = 裁决文档 §1.1 应结值");
        }

        [TestMethod]
        public void 契约公式_恒定利率_89天末段5天_等于手算()
        {
            var rate = ContractReferenceCalc.ReferenceRateAbsolute(
                StartDate, Unwind89, ResetDays, Spread, _ => Fr007,
                calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
            Assert.AreEqual(0.0050101727m, rate, 0.0000000009m, "89 天参考利率(绝对)手算值");

            var interest = ContractReferenceCalc.ClosedInterest(ClosedNotional, rate);
            Assert.AreEqual(75152.59m, interest, 0.01m);
        }

        [TestMethod]
        public void 契约公式_玩具参数_算头算尾4天_等于裁决文档手算锚点()
        {
            // 裁决文档 §1.2：300×[(1+0.011×3/365)×(1+0.011×1/365)−1] = 0.0361652（重置 3 天,利差 1%,FR 0.1%）
            var rate = ContractReferenceCalc.ReferenceRateAbsolute(
                new DateTime(2026, 4, 27), new DateTime(2026, 4, 30), resetDays: 3,
                spread: 0.01m, fixing: _ => 0.001m,
                calcFirst: true, calcLast: true, annualDays: 365);
            var interest = ContractReferenceCalc.ClosedInterest(300m, rate);
            Assert.AreEqual(0.0361652m, interest, 0.000001m);
        }

        [TestMethod]
        public void 契约公式_分段变利率_利率确定日为重置日上一营业日()
        {
            // 计息期 [5/4(一), 5/15(五)) "10" → 11 天 = 7 + 4 末段；重置日 5/4、5/11（均为周一）
            // 契约：利率确定日 = 重置日上一营业日 → 5/1(五)、5/8(五)
            Assert.AreEqual(new DateTime(2026, 5, 1), ContractReferenceCalc.PreviousBusinessDay(new DateTime(2026, 5, 4)), "5/4(一)的上一营业日是 5/1(五)");
            Assert.AreEqual(new DateTime(2026, 5, 8), ContractReferenceCalc.PreviousBusinessDay(new DateTime(2026, 5, 11)), "5/11(一)的上一营业日是 5/8(五)");

            var fixings = new Dictionary<DateTime, decimal>
            {
                [new DateTime(2026, 5, 1)] = 0.02m,   // 第一段 FR007 2.0% → all-in 2.25%
                [new DateTime(2026, 5, 8)] = 0.03m,   // 第二段 FR007 3.0% → all-in 3.25%
            };
            var rate = ContractReferenceCalc.ReferenceRateAbsolute(
                new DateTime(2026, 5, 4), new DateTime(2026, 5, 15), ResetDays, Spread,
                d => fixings[d], calcFirst: true, calcLast: false, annualDays: AnnualDaysConst);
            // 手算：(1+0.0225×7/365)×(1+0.0325×4/365)−1 = 0.0007878249
            Assert.AreEqual(0.0007878249m, rate, 0.0000000009m,
                "分段变利率下每段必须用各自确定日的 FR007（E 维：取价日=重置日上一营业日）");
        }

        #endregion

        #region ② 引擎对照（恒定 FR007，免疫取价日约定）

        private sealed class StubSwapDealService : SwapDealService
        {
            public StubSwapDealService() : base(
                new OptUserInfo(0, nameof(ContractReferenceOracleTest), OptUserFrom.UnitTest)) { }

            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
            {
                if (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase)) { rate = 0; return false; }
                rate = (double)Fr007;
                return true;
            }

            /// <summary>fresh 重放无历史已结利息，覆写掉 DB 查询（本场景语义即 0）。</summary>
            public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
        }

        private static trade CreateTrade()
        {
            var extend = new trade_extend
            {
                TradeId = 1,
                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                {
                    AnnualDays = AnnualDaysConst,
                    InterestCalcMode = "10",  // 算头不算尾（生产主力条款）
                    SettlementRules = 0
                })
            };
            return new trade
            {
                id = 1, TradeNumber = "UT-CONTRACT-REF-ORACLE", ClientId = 999998,
                TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
                ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
                trade_extend = extend
            };
        }

        private static swap_position CreatePosition(InterestModeEnum mode) =>
            new()
            {
                id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
                InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)mode,
                InterestRateDefault = Spread, InterestPrincipalFix = Notional,
                PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
                IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
                IsAnnualized = true, interest_rest_days = ResetDays, interest_rule = 0,
                FloatRateUnderlyingCode = "FR007",
                InterestSwapInterval = JsonConvert.SerializeObject(
                    new List<IntervalModel> { new() { Date = ExerciseDate, Rate = Spread, Settlement = 0 } })
            };

        /// <summary>引擎盘中重放（T+0 fresh 持仓，T0 形状）vs 契约 oracle，容差 0.01 元。</summary>
        private static void AssertEngineMatchesOracle(
            InterestModeEnum mode, DateTime unwindDate, decimal posi, decimal closePosi,
            decimal expectedOracleInterest)
        {
            var td = CreateTrade();
            var position = CreatePosition(mode);
            var interests = new StubSwapDealService().GetInterests(
                td, td.trade_extend, unwindDate, unwindDate,
                new List<eod_swap_position>(), new List<swap_position> { position },
                posi, closePosi, ClosePercent,
                (int)SwapEventTypeEnum.平仓,
                tdClose: false, orginPv: posi, add: false, settment: false, newCalcLast: false, closeList: null);

            Assert.AreEqual(1, interests.Count);
            Assert.IsTrue(Math.Abs(interests[0].InterestAmount - expectedOracleInterest) <= 0.01m,
                $"mode={mode} 引擎重放 {interests[0].InterestAmount} vs 契约 oracle {expectedOracleInterest}，" +
                $"diff={interests[0].InterestAmount - expectedOracleInterest}——引擎偏离确认书公式（TEST-MATRIX §8a）");
        }

        private static decimal OracleInterest(DateTime unwindDate) =>
            ContractReferenceCalc.ClosedInterest(ClosedNotional,
                ContractReferenceCalc.ReferenceRateAbsolute(
                    StartDate, unwindDate, ResetDays, Spread, _ => Fr007,
                    calcFirst: true, calcLast: false, annualDays: AnnualDaysConst));

        [TestMethod]
        public void 引擎_mode9_复利FR007_10_部分平仓30_90天_等于契约oracle()
            => AssertEngineMatchesOracle(InterestModeEnum.标的期初全价, Unwind90, Notional, Notional, OracleInterest(Unwind90));

        [TestMethod]
        public void 引擎_mode9_复利FR007_10_部分平仓30_89天_等于契约oracle()
            => AssertEngineMatchesOracle(InterestModeEnum.标的期初全价, Unwind89, Notional, Notional, OracleInterest(Unwind89));

        [TestMethod]
        public void 引擎_mode2_复利FR007_10_部分平仓30_显式平掉额_等于契约oracle()
            => AssertEngineMatchesOracle(InterestModeEnum.合约名义本金规模, Unwind90, Notional, ClosedNotional, OracleInterest(Unwind90));

        #endregion
    }
}