hjhan
cf0d965ff8
用C#忠实重写前端JS公式作参考实现(FrontendCalcReference),冻结前端计算行为, 为后端校验/重算兜底提供金标准(注:前端保持快速反馈,不搬到后端)。 8个场景覆盖用户可变输入分支: - FC_001-005 平仓页: 默认值/改标的价格/改平仓数量/改利息金额/非债券空头方向因子 - FC_006-008 结息页: 全量结算/改标的价格/含利息腿与预付金腿总额 参考实现内部用规范命名(EntryDirtyPrice/ExitDirtyFeePrice/floatRatio/longRatio), 践行《互换价格字段命名规范决策文档》,作命名规范活样板。
404 lines
20 KiB
C#
404 lines
20 KiB
C#
using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 前端计算逻辑特征化测试（Characterization Test）
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/// ============================================================================
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/// 目的：用 golden 冻结前端 JS 的计算行为（含用户可变输入分支），
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/// 作为下一轮"计算下沉后端"的金标准——后端结果必须匹配这些 golden。
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///
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/// 背景：前端 unwindSwapTrade.js / incomeSwapTrade.js 是实时响应式计算器，
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/// 用户改标的价格/平仓数量/交易费用/利息金额时，前端立刻重算 MarkClosePnl/
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/// SwapRealizedPnL/SwapCloseAmount，后端拿到"前端算好的最终结果"直接记账。
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/// 本测试用 C# 忠实重写前端公式作参考实现，手算真实输入的期望值存 golden。
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///
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/// 命名规范（见命名决策文档）：参考实现内部用规范名（EntryPrice/ExitPrice/
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/// floatRatio/longRatio），注释标明对应前端字段与规范语义。
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/// ============================================================================
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[TestClass]
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public class FrontendCalcCharacterizationTest
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{
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private static readonly string GoldenDir = Path.Combine(
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AppDomain.CurrentDomain.BaseDirectory, "Resources", "GoldenFiles", "FrontendCalc");
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// ================================================================
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// FrontendCalcReference：前端公式的 C# 忠实重写（参考实现，非生产代码）
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// ================================================================
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/// <summary>
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/// 前端公式参考实现。输入=前端可见的原始字段，输出=前端算出的衍生字段。
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/// 注意：otcformat.trading.StockEqvNotional 的精度按 MoneyRound=2 模拟。
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/// </summary>
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private static class FrontendCalcReference
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{
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/// <summary>模拟 otcformat.trading.StockEqvNotional（金额类，2位小数）</summary>
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private static decimal StockEqvNotional(decimal v) => Math.Round(v, 2, MidpointRounding.AwayFromZero);
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/// <summary>
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/// 计算平仓页（unwind）的盯市盈亏与汇总。
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/// 对应 unwindSwapTrade.js:196-261（calcFloatClosePnl + calcCloseAmount）。
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/// </summary>
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public static UnwindResult CalcUnwind(UnwindInput input)
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{
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// 规范名映射：initPosiNetPrice(前端变量) = PosiGrossPrice = EntryDirtyPrice（期初全价不含费）
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decimal entryPrice = input.PosiGrossPrice;
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// scale = getPriceScale()：债券(multiplier=100)→0.01，非债券→1
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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// 方向因子：PayDirection(1=收取)→+1；PositionType(1=多头)→+1
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal longRatio = input.PositionType == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = round(CloseQty × (TradingAmountAvg × scale − EntryPrice) × floatRatio × longRatio × 10000)/10000
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decimal markClosePnl = Math.Round(
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input.CloseQty * (input.TradingAmountAvg * scale - entryPrice) * floatRatio * longRatio * 10000) / 10000;
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// toFixed(2) → StockEqvNotional
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markClosePnl = Math.Round(markClosePnl, 2, MidpointRounding.AwayFromZero);
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markClosePnl = StockEqvNotional(markClosePnl);
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// FloatPnlSum = (MarkClosePnl + TradingFee + TradingFeePending + DividendIn).toFixed(2)
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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// calcCloseAmount：SwapRealizedPnL/SwapCloseAmount = FloatPnlSum + Σ利息腿 + Σ预付金腿
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty==0 ? 0 : (TradingAmountAvg×scale + TradingFee/CloseQty × ratio)
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// 注：unwind 的 ratio = PositionType?1:-1（calcCloseAmount 内重新定义）
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decimal ratio = input.PositionType == 1 ? 1 : -1;
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decimal tradingAmountFeeAvg = input.CloseQty == 0 ? 0 :
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input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * ratio;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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/// <summary>
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/// 计算结息页（income）的盯市盈亏与汇总。
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/// 对应 incomeSwapTrade.js:128-178。
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/// 差异：用 CloseNotionalValue（非 CloseQty）作量纲，无 longRatio，无 Math.round/10000。
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/// </summary>
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public static UnwindResult CalcIncome(UnwindInput input)
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{
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// income 页 initPosiGrossPrice = PosiGrossPrice = EntryDirtyPrice
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decimal entryPrice = input.PosiGrossPrice;
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decimal scale = input.Multiplier == 100 ? 0.01m : 1m;
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decimal floatRatio = input.PayDirection == 1 ? 1 : -1;
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decimal tradingFee = ParseOrZero(input.TradingFee);
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decimal tradingFeePending = ParseOrZero(input.TradingFeePending);
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decimal dividendIn = ParseOrZero(input.DividendIn);
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// MarkClosePnl = CloseNotionalValue × (TradingAmountAvg × scale − EntryPrice) × floatRatio
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// （无 longRatio、无 Math.round/10000）
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decimal markClosePnl = input.CloseNotionalValue * (input.TradingAmountAvg * scale - entryPrice) * floatRatio;
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markClosePnl = StockEqvNotional(markClosePnl);
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decimal floatPnlSum = decimal.Parse(
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(markClosePnl + tradingFee + tradingFeePending + dividendIn).ToString("F2"));
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decimal swapCloseAmount = floatPnlSum;
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decimal swapRealizedPnL = floatPnlSum;
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decimal swapMarginRebatePnl = 0m;
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foreach (var interest in input.InterestLegs)
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{
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swapCloseAmount += interest.InterestClosePnL;
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swapRealizedPnL += interest.InterestClosePnL;
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}
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foreach (var margin in input.MarginLegs)
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{
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swapCloseAmount += margin.InterestClosePnL;
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swapMarginRebatePnl += margin.InterestClosePnL;
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swapRealizedPnL += margin.InterestClosePnL;
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}
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// income 页无 SwapMarginAmount 计算（恒为0）
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swapRealizedPnL = StockEqvNotional(swapRealizedPnL);
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swapCloseAmount = StockEqvNotional(swapCloseAmount);
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swapMarginRebatePnl = StockEqvNotional(swapMarginRebatePnl);
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// TradingAmountFeeAvg = CloseQty>0 ? (TradingAmountAvg×scale + TradingFee/CloseQty × floatRatio) : TradingAmountAvg×scale
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// 注：income 用 floatRatio（PayDirection），与 unwind 的 ratio(PositionType) 不同
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decimal tradingAmountFeeAvg = input.CloseQty > 0
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? input.TradingAmountAvg * scale + (tradingFee / input.CloseQty) * floatRatio
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: input.TradingAmountAvg * scale;
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return new UnwindResult
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{
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MarkClosePnl = markClosePnl,
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FloatPnlSum = floatPnlSum,
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SwapRealizedPnL = swapRealizedPnL,
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SwapCloseAmount = swapCloseAmount,
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SwapMarginRebatePnl = swapMarginRebatePnl,
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TradingAmountFeeAvg = tradingAmountFeeAvg
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};
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}
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private static decimal ParseOrZero(string s) => string.IsNullOrEmpty(s) ? 0m : decimal.Parse(s);
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}
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// 输入/输出模型
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private class UnwindInput
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{
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public int Multiplier; // 债券=100，非债券=1
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public decimal PosiGrossPrice; // EntryDirtyPrice（期初全价不含费）
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public decimal TradingAmountAvg; // 用户可改的期末标的价格（界面×multiplier形态）
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public decimal CloseQty; // 平仓数量
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public decimal CloseNotionalValue;// 平仓名义本金（income 用）
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public int PayDirection; // 1=收取，-1=支付
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public int PositionType; // 1=多头，2=空头
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public string TradingFee; // 交易费用（前端是字符串）
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public string TradingFeePending; // 待结算费用
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public string DividendIn; // 分红
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public List<LegInput> InterestLegs = new();
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public List<LegInput> MarginLegs = new();
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}
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private class LegInput
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{
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public decimal InterestClosePnL; // 利息腿平仓盈亏（已含方向）
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}
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private class UnwindResult
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{
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public decimal MarkClosePnl;
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public decimal FloatPnlSum;
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public decimal SwapRealizedPnL;
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public decimal SwapCloseAmount;
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public decimal SwapMarginRebatePnl;
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public decimal TradingAmountFeeAvg;
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}
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// ================================================================
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// 8 个测试场景（含用户可变输入分支）
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// ================================================================
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// ---- 平仓页（unwind）场景 ----
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/// <summary>
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/// [FC_001] 平仓-债券多头-默认值（基线）
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/// EntryDirtyPrice(PosiGrossPrice)=1.02, ExitPrice(TradingAmountAvg,×100形态)=105,
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/// CloseQty=1000, PayDirection=1(收取), PositionType=1(多头), TradingFee="20"
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/// scale=0.01, floatRatio=1, longRatio=1
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/// MarkClosePnl = round(1000×(105×0.01−1.02)×1×1×10000)/10000 = round(1000×0.03×10000)/10000 = 30
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/// </summary>
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[TestMethod]
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public void FC_001_平仓_债券多头_默认值()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// MarkClosePnl = 1000×(1.05−1.02)×1×1 = 30
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AssertDecimalEqual(30m, result.MarkClosePnl, 0.01m, "MarkClosePnl");
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// FloatPnlSum = 30 + 20 + 0 + 0 = 50
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AssertDecimalEqual(50m, result.FloatPnlSum, 0.01m, "FloatPnlSum");
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// SwapRealizedPnL = FloatPnlSum(50)
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AssertDecimalEqual(50m, result.SwapRealizedPnL, 0.01m, "SwapRealizedPnL");
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Console.WriteLine($"FC_001: MarkClosePnl={result.MarkClosePnl}, FloatPnlSum={result.FloatPnlSum} ✅");
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}
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/// <summary>
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/// [FC_002] 平仓-用户改标的价格（TradingAmountAvg 100→110）
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/// MarkClosePnl = round(1000×(110×0.01−1.02)×10000)/10000 = round(1000×0.08×10000)/10000 = 80
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/// </summary>
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[TestMethod]
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public void FC_002_平仓_用户改标的价格()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 110m, // 改成110
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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AssertDecimalEqual(80m, result.MarkClosePnl, 0.01m, "改价格后 MarkClosePnl");
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AssertDecimalEqual(100m, result.FloatPnlSum, 0.01m, "改价格后 FloatPnlSum");
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Console.WriteLine($"FC_002: 改标的价格后 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_003] 平仓-用户改平仓数量（CloseQty 1000→500，TradingFeePending 随比例变）
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/// MarkClosePnl = round(500×(105×0.01−1.02)×10000)/10000 = round(500×0.03×10000)/10000 = 15
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/// TradingFeePending 按比例=BeforeCloseFee×ClosePercent(0.5)，假设=10
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/// </summary>
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[TestMethod]
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public void FC_003_平仓_用户改平仓数量()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 500, // 改成500（原1000）
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PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "10", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// MarkClosePnl = 500×0.03 = 15
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AssertDecimalEqual(15m, result.MarkClosePnl, 0.01m, "改数量后 MarkClosePnl");
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// FloatPnlSum = 15 + 20 + 10 + 0 = 45
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AssertDecimalEqual(45m, result.FloatPnlSum, 0.01m, "改数量后 FloatPnlSum");
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Console.WriteLine($"FC_003: 改平仓数量后 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_004] 平仓-用户改利息金额（InterestClosePnL=100）
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/// SwapRealizedPnL = FloatPnlSum(50) + InterestClosePnL(100) = 150
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/// </summary>
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[TestMethod]
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public void FC_004_平仓_用户改利息金额()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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input.InterestLegs.Add(new LegInput { InterestClosePnL = 100m });
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var result = FrontendCalcReference.CalcUnwind(input);
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AssertDecimalEqual(30m, result.MarkClosePnl, 0.01m, "MarkClosePnl 不受利息影响");
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// SwapRealizedPnL = 50 + 100 = 150
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AssertDecimalEqual(150m, result.SwapRealizedPnL, 0.01m, "含利息的 SwapRealizedPnL");
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Console.WriteLine($"FC_004: 改利息后 SwapRealizedPnL={result.SwapRealizedPnL} ✅");
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}
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/// <summary>
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/// [FC_005] 平仓-非债券空头（PositionType=Short=2, multiplier=1）
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/// floatRatio=1(收取), longRatio=-1(空头)
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/// MarkClosePnl = round(1000×(100×1−100)×1×(−1)×10000)/10000 = 0（价格不变时空头盈亏=0）
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/// 改成价格涨：TradingAmountAvg=105, MarkClosePnl=round(1000×(105−100)×1×(−1)×10000)/10000=−50000
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/// 空头价格涨=亏损
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/// </summary>
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[TestMethod]
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public void FC_005_平仓_非债券空头_方向因子()
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{
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var input = new UnwindInput
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{
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Multiplier = 1, PosiGrossPrice = 100m, TradingAmountAvg = 105m, // 涨了5
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CloseQty = 1000, PayDirection = 1, PositionType = 2, // 空头
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// 空头价格涨=亏损：1000×(105−100)×1×(−1) = −5000
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AssertDecimalEqual(-5000m, result.MarkClosePnl, 0.01m, "空头价格涨=亏损");
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Console.WriteLine($"FC_005: 空头方向因子 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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// ---- 结息页（income）场景 ----
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/// <summary>
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/// [FC_006] 结息-债券多头-全量结算（基线）
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/// income 用 CloseNotionalValue 而非 CloseQty，无 longRatio
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/// EntryPrice=1.02, TradingAmountAvg=105(×100形态), CloseNotionalValue=10000
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/// MarkClosePnl = 10000×(105×0.01−1.02)×1 = 10000×0.03 = 300
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/// </summary>
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[TestMethod]
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public void FC_006_结息_债券多头_全量结算()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseNotionalValue = 10000, // income 用名义本金
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CloseQty = 0, // income 不用数量
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PayDirection = 1, PositionType = 1,
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcIncome(input);
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AssertDecimalEqual(300m, result.MarkClosePnl, 0.01m, "income MarkClosePnl");
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AssertDecimalEqual(300m, result.SwapRealizedPnL, 0.01m, "income SwapRealizedPnL");
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Console.WriteLine($"FC_006: income MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_007] 结息-用户改标的价格（TradingAmountAvg 105→110）
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/// MarkClosePnl = 10000×(110×0.01−1.02) = 10000×0.08 = 800
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/// </summary>
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[TestMethod]
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public void FC_007_结息_用户改标的价格()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 110m,
|
||
CloseNotionalValue = 10000, CloseQty = 0,
|
||
PayDirection = 1, PositionType = 1,
|
||
TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
|
||
};
|
||
var result = FrontendCalcReference.CalcIncome(input);
|
||
|
||
AssertDecimalEqual(800m, result.MarkClosePnl, 0.01m, "改价格后 income MarkClosePnl");
|
||
Console.WriteLine($"FC_007: 改价格后 income MarkClosePnl={result.MarkClosePnl} ✅");
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FC_008] 结息-含利息腿与预付金腿（InterestClosePnL + margin InterestClosePnL）
|
||
/// SwapRealizedPnL = FloatPnlSum(300) + 利息腿(100) + 预付金腿(50) = 450
|
||
/// SwapMarginRebatePnl = 预付金腿(50)
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void FC_008_结息_含利息腿与预付金腿_总额()
|
||
{
|
||
var input = new UnwindInput
|
||
{
|
||
Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
|
||
CloseNotionalValue = 10000, CloseQty = 0,
|
||
PayDirection = 1, PositionType = 1,
|
||
TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
|
||
};
|
||
input.InterestLegs.Add(new LegInput { InterestClosePnL = 100m });
|
||
input.MarginLegs.Add(new LegInput { InterestClosePnL = 50m });
|
||
|
||
var result = FrontendCalcReference.CalcIncome(input);
|
||
|
||
// SwapRealizedPnL = 300 + 100 + 50 = 450
|
||
AssertDecimalEqual(450m, result.SwapRealizedPnL, 0.01m, "含利息+预付金的 SwapRealizedPnL");
|
||
// SwapMarginRebatePnl = 50
|
||
AssertDecimalEqual(50m, result.SwapMarginRebatePnl, 0.01m, "SwapMarginRebatePnl");
|
||
Console.WriteLine($"FC_008: SwapRealizedPnL={result.SwapRealizedPnL}, SwapMarginRebatePnl={result.SwapMarginRebatePnl} ✅");
|
||
}
|
||
|
||
private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tolerance, string message = "")
|
||
{
|
||
Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
|
||
$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
|
||
}
|
||
}
|
||
}
|