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

using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using Newtonsoft.Json;
using YLErp;
using YLErp.DBModels;
using YLErp.DBModels.Enums;
using YLErp.Modules.SwapModule;
using YLErp.Modules.SwapModule.Accrual;
using YLErp.Derivatives.Interest;

namespace UnitTestProject.Modules.SwapModule.Accrual
{
    /// <summary>
    /// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs FundingLegAccrual.AccrueSimplePeriod（新分段纯函数）。
    /// </summary>
    [TestClass]
    public class SimplePeriodShadowTest
    {
        private const decimal Notional = 100_000_000m;
        private const decimal Spread = 0.0025m;
        private const int AnnualDays = 365;
        private static readonly DateTime StartDate = new(2026, 4, 21);
        private static readonly DateTime EndDate = new(2026, 5, 11); // 21天, 7天周期→重置日 4/28, 5/5

        private static trade CreateTrade()
        {
            return new trade
            {
                id = 1, TradeNumber = "UT-SIMPLE-SHADOW", ClientId = 999998,
                TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
                ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
                trade_extend = new trade_extend
                {
                    TradeId = 1,
                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                    {
                        AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
                    })
                }
            };
        }

        private static swap_position CreatePosition()
        {
            return new swap_position
            {
                id = 1001, SwapTradeId = 1, PosiDirection = 0,
                InterestDirection = (int)SwapDirectionEnum.收取,
                InterestMode = (int)InterestModeEnum.标的期初全价,
                InterestRateDefault = Spread,
                InterestPrincipalFix = Notional,
                PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
                IsInitial = true, Invalid = false,
                InterestType = (int)InterestTypeEnum.单利,
                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
                FloatRateUnderlyingCode = null,
                InterestSwapInterval = "[]"
            };
        }

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

        /// <summary>
        /// 固定利率（无FR007）算头不算尾，全平，无历史归档。
        /// </summary>
        [TestMethod]
        public void 影子_固定利率_无归档_旧新一致()
        {
            var td = CreateTrade();
            var position = CreatePosition();
            var flowEvent = new swap_flow_event { InterestRate = Spread };
            var preEod = new eod_swap_position { id = 0, TdInterestPrincipal = 0, InterestProfitSum = 0 };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);

            // 新方法：固定利率全段相同
            // 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
            var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
            var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0
            var result = FundingLegAccrual.AccrueSimplePeriod(
                priorUnrealized: 0m,
                accrualPrincipal: 0m, // 差分=0(无归档时 preEod.TdInterestPrincipal=0)
                closeRatio: 1m,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                priorValueDate: DateTime.MinValue,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
        }

        /// <summary>
        /// 有历史归档（preEod.id != 0），续接上一日终。
        /// </summary>
        [TestMethod]
        public void 影子_有归档_续接_旧新一致()
        {
            var position = CreatePosition();
            var preEodDate = new DateTime(2026, 5, 4); // 上一日终 = 第14天
            var preEod = new eod_swap_position
            {
                id = 1, SwapTradeId = 1, PositionId = 1001,
                ValueDate = preEodDate,
                TdInterestPrincipal = Notional,
                InterestProfitSum = 200_000m,
                PosiNotionalValue = Notional, FloatRate = 0m
            };
            var flowEvent = new swap_flow_event { InterestRate = Spread };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);

            // 新方法
            // 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
            var accrualPrincipal = Notional + Notional - Notional;
            var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
            var result = FundingLegAccrual.AccrueSimplePeriod(
                priorUnrealized: 200_000m * 0.5m, // InterestProfitSum × closePercent
                accrualPrincipal: accrualPrincipal,
                closeRatio: 0.5m,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                priorValueDate: preEodDate,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
        }
    }
}