hjhan
250c41b925
为后续拆三类腿做准备，新增 FR007 取价的独立接口层（参考 QuantLib IborIndex
分层），本次零生产代码改动，全部为新增小文件。
新增文件（取价接缝，供后续 SwapDealService 6 处 inline 取价迁移用）:
- Framework/YLErp.Core/Interest/IIndexFixer.cs
接口定义：给定取价日和标的代码返回当日利率，取价与计息解耦
- Framework/YLErp.Core/Interest/IndexFixerBase.cs
取价日计算工具：收敛原散落 6 处的 GetNonHolidayDefore(date.AddDays(rule))
- YLErpDAL/Modules/SwapModule/Fr007IndexFixer.cs
生产实现 + GetFixingOrThrow 辅助方法，独立文件便于单测
测试清理（删除基于错误假设的测试）:
- 删除 SwapFixedInterestLegClosePercentBugTest.cs 整个文件
该文件假设'固定值腿利息应随平仓比例线性缩放'，但固定值是合同写死的、
永远不随平仓比例变化。d1badfe4 的'修复'本身才是错的，当前分支已正确回退
- 修正 SwapUnwindPrepayPrincipalBugTdd.cs 固定值测试方法
断言从'应=Fix×0.5'改为'恒=Fix不随比例变化'，对齐正确的业务定义
已知失败（非本次引入，留待后续与拆腿一起修）:
- BondTrsAutoSwapScenarioTest 的 AS_001/004/008/009/010/011 共 6 个
原因：SaveAutoSwapDeal 直接调 AddClientCashInCashOut(非virtual)绕过
AddClientCash(virtual)封装，无库环境抛'客户信息未找到'。
从 096d2609 引入时即失败，需 AddClientCashInCashOut 加 virtual + 客户数据
mock，与拆腿那次可测性改造一起做
570 lines
34 KiB
C#
570 lines
34 KiB
C#
using Newtonsoft.Json;
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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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/// 预付金(保证金)腿 平仓"应返还本金" bug 的回归测试（根因修复后应为全绿）。
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/// ---------------------------------------------------------------
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/// 业务预期：平仓"应返还本金"(swap_flow_event.InterestPrincipal) 应等于该预付金腿的
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/// 保证金本金（InterestPrincipalFix * closePercent），且与逐日利息计算无关；
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/// 同时预付金腿的逐日利息计息基数也应基于"保证金本金"自身，而非整笔交易的名义本金。
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///
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/// 根因：GetUnwindInterests 对全部腿统一用 orginPv = lastEod.NotionalValue ?? stockEqvNotional（整笔交易名义本金），
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/// 缺了"预付金腿用自身保证金"的分支；公式 dynomicPrincipal = TdInterestPrincipal + posiPrincipal - orginPv
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/// 把交易名义本金(千万~亿级)当减项扣掉，使 InterestPrincipal 与计息基数变成巨负值。
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///
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/// 根因修复（SwapDealService.InitSwapDealInterest）：对预付金腿(初始/追加)在利息计算前把
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/// orginPv 对齐为 position.InterestPrincipalFix，与日终路径(SwapEodPositionService)一致。
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/// 仅作用于 InterestMode 5/6；债券本金腿(标的期初全价=9)等仍用交易名义本金，不受影响。
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///
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/// 设计：标的名义本金 100万、预付金(保证金)本金 10万（维度不同，放大错配）；
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/// 另含客户截图级 / 真实库 Trade1813 的精确复现用例。
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/// </summary>
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[TestClass]
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public class SwapUnwindPrepayPrincipalBugTdd
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{
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private sealed class StubSwapDealService : SwapDealService
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{
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public StubSwapDealService(OptUserInfo optUser) : base(optUser) { }
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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rate = 0;
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return false; // 预付金腿无浮动标的，不查库
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}
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}
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private const decimal UnderlyingNotional = 1_000_000m; // 标的名义本金（股票维度）
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private const decimal PrepayPrincipal = 100_000m; // 预付金/保证金本金（预付金维度）
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime ExerciseDate = new(2027, 4, 27);
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private static readonly DateTime UnwindDate = new(2026, 4, 28);
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private SwapDealService _svc;
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[TestInitialize]
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public void Init() => _svc = new StubSwapDealService(new OptUserInfo(0, nameof(SwapUnwindPrepayPrincipalBugTdd), OptUserFrom.UnitTest));
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private static trade MakeTrade(decimal notional = UnderlyingNotional)
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10", // 算头不算尾
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SettlementRules = 0
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})
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};
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return new trade
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{
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id = 1, TradeNumber = "UT-PREPAY-TDD", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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StockEqvNotional = (double)notional, Notional = (double)notional,
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trade_extend = extend
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};
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}
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private static swap_position MakePrepayPosition(decimal fix = PrepayPrincipal, decimal rate = 0.01m)
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestRateDefault = rate, InterestPrincipalFix = fix,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 1,
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interest_rule = 0, FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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}
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private swap_flow_event CalcUnwind(decimal closePercent, List<eod_swap_position> eodPositions)
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{
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eodPositions ??= new List<eod_swap_position>();
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var td = MakeTrade();
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var position = MakePrepayPosition();
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var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, new List<swap_position> { position },
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UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, UnderlyingNotional, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
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return interests[0];
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}
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/// <summary>
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/// 客户/真实库场景：自定义 标的名义本金(notional) 与 保证金本金(fix)。
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/// orginPv 用 notional（与 GetUnwindInterests 行为一致：lastEod.NotionalValue ?? stockEqvNotional）。
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/// </summary>
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private swap_flow_event CalcUnwindWith(decimal closePercent, List<eod_swap_position> eodPositions, decimal notional, decimal fix, decimal rate = 0.01m)
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{
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eodPositions ??= new List<eod_swap_position>();
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var td = MakeTrade(notional);
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var position = MakePrepayPosition(fix, rate);
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var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, new List<swap_position> { position },
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notional, notional, notional, notional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
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return interests[0];
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}
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[TestMethod]
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public void 无历史归档_全平_应返还本金应等于保证金本金()
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{
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var fe = CalcUnwind(1m, null); // 无 eod 归档 → preEod.id==0
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Console.WriteLine($"[TDD] 无归档 实测 InterestPrincipal={fe.InterestPrincipal} (期望={PrepayPrincipal})");
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Assert.AreEqual(PrepayPrincipal, fe.InterestPrincipal,
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"无归档全平: InterestPrincipal(应返还本金) 应=保证金本金(预付金本金)，不应被利息公式改写为含 -orginPv 与 double 的怪值");
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}
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[TestMethod]
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public void 有历史归档_全平_应返还本金应等于保证金本金()
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{
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var eod = new List<eod_swap_position>
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{
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new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 1001,
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ValueDate = new DateTime(2026, 4, 27),
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TdInterestPrincipal = PrepayPrincipal,
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PosiNotionalValue = PrepayPrincipal,
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InterestProfitSum = 0m
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}
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};
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var fe = CalcUnwind(1m, eod);
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Console.WriteLine($"[TDD] 有归档 实测 InterestPrincipal={fe.InterestPrincipal} (期望={PrepayPrincipal})");
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Assert.AreEqual(PrepayPrincipal, fe.InterestPrincipal,
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"有归档全平: 计息区间被跳过，InterestPrincipal 应保持初始正确值=保证金本金");
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}
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// ---- 客户截图级 / 真实库场景（验证"前后是否真 Fix"）----
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[TestMethod]
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public void 客户截图级_全平_应返还本金应等于保证金本金()
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{
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// 生产铁证（用户提供真实交易）：TradeAmount=3亿，StockEqvNotional=306,191,860.26，
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// StructureType=普通债券类收益互换；预付金腿 swap_position id=34009 InterestMode=5
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// InterestPrincipalFix=9,185,755.81。
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// swap_flow_event(该腿, mode5) 三条：
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// 9202 EventId=null dir2 IP=9,185,755.81 (建仓支付预付金 ✓)
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// 9489 EventId=15997 dir1 IP=-287,820,348.64 (平仓, 盘中路径 BUG ✗)
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// 9492 EventId=15998 dir1 IP=9,185,755.81 (平仓, EOD正确路径 ✓)
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// 同一腿出现"盘中错 / EOD对"两条平仓记录，恰好佐证修复方向(盘中 orginPv 对齐 EOD=Fix)正确。
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// 根因复现：2*Fix - Notional = 2*9,185,755.81 - 306,191,860.26 = -287,820,348.64（与生产 15997 精确 0 误差）。
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// 该预付金腿三条 event 的 InterestAmount 全=0（债券类预付金腿不计息），
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// 故本笔生产仅 InterestPrincipal 中招、计息基数未受影响 → rate=0 贴合生产。
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const decimal notional = 306_191_860.26m;
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const decimal fix = 9_185_755.81m;
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var fe = CalcUnwindWith(1m, null, notional, fix, rate: 0m);
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Console.WriteLine($"[TDD][客户] 实测 InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount} (期望Principal={fix})");
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Assert.AreEqual(fix, fe.InterestPrincipal,
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"客户级: 应返还本金应=保证金本金 9,185,755.81，不应被算成 -287,820,348.64");
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Assert.AreEqual(0m, fe.InterestAmount,
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"客户级: 该预付金腿不计息，InterestAmount 应=0（与生产三条 event 全为 0 一致）；仅 InterestPrincipal 中招");
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}
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[TestMethod]
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public void 真实库Trade1813_全平_应返还本金应等于保证金本金()
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{
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// 测试库 Trade=1813 / Pos=34204：Fix=35,140，Notional=12,100,000，
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// 实际存储 InterestPrincipal=-12,029,720.00（=2*35,140-12,100,000，公式精确 0 误差）。
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// 同属债券类预付金腿（与生产同模式，不计息），rate=0 贴合生产，仅验证 InterestPrincipal 修复。
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const decimal notional = 12_100_000m;
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const decimal fix = 35_140m;
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var fe = CalcUnwindWith(1m, null, notional, fix, rate: 0m);
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Console.WriteLine($"[TDD][Trade1813] 实测 InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount} (期望Principal={fix})");
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Assert.AreEqual(fix, fe.InterestPrincipal,
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"Trade1813: 应返还本金应=保证金本金 35,140，不应被算成 -12,029,720.00");
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Assert.AreEqual(0m, fe.InterestAmount,
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"Trade1813: 同属债券类预付金腿不计息，InterestAmount 应=0；仅 InterestPrincipal 中招");
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}
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// ---- 多次部分平仓（验证最小修复是否覆盖"多次部分成交"）----
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[TestMethod]
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public void 多次部分平仓_显示值每次返回比例份额且总计等于保证金()
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{
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// 模拟分 3 次平仓：0.3 / 0.5 / 1.0(剩余)。每次传入的 fix = 该次剩余保证金本金
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// （真实系统中每次部分平仓后 position.InterestPrincipalFix 会被扣减，下一笔用剩余值）。
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// 根因修复后：InterestPrincipal 由利息公式基于 Fix 正确得出 = fix * closePercent。
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decimal total = 0;
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var r1 = CalcUnwindWith(0.3m, null, 306_191_860.26m, 100_000m);
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total += r1.InterestPrincipal;
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var r2 = CalcUnwindWith(0.5m, null, 306_191_860.26m, 70_000m); // 剩余 7万
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total += r2.InterestPrincipal;
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var r3 = CalcUnwindWith(1.0m, null, 306_191_860.26m, 35_000m); // 剩余 3.5万
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total += r3.InterestPrincipal;
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Console.WriteLine($"[TDD][多次部分] r1={r1.InterestPrincipal} r2={r2.InterestPrincipal} r3={r3.InterestPrincipal} 合计={total}");
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Assert.AreEqual(30_000m, r1.InterestPrincipal, "第1次(30%)应返还 3万");
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Assert.AreEqual(35_000m, r2.InterestPrincipal, "第2次(50% of 剩余7万)应返还 3.5万");
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Assert.AreEqual(35_000m, r3.InterestPrincipal, "第3次(剩余全平)应返还 3.5万");
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Assert.AreEqual(100_000m, total, "多次部分平仓合计应=保证金本金 10万");
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}
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// ---- 盘中路径 CalcDailySimpleInterest 的 closePercent^N 指数级缩小 bug ----
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// 生产铁证 GLMS-20260701-0006：预付金腿 Fix=9,180,000、interest_rest_days=7、单利、不计息。
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// 平仓弹窗(swaptrade2/GetUnwindInterestList → 盘中路径 CalcDailySimpleInterest)返回：
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// 100% → 9,180,000 (对) 50% → 71,718.75 (错) 10% → 0.918 (错)
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// 数学关系精确成立：9,180,000×0.5^7 = 71,718.75、9,180,000×0.1^7 = 0.918。
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// 根因：CalcDailySimpleInterest 非重置日 else 分支
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// flowEvent.InterestPrincipal = tdDynomicPrincipal * closePercent;
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// tdDynomicPrincipal = flowEvent.InterestPrincipal; // ★把"已×closePercent"的值回填
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// 使下一个非重置日再乘一次 closePercent → InterestPrincipal = Fix × closePercent^N（N=计息天数），
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// 而正确应为 Fix × closePercent（线性，与日终 CalcDailySimpleInterestByEod:1164-1165 只乘一次一致）。
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// 现有 6 个用例 interest_rest_days=1 且 UnwindDate=StartDate+1(calcDays=1)，循环首尾都被 continue 跳过、
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// 从不进 else，故漏掉此 bug；本组用例用 restDays=7、跨多日、带 eod 归档触发 else 累积复现之。
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private const decimal ProdPrepayFix = 9_180_000m;
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private static readonly DateTime ProdPosiStart = new(2026, 7, 2);
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private static readonly DateTime ProdEodValueDate = new(2026, 7, 4);
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private static readonly DateTime ProdUnwindDate = new(2026, 7, 13);
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/// <summary>
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/// 盘中路径复现：restDays=7、PosiStart→Unwind 跨 11 天、eod 归档到 07-04。
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/// 与生产 GLMS-20260701-0006 完全对齐，buggy 代码产出 Fix × closePercent^7。
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/// </summary>
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private swap_flow_event CalcUnwindMultiDay(decimal closePercent, decimal fix = ProdPrepayFix, int restDays = 7,
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decimal rate = 0m)
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10", // 算头不算尾（与生产一致）
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SettlementRules = 0
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})
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};
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var td = new trade
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{
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id = 1, TradeNumber = "UT-PREPAY-EXP", ClientId = 999998,
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TradeType = "收益互换", TradeDate = ProdPosiStart, StartDate = ProdPosiStart,
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ExerciseDate = ProdUnwindDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
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StockEqvNotional = (double)fix, Notional = (double)fix,
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trade_extend = extend
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};
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var position = new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestRateDefault = rate, InterestPrincipalFix = fix,
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PosiStartDate = ProdPosiStart, PosiMatuirityDate = ProdUnwindDate.AddYears(1),
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = restDays,
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interest_rule = 0, FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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var eod = new List<eod_swap_position>
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{
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new eod_swap_position
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{
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id = 7, SwapTradeId = 1, PositionId = 1001,
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ValueDate = ProdEodValueDate,
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TdInterestPrincipal = fix, // 生产 eod_swap_position(35774) TdInterestPrincipal=9,180,000
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PosiNotionalValue = fix,
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InterestProfitSum = 0m, FloatRate = 0m
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}
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};
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var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
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eod, new List<swap_position> { position },
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fix, fix, fix, fix, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, fix, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
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return interests[0];
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}
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[TestMethod]
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public void 部分平仓50_盘中重置周期7天_应返还本金应线性缩放而非指数级()
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{
|
||
var fe = CalcUnwindMultiDay(0.5m);
|
||
Console.WriteLine($"[TDD][盘中50%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=71,718.75, 期望=4,590,000)");
|
||
// 正确：Fix × closePercent = 9,180,000 × 0.5 = 4,590,000（100%返 9,180,000 的一半）。
|
||
// buggy：Fix × 0.5^7 = 71,718.75（生产实测），被指数级缩小 ~64 倍。
|
||
Assert.AreEqual(4_590_000m, fe.InterestPrincipal,
|
||
"50% 平仓: 应返还本金应=Fix×0.5=4,590,000，不应被 closePercent^7 缩成 71,718.75");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 部分平仓10_盘中重置周期7天_应返还本金应线性缩放而非指数级()
|
||
{
|
||
var fe = CalcUnwindMultiDay(0.1m);
|
||
Console.WriteLine($"[TDD][盘中10%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=0.918, 期望=918,000)");
|
||
// 正确：Fix × 0.1 = 918,000。buggy：Fix × 0.1^7 = 0.918（生产实测），缩小 100 万倍。
|
||
Assert.AreEqual(918_000m, fe.InterestPrincipal,
|
||
"10% 平仓: 应返还本金应=Fix×0.1=918,000，不应被 closePercent^7 缩成 0.918");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 全平_盘中重置周期7天_应返还本金应等于保证金本金()
|
||
{
|
||
// closePercent=1 → 1^N=1，指数 bug 对 100% 无影响（故用户看 100% 正常），此用例锚定不回归。
|
||
var fe = CalcUnwindMultiDay(1m);
|
||
Console.WriteLine($"[TDD][盘中100%] 实测 InterestPrincipal={fe.InterestPrincipal} (期望=9,180,000)");
|
||
Assert.AreEqual(ProdPrepayFix, fe.InterestPrincipal,
|
||
"100% 平仓: 应返还本金应=Fix=9,180,000（closePercent=1 时指数 bug 不显现，须保持正确）");
|
||
}
|
||
|
||
// ---- 非预付金腿(标的期初全价=9)同样验证：证明修复对所有"单利盘中"腿通用且正确 ----
|
||
// CalcDailySimpleInterest 是所有单利腿(InterestType=0)的盘中计息通用函数，非预付金专用。
|
||
// 用户关切：修复会否波及非预付金腿？结论——
|
||
// · closePercent=1(日常计息/全平)时 1^N=1=1^1，修复前后逐位恒等，零影响；
|
||
// · closePercent<1(部分平仓)时，所有单利腿此前都被同一 bug 指数级缩小，修复后统一为
|
||
// 正确的线性缩放(平仓 X% => 本金×X)，这是修正而非破坏。
|
||
// 本组用非预付金腿(标的期初全价=9，orginPv 不被对齐为 Fix、走交易名义本金)独立复现并锁定。
|
||
private const decimal NonPrepayNotional = 1_000_000m;
|
||
|
||
private swap_flow_event CalcUnwindMultiDayNonPrepay(decimal closePercent, decimal notional = NonPrepayNotional,
|
||
int restDays = 7, decimal rate = 0m)
|
||
{
|
||
var extend = new trade_extend
|
||
{
|
||
TradeId = 1,
|
||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||
{
|
||
AnnualDays = AnnualDays,
|
||
InterestCalcMode = "10", // 算头不算尾（与生产一致）
|
||
SettlementRules = 0
|
||
})
|
||
};
|
||
var td = new trade
|
||
{
|
||
id = 1, TradeNumber = "UT-NONPREPAY-EXP", ClientId = 999998,
|
||
TradeType = "收益互换", TradeDate = ProdPosiStart, StartDate = ProdPosiStart,
|
||
ExerciseDate = ProdUnwindDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
|
||
StockEqvNotional = (double)notional, Notional = (double)notional,
|
||
trade_extend = extend
|
||
};
|
||
var position = new swap_position
|
||
{
|
||
id = 2002, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
|
||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||
InterestMode = (int)InterestModeEnum.标的期初全价, // 非预付金腿(=9)：orginPv 不会被对齐为 Fix
|
||
InterestRateDefault = rate, InterestPrincipalFix = 0m,
|
||
PosiStartDate = ProdPosiStart, PosiMatuirityDate = ProdUnwindDate.AddYears(1),
|
||
IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
|
||
IsAnnualized = true, interest_rest_days = restDays,
|
||
interest_rule = 0, FloatRateUnderlyingCode = null,
|
||
InterestSwapInterval = "[]"
|
||
};
|
||
var eod = new List<eod_swap_position>
|
||
{
|
||
new eod_swap_position
|
||
{
|
||
id = 8, SwapTradeId = 1, PositionId = 2002,
|
||
ValueDate = ProdEodValueDate,
|
||
TdInterestPrincipal = notional, // 计息基数=名义本金 → dynomicPrincipal = eodTd + notional - orginPv = notional
|
||
PosiNotionalValue = notional,
|
||
InterestProfitSum = 0m, FloatRate = 0m
|
||
}
|
||
};
|
||
// orginPv 传 notional：非预付金腿不走 877-881 的 Fix 对齐，dynomicPrincipal = notional + notional - notional = notional
|
||
var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
|
||
eod, new List<swap_position> { position },
|
||
notional, notional, notional, notional * closePercent, closePercent,
|
||
(int)SwapEventTypeEnum.平仓,
|
||
false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
|
||
Assert.AreEqual(1, interests.Count, "非预付金腿应生成 1 条 flow_event");
|
||
return interests[0];
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 非预付金腿_部分平仓50_盘中重置周期7天_应线性缩放不受指数bug影响()
|
||
{
|
||
var fe = CalcUnwindMultiDayNonPrepay(0.5m);
|
||
Console.WriteLine($"[TDD][非预付金50%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=7,812.5, 期望=500,000)");
|
||
// 正确：N×0.5=500,000。buggy：N×0.5^7=7,812.5（同一指数 bug，证明非预付金腿此前也中招）。
|
||
Assert.AreEqual(500_000m, fe.InterestPrincipal,
|
||
"非预付金腿(标的期初全价) 50% 平仓应=名义本金×0.5=500,000，不应被 closePercent^7 缩小");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 非预付金腿_部分平仓10_盘中重置周期7天_应线性缩放不受指数bug影响()
|
||
{
|
||
var fe = CalcUnwindMultiDayNonPrepay(0.1m);
|
||
Console.WriteLine($"[TDD][非预付金10%] 实测 InterestPrincipal={fe.InterestPrincipal} (buggy=0.1, 期望=100,000)");
|
||
Assert.AreEqual(100_000m, fe.InterestPrincipal,
|
||
"非预付金腿(标的期初全价) 10% 平仓应=名义本金×0.1=100,000，不应被 closePercent^7 缩小");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 非预付金腿_全平_修复前后恒等_零影响()
|
||
{
|
||
// closePercent=1 时 1^N=1=1^1：这是"修复不波及非平仓/全平计息"的数学不变量证明。
|
||
var fe = CalcUnwindMultiDayNonPrepay(1m);
|
||
Console.WriteLine($"[TDD][非预付金100%] 实测 InterestPrincipal={fe.InterestPrincipal} (期望=1,000,000)");
|
||
Assert.AreEqual(NonPrepayNotional, fe.InterestPrincipal,
|
||
"非预付金腿 全平应=名义本金(closePercent=1 时修复前后恒等，日常计息/全平零影响)");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 多次部分平仓_计息基数也被根因修复_利息基于保证金本金()
|
||
{
|
||
// 显式带息加固用例（合成，非用户那笔生产的真实症状）：
|
||
// 用户那笔生产(3亿债券类TRS)预付金腿不计息(InterestAmount 全=0)，仅 InterestPrincipal 中招；
|
||
// 本例用 rate=0.01 构造"若该腿计息"的场景，验证根因修复后计息基数也基于保证金本金自身
|
||
// (而非交易名义本金)：InterestAmount 为小额正、且 < fix。
|
||
const decimal notional = 306_191_860.26m;
|
||
const decimal fix = 9_185_755.81m;
|
||
var fe = CalcUnwindWith(1m, null, notional, fix, rate: 0.01m);
|
||
|
||
Assert.AreEqual(fix, fe.InterestPrincipal, "显示值(应返还本金)已=保证金本金");
|
||
Console.WriteLine($"[TDD][计息基数] InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount}");
|
||
Assert.IsTrue(fe.InterestAmount > 0,
|
||
"根因修复后(显式带息): 预付金腿 InterestAmount 应基于保证金本金算出小额正值(约 fix*rate)，不再是巨负");
|
||
Assert.IsTrue(fe.InterestAmount < fix,
|
||
"利息基数必须为保证金维度(远小于 fix)，证明 orginPv 已用预付金自身 Fix，而非交易名义本金 notional");
|
||
}
|
||
|
||
// ===== 覆盖完整性补强：所有单利腿模式 + 日终路径 =====
|
||
// 调用链事实（已用代码确认）：
|
||
// CalcDailySimpleInterest 的唯一真实调用链 = GetInterests(settment=false) → CalcUnwindInterest → 本函数。
|
||
// 日终(settment=true)走 CalcEodInterest → CalcDailySimpleInterestByEod(closePercent 硬编码 1m、
|
||
// 且该函数从不改写 InterestPrincipal)，根本不调用本函数。故"含日终"的正确命题是：
|
||
// 日终不受本 bug 影响，且应有用例锁定这一不变量。
|
||
// 本组用同一入口驱动各 InterestMode 在 closePercent<1 + rest_days=7 多天场景，断言
|
||
// InterestPrincipal = closePrincipal（线性），捕捉任何指数级回归；并显式加日终(settment=true)用例，
|
||
// 断言日终结果恒为线性 closePrincipal（证明日终不受盘中 bug 影响，与正确的 ByEod 变体对齐）。
|
||
private swap_flow_event CalcByMode(int mode, decimal baseP, decimal closePercent, int restDays = 7, bool eodPath = false)
|
||
{
|
||
var extend = new trade_extend
|
||
{
|
||
TradeId = 1,
|
||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||
{
|
||
AnnualDays = AnnualDays,
|
||
InterestCalcMode = "10", // 算头不算尾（与生产一致）
|
||
SettlementRules = 0
|
||
})
|
||
};
|
||
var td = new trade
|
||
{
|
||
id = 1, TradeNumber = "UT-MODE-COV", ClientId = 999998,
|
||
TradeType = "收益互换", TradeDate = ProdPosiStart, StartDate = ProdPosiStart,
|
||
ExerciseDate = ProdUnwindDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
|
||
StockEqvNotional = (double)baseP, Notional = (double)baseP,
|
||
trade_extend = extend
|
||
};
|
||
bool isPrepayOrFixed = mode == (int)InterestModeEnum.初始预付金
|
||
|| mode == (int)InterestModeEnum.追加预付金
|
||
|| mode == (int)InterestModeEnum.固定值;
|
||
var position = new swap_position
|
||
{
|
||
id = 3003, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
|
||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||
InterestMode = mode,
|
||
InterestRateDefault = 0m,
|
||
InterestPrincipalFix = isPrepayOrFixed ? baseP : 0m,
|
||
PosiStartDate = ProdPosiStart, PosiMatuirityDate = ProdUnwindDate.AddYears(1),
|
||
IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
|
||
IsAnnualized = true, interest_rest_days = restDays,
|
||
interest_rule = 0, FloatRateUnderlyingCode = null,
|
||
InterestSwapInterval = "[]"
|
||
};
|
||
// 使 dynomicPrincipal = posiPrincipal：eod.TdInterestPrincipal = orginPv(=baseP)，
|
||
// 非预付金腿 orginPv 传 baseP；预付金/固定值腿 orginPv 被内部对齐为 Fix=baseP（同样成立）。
|
||
var eodPos = new List<eod_swap_position>
|
||
{
|
||
new eod_swap_position
|
||
{
|
||
id = 30, SwapTradeId = 1, PositionId = 3003,
|
||
ValueDate = ProdEodValueDate,
|
||
TdInterestPrincipal = baseP,
|
||
PosiNotionalValue = baseP,
|
||
InterestProfitSum = 0m, FloatRate = 0m
|
||
}
|
||
};
|
||
var interests = _svc.GetInterests(td, td.trade_extend, ProdUnwindDate, ProdUnwindDate,
|
||
eodPos, new List<swap_position> { position },
|
||
baseP, baseP, baseP, baseP * closePercent, closePercent,
|
||
(int)SwapEventTypeEnum.平仓,
|
||
false, false, 0, baseP, false, settment: eodPath, newCalcLast: false, closeList: null);
|
||
Assert.AreEqual(1, interests.Count, $"mode={mode} 应生成 1 条 flow_event");
|
||
return interests[0];
|
||
}
|
||
|
||
// ---- 追加预付金(6)：与初始预付金(5)同源修复，显式覆盖避免遗漏 ----
|
||
[TestMethod]
|
||
public void 追加预付金腿_盘中_部分平仓重置周期7天_应线性缩放()
|
||
{
|
||
var fe = CalcByMode((int)InterestModeEnum.追加预付金, ProdPrepayFix, 0.5m);
|
||
Assert.AreEqual(4_590_000m, fe.InterestPrincipal, "追加预付金 50% 应=Fix×0.5（与初始预付金同源修复）");
|
||
var fe1 = CalcByMode((int)InterestModeEnum.追加预付金, ProdPrepayFix, 0.1m);
|
||
Assert.AreEqual(918_000m, fe1.InterestPrincipal, "追加预付金 10% 应=Fix×0.1");
|
||
}
|
||
|
||
// ---- 多头/空头存续名义本金(7/8)：经同一 CalcDailySimpleInterest，需证明修复通用 ----
|
||
[TestMethod]
|
||
public void 多头存续名义本金腿_盘中_部分平仓重置周期7天_应线性缩放()
|
||
{
|
||
const decimal baseP = 2_000_000m;
|
||
var fe = CalcByMode((int)InterestModeEnum.多头存续名义本金, baseP, 0.5m);
|
||
Assert.AreEqual(1_000_000m, fe.InterestPrincipal, "多头存续 50% 应=posiLong×0.5");
|
||
var fe1 = CalcByMode((int)InterestModeEnum.多头存续名义本金, baseP, 0.1m);
|
||
Assert.AreEqual(200_000m, fe1.InterestPrincipal, "多头存续 10% 应=posiLong×0.1");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 空头存续名义本金腿_盘中_部分平仓重置周期7天_应线性缩放()
|
||
{
|
||
const decimal baseP = 2_000_000m;
|
||
var fe = CalcByMode((int)InterestModeEnum.空头存续名义本金, baseP, 0.5m);
|
||
Assert.AreEqual(1_000_000m, fe.InterestPrincipal, "空头存续 50% 应=posiShort×0.5");
|
||
var fe1 = CalcByMode((int)InterestModeEnum.空头存续名义本金, baseP, 0.1m);
|
||
Assert.AreEqual(200_000m, fe1.InterestPrincipal, "空头存续 10% 应=posiShort×0.1");
|
||
}
|
||
|
||
// ---- 合约名义本金规模(2)：CalcNotionalByMode 默认分支（posiNotional×cp） ----
|
||
[TestMethod]
|
||
public void 合约名义本金规模腿_盘中_部分平仓重置周期7天_应线性缩放()
|
||
{
|
||
const decimal baseP = 2_000_000m;
|
||
var fe = CalcByMode((int)InterestModeEnum.合约名义本金规模, baseP, 0.5m);
|
||
Assert.AreEqual(1_000_000m, fe.InterestPrincipal, "合约名义本金规模 50% 应=posiNotional×0.5");
|
||
}
|
||
|
||
// ---- 固定值(1)：合同写死的固定值，不随平仓比例变化 ----
|
||
// 固定值腿的计息基数由合约约定（InterestPrincipalFix），无论平仓比例多少都恒等于该值。
|
||
// closePrincipal = posiPrincipal = Fix; newClosePercent = 1m 是正确的业务行为，不是缺陷。
|
||
[TestMethod]
|
||
public void 固定值腿_盘中_部分平仓_计息基数恒等于Fix不随比例变化()
|
||
{
|
||
const decimal baseP = 2_000_000m;
|
||
var fe = CalcByMode((int)InterestModeEnum.固定值, baseP, 0.5m);
|
||
Assert.AreEqual(baseP, fe.InterestPrincipal, "固定值腿计息基数恒=Fix，不随平仓比例变化（合同约定）");
|
||
}
|
||
|
||
// ---- 日终路径(settment=true)：证明走 CalcDailySimpleInterestByEod，结果恒为线性 closePrincipal，不受盘中 bug 影响 ----
|
||
[TestMethod]
|
||
public void 日终_预付金腿_部分平仓_结果应线性且不受盘中bug影响()
|
||
{
|
||
var fe = CalcByMode((int)InterestModeEnum.初始预付金, ProdPrepayFix, 0.5m, eodPath: true);
|
||
Console.WriteLine($"[TDD][EOD 预付金50%] InterestPrincipal={fe.InterestPrincipal} (期望={4_590_000m})");
|
||
Assert.AreEqual(4_590_000m, fe.InterestPrincipal, "日终预付金 50% 应=Fix×0.5（ByEod 正确变体，closePercent 走 closePrincipal 线性）");
|
||
var fe1 = CalcByMode((int)InterestModeEnum.初始预付金, ProdPrepayFix, 0.1m, eodPath: true);
|
||
Assert.AreEqual(918_000m, fe1.InterestPrincipal, "日终预付金 10% 应=Fix×0.1");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void 日终_非预付金腿_部分平仓_结果应线性且不受盘中bug影响()
|
||
{
|
||
const decimal baseP = 2_000_000m;
|
||
var fe = CalcByMode((int)InterestModeEnum.标的期初全价, baseP, 0.5m, eodPath: true);
|
||
Console.WriteLine($"[TDD][EOD 标的期初全价50%] InterestPrincipal={fe.InterestPrincipal} (期望={1_000_000m})");
|
||
Assert.AreEqual(1_000_000m, fe.InterestPrincipal, "日终非预付金腿 50% 应=名义本金×0.5（ByEod 正确，不受影响）");
|
||
}
|
||
}
|
||
}
|