212 lines
14 KiB
C#
212 lines
14 KiB
C#
using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.Penalty;
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namespace UnitTestProject.Modules.SwapModule.Penalty
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{
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/// <summary>
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/// EQD-6977 罚息边界矩阵测试（全部断言金标准恒等式：全期 = 实结 + 罚息）。
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///
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/// 覆盖易错边界：
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/// ① 平仓日恰为重置日（算尾/不算尾）——重置日快照基数还是上一段的，①须取 InterestIncomeSum；
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/// ② 重置日前一日平仓（② 几乎整段、窗口首段 0 天）；
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/// ③ 到期日恰为重置日（末段 [到期,到期] 1 天）；
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/// ④ 锚点偏离（td.StartDate=7/31 但腿 PosiStartDate=8/3 的延期/存续腿——重置网格整体不同）；
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/// ⑤ 起息日当天平仓（无 preEod）。
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///
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/// 一致性前提（与现实世界对齐）：冻结利率 = 当前重置区间（含 unwind-1 的区间）的在役利率，
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/// 即"历史末段利率 = 冻结利率"；历史各段定盘不同（体现真实 FR007 利率历史）。
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/// </summary>
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[TestClass]
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public class PenaltyBoundaryMatrixTest
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{
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private const decimal Notional = 100_000_000m;
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private const int AnnualDays = 365;
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private static readonly decimal[] Hist = { 0.0310m, 0.0420m, 0.0530m, 0.0225m }; // 7/31 / 8/7 / 8/14 / 8/21 段
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private static readonly decimal Frozen = Hist[^1]; // 冻结 = 当前区间在役利率 = 历史末段
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/// <summary>指定重置网格上的复利重放 [gridStart, end]；超出所给历史段后沿用冻结利率。</summary>
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private static decimal AccrueOnGrid(DateTime gridStart, DateTime end, AccrualBoundary boundary,
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decimal[] histRates, decimal notional = Notional, int period = 7)
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{
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var frozen = histRates[^1];
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var segs = new List<(DateTime, decimal)>();
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var i = 0;
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for (var d = gridStart; d <= end; d = d.AddDays(period))
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segs.Add((d, i < histRates.Length ? histRates[i++] : frozen));
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return CompoundInterestAccrual.AccruePeriod(
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notional: notional, segmentRates: segs,
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startDate: gridStart, endDate: end,
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boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _).Accrued;
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}
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private static trade CreateTrade(DateTime startDate, DateTime maturity)
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=> new()
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{
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id = 1, TradeNumber = "UT-BOUNDARY", ClientId = 999998,
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TradeType = "收益互换", TradeDate = startDate, StartDate = startDate,
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ExerciseDate = maturity, TradeStatus = "确认成交", ValidState = "Valid"
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};
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private static swap_position CompoundLeg(DateTime posiStart, DateTime maturity, decimal spread, int periodDays = 7)
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=> new()
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
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InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = spread,
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InterestPrincipalFix = Notional, PosiStartDate = posiStart, PosiMatuirityDate = maturity,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true, interest_rest_days = periodDays, interest_rule = 0,
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FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
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};
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/// <summary>日终快照：TdInterestPrincipal=当日实际滚动基数、InterestIncomeSum=截至当日待实现利息。</summary>
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private static eod_swap_position Snap(DateTime valueDate, decimal rollingBasis, decimal incomeSum)
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=> new() { id = 9, PositionId = 1001, ValueDate = valueDate,
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TdInterestPrincipal = rollingBasis, InterestIncomeSum = incomeSum };
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private static decimal RunFee(trade td, swap_position p, decimal settledAmount,
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eod_swap_position? preEod, DateTime unwind, bool settled, decimal spread,
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decimal interestPrincipal = 0m, bool maturityCalcLast = true)
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{
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var e = new swap_flow_event
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{
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PositionId = p.id, InterestAmount = settledAmount, InterestFee = 0m,
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InterestDirection = 1, InterestClosePnL = settledAmount,
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InterestPrincipal = interestPrincipal // 复利主路径下=重放末次并本金后基数(=被平份额本金+①)
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};
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PenaltyInterestFeeMerger.Merge(
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td, new List<swap_position> { p }, new List<swap_flow_event> { e },
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unwind, AnnualDays, settled, maturityCalcLast: maturityCalcLast,
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posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
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getSpread: _ => spread, getPreEod: _ => preEod, tryGetFixing: (d, c) => spread);
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return e.InterestFee;
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}
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[TestMethod]
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public void 平仓日恰为重置日_算尾_恒等式成立()
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{
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var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 21); var maturity = new DateTime(2026, 8, 31);
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var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, Hist); // [7/31..8/21]（末日=重置日，1 天）
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var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, Hist); // 8/14 起段基数
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var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, Hist); // 8/20 待实现
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// 前提自检：重置日快照基数(8/14段)≠今日应并入额(8/20待实现)，旧公式(basis−P)必错——用例有鉴别力
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Assert.AreNotEqual((double)basisThru813, (double)incomeSum, 1000d, "快照基数与重置日应并入额应显著不同");
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
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Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: true, spread: Frozen);
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"重置日当天平仓(算尾)：① 须取 InterestIncomeSum，全期=实结+罚息");
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}
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[TestMethod]
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public void 平仓日恰为重置日_不算尾_恒等式成立()
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{
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var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 21); var maturity = new DateTime(2026, 8, 31);
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var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, Hist); // [7/31..8/20]
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var incomeSum = elapsed; // 不算尾时实结=8/20待实现
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var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, Hist);
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
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Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: false, spread: Frozen);
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"重置日当天平仓(不算尾)：②=0，罚息含平仓日，全期=实结+罚息");
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}
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[TestMethod]
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public void 重置日前一日平仓_段内几乎整段承接_恒等式成立()
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{
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var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 27); var maturity = new DateTime(2026, 8, 31);
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var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, Hist); // [7/31..8/27]，段内已计 8/21..8/27
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var basisThru820 = AccrueOnGrid(start, new DateTime(2026, 8, 20), AccrualBoundary.Both, Hist); // 8/21 起段基数
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var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, Hist);
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, Frozen), elapsed,
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Snap(unwind.AddDays(-1), Notional + basisThru820, incomeSum), unwind, settled: true, spread: Frozen);
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, Hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"重置日前一日平仓：窗口首段 0 天、② 于 8/28 整段并入，全期=实结+罚息");
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}
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[TestMethod]
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public void 到期日恰为重置日_末段一天_恒等式成立()
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{
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// 8/18 平仓：当前区间为 8/14 段(r3) → 冻结利率=r3=历史末段；到期 9/4 恰为重置日（末段 [9/4,9/4] 1 天）
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var start = new DateTime(2026, 7, 31); var unwind = new DateTime(2026, 8, 18); var maturity = new DateTime(2026, 9, 4);
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var hist = new decimal[] { 0.0310m, 0.0420m, 0.0530m }; // 7/31 / 8/7 / 8/14(=冻结 5.3%)
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var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.Both, hist);
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var basisThru813 = AccrueOnGrid(start, new DateTime(2026, 8, 13), AccrualBoundary.Both, hist);
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var incomeSum = AccrueOnGrid(start, unwind.AddDays(-1), AccrualBoundary.Both, hist);
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1]), elapsed,
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Snap(unwind.AddDays(-1), Notional + basisThru813, incomeSum), unwind, settled: true, spread: hist[^1]);
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"到期日=重置日：末段 [9/4,9/4] 1 天收尾，全期=实结+罚息");
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}
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[TestMethod]
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public void 锚点偏离_延期腿按腿起息日网格_恒等式成立()
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{
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// 交易起始 7/31，但腿 PosiStartDate=8/3（延期/存续腿）→ 真实重置网格 8/10/8/17/8/24/8/31
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var tradeStart = new DateTime(2026, 7, 31); var posiStart = new DateTime(2026, 8, 3);
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var unwind = new DateTime(2026, 8, 19); var maturity = new DateTime(2026, 9, 3);
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var hist = new decimal[] { 0.0300m, 0.0400m, 0.0225m }; // 8/3 / 8/10 / 8/17(=冻结) 三段历史
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var elapsed = AccrueOnGrid(posiStart, unwind, AccrualBoundary.Both, hist);
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var basisThru816 = AccrueOnGrid(posiStart, new DateTime(2026, 8, 16), AccrualBoundary.Both, hist); // 8/17 起段基数
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var incomeSum = AccrueOnGrid(posiStart, unwind.AddDays(-1), AccrualBoundary.Both, hist);
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var fee = RunFee(CreateTrade(tradeStart, maturity), CompoundLeg(posiStart, maturity, hist[^1]), elapsed,
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Snap(unwind.AddDays(-1), Notional + basisThru816, incomeSum), unwind, settled: true, spread: hist[^1]);
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var full = AccrueOnGrid(posiStart, maturity, AccrualBoundary.Both, hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"锚点偏离：罚息分段/重置日判定必须用 position.PosiStartDate 网格（误用 td.StartDate 网格必挂）");
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}
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[TestMethod]
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public void 无preEod且此前已有重置_经事件基数兜底_恒等式精确成立()
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{
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// UAT 实测场景（tradeId=2447）：环境无日终快照、起息后已发生 8/19 重置并本。
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// 兜底① = normalEvent.InterestPrincipal − 本金（复利重放末次并本金后基数）；
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// 修复前 ①=0 少算 ≈3.17 元（并入额×冻结利率×段尾天数），本用例钉死兜底路径的精确性。
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var start = new DateTime(2026, 8, 5); var unwind = new DateTime(2026, 8, 20); var maturity = new DateTime(2026, 9, 30);
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var hist = new decimal[] { 0.0216m, 0.0144m }; // 8/5 段 2.16% / 8/19 段 1.44%(=冻结)，14 天重置
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var elapsed = AccrueOnGrid(start, unwind, AccrualBoundary.StartOnly, hist, period: 14); // 已结 [8/5..8/19]
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var replayFinalBasis = Notional + AccrueOnGrid(start, new DateTime(2026, 8, 18), AccrualBoundary.Both, hist, period: 14); // 8/19 重置并本后基数
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1], periodDays: 14), elapsed,
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preEod: null, unwind: unwind, settled: false, spread: hist[^1],
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interestPrincipal: replayFinalBasis, maturityCalcLast: false); // 不算尾合约、14天重置（对应 UAT tradeId=2447 口径）
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.StartOnly, hist, period: 14);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"无preEod+已有重置：兜底取事件基数后 ① 精确，全期=实结+罚息（修复前差≈3.17元）");
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}
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[TestMethod]
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public void 起息日当天平仓_无preEod_恒等式成立()
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{
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// 首日平仓：当前区间=首段(r1)，无 preEod 时取价委托返回首段定盘 → 冻结利率=r1，全程恒率
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var start = new DateTime(2026, 7, 31); var maturity = new DateTime(2026, 8, 31);
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var hist = new decimal[] { 0.0310m };
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var elapsed = AccrueOnGrid(start, start, AccrualBoundary.Both, hist); // 首日 1 天
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var fee = RunFee(CreateTrade(start, maturity), CompoundLeg(start, maturity, hist[^1]), elapsed,
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preEod: null, unwind: start, settled: true, spread: hist[^1]);
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var full = AccrueOnGrid(start, maturity, AccrualBoundary.Both, hist);
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Assert.AreEqual((double)full, (double)(elapsed + fee), 0.01,
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"起息日当天平仓：①=0、②=首日利息于 8/7 并入，全期=实结+罚息");
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}
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}
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}
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