hjhan
6e2cae7c1f
- Determinism_NoTail_EventFloatRateIndependentOfPublishTime：尾日价缺(上午) vs 有(下午)两世界，金额与事件 FloatRate 完全一致(=末段已消费利率0.01425) - CloseOnly_平仓日为重置日_剩余持仓快照再定盘(+非重置日反例)：经 DealInterests 真路由断言快照 FloatRate=当日新定盘(RefixCalls 计数)——载体职责显式化验收 - CalcFirst 用例去掉 closeRate 免疫 hack：priorValueDate 根治后首重置日恒取价 - CI_007 更名+断言翻转：平仓日=重置日+不算尾 → 事件利率=末段已消费利率(旧)； 原断言(取新定盘)正是被替换的旧口径契约，根因注释留痕 GLMS-JIATT-20260805 - CI_008：本金结转断言保留，利率断言改为末段旧利率 验证：ConsumedInterestScenario 9/9、InterestEodTailSnapshot+Fr007 36/36、 全量 976 例 145 败与基线 diff=0
320 lines
18 KiB
C#
320 lines
18 KiB
C#
using Newtonsoft.Json;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// L1（类内去重）前置安全网：DealInterests 四分支中无 golden 语料的三格
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/// （AutoSettle / AutoSettleWithClose / CloseOnly）尾部滚存字段特征化快照。
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///
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/// - ManualSwap / RollForward 两格已由 DealInterestsGoldenReplayTest 语料钉住
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/// （字段集见 GoldenReplayFramework.EodPositionToJson）。
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/// - 本测试钉"现状行为"：L1 抽共享助手（腿字段拷贝段 + 滚存收尾段）前后，
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/// 以下字段必须逐字段不变。变化=去重改了口径。
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/// - 同时断言接 seam 指纹（哪个计息接缝 + eventType）与 autoInterests 收集行为，
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/// 兼作 L2（按腿拆类）的路由验收。
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/// - 计息金额由受控 CalcResult 注入（不连库、不依赖真实计息引擎）。
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/// </summary>
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[TestClass]
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public class InterestEodTailSnapshotTest
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{
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private const decimal Principal = 10000m;
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private const decimal Rate = 0.03m;
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime SettleDate = StartDate.AddDays(10); // 第10天收盘
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private const decimal Accrued10d = 8.22m; // 受控：10天理论应结
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private const decimal DailyNew = 0.82m; // 受控：当日新增
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private const decimal ManualSettled = 3.5m; // 受控：盘中平仓已结
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private const decimal Remaining = 7000m; // 平仓后剩余本金
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private const decimal ClosedNotional = 3000m; // 本次平掉本金
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private sealed class TailStubService : TestableSwapEodPositionService
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{
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public TailStubService() : base(nameof(InterestEodTailSnapshotTest)) { }
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/// <summary>受控计息结果：两个计息 seam 均返回它</summary>
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public List<swap_flow_event> CalcResult { get; set; } = new();
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public string LastCalcSeam { get; private set; } = "";
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public List<int> CalcEventTypes { get; } = new();
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protected override List<swap_flow_event> CalcSwapInterests(
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trade td, trade_extend tradeExtend,
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DateTime valueDate, DateTime unwindDate,
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List<eod_swap_position> eodPositions, List<swap_position> positions,
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decimal posiNotionalValue,
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decimal closePosiNotionalValue, decimal closePrecent,
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int eventType, bool tdClose,
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decimal orginPv,
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bool add = false, bool settment = true, bool newCalcLast = false,
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List<swap_flow_event> closeList = null)
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{
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LastCalcSeam = nameof(CalcSwapInterests);
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CalcEventTypes.Add(eventType);
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return CalcResult;
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}
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protected override List<swap_flow_event> CalcEodPostCloseSettleInterests(InterestCalcRequest req)
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{
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LastCalcSeam = nameof(CalcEodPostCloseSettleInterests);
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CalcEventTypes.Add(req.EventType);
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return CalcResult;
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}
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/// <summary>持仓延续腿重置日再定盘接缝：计数并返回受控新定盘（不连库）</summary>
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public decimal RefixResult { get; set; }
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public int RefixCalls { get; private set; }
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protected override decimal ResolveOngoingResetFixing(swap_position position, DateTime valueDate)
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{
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RefixCalls++;
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return RefixResult;
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}
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public List<swap_flow_event> ExecuteDealInterests(
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List<swap_position> interestList, List<eod_swap_position> eodPositions,
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DateTime settleDate, trade td, List<swap_flow_event> flowEvents,
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decimal posiTotalNotional, decimal closeNational, decimal grossPrice, decimal orginPv)
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{
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var autoInterests = new List<swap_flow_event>();
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DealInterests(interestList, eodPositions, new List<eod_swap_position>(),
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settleDate, td, flowEvents, autoInterests, null,
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posiTotalNotional, closeNational, grossPrice, orginPv);
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return autoInterests;
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}
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}
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private static trade CreateTrade() => new()
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{
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id = 1, TradeNumber = "TAIL-SNAP-001", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = new DateTime(2027, 4, 27), TradeStatus = "确认成交",
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ValidState = "Valid", StructureType = "单标的",
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QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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trade_extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson { AnnualDays = 365, InterestCalcMode = "10", SettlementRules = 0 })
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}
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};
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/// <param name="observationDay">true=当日观察日(Settlement=1)；false=观察日在别日</param>
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private static swap_position CreateInterestPosition(bool observationDay)
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{
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var interval = observationDay
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? new IntervalModel { Date = SettleDate, Rate = Rate, Settlement = 1 }
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: new IntervalModel { Date = StartDate, Rate = Rate, Settlement = 1 };
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
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InterestPrincipalFix = Principal, PosiStartDate = StartDate,
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PosiMatuirityDate = new DateTime(2027, 4, 27), IsInitial = true,
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InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true,
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interest_rest_days = 1, interest_rule = 0,
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel> { interval })
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};
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}
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private static eod_swap_position CreatePreEod(decimal accumulated) => new()
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{
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id = 100, PositionId = 1001, ValueDate = SettleDate.AddDays(-1),
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestIncomeSum = accumulated, InterestProfitSum = accumulated,
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InterestRateDefault = Rate, TdInterestPrincipal = Principal,
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InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true, interest_rest_days = 1
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};
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private static swap_flow_event CreateCalcResult() => new()
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{
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EventType = (int)SwapEventTypeEnum.自动互换, PositionId = 1001,
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InterestAmount = Accrued10d, TdInterestAmount = DailyNew,
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InterestClosePnL = Accrued10d,
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InterestPrincipal = Principal, InterestRate = Rate,
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InterestDirection = (int)SwapDirectionEnum.收取
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};
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private static swap_flow_event CreateCloseEvent() => new()
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{
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EventType = (int)SwapEventTypeEnum.平仓, PositionId = 1001,
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InterestAmount = ManualSettled, InterestClosePnL = ManualSettled,
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InterestRate = Rate, InterestFee = 0m,
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InterestPrincipal = ClosedNotional,
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InterestDirection = (int)SwapDirectionEnum.收取,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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/// <summary>AutoSettle 格：观察日无平仓 → SaveAutoEodInterestPosition，返回值收集进 autoInterests</summary>
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[TestMethod]
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public void AutoSettle_观察日无平仓_尾部快照()
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{
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var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
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var autoInterests = service.ExecuteDealInterests(
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new List<swap_position> { CreateInterestPosition(observationDay: true) },
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new List<eod_swap_position> { CreatePreEod(Accrued10d) },
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SettleDate, CreateTrade(), new List<swap_flow_event>(),
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Principal, 0m, 100m, Principal);
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Assert.AreEqual("CalcSwapInterests", service.LastCalcSeam, "观察日无平仓应走 CalcSwapInterests seam");
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Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.CalcEventTypes.Single(), "eventType 应为自动互换");
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Assert.AreEqual(1, autoInterests.Count, "观察日分支应收集返回值进 autoInterests（→资金记录）");
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var p = service.PersistedPositions.Single();
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// 钉值于 2026-08-17 现状行为（受控输入：应结8.22/新增0.82/本金10000）
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Assert.AreEqual(8.22m, p.TdCloseInterest);
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Assert.AreEqual(0.82m, p.TdInterestIncome);
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Assert.AreEqual(10000m, p.TdInterestPrincipal);
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Assert.AreEqual(0.03m, p.TdInterestRate);
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Assert.AreEqual(0.00m, p.InterestIncomeSum, "应结=结算，待实现清零");
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Assert.AreEqual(0m, p.InterestFeeSum);
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Assert.AreEqual(0m, p.InterestProfitSum);
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Assert.AreEqual(8.22m, p.RealizedInterest);
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Assert.AreEqual(0m, p.RealizedInterestFee);
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Assert.AreEqual(0m, p.SwapPositionValue);
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Assert.AreEqual(1.0m, p.TdCurrency);
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}
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/// <summary>AutoSettleWithClose 格（TEST-MATRIX §6 最弱格）：观察日+平仓 → SaveAutoEodWithCloseInterestPosition(autoSwap:true)，补结差额=恒1全额−盘中已结</summary>
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[TestMethod]
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public void AutoSettleWithClose_观察日加平仓_尾部快照()
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{
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var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
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var autoInterests = service.ExecuteDealInterests(
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new List<swap_position> { CreateInterestPosition(observationDay: true) },
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new List<eod_swap_position> { CreatePreEod(Accrued10d) },
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SettleDate, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
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Remaining, ClosedNotional, 100m, Remaining);
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Assert.AreEqual("CalcEodPostCloseSettleInterests", service.LastCalcSeam, "观察日+平仓应走 EodPostCloseSettle seam");
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Assert.AreEqual((int)SwapEventTypeEnum.自动互换, service.CalcEventTypes.Single(), "autoSwap=true → eventType=自动互换");
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Assert.AreEqual(1, autoInterests.Count, "观察日分支应收集返回值进 autoInterests");
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Assert.AreEqual(Accrued10d - ManualSettled, autoInterests[0].InterestAmount, "补结差额=恒1全额8.22−盘中已结3.50");
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var p = service.PersistedPositions.Single();
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// 钉值于 2026-08-17 现状行为（受控输入：恒1全额8.22/盘中已结3.5/剩余7000/平掉3000）
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Assert.AreEqual(8.22m, p.TdCloseInterest, "TdCloseInterest=盘中已结3.50+补结4.72");
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Assert.AreEqual(0.5753424657534246575342465753m, p.TdInterestIncome, "autoSwap 重算展示应计=剩余7000×3%/365");
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Assert.AreEqual(7000m, p.TdInterestPrincipal, "单利部分平仓：跨日本金=剩余");
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Assert.AreEqual(0.03m, p.TdInterestRate);
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Assert.AreEqual(0.00m, p.InterestIncomeSum, "恒1口径：理论应结8.22−结算8.22=0");
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Assert.AreEqual(0m, p.InterestFeeSum);
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Assert.AreEqual(0m, p.InterestProfitSum);
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Assert.AreEqual(8.22m, p.RealizedInterest);
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Assert.AreEqual(0m, p.RealizedInterestFee);
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Assert.AreEqual(0m, p.SwapPositionValue);
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Assert.AreEqual(1.0m, p.TdCurrency);
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}
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/// <summary>CloseOnly 格：非观察日平仓 → SaveAutoEodWithCloseInterestPosition(autoSwap:false)，返回值不收集，TdCloseInterest=盘中已结</summary>
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[TestMethod]
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public void CloseOnly_非观察日平仓_尾部快照()
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{
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var service = new TailStubService { CalcResult = new List<swap_flow_event> { CreateCalcResult() } };
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var autoInterests = service.ExecuteDealInterests(
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new List<swap_position> { CreateInterestPosition(observationDay: false) },
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new List<eod_swap_position> { CreatePreEod(Accrued10d) },
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SettleDate, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
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Remaining, ClosedNotional, 100m, Remaining);
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Assert.AreEqual("CalcEodPostCloseSettleInterests", service.LastCalcSeam, "纯平仓应走 EodPostCloseSettle seam");
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Assert.AreEqual((int)SwapEventTypeEnum.平仓, service.CalcEventTypes.Single(), "autoSwap=false → eventType=平仓");
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Assert.AreEqual(0, autoInterests.Count, "纯平仓分支不收集返回值（结算已在盘中流水定格）");
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var p = service.PersistedPositions.Single();
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// 钉值于 2026-08-17 现状行为（受控输入：恒1重算8.22/盘中已结3.5/剩余7000/平掉3000）
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Assert.AreEqual(ManualSettled, p.TdCloseInterest, "TdCloseInterest 应仅为盘中已结3.50，不叠加恒1重算值");
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Assert.AreEqual(0.5753424657534246575342465753m, p.TdInterestIncome, "不算尾路径：剩余7000×3%/365");
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Assert.AreEqual(7000m, p.TdInterestPrincipal, "单利部分平仓：跨日本金=剩余");
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Assert.AreEqual(0.03m, p.TdInterestRate, "非观察日：利率取平仓流水 InterestRate");
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Assert.AreEqual(5.295342465753m, p.InterestIncomeSum, "尾差递推：上日8.22+新增0.575342−已结3.50");
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Assert.AreEqual(0m, p.InterestFeeSum);
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Assert.AreEqual(5.295342465753m, p.InterestProfitSum);
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Assert.AreEqual(3.5m, p.RealizedInterest);
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Assert.AreEqual(0m, p.RealizedInterestFee);
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Assert.AreEqual(5.295342465753m, p.SwapPositionValue);
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Assert.AreEqual(1.0m, p.TdCurrency);
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}
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#region 持仓延续腿重置日再定盘（EQD-6968 自洽化：快照利率载体）
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private const decimal OldFloat = 0.01425m;
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private const decimal NewFloat = 0.0143m;
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/// <summary>4/27+14：7 天周期的重置日平仓</summary>
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private static readonly DateTime ResetSettle = StartDate.AddDays(14);
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/// <summary>4/27+10：非重置日平仓（10%7≠0）</summary>
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private static readonly DateTime NonResetSettle = StartDate.AddDays(10);
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private static swap_position CreateFloatLegPosition() => new()
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{
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id = 1001, SwapTradeId = 1, InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
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InterestPrincipalFix = Principal, PosiStartDate = StartDate,
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PosiMatuirityDate = new DateTime(2027, 4, 27), IsInitial = true,
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InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true,
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interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{ new IntervalModel { Date = StartDate, Rate = Rate, Settlement = 1 } })
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};
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private static eod_swap_position CreatePreEodBefore(DateTime settle, decimal accumulated) => new()
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{
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id = 100, PositionId = 1001, ValueDate = settle.AddDays(-1),
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestIncomeSum = accumulated, InterestProfitSum = accumulated,
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InterestRateDefault = Rate, TdInterestPrincipal = Principal,
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InterestType = (int)InterestTypeEnum.单利, IsAnnualized = true, interest_rest_days = 7
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};
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private static swap_flow_event CalcResultWithFloat(decimal floatRate)
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{
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var e = CreateCalcResult();
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e.FloatRate = floatRate;
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return e;
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}
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/// <summary>
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/// 平仓日恰为重置日且剩余持仓>0：快照 FloatRate 必须显式再定盘为当日新定盘——
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/// 它是后续非重置日(ByEod 沿用 preEod.FloatRate)与当日应计(intersetAcmount)的利率载体。
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/// 排除日"纯跳过"后事件利率=末段已消费利率(OldFloat)，载体职责与本步骤显式分离。
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/// </summary>
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[TestMethod]
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public void CloseOnly_平仓日为重置日_剩余持仓快照再定盘()
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{
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var service = new TailStubService
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{
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CalcResult = new List<swap_flow_event> { CalcResultWithFloat(OldFloat) },
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RefixResult = NewFloat,
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};
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service.ExecuteDealInterests(
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new List<swap_position> { CreateFloatLegPosition() },
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new List<eod_swap_position> { CreatePreEodBefore(ResetSettle, Accrued10d) },
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ResetSettle, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
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Remaining, ClosedNotional, 100m, Remaining);
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Assert.AreEqual(1, service.RefixCalls, "不算尾+平仓日=重置日+剩余>0：应恰好显式再定盘一次");
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Assert.AreEqual(NewFloat, service.PersistedPositions.Single().FloatRate,
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"剩余持仓快照利率=当日新定盘（非事件末段旧利率）");
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}
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[TestMethod]
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public void CloseOnly_平仓日非重置日_不再定盘_快照沿用事件利率()
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{
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var service = new TailStubService
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{
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CalcResult = new List<swap_flow_event> { CalcResultWithFloat(OldFloat) },
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RefixResult = NewFloat,
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};
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service.ExecuteDealInterests(
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new List<swap_position> { CreateFloatLegPosition() },
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new List<eod_swap_position> { CreatePreEodBefore(NonResetSettle, Accrued10d) },
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NonResetSettle, CreateTrade(), new List<swap_flow_event> { CreateCloseEvent() },
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Remaining, ClosedNotional, 100m, Remaining);
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Assert.AreEqual(0, service.RefixCalls, "非重置日平仓：无需再定盘");
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Assert.AreEqual(OldFloat, service.PersistedPositions.Single().FloatRate,
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"快照沿用事件末段已消费利率（周期未切换）");
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}
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#endregion
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}
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}
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