282 lines
12 KiB
C#
282 lines
12 KiB
C#
using Newtonsoft.Json;
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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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/// EQD-6968 FR007 不算尾平仓"上午未发布"误拦截 —— 修复后回归套件（内存，不连库）。
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/// 任务编号 EQD-6968；现象报告日 2026-08-17。参照 GLMS20260703CloseInterestTest 内存 FR007 写法。
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///
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/// 设计：所有场景经单一 Run 运行器驱动真实 GetInterests 平仓利息路径；
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/// 内存 StubSwapDealService 重写 TryGetFloatRate 按日期返回 FR007（缺失即返回 false → 触发取价失败）。
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/// 覆盖两条计息路径（复利 CalcDailyCompoundInterest / 单利 CalcDailySimpleInterest）共用的修复点 BuildSegmentRates，
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/// 以及全平重放分支、非整倍数边界、数值一致性（"跳过取价=沿用上一重置日利率"）。
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/// </summary>
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[TestClass]
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public class GLMS20260817Fr007UnwindMorningTest
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{
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private static readonly Dictionary<DateTime, double> Fr007Market = new()
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{
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[new DateTime(2026, 7, 6)] = 0.0142,
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[new DateTime(2026, 7, 13)] = 0.01425,
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[new DateTime(2026, 7, 20)] = 0.0143,
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};
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private const double PreviousResetRate = 0.01425;
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private const decimal Notional = 279486108.21m;
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private const int AnnualDays = 365;
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private const decimal Spread = -0.0155m;
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private static readonly DateTime StartDate = new(2026, 7, 6);
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private static readonly DateTime TradeDate = new(2026, 7, 3);
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private static readonly DateTime CloseDate = new(2026, 7, 20);
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private static readonly DateTime NonIntCloseDate = new(2026, 7, 22);
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private sealed class StubSwapDealService : SwapDealService
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{
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private readonly HashSet<DateTime> _omit;
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private readonly double _closeRate;
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public readonly List<DateTime> PricedDates = new();
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public StubSwapDealService(OptUserInfo optUser, IEnumerable<DateTime> omit, double closeRate = 0.0143)
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: base(optUser)
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{
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_omit = new HashSet<DateTime>(omit.Select(d => d.Date));
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_closeRate = closeRate;
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}
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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rate = 0d;
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if (underlyingCode != "FR007") return false;
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var map = new Dictionary<DateTime, double>(Fr007Market) { [CloseDate] = _closeRate };
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if (_omit.Contains(valueDate.Date)) return false;
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if (map.TryGetValue(valueDate.Date, out rate))
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{
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PricedDates.Add(valueDate.Date);
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return true;
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}
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return false;
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}
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}
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private sealed class Outcome
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{
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public swap_flow_event Fe;
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public Exception Ex;
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public bool Threw => Ex != null;
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}
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private static OptUserInfo MakeOptUser() =>
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new(0, nameof(GLMS20260817Fr007UnwindMorningTest), OptUserFrom.UnitTest);
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private static trade BuildTrade(DateTime closeDate)
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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",
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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,
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TradeNumber = "GLMS-20260817-FR007-MORNING",
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ClientId = 999998,
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TradeType = "债券TRS",
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TradeDate = TradeDate,
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StartDate = StartDate,
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ExerciseDate = closeDate.AddDays(1),
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TradeStatus = "已平仓",
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ValidState = "Valid",
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trade_extend = extend
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};
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}
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private static swap_position BuildPosition(InterestTypeEnum interestType, DateTime closeDate, int restDays = 7)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel { Date = closeDate, Rate = Spread, Settlement = 0 }
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};
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return new swap_position
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{
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id = 1001,
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SwapTradeId = 1,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.支付,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = Spread,
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InterestPrincipalFix = Notional,
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PosiStartDate = StartDate,
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PosiMatuirityDate = closeDate,
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IsInitial = true,
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Invalid = false,
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InterestType = (int)interestType,
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IsAnnualized = true,
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interest_rest_days = restDays,
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interest_rule = 0,
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FloatRateUnderlyingCode = "FR007",
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FloatRate = 0m,
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PosiNotionalValue = Notional,
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UnderlyingCode = "2500002.IB",
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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private static eod_swap_position BuildPreEod(DateTime valueDate)
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{
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return new eod_swap_position
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{
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id = 5001,
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PositionId = 1001,
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ValueDate = valueDate,
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FloatRate = 0.01425m,
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InterestProfitSum = -100000m,
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TdInterestPrincipal = Notional,
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InterestIncomeSum = -150000m
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};
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}
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private static Outcome Run(
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InterestTypeEnum interestType,
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bool includeCloseDate,
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DateTime? closeDate = null,
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int restDays = 7,
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eod_swap_position preEod = null,
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decimal closePrecent = 1m,
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DateTime? omitDate = null,
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double closeRate = 0.0143)
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{
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var cd = closeDate ?? CloseDate;
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var omit = new HashSet<DateTime>();
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if (omitDate.HasValue) omit.Add(omitDate.Value.Date);
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else if (!includeCloseDate) omit.Add(cd.Date);
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var svc = new StubSwapDealService(MakeOptUser(), omit, closeRate);
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var td = BuildTrade(cd);
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var position = BuildPosition(interestType, cd, restDays);
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var eodList = preEod == null
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? new List<eod_swap_position>()
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: new List<eod_swap_position> { preEod };
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try
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{
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var interests = svc.GetInterests(
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td, td.trade_extend, cd, cd, eodList,
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new List<swap_position> { position },
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Notional, Notional, closePrecent,
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(int)SwapEventTypeEnum.平仓, false, Notional,
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false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "应返回恰好 1 条利息事件");
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return new Outcome { Fe = interests[0] };
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}
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catch (Exception ex)
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{
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return new Outcome { Ex = ex };
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}
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}
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private static void AssertNoThrow(Outcome o, string scenario)
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{
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Assert.IsFalse(o.Threw, scenario + " 不应因平仓日 FR007 未发布而抛异常：" + o.Ex?.Message);
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Assert.IsNotNull(o.Fe, scenario + " 应返回利息事件");
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Assert.IsFalse(o.Fe.InterestAmount == 0 && o.Fe.FloatRate == 0, scenario + " 利息不应全为零");
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}
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[TestMethod]
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public void Red_Compound_WithoutCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false), "复利-无preEod-缺平仓日");
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}
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[TestMethod]
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public void Baseline_Compound_WithCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true), "复利-无preEod-有平仓日");
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}
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[TestMethod]
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public void Red_Compound_FullClose_WithPreEod_WithoutCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
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"复利-全平重放-缺平仓日");
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}
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[TestMethod]
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public void Baseline_Compound_FullClose_WithPreEod_WithCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
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"复利-全平重放-有平仓日");
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}
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[TestMethod]
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public void Red_Simple_WithoutPreEod_WithoutCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false), "单利-无preEod-缺平仓日");
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}
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[TestMethod]
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public void Red_Simple_WithPreEod_WithoutCloseDateFr007_Succeeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate)),
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"单利-带preEod-缺平仓日");
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}
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[TestMethod]
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public void Consistency_Compound_SkipEqualsPreviousRate()
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{
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var worldA = Run(InterestTypeEnum.复利, includeCloseDate: false);
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var worldB = Run(InterestTypeEnum.复利, includeCloseDate: true, closeRate: PreviousResetRate);
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Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
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Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
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Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
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"缺价回退世界 应与 显式置上一期利率世界 利息完全一致（钉死=沿用上期）");
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}
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[TestMethod]
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public void Consistency_Simple_SkipEqualsPreviousRate()
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{
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var worldA = Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate));
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var worldB = Run(InterestTypeEnum.单利, includeCloseDate: true, preEod: BuildPreEod(StartDate), closeRate: PreviousResetRate);
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Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
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Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
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Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
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"单利：缺价回退世界 应与 显式置上一期利率世界 利息完全一致");
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}
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[TestMethod]
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public void Boundary_Compound_NonIntegerMultiple_LastResetStillPrices()
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{
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var o = Run(InterestTypeEnum.复利, includeCloseDate: false, closeDate: NonIntCloseDate, omitDate: new DateTime(2026, 7, 20));
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Assert.IsTrue(o.Threw, "非整倍数时末段重置日 7/20 缺价应抛异常（该日利率被消费）");
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StringAssert.Contains(o.Ex.Message, "FR007");
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}
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[TestMethod]
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public void Boundary_Compound_NonIntegerMultiple_WithCloseDateSucceeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, closeDate: NonIntCloseDate),
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"非整倍数-有7/20价-应成功");
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}
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[TestMethod]
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public void Boundary_Simple_NonIntegerMultiple_LastResetStillPrices()
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{
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var o = Run(InterestTypeEnum.单利, includeCloseDate: false, closeDate: NonIntCloseDate,
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preEod: BuildPreEod(StartDate), omitDate: new DateTime(2026, 7, 20));
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Assert.IsTrue(o.Threw, "单利 非整倍数时末段重置日 7/20 缺价应抛异常");
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StringAssert.Contains(o.Ex.Message, "FR007");
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}
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[TestMethod]
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public void Boundary_Simple_NonIntegerMultiple_WithCloseDateSucceeds()
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{
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AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, closeDate: NonIntCloseDate, preEod: BuildPreEod(StartDate)),
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"单利-非整倍数-有7/20价-应成功");
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}
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}
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}
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