108 lines
5.0 KiB
C#
108 lines
5.0 KiB
C#
using Newtonsoft.Json;
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using YLErp;
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using YLErp.Modules.SwapModule;
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using YLErp.Modules.SwapModule.Accrual;
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namespace UnitTestProject.Modules.SwapModule.Accrual
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{
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/// <summary>
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/// EQD-6977 carryInInterest 契约测试：
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/// 1) 默认 0 与旧逐日循环逐位一致（加参零行为变化的安全证明）；
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/// 2) carry-in 仅在【首个重置日】并入计息基数（非窗口首日起息）——
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/// 与"持有至到期"全期轨迹对齐的数学不变量：增量 = carryIn × 后续段日利率 × 后续段天数。
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/// </summary>
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[TestClass]
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public class CompoundCarryInTest
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{
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private const decimal Notional = 100_000_000m;
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private const decimal Spread = 0.0025m;
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 4, 21);
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private static readonly DateTime EndDate = new(2026, 5, 11); // 21天 = 3×7，末日是重置日
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private static swap_position CreatePosition()
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.收取,
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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, PosiMatuirityDate = StartDate.AddYears(1),
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IsInitial = true, Invalid = false,
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InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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}
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private static List<(DateTime, decimal)> Segments()
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=> new()
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{
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(StartDate, Spread),
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(StartDate.AddDays(7), Spread),
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(StartDate.AddDays(14), Spread),
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};
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private sealed class StubSvc : SwapDealService
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{
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public StubSvc() : base(new OptUserInfo(0, nameof(CompoundCarryInTest), OptUserFrom.UnitTest)) { }
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}
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[TestMethod]
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public void carryIn_默认省略_与旧逐日循环一致()
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{
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var position = CreatePosition();
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var flowEvent = new swap_flow_event { InterestRate = Spread };
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decimal oldI = 0, oldTd = 0;
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new StubSvc().CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
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AnnualDays, 0m, 1m, true, false, ref oldI, ref oldTd);
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// 省略 carryInInterest（默认 0）
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var r1 = CompoundInterestAccrual.AccruePeriod(
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notional: Notional, segmentRates: Segments(),
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startDate: StartDate, endDate: EndDate,
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boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _);
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// 显式传 0 与省略等价
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var r2 = CompoundInterestAccrual.AccruePeriod(
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notional: Notional, segmentRates: Segments(),
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startDate: StartDate, endDate: EndDate,
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boundary: AccrualBoundary.StartOnly, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _, trace: null, carryInInterest: 0m);
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Assert.AreEqual((double)oldI, (double)r1.Accrued, 0.0000001, "省略 carryIn 与旧实现一致");
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Assert.AreEqual((double)r1.Accrued, (double)r2.Accrued, 0.0000001, "省略与显式0一致");
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}
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[TestMethod]
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public void carryIn_仅在首重置日起息_增量等于后续两段复利()
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{
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const decimal carryIn = 1_000_000m;
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decimal Accrued(decimal c)
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=> CompoundInterestAccrual.AccruePeriod(
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notional: Notional, segmentRates: Segments(),
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startDate: StartDate, endDate: EndDate,
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boundary: AccrualBoundary.Both, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _, trace: null, carryInInterest: c).Accrued;
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var delta = Accrued(carryIn) - Accrued(0m);
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// Both 边界下三段各 7 天。carryIn 于 4/28（首个重置日）并入基数：
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// 首段 [4/21,4/28] 不含 carryIn；其后两段 carryIn 自身起息且其首段利息再复利。
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// 精确增量 = c×d + (c + c×d)×d = c×(2d + d²) = c×((1+d)² − 1)，d = 7天利率因子。
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var d = Spread * 7m / AnnualDays;
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var expected = carryIn * (2m * d + d * d);
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Assert.AreEqual((double)expected, (double)delta, 0.001,
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"carryIn 增量 = 首个重置日起息的两段复利，首段不含 carryIn");
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}
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}
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}
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