294 lines
15 KiB
JavaScript
294 lines
15 KiB
JavaScript
/**
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* swapCalc.test.js — 前端计算逻辑单元测试
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* ============================================================================
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* 双重目的：
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* 1) 回归守卫：锁定 4 个曾出 bug 的纯函数（dcf649f2 / 20ea93d8 / 3c5f25a5 / f873239a）
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* 2) 交叉校验：用 8 个场景（FC_001~FC_008）对齐 C# FrontendCalcCharacterizationTest 金标准，
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* 一旦 JS 公式与后端 FrontendCalcReference 分叉，测试即红。
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*
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* 运行：cd YLErpWeb/fe-tests && npm i && npm test
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*/
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const SwapCalc = require('../wwwroot/Scripts/app/swaptrade/swapCalc.js');
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const TOL = 1e-6;
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function expectClose(actual, expected, msg) {
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expect(Math.abs(actual - expected)).toBeLessThanOrEqual(TOL, msg || '');
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}
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describe('回归守卫：曾出 bug 的纯函数', () => {
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// 20ea93d8 / dcf649f2：必须用全价(PosiGrossPrice) 且债券 ×100
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test('deriveTradingAmountAvg 债券用全价并 ×100 (守卫 20ea93d8/dcf649f2)', () => {
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expectClose(SwapCalc.deriveTradingAmountAvg(1.02, 100), 102, '债券: 1.02×100=102(界面百分比态)');
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expectClose(SwapCalc.deriveTradingAmountAvg(1.02, 1), 1.02, '非债券: 不缩放');
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// 若误用净价(PosiNetPrice) 会偏离，这里锁定"全价"语义
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expect(SwapCalc.deriveTradingAmountAvg(1.02, 100)).toBe(102);
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});
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test('收益结算审批回显提交的期末价格', () => {
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expectClose(
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SwapCalc.resolveIncomeTradingAmountAvg(0.98, 0.80, 100, true),
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80,
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'债券审批应把已提交相对价0.80还原为界面值80');
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expectClose(
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SwapCalc.resolveIncomeTradingAmountAvg(0.98, 0.80, 100, false),
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98,
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'普通打开仍以期初全价98作为默认期末价');
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});
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// 3c5f25a5：FloatPnlSum 必须保留 2 位小数
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test('calcFloatPnlSum 保留 2 位 (守卫 3c5f25a5)', () => {
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expectClose(SwapCalc.calcFloatPnlSum(100.456, 1, 0.5, 0), 101.96, '100.456+1+0.5=101.956→101.96');
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expectClose(SwapCalc.calcFloatPnlSum(30, 20, 0, 0), 50, '30+20=50');
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expect(SwapCalc.calcFloatPnlSum(30, 20, 0, 0)).toBe(50);
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});
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// f873239a：名义本金 round 到 2 位
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test('calcStockEqvNotional round 2 位 (守卫 f873239a)', () => {
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expectClose(SwapCalc.calcStockEqvNotional(1.02, 100 * 100), 10200, '1.02×10000=10200');
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expectClose(SwapCalc.calcStockEqvNotional(10.005, 100), 1000.5, '10.005×100=1000.50');
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});
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test('getPriceScale 债券=0.01 非债券=1', () => {
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expect(SwapCalc.getPriceScale(100)).toBe(0.01);
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expect(SwapCalc.getPriceScale(1)).toBe(1);
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});
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});
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// ============================================================================
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// 多次部分平仓：平仓比例 ↔ 平仓名义本金 换算必须以"剩余持仓名义本金"为基准
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// 守卫 unwindSwapTrade.js changeCloseQty/changeClosePercent/changeCloseNotionalValue
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// 旧 bug：用原始 NotionalValue 换算，首次部分平仓后 PosiNotionalValue 被扣减，
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// 导致 ClosePercent 偏小 / CloseNotionalValue 偏大，后端预付金返还本金计算错误
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// ============================================================================
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describe('多次部分平仓：比例↔名义本金换算以 PosiNotionalValue 为基准', () => {
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// 场景：原始名义本金 1,000,000，首次平 30% 后剩余 700,000
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// 第 2 次按名义本金输入 350,000（意图平剩余 50%）
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const NotionalValue = 1_000_000; // 原始（不变）
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const PosiNotionalValue = 700_000; // 首次部分平仓后剩余
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test('按名义本金反算比例：应=0.5（用剩余），旧 bug 会算成 0.35（用原始）', () => {
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const closeNotionalValue = 350_000;
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const correctPct = SwapCalc.calcClosePercentByRemaining(closeNotionalValue, PosiNotionalValue);
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const buggyPct = SwapCalc.calcClosePercentByRemaining(closeNotionalValue, NotionalValue);
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expectClose(correctPct, 0.5, '剩余本金为分母应得 50%');
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expectClose(buggyPct, 0.35, '旧 bug 用原始本金会算成 0.35');
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expect(Math.abs(correctPct - buggyPct)).toBeGreaterThan(TOL);
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});
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test('按比例正算名义本金：应=350,000（用剩余），旧 bug 会算成 500,000（用原始）', () => {
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const closePercent = 0.5;
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const correctNotional = SwapCalc.calcCloseNotionalByRemaining(closePercent, PosiNotionalValue);
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const buggyNotional = SwapCalc.calcCloseNotionalByRemaining(closePercent, NotionalValue);
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expectClose(correctNotional, 350_000, '剩余本金×50%应=350,000');
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expectClose(buggyNotional, 500_000, '旧 bug 用原始本金会算成 500,000');
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expect(Math.abs(correctNotional - buggyNotional)).toBeGreaterThan(TOL);
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});
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test('第 3 次全平剩余 350,000：比例应=1.0（用剩余），旧 bug 会算成 0.35', () => {
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const remaining = 350_000;
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const closeNotionalValue = 350_000;
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const correctPct = SwapCalc.calcClosePercentByRemaining(closeNotionalValue, remaining);
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const buggyPct = SwapCalc.calcClosePercentByRemaining(closeNotionalValue, NotionalValue);
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expectClose(correctPct, 1.0, '剩余全平应=100%');
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expectClose(buggyPct, 0.35, '旧 bug 用原始本金会算成 0.35');
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});
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test('多次部分平仓合计本金应=原始名义本金（3 次：30% / 50% / 全平）', () => {
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// 模拟 3 次部分平仓的换算，每次以"当前剩余"为基准
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let remaining = 1_000_000;
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const steps = [0.3, 0.5, 1.0];
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let totalClosed = 0;
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steps.forEach((pct) => {
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const closed = SwapCalc.calcCloseNotionalByRemaining(pct, remaining);
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totalClosed += closed;
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remaining -= closed;
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});
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expectClose(totalClosed, 1_000_000, '3 次部分平仓合计应=原始名义本金');
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expectClose(remaining, 0, '剩余应为 0');
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});
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test('除零保护：剩余本金为 0 时比例返回 0', () => {
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expect(SwapCalc.calcClosePercentByRemaining(100, 0)).toBe(0);
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});
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});
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// ============================================================================
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// 多次部分平仓：全部↔部分切换时 CloseQty 不应随 ClosePercent 口径变化而跳变
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// 守卫 unwindSwapTrade.js changeCloseMethod/changeClosePercent/changeCloseQty/changeCloseNotionalValue
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// 旧 bug：ClosePercent 是占期初口径(A)，但 CloseQty=PositionQty*ClosePercent 错当占剩余(B)用
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// 全部(ClosePercent=0.7,CloseQty=720000) → 部分(ClosePercent没变, CloseQty=504000) ❌ 跳变
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// 修复：CloseQty = PositionQty × (ClosePercent / oriClosePercent)
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// ============================================================================
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describe('多次部分平仓：全部↔部分切换 CloseQty 不跳变（占期初口径自洽）', () => {
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// 场景基于 GLMS-20260701-0013：
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// 期初 NotionalValue=980000，已平两次剩 PosiNotionalValue=686000, PositionQty=720000
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// oriClosePercent = 686000/980000 = 0.7
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const NotionalValue = 980000;
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const PosiNotionalValue = 686000;
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const PositionQty = 720000;
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const oriClosePercent = PosiNotionalValue / NotionalValue; // 0.7
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test('全部平仓 ClosePercent=0.7 → CloseQty=720000（剩余全部）', () => {
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const closePercent = oriClosePercent; // 全部平仓 = oriClosePercent
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const closeQty = SwapCalc.calcCloseQtyByOriginalPercent(closePercent, oriClosePercent, PositionQty);
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expectClose(closeQty, 720000, '全部平仓应平剩余全部数量');
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});
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test('全部→部分切换（ClosePercent 没变=0.7）：CloseQty 应保持 720000 不跳变', () => {
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// 旧 bug：CloseQty = 720000 * 0.7 = 504000（错误跳变）
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// 修复：CloseQty = 720000 * (0.7/0.7) = 720000（不变）
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const closePercent = oriClosePercent;
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const closeQty = SwapCalc.calcCloseQtyByOriginalPercent(closePercent, oriClosePercent, PositionQty);
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const buggyCloseQty = Math.round(PositionQty * closePercent * 100) / 100; // 旧 bug 公式
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expectClose(closeQty, 720000, '修复后应不变');
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expect(Math.abs(buggyCloseQty - 504000)).toBeLessThanOrEqual(TOL, '旧 bug 会跳变到 504000');
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expect(Math.abs(closeQty - buggyCloseQty)).toBeGreaterThan(TOL, '修复与旧 bug 必须有差异');
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});
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test('改比例 0.5（占期初）→ CloseQty=720000×(0.5/0.7)=514285.71', () => {
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const closePercent = 0.5;
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const closeQty = SwapCalc.calcCloseQtyByOriginalPercent(closePercent, oriClosePercent, PositionQty);
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expectClose(closeQty, 514285.71, '占期初 50% 对应占剩余 71.43%，×720000=514285.71');
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});
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test('逆运算：CloseQty=514285.71 → ClosePercent=0.5（占期初）', () => {
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const closeQty = 514285.71;
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const closePercent = SwapCalc.calcOriginalClosePercentByQty(closeQty, PositionQty, oriClosePercent);
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expectClose(closePercent, 0.5, '逆运算应还原为占期初 0.5');
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});
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test('逆运算自洽：CloseQty=720000（=PositionQty）→ ClosePercent=0.7（=oriClosePercent）', () => {
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const closeQty = PositionQty; // 720000
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const closePercent = SwapCalc.calcOriginalClosePercentByQty(closeQty, PositionQty, oriClosePercent);
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expectClose(closePercent, oriClosePercent, '平全部剩余 → ClosePercent=oriClosePercent');
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});
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test('除零保护：oriClosePercent=0（已全平完）→ CloseQty=0', () => {
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expect(SwapCalc.calcCloseQtyByOriginalPercent(0.5, 0, 720000)).toBe(0);
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});
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test('除零保护：PositionQty=0 → ClosePercent=0', () => {
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expect(SwapCalc.calcOriginalClosePercentByQty(100, 0, oriClosePercent)).toBe(0);
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});
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// GLMS-20260701-0006 生产 bug：第二次部分平仓 50%(占期初) 时
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// 32500000 * (0.5 / 0.65) = 24999999.999999996（JS 浮点精度偏差）
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// roundHalfAwayFromZero 应正确舍入为 25000000
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test('GLMS-20260701-0006：32500000×(0.5/0.65) 应=25000000 而非 24999999.999999996', () => {
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const closePercent = 0.5; // 占期初 50%
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const oriClosePercent = 0.65; // 剩余/期初 = 32500000/50000000
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const positionQty = 32500000; // 剩余持仓
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const closeQty = SwapCalc.calcCloseQtyByOriginalPercent(closePercent, oriClosePercent, positionQty);
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expectClose(closeQty, 25000000, '应=25000000 不受 JS 浮点偏差影响');
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expect(closeQty).not.toBe(24999999.999999996);
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});
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});
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describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准', () => {
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// FC_001 平仓-债券多头-默认
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test('FC_001 平仓 债券多头 默认', () => {
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const r = SwapCalc.calcUnwind({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
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closeQty: 1000, payDirection: 1, positionType: 1,
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tradingFee: '20', tradingFeePending: '0', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, 30, 'MarkClosePnl');
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expectClose(r.FloatPnlSum, 50, 'FloatPnlSum');
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expectClose(r.SwapRealizedPnL, 50, 'SwapRealizedPnL');
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});
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// FC_002 改标的价格 105→110
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test('FC_002 平仓 改标的价格', () => {
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const r = SwapCalc.calcUnwind({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 110,
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closeQty: 1000, payDirection: 1, positionType: 1,
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tradingFee: '20', tradingFeePending: '0', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, 80, 'MarkClosePnl');
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expectClose(r.FloatPnlSum, 100, 'FloatPnlSum');
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});
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// FC_003 改平仓数量 1000→500
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test('FC_003 平仓 改平仓数量', () => {
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const r = SwapCalc.calcUnwind({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
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closeQty: 500, payDirection: 1, positionType: 1,
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tradingFee: '20', tradingFeePending: '10', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, 15, 'MarkClosePnl');
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expectClose(r.FloatPnlSum, 45, 'FloatPnlSum');
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});
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// FC_004 改利息金额 +100
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test('FC_004 平仓 改利息金额', () => {
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const r = SwapCalc.calcUnwind({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
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closeQty: 1000, payDirection: 1, positionType: 1,
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tradingFee: '20', tradingFeePending: '0', dividendIn: '0',
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interestLegs: [{ interestClosePnL: 100 }]
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});
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expectClose(r.MarkClosePnl, 30, 'MarkClosePnl 不受利息影响');
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expectClose(r.SwapRealizedPnL, 150, '含利息 SwapRealizedPnL');
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});
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// FC_005 非债券空头 方向因子
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test('FC_005 平仓 非债券空头 方向因子', () => {
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const r = SwapCalc.calcUnwind({
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multiplier: 1, posiGrossPrice: 100, tradingAmountAvg: 105,
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closeQty: 1000, payDirection: 1, positionType: 2,
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tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, -5000, '空头价格涨=亏损');
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});
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// FC_006 结息 债券多头 全量
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test('FC_006 结息 债券多头 全量', () => {
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const r = SwapCalc.calcIncome({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
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positionQty: 10000, contractSize: 1,
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closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
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tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, 300, 'income MarkClosePnl');
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expectClose(r.SwapRealizedPnL, 300, 'income SwapRealizedPnL');
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});
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// FC_007 结息 改标的价格 105→110
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test('FC_007 结息 改标的价格', () => {
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const r = SwapCalc.calcIncome({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 110,
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positionQty: 10000, contractSize: 1,
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closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
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tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
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});
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expectClose(r.MarkClosePnl, 800, '改价格后 income MarkClosePnl');
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});
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// FC_008 结息 含利息腿+预付金腿
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test('FC_008 结息 含利息腿与预付金腿 总额', () => {
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const r = SwapCalc.calcIncome({
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multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
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positionQty: 10000, contractSize: 1,
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closeNotionalValue: 10200, closeQty: 0, payDirection: 1, positionType: 1,
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tradingFee: '0', tradingFeePending: '0', dividendIn: '0',
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interestLegs: [{ interestClosePnL: 100 }],
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marginLegs: [{ interestClosePnL: 50 }]
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});
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expectClose(r.SwapRealizedPnL, 450, '含利息+预付金 SwapRealizedPnL');
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expectClose(r.SwapMarginRebatePnl, 50, 'SwapMarginRebatePnl');
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});
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// FC_009 真实回归：债券结息价差按数量计算，不能误用期初名义本金
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test('FC_009 结息 债券价差按数量计算', () => {
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const r = SwapCalc.calcIncome({
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multiplier: 100, posiGrossPrice: 0.98, tradingAmountAvg: 80,
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positionQty: 30000000, contractSize: 1,
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closeNotionalValue: 29400000, closeQty: 0,
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payDirection: 2, positionType: 1,
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tradingFee: '0', tradingFeePending: '0', dividendIn: '-45000'
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});
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expectClose(r.MarkClosePnl, 5400000, 'income MarkClosePnl按数量计算');
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expectClose(r.FloatPnlSum, 5355000, 'income FloatPnlSum包含分红');
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});
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});
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