hjhan
ef37c8e71d
- DealInterests 的 posiLongNotionalValue + posiShortNotionalValue 合并为 posiTotalNotional（调用点以 posiLongNotional+posiShortNotional 求和传入），净减一个参数 - SwapDealService / SwapEodPositionService / InterestCalcRequest 同步收敛多空死管道参数 - 19 个测试调用点适配新签名 - SwapEodPositionServiceIntegrationTest 参数计数断言由裸数字改为参数名集合断言（CollectionAssert.AreEquivalent，对增删/重排/改名敏感）
359 lines
16 KiB
C#
359 lines
16 KiB
C#
using Newtonsoft.Json;
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using YLErp.DBModels;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 对话及缺陷表中的部分平仓后最终全平案例。
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/// 使用生产 GetInterests 计算，不连接数据库；数据库数值仅作为冻结输入快照。
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/// </summary>
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[TestClass]
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public class SwapCloseConversationCasesRegressionTest
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{
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private const int AnnualDays = 365;
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private const decimal CentTolerance = 0.015m;
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public sealed class CloseCase
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{
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public string TradeNumber { get; init; }
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public DateTime StartDate { get; init; }
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public DateTime CloseDate { get; init; }
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public string InterestCalcMode { get; init; }
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public int SettlementRules { get; init; }
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public int InterestMode { get; init; }
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public int InterestType { get; init; }
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public int ResetDays { get; init; }
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public int InterestRule { get; init; }
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public decimal FixedRate { get; init; }
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public decimal PreviousPrincipal { get; init; }
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public decimal PreviousPendingInterest { get; init; }
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public decimal PreviousFloatRate { get; init; }
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public decimal CloseFloatRate { get; init; }
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public decimal OriginalNotional { get; init; }
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public decimal RemainingNotional { get; init; }
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public decimal InitialQuantity { get; init; }
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public decimal PartialCloseQuantity { get; init; }
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public decimal PartialCloseInterest { get; init; }
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public decimal ExpectedFinalInterest { get; init; }
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public override string ToString() => TradeNumber;
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}
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private sealed class SnapshotSwapDealService : SwapDealService
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{
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private readonly double _floatRate;
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public SnapshotSwapDealService(decimal floatRate)
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: base(new OptUserInfo(0, nameof(SwapCloseConversationCasesRegressionTest), OptUserFrom.UnitTest))
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{
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_floatRate = (double)floatRate;
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_floatRates = BuildAprFloatRates();
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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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if (_floatRates.TryGetValue(valueDate.Date, out rate))
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{
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return true;
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}
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rate = _floatRate;
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return true;
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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=> 0m;
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}
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public static IEnumerable<object[]> ConversationCases => BuildCases().Select(x => new object[] { x });
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[DataTestMethod]
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[DynamicData(nameof(ConversationCases), DynamicDataSourceType.Property)]
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public void FinalCloseMatchesConversationCase(CloseCase closeCase)
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{
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var trade = CreateTrade(closeCase);
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var position = CreatePosition(closeCase);
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var previousEod = CreatePreviousEod(closeCase, position);
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var service = new SnapshotSwapDealService(closeCase.CloseFloatRate);
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var result = service.GetInterests(
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trade, trade.trade_extend, closeCase.CloseDate, closeCase.CloseDate,
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new List<eod_swap_position> { previousEod }, new List<swap_position> { position },
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closeCase.RemainingNotional,
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closeCase.RemainingNotional, 1m, (int)SwapEventTypeEnum.平仓,
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false,
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closeCase.InterestType == 0 ? closeCase.RemainingNotional : closeCase.OriginalNotional,
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add: false, settment: false, newCalcLast: false).Single();
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AssertAmount(closeCase.ExpectedFinalInterest, result.InterestAmount,
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$"{closeCase.TradeNumber} 最终全平利息");
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if (closeCase.InterestCalcMode.EndsWith("0"))
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{
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AssertAmount(closeCase.PreviousPendingInterest, result.InterestAmount,
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$"{closeCase.TradeNumber} 不算尾时必须带走上日全部待实现利息");
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}
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else
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{
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Assert.AreNotEqual(
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Math.Round(closeCase.PreviousPendingInterest, 2, MidpointRounding.AwayFromZero),
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Math.Round(result.InterestAmount, 2, MidpointRounding.AwayFromZero),
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$"{closeCase.TradeNumber} 算尾时必须包含最终平仓日新增利息");
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}
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}
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[DataTestMethod]
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[DynamicData(nameof(ConversationCases), DynamicDataSourceType.Property)]
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public void PartialCloseSnapshotKeepsOriginalRatioAndRemainingTail(CloseCase closeCase)
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{
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var closePercentOfOriginal = closeCase.PartialCloseQuantity / closeCase.InitialQuantity;
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var expectedPercent = closeCase.TradeNumber.Contains("JIATT") ? 0.4m : 0.3m;
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Assert.AreEqual(expectedPercent, closePercentOfOriginal,
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$"{closeCase.TradeNumber} 部分平仓比例必须按期初数量口径记录");
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Assert.AreNotEqual(0m, closeCase.PartialCloseInterest,
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$"{closeCase.TradeNumber} 5/11 或 8/4 部分平仓利息快照不得丢失");
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Assert.AreNotEqual(0m, closeCase.PreviousPendingInterest,
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$"{closeCase.TradeNumber} 最终平仓前待实现尾差不得提前清零");
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}
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private static trade CreateTrade(CloseCase closeCase)
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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 = closeCase.TradeNumber,
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TradeDate = closeCase.StartDate,
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StartDate = closeCase.StartDate,
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ExerciseDate = closeCase.CloseDate,
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TradeStatus = "确认成交",
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ValidState = "Valid",
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trade_extend = new trade_extend
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{
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = closeCase.InterestCalcMode,
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SettlementRules = closeCase.SettlementRules
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})
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}
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};
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}
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private static swap_position CreatePosition(CloseCase closeCase)
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{
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return new swap_position
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{
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id = 1,
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PositionType = 0,
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InterestDirection = 1,
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InterestMode = closeCase.InterestMode,
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InterestType = closeCase.InterestType,
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InterestRateDefault = closeCase.FixedRate,
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InterestPrincipalFix = closeCase.OriginalNotional,
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PosiStartDate = closeCase.StartDate,
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PosiMatuirityDate = closeCase.CloseDate,
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IsInitial = true,
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Invalid = false,
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IsAnnualized = true,
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interest_rest_days = closeCase.ResetDays,
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interest_rule = closeCase.InterestRule,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel
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{
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Date = closeCase.CloseDate,
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Rate = closeCase.FixedRate,
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Settlement = 0
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}
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})
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};
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}
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private static eod_swap_position CreatePreviousEod(CloseCase closeCase, swap_position position)
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{
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return new eod_swap_position
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{
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id = 1,
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PositionId = position.id,
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ValueDate = closeCase.CloseDate.AddDays(-1),
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InterestDirection = position.InterestDirection,
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InterestMode = position.InterestMode,
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InterestType = position.InterestType,
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InterestRateDefault = closeCase.FixedRate,
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InterestIncomeSum = closeCase.PreviousPendingInterest,
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InterestProfitSum = closeCase.PreviousPendingInterest,
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TdInterestPrincipal = closeCase.PreviousPrincipal,
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PosiNotionalValue = 0m,
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FloatRate = closeCase.PreviousFloatRate,
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IsAnnualized = true,
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interest_rest_days = closeCase.ResetDays,
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interest_rule = closeCase.InterestRule
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};
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}
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private static void AssertAmount(decimal expected, decimal actual, string message)
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{
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Assert.IsTrue(Math.Abs(expected - actual) <= CentTolerance,
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$"{message}。Expected={expected}, Actual={actual}, Diff={expected - actual}");
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}
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private static IReadOnlyDictionary<DateTime, double> BuildAprFloatRates()
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{
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return new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 20)] = 0.0132,
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 22)] = 0.0132,
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[new DateTime(2026, 4, 23)] = 0.0132,
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[new DateTime(2026, 4, 24)] = 0.0131,
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[new DateTime(2026, 4, 27)] = 0.013502,
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[new DateTime(2026, 4, 28)] = 0.0136,
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[new DateTime(2026, 4, 29)] = 0.0138,
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[new DateTime(2026, 4, 30)] = 0.0139,
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[new DateTime(2026, 5, 4)] = 0.0139,
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[new DateTime(2026, 5, 5)] = 0.0139,
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[new DateTime(2026, 5, 6)] = 0.0136,
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[new DateTime(2026, 5, 7)] = 0.0136,
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[new DateTime(2026, 5, 8)] = 0.0135,
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[new DateTime(2026, 5, 9)] = 0.0131,
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[new DateTime(2026, 5, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.0130,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.0130,
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[new DateTime(2026, 5, 15)] = 0.0130,
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[new DateTime(2026, 5, 18)] = 0.0132,
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[new DateTime(2026, 5, 19)] = 0.0131
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};
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}
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private static IReadOnlyList<CloseCase> BuildCases()
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{
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var apr21Mode9NoLast = AprCase("", new DateTime(2026, 4, 21), "10", 0, 9, 1, -1,
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0.0025m, 212393195.604981356504m, 260578.522161724795m, 0.0134m, 0.0132m,
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79831.29m, 260578.53m);
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var apr21Mode2NoLast = AprCase("", new DateTime(2026, 4, 21), "10", 0, 2, 1, 0,
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0.0025m, 212393594.673529615939m, 259348.391672295294m, 0.0130m, 0.0131m,
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80002.30m, 259348.38m);
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var apr21Mode2WithLast = AprCase("", new DateTime(2026, 4, 21), "11", 0, 2, 1, 0,
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0.0025m, 212393594.665105085126m, 259348.383245260196m, 0.0130m, 0.0131m,
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84090.95m, 268428.73m);
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var apr22Mode9NoLast = AprCase("", new DateTime(2026, 4, 22), "10", 1, 9, 1, -1,
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-0.0210m, 212106644.672742434546m, -118631.263817268568m, 0.0130m, 0.0130m,
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-35350.65m, -118631.26m);
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var apr22Mode2WithLast = AprCase("", new DateTime(2026, 4, 22), "11", 1, 2, 1, 0,
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-0.0210m, 212106237.833444880927m, -119386.717400887353m, 0.0129m, 0.0129m,
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-37218.76m, -124093.74m);
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var apr21SimpleWithLast = AprCase("", new DateTime(2026, 4, 21), "11", 0, 2, 0, -1,
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0.0025m, 212197382.46m, 260458.629530704663m, 0.0134m, 0.0132m,
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83894.12m, 269586.02m);
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return new List<CloseCase>
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{
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WithTradeNumber(apr21Mode2WithLast, "GLMS-20260421-0007"),
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WithTradeNumber(apr21Mode2NoLast, "GLMS-20260421-0005"),
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WithTradeNumber(apr21Mode9NoLast, "GLMS-20260421-0001"),
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WithTradeNumber(apr22Mode2WithLast, "GLMS-20260421-0008"),
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WithTradeNumber(apr21SimpleWithLast, "GLMS-20260421-0011"),
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WithTradeNumber(apr21Mode2WithLast, "GLMS-MARSK-20260421-FICC-01-180205IB"),
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WithTradeNumber(apr21Mode9NoLast, "GLMS-MARSK-20260421-FICC-02-180205IB"),
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WithTradeNumber(apr22Mode9NoLast, "GLMS-MARSK-20260421-FICC-03-180205IB"),
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WithTradeNumber(apr22Mode2WithLast, "GLMS-MARSK-20260421-FICC-04-180205IB"),
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WithTradeNumber(apr21SimpleWithLast, "GLMS-MARSK-20260421-FICC-05-180205IB"),
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JiattCase("GLMS-JIATT-20260805-FICC-01-2180120IB", 30041492.070122881942m,
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10019.043756537721m, 2970.02m, 10019.04105m),
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JiattCase("GLMS-JIATT-20260727-FICC-02-2180120IB", 30044833.3381m,
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13360.932596m, 5197.53m, 13360.93051m)
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};
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}
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private static CloseCase AprCase(string tradeNumber, DateTime startDate, string calcMode,
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int settlementRules, int interestMode, int interestType, int interestRule,
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decimal fixedRate, decimal previousPrincipal, decimal previousPending,
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decimal previousFloatRate, decimal closeFloatRate, decimal partialInterest,
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decimal expectedFinal)
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{
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return new CloseCase
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{
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TradeNumber = tradeNumber,
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StartDate = startDate,
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CloseDate = new DateTime(2026, 5, 19),
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InterestCalcMode = calcMode,
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SettlementRules = settlementRules,
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InterestMode = interestMode,
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InterestType = interestType,
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ResetDays = 7,
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InterestRule = interestRule,
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FixedRate = fixedRate,
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PreviousPrincipal = previousPrincipal,
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PreviousPendingInterest = previousPending,
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PreviousFloatRate = previousFloatRate,
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CloseFloatRate = closeFloatRate,
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OriginalNotional = 303139117.80m,
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RemainingNotional = 212197382.46m,
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InitialQuantity = 300000000m,
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PartialCloseQuantity = 90000000m,
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PartialCloseInterest = partialInterest,
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ExpectedFinalInterest = expectedFinal
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};
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}
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private static CloseCase JiattCase(string tradeNumber, decimal remainingPrincipal,
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decimal previousPending, decimal partialInterest, decimal expectedFinal)
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{
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return new CloseCase
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{
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TradeNumber = tradeNumber,
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StartDate = new DateTime(2026, 7, 28),
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CloseDate = new DateTime(2026, 8, 7),
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InterestCalcMode = "10",
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SettlementRules = 0,
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InterestMode = 9,
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InterestType = 1,
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ResetDays = 7,
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InterestRule = -1,
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FixedRate = 0.001234m,
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PreviousPrincipal = remainingPrincipal,
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PreviousPendingInterest = previousPending,
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PreviousFloatRate = 0.0213m,
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CloseFloatRate = 0.0213m,
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OriginalNotional = 50061728.39m,
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RemainingNotional = remainingPrincipal,
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InitialQuantity = 50000000m,
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PartialCloseQuantity = 20000000m,
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PartialCloseInterest = partialInterest,
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ExpectedFinalInterest = expectedFinal
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};
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}
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private static CloseCase WithTradeNumber(CloseCase source, string tradeNumber)
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{
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return new CloseCase
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{
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TradeNumber = tradeNumber,
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StartDate = source.StartDate,
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CloseDate = source.CloseDate,
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InterestCalcMode = source.InterestCalcMode,
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SettlementRules = source.SettlementRules,
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InterestMode = source.InterestMode,
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InterestType = source.InterestType,
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ResetDays = source.ResetDays,
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InterestRule = source.InterestRule,
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FixedRate = source.FixedRate,
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PreviousPrincipal = source.PreviousPrincipal,
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PreviousPendingInterest = source.PreviousPendingInterest,
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PreviousFloatRate = source.PreviousFloatRate,
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CloseFloatRate = source.CloseFloatRate,
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OriginalNotional = source.OriginalNotional,
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RemainingNotional = source.RemainingNotional,
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InitialQuantity = source.InitialQuantity,
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PartialCloseQuantity = source.PartialCloseQuantity,
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PartialCloseInterest = source.PartialCloseInterest,
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ExpectedFinalInterest = source.ExpectedFinalInterest
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};
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}
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}
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}
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