hjhan
7b007bddfa
- 新建 TestableSwapEodPositionService 收敛 8/8 Stub 重复的高频 override (PersistEodSwapPosition/SaveAllChanges/GetCurrencyRate/AddClientCash) + 统一 OptUserInfo 构造 + PersistedPositions/SaveChangesCount 输出捕获 - SwapEodPositionService.DealInterests 改 protected virtual（行为零变化） - 8 个 ScenarioTest 改为继承基类，删除重复 override - 消灭 DealInterestsScenarioTest/DealInterestsGoldenReplayTest 的反射调用 (typeof().GetMethod().Invoke → 直接调用 DealInterests) 验证：dotnet build 0 错误；dotnet test SwapModule 284通过/6跳过/0失败
319 lines
19 KiB
C#
319 lines
19 KiB
C#
using YLErp.DBModels;
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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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/// 期间多次部分平仓 + 中间穿插互换 —— PosiDividendSum 递推一致性测试
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/// ============================================================================
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/// 背景：GLMS-20260105-0007 修复（SwapEodPositionService.cs:1627-1636）把
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/// UpdateEodPosition 的 PosiDividendSum 从"从头重算"改为递增模式：
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/// PosiDividendSum = 前日 PosiDividendSum + 当日 TdPosiDividend - 当日 TdCloseDividend
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///
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/// 该递推公式此前只在 GLMS20260105GoldenTest 的"单日全互换"场景被验证过（持仓恒定、
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/// 1 条互换事件、全部结清）。本测试补齐覆盖空白：
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/// - 跨多个结算日的逐日递推一致性
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/// - 部分平仓后，当日新增分红 TdPosiDividend 按【剩余持仓】计算（cs:1614 用 curretEod.PosiQuantity）
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/// - 中间穿插互换结算（EventType=3，不扣持仓，但 DividendIn 进入 TdCloseDividend）
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/// - 全平后 PosiQuantity==0 走 else 分支 PosiDividendSum=0
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/// - 守恒：累计 RealizedDividend + 末尾待实现 ≈ 全程 TdPosiDividend 总和（round 累积容差内）
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/// - 无从头重算的精度漂移
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///
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/// 内存 stub，无数据库依赖，进 CI。
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/// ============================================================================
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[TestClass]
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public class MultiUnwindDividendConservationTest
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{
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// 场景常量：收取方向（directionRatio=+1，数值为正便于手算）、多头、1000 单位持仓。
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// 注：GLMS20260105 真实数据为支付方向（数值为负），但递推公式与方向无关，
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// 本测试取收取方向让期望值直观易读。
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private const int SwapTradeId = 9100;
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private const long PositionId = 9101;
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private const decimal InitialQty = 1000m;
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private const decimal DailyRatePerUnit = 0.01m; // 每单位每天票息 0.01，便于手算
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private static readonly DateTime StartDate = new(2026, 1, 5);
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#region Stub
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/// <summary>
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/// 参考 DealFloatPositionsScenarioTest.StubEodService，关键改进：
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/// CalcBondPayment 改为按天数 × 持仓线性函数，使 TdPosiDividend 真实随
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/// "天数 × 剩余持仓"变化——这是验证多日递推守恒的前提。
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/// </summary>
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private sealed class StubEodService : TestableSwapEodPositionService
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{
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private readonly decimal _dailyRatePerUnit;
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public StubEodService(decimal dailyRatePerUnit) : base(nameof(MultiUnwindDividendConservationTest))
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{
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_dailyRatePerUnit = dailyRatePerUnit;
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}
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// 按天线性付息：dailyRate × 天数 × 持仓 × shortRatio × directionRatio
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// 与生产 BondPaymentService 的线性口径一致，便于手算期望值
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protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio)
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{
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int days = Math.Max(0, (int)(toDate - fromDate).TotalDays);
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return _dailyRatePerUnit * days * qty * shortRatio * directionRatio;
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}
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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=> new underlying_manager { ValueAddedTax = 0m };
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protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
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{
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vobp = 0m; // vobp=0 让 Dv01Helper.CalcDv01 短路返回 0，不触碰 DataCacheProvider
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return 1.00m;
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}
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// 暴露 protected UpdateEodPosition（参考 GLMS20260105GoldenTest.ReplayStubService:244）
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public eod_swap_position ExecuteUpdateEodPosition(
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swap_position swapPosition, eod_swap_position eod, trade td,
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DateTime valueDate, DateTime preSettleDate, List<swap_flow_event> unwindEvents)
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{
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return UpdateEodPosition(swapPosition, eod, null, td, valueDate, preSettleDate, unwindEvents);
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}
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// 暴露 protected CopyEodPosition（无事件日用，与 DealFloatPositions 的真实分派一致）
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public eod_swap_position ExecuteCopyEodPosition(eod_swap_position eod, trade td, DateTime valueDate, DateTime preSettleDate)
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{
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return CopyEodPosition(eod, null, td, valueDate, preSettleDate);
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}
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}
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#endregion
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#region 数据构建
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private static trade CreateTrade()
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{
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return new trade
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{
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id = SwapTradeId, TradeNumber = "UT-MULTI-UNWIND-001", ClientId = 999999,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = new DateTime(2027, 1, 5), TradeStatus = "确认成交",
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ValidState = "Valid", StructureType = "单标的",
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QuoteCurrency = "CNY", SettlementCurrency = "CNY", // 同币种：汇率短路 Rate=1，不查库
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OriginalStockEqvNotional = (double)(InitialQty * 1.00m) // 与持仓 × 净价匹配
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};
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}
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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 = PositionId, SwapTradeId = SwapTradeId,
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PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PosiQuantity = InitialQty, PosiNotionalValue = InitialQty,
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PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
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PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
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IsInitial = true, Invalid = false,
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PosiTradingFee = 0, PosiTradingFeePending = 0
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};
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}
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/// <summary>首日 eod：ValueDate=StartDate，PosiDividendSum=0</summary>
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private static eod_swap_position CreateInitialEod()
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{
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return new eod_swap_position
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{
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id = 1, SwapTradeId = SwapTradeId, PositionId = PositionId,
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ValueDate = StartDate, PosiQuantity = InitialQty,
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PosiDirection = (int)SwapDirectionEnum.收取, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PosiNetPrice = 1.000m, PosiGrossPrice = 1.000m,
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PosiNetFeePrice = 1.000m, PosiNetNoFeePrice = 1.000m,
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PosiDividendSum = 0m, TdPosiDividend = 0m, TdCloseDividend = 0m,
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RealizedDividend = 0m, PosiFeePending = 0m,
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InterestProfitSum = 0m, Invalid = false
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};
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}
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private static swap_flow_event CloseEvent(decimal qty, decimal dividendIn, DateTime eventDate)
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{
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return new swap_flow_event
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{
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SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.平仓,
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PositionId = PositionId, Quantity = qty, DividendIn = dividendIn,
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MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
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TradingAmount = qty * 1.000m,
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UnwindDate = eventDate, EventDate = eventDate, PayDate = eventDate,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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}
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private static swap_flow_event SwapEvent(decimal dividendIn, DateTime eventDate)
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{
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return new swap_flow_event
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{
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SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.互换,
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PositionId = PositionId, Quantity = 0m, DividendIn = dividendIn,
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MarkClosePnl = 0m, CloseFee = 0m, TradingFeePending = 0m,
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EventDate = eventDate, PayDate = eventDate,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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}
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#endregion
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// ================================================================
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// 主测试：6 个结算日的多次部分平仓 + 中间互换序列
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// ================================================================
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/// <summary>
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/// [MU_001] 期间多次部分平仓 + 中间穿插互换 → PosiDividendSum 逐日递推一致、全平归零、守恒
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/// ----------------------------------------------------------------------------
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/// 真实 EOD 分派（DealFloatPositions:496-507）：无事件走 CopyEodPosition，
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/// 有平仓/互换事件走 UpdateEodPosition。本测试按此分派编排 6 个结算日，
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/// 验证两个方法的 PosiDividendSum 递推口径在跨方法、多事件下严格对齐
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/// （这正是 GLMS-20260105-0007 修复的核心：两者口径一致才能消除漂移）。
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///
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/// 序列（trade.StartDate=2026-01-05，每日间隔1天，DailyRatePerUnit=0.01）：
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/// D1=01-06 无事件(Copy) ：增量10(1天×0.01×1000), Sum: 0→10
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/// D2=01-07 部分平仓30% ：持仓1000→700, 增量7(按700), 实现3, Sum: 10→14
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/// D3=01-08 无事件(Copy) ：增量7(按700), Sum: 14→21
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/// D4=01-09 互换结算 ：EventType=3不扣持仓=700, 增量7, 实现10, Sum: 21→18
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/// D5=01-10 无事件(Copy) ：增量7(按700), Sum: 18→25
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/// D6=01-11 全平700 ：持仓→0, 增量0(全平后不计), Sum: 0(else分支)
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/// </summary>
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[TestMethod]
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public void MU_001_多次部分平仓穿插互换_分红递推一致且守恒()
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{
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var service = new StubEodService(DailyRatePerUnit);
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var td = CreateTrade();
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var position = CreatePosition();
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// 记录全程累积量，供末尾守恒断言
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decimal sumTdPosiDividend = 0m; // 全程新增待实现分红之和
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decimal sumTdCloseDividend = 0m; // 全程已实现分红之和
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var dailyResults = new List<(DateTime date, eod_swap_position eod)>();
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var initialEod = CreateInitialEod();
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// ---- D1=2026-01-06：无事件 → CopyEodPosition 分支 ----
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var d1 = new DateTime(2026, 1, 6);
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var r1 = service.ExecuteCopyEodPosition(initialEod, td, d1, StartDate);
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dailyResults.Add((d1, r1));
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sumTdPosiDividend += r1.TdPosiDividend;
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// 期望：TdPosiDividend = 0.01 × 1天 × 1000 = 10；PosiDividendSum = 0 + 10 = 10
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AssertDecimalEqual(10m, r1.TdPosiDividend, 0.01m, "D1 TdPosiDividend(1天×0.01×1000)");
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AssertDecimalEqual(10m, r1.PosiDividendSum, 0.01m, "D1 PosiDividendSum(0+10)");
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Assert.AreEqual(InitialQty, r1.PosiQuantity, "D1 持仓不变");
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AssertCopyIncrementalConsistency(initialEod, r1, "D1");
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// ---- D2=2026-01-07：部分平仓 30%（300单位）→ UpdateEodPosition 分支 ----
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var d2 = new DateTime(2026, 1, 7);
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var d2DividendIn = 3m; // 平仓实现的分红（业务方按平仓比例给定）
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var r2 = service.ExecuteUpdateEodPosition(position, r1, td, d2, d1, new List<swap_flow_event> { CloseEvent(300m, d2DividendIn, d2) });
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dailyResults.Add((d2, r2));
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sumTdPosiDividend += r2.TdPosiDividend;
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sumTdCloseDividend += r2.TdCloseDividend;
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Assert.AreEqual(700m, r2.PosiQuantity, "D2 部分平仓后持仓 1000-300=700");
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// 【关键】TdPosiDividend 按【剩余持仓 700】算：0.01 × 1天 × 700 = 7（不是 10）
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AssertDecimalEqual(7m, r2.TdPosiDividend, 0.01m, "D2 TdPosiDividend 应按剩余持仓700算(1天×0.01×700)");
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AssertDecimalEqual(d2DividendIn, r2.TdCloseDividend, 0.01m, "D2 TdCloseDividend=平仓DividendIn");
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// 递推：PosiDividendSum = 10 + 7 - 3 = 14
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AssertDecimalEqual(14m, r2.PosiDividendSum, 0.01m, "D2 PosiDividendSum(10+7-3)");
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AssertUpdateIncrementalConsistency(r1, r2, "D2");
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// ---- D3=2026-01-08：无事件 → CopyEodPosition（继续按 700 累积）----
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var d3 = new DateTime(2026, 1, 8);
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var r3 = service.ExecuteCopyEodPosition(r2, td, d3, d2);
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dailyResults.Add((d3, r3));
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sumTdPosiDividend += r3.TdPosiDividend;
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Assert.AreEqual(700m, r3.PosiQuantity, "D3 持仓不变=700（Copy继承前日）");
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AssertDecimalEqual(7m, r3.TdPosiDividend, 0.01m, "D3 TdPosiDividend(1天×0.01×700)");
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AssertDecimalEqual(21m, r3.PosiDividendSum, 0.01m, "D3 PosiDividendSum(14+7)");
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AssertCopyIncrementalConsistency(r2, r3, "D3");
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// ---- D4=2026-01-09：互换结算（EventType=3，不扣持仓，DividendIn 进入 TdCloseDividend）→ Update 分支 ----
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var d4 = new DateTime(2026, 1, 9);
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var d4DividendIn = 10m; // 互换事件实现的待实现分红
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var r4 = service.ExecuteUpdateEodPosition(position, r3, td, d4, d3, new List<swap_flow_event> { SwapEvent(d4DividendIn, d4) });
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dailyResults.Add((d4, r4));
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sumTdPosiDividend += r4.TdPosiDividend;
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sumTdCloseDividend += r4.TdCloseDividend;
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Assert.AreEqual(700m, r4.PosiQuantity, "D4 互换事件不扣持仓=700");
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AssertDecimalEqual(7m, r4.TdPosiDividend, 0.01m, "D4 TdPosiDividend(互换不影响增量,1天×0.01×700)");
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AssertDecimalEqual(d4DividendIn, r4.TdCloseDividend, 0.01m, "D4 TdCloseDividend=互换DividendIn");
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// 递推：PosiDividendSum = 21 + 7 - 10 = 18
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AssertDecimalEqual(18m, r4.PosiDividendSum, 0.01m, "D4 PosiDividendSum(21+7-10)");
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AssertUpdateIncrementalConsistency(r3, r4, "D4");
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// ---- D5=2026-01-10：无事件 → CopyEodPosition ----
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var d5 = new DateTime(2026, 1, 10);
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var r5 = service.ExecuteCopyEodPosition(r4, td, d5, d4);
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dailyResults.Add((d5, r5));
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sumTdPosiDividend += r5.TdPosiDividend;
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Assert.AreEqual(700m, r5.PosiQuantity, "D5 持仓=700");
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AssertDecimalEqual(7m, r5.TdPosiDividend, 0.01m, "D5 TdPosiDividend");
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AssertDecimalEqual(25m, r5.PosiDividendSum, 0.01m, "D5 PosiDividendSum(18+7)");
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AssertCopyIncrementalConsistency(r4, r5, "D5");
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// ---- D6=2026-01-11：全平 700 → Update 分支 ----
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var d6 = new DateTime(2026, 1, 11);
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var d6DividendIn = 25m; // 把剩余待实现全作 DividendIn 实现
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var r6 = service.ExecuteUpdateEodPosition(position, r5, td, d6, d5, new List<swap_flow_event> { CloseEvent(700m, d6DividendIn, d6) });
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dailyResults.Add((d6, r6));
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sumTdPosiDividend += r6.TdPosiDividend;
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sumTdCloseDividend += r6.TdCloseDividend;
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Assert.AreEqual(0m, r6.PosiQuantity, "D6 全平后持仓=0");
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// 全平走 else 分支：PosiDividendSum=0（不再递推）
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AssertDecimalEqual(0m, r6.PosiDividendSum, 0.01m, "D6 全平后 PosiDividendSum=0(else分支)");
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Assert.AreEqual(1, r6.PosiStatus, "D6 PosiStatus=已平");
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// ================================================================
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// 守恒性断言：全程新增 - 全程实现 = 末尾待实现（容差 0.01 允许 round 累积）
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// ================================================================
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decimal endingPending = sumTdPosiDividend - sumTdCloseDividend;
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AssertDecimalEqual(r6.PosiDividendSum, endingPending, 0.01m,
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$"守恒：末尾 PosiDividendSum({r6.PosiDividendSum}) 应=全程新增({sumTdPosiDividend})-全程实现({sumTdCloseDividend})={endingPending}");
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Console.WriteLine("=== 多日序列 PosiDividendSum 演变 ===");
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foreach (var (date, eod) in dailyResults)
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{
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Console.WriteLine($" {date:yyyy-MM-dd}: Qty={eod.PosiQuantity}, TdPosiDividend={eod.TdPosiDividend}, TdCloseDividend={eod.TdCloseDividend}, PosiDividendSum={eod.PosiDividendSum}, RealizedDividend={eod.RealizedDividend}");
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}
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Console.WriteLine($"\n守恒检查：Σ新增={sumTdPosiDividend}, Σ实现={sumTdCloseDividend}, 末尾待实现={r6.PosiDividendSum} ✅");
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}
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// ================================================================
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// 辅助断言：逐日递推一致性（持仓>0 时）
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// ================================================================
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/// <summary>
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/// 验证 UpdateEodPosition 的 PosiDividendSum 严格满足递推公式（cs:1631）：
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/// PosiDividendSum = prev.PosiDividendSum + result.TdPosiDividend - result.TdCloseDividend
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/// （仅持仓>0 时适用；全平时走 else 归零，由调用方单独断言）
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/// </summary>
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private static void AssertUpdateIncrementalConsistency(eod_swap_position prev, eod_swap_position result, string day)
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{
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if (result.PosiQuantity <= 0) return; // 全平走 else 分支，跳过递推断言
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decimal expected = prev.PosiDividendSum + result.TdPosiDividend - result.TdCloseDividend;
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Assert.IsTrue(Math.Abs(expected - result.PosiDividendSum) <= 0.01m,
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$"{day} Update递推一致性失败：期望 PosiDividendSum={prev.PosiDividendSum}+{result.TdPosiDividend}-{result.TdCloseDividend}={expected}，实际={result.PosiDividendSum}");
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}
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/// <summary>
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/// 验证 CopyEodPosition 的 PosiDividendSum 严格满足递推公式（cs:1527）：
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/// PosiDividendSum = Math.Round(prev.PosiDividendSum + result.TdPosiDividend, 2)
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/// （无平仓日，TdCloseDividend=0；仅持仓>0 时适用）
|
||
/// </summary>
|
||
private static void AssertCopyIncrementalConsistency(eod_swap_position prev, eod_swap_position result, string day)
|
||
{
|
||
if (result.PosiQuantity <= 0) return;
|
||
decimal expected = Math.Round(prev.PosiDividendSum + result.TdPosiDividend, 2);
|
||
Assert.IsTrue(Math.Abs(expected - result.PosiDividendSum) <= 0.01m,
|
||
$"{day} Copy递推一致性失败：期望 PosiDividendSum=Round({prev.PosiDividendSum}+{result.TdPosiDividend},2)={expected}，实际={result.PosiDividendSum}");
|
||
// Copy 分支当日无实现
|
||
Assert.AreEqual(0m, result.TdCloseDividend, $"{day} Copy分支应无 TdCloseDividend");
|
||
}
|
||
|
||
private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tolerance, string message = "")
|
||
{
|
||
Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
|
||
$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
|
||
}
|
||
}
|
||
}
|