hjhan
4a3fee9292
死参数收口（另一半）： - SwapDealService.GetInterests 删 needPrice/grossPrice（体内零消费，2026-08 验证）； InitSwapDealInterest.needPrice 同为死参数一并删 - SwapEodPositionService.CalcSwapInterests 签名+转发同步；两个 EOD 生产调用点 (SaveAutoEodInterestPosition/SaveEodInterestPositionCopy) 重排实参； CalcEodPostCloseSettleInterests/GetIntradayUnwindInterests 委托同步 - 14 个测试文件 ~44 处直调点机械更新（8 处 override 签名 + 36 处调用实参） - 注意：EOD 编排链(DealInterests→Save*家族)的 grossPrice(期初不含费价)有真实用途，保留未动 新增钉子：CalcEodPostCloseSettleInterests 工厂→接缝参数映射测试—— CalcSwapInterestsCapture 捕获 stub 断言 EodPostCloseSettle 的完整转发契约 （posi=平仓后剩余/closePosi=平掉额/恒1/settment:false/orginPv 等 11 项）。 该段位置转发含三个相邻同型 decimal，编译器不查错位，此测试兜底。 验证：定向 241 测试通过（含 T0/T1 Excel 验证期望值、EntrySemantics 精确值钉子—— 任何 decimal 错位即红）；全量 903=145失败/746通过/12跳过，与基线逐位一致。
342 lines
18 KiB
C#
342 lines
18 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Newtonsoft.Json;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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namespace UnitTestProject.Modules.SwapModule
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{
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/// <summary>
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/// 回归保护测试：业务场景1（固定利率收盘平仓）+ 业务场景2（浮动利率第一重置期内平仓）
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/// --------------------------------------------------------------------------
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/// 数据来源：缺陷测试-利息20260807晚.xlsx
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/// - 业务场景1-浮动（8 用例）：收盘到 4/2 利息=0，Excel 标记"无关"，此处验证返回 0
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/// - 业务场景1-固定（12 用例）：固定利率单利，平仓日 5/28 或 4/6，Excel 全标"通过"
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/// - 业务场景2（12 用例）：浮动利率第一重置期内平仓(4/27)，Excel 全标"通过"
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///
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/// 目的：确保场景3/4 的 Bug 修复不回归破坏已通过的用例。
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/// 断言容差 0.01（匹配 Excel 2 位小数精度）。
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/// </summary>
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[TestClass]
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public class SwapInterestScenario1And2Test
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{
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#region 内部 Stub（与 Scenario3And4 相同结构）
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private sealed class StubSwapDealService : SwapDealService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public StubSwapDealService(OptUserInfo optUser, IReadOnlyDictionary<DateTime, double> floatRates) : base(optUser)
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{
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_floatRates = floatRates;
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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 (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase))
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{
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rate = 0;
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return false;
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}
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if (_floatRates.TryGetValue(valueDate.Date, out rate)) return true;
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rate = 0;
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return false;
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
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}
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private sealed class StubEodPositionService : TestableSwapEodPositionService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public StubEodPositionService(IReadOnlyDictionary<DateTime, double> floatRates)
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: base(nameof(SwapInterestScenario1And2Test)) { _floatRates = floatRates; }
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protected override List<swap_flow_event> CalcSwapInterests(
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trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
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List<eod_swap_position> eodPositions, List<swap_position> positions,
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decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
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decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
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decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
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List<swap_flow_event> closeList = null)
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{
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var svc = new StubSwapDealService(
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new OptUserInfo(0, nameof(SwapInterestScenario1And2Test), OptUserFrom.UnitTest), _floatRates);
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return svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
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eodPositions, positions, posiNotionalValue, posiLongNotionalValue, posiShortNotionalValue,
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closePosiNotionalValue, closePrecent, eventType, tdClose,
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orginPv, add, settment, newCalcLast, closeList);
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}
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public eod_swap_position ExecuteClose(trade td, swap_position position, DateTime valueDate,
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decimal posiLongNotional, decimal posiShortNotional,
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List<swap_flow_event> flowEvents, decimal closeNotional, eod_swap_position prevEod)
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{
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SaveAutoEodWithCloseInterestPosition(prevEod, null, position, td, valueDate, null,
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posiLongNotional, posiShortNotional, flowEvents, closeNotional, false, 1m,
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posiLongNotional + posiShortNotional);
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return PersistedPositions.LastOrDefault();
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}
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}
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#endregion
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#region 常量
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private const int AnnualDays = 365;
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private const int ResetPeriod = 7;
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private const decimal Notional = 303139117.8m;
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private const decimal FixedNotional = 10012350m;
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private static void AssertStrict(decimal expected, decimal actual, string tag)
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{
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var diff = Math.Abs(expected - actual);
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Assert.IsTrue(diff <= 0.01m, $"{tag}: Expected={expected}, Actual={actual}, Diff={expected - actual}");
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}
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private StubEodPositionService _eod;
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private IReadOnlyDictionary<DateTime, double> _floatRates;
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[TestInitialize]
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public void Init()
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{
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_floatRates = new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 1)] = 0.0142,
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[new DateTime(2026, 4, 2)] = 0.014,
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[new DateTime(2026, 4, 3)] = 0.0135,
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[new DateTime(2026, 4, 4)] = 0.0135,
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[new DateTime(2026, 4, 6)] = 0.0135,
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[new DateTime(2026, 4, 7)] = 0.0134,
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[new DateTime(2026, 4, 8)] = 0.0133,
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[new DateTime(2026, 4, 9)] = 0.0133,
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[new DateTime(2026, 4, 10)] = 0.0134,
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[new DateTime(2026, 4, 13)] = 0.0136,
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[new DateTime(2026, 4, 14)] = 0.0137,
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[new DateTime(2026, 4, 15)] = 0.0136,
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[new DateTime(2026, 4, 16)] = 0.0133,
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[new DateTime(2026, 4, 17)] = 0.0131,
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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)] = 0.013,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.013,
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[new DateTime(2026, 5, 15)] = 0.013,
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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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[new DateTime(2026, 5, 20)] = 0.0132,
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[new DateTime(2026, 5, 21)] = 0.013131,
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[new DateTime(2026, 5, 22)] = 0.0135,
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[new DateTime(2026, 5, 25)] = 0.0139,
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[new DateTime(2026, 5, 26)] = 0.013727,
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[new DateTime(2026, 5, 27)] = 0.013639,
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[new DateTime(2026, 5, 28)] = 0.0135,
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};
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_eod = new StubEodPositionService(_floatRates);
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}
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#endregion
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#region 构造器
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private static trade CreateTrade(string interestCalcMode, int interestRule, DateTime startDate, DateTime maturity, string tradeNo = "UT-SCEN-1-2")
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = interestCalcMode,
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SettlementRules = interestRule
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})
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};
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return new trade
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{
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id = 1, TradeNumber = tradeNo, ClientId = 999998,
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TradeType = "收益互换", TradeDate = startDate,
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StartDate = startDate, ExerciseDate = maturity,
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TradeStatus = "确认成交", ValidState = "Valid", trade_extend = extend
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};
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}
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private static swap_position CreatePosition(decimal spread, int interestRule,
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InterestTypeEnum interestType, DateTime startDate, DateTime maturity, int interestMode, decimal notional, bool isFixed = false)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel { Date = maturity, Rate = spread, Settlement = 0 }
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};
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return new swap_position
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{
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id = 1001, SwapTradeId = 1,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = interestMode,
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InterestRateDefault = spread,
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InterestPrincipalFix = notional,
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PosiStartDate = startDate,
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PosiMatuirityDate = maturity,
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IsInitial = true, Invalid = false,
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InterestType = (int)interestType,
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IsAnnualized = true,
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interest_rest_days = isFixed ? 1 : ResetPeriod,
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interest_rule = interestRule,
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FloatRateUnderlyingCode = isFixed ? null : "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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private swap_flow_event CalcCloseFlow(trade td, swap_position position, DateTime valueDate,
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List<eod_swap_position> prevEod, decimal closeNotional)
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{
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var svc = new StubSwapDealService(
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new OptUserInfo(0, nameof(SwapInterestScenario1And2Test), OptUserFrom.UnitTest), _floatRates);
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var isMaturity = valueDate == td.ExerciseDate;
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var interests = svc.GetInterests(
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td, td.trade_extend, valueDate, valueDate,
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prevEod, new List<swap_position> { position },
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closeNotional, closeNotional, 0m, closeNotional, 1m,
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(int)SwapEventTypeEnum.平仓,
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false, closeNotional, false, settment: false, newCalcLast: isMaturity);
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Assert.AreEqual(1, interests.Count);
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return interests[0];
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}
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#endregion
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#region 业务场景1-浮动：收盘到4/2，利息=0（8用例，Excel标"无关"）
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// 浮动利率交易，收盘到 4/2 经过 0 天，全部平仓返还利息 = 0
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[DataTestMethod]
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[DataRow("T+1浮动减点算头算尾（当前营业日）", 0, 2, "-0.021")]
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[DataRow("T+0浮动加点算头算尾（当前营业日）", 0, 2, "0.0025")]
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[DataRow("T+1浮动减点算头不算尾（当前营业日）", 0, 9, "-0.021")]
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[DataRow("T+0浮动加点算头不算尾（当前营业日）", 0, 2, "0.0025")]
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[DataRow("T+1浮动减点算头算尾", -1, 9, "-0.021")]
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[DataRow("T+0浮动加点算头算尾", -1, 2, "0.0025")]
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[DataRow("T+1浮动减点算头不算尾", -1, 9, "-0.021")]
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[DataRow("T+0浮动加点算头不算尾", -1, 9, "0.0025")]
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public void 场景1_浮动_收盘到4月2日_利息应为0(string note, int rule, int interestMode, string spreadStr)
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{
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var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
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var startDate = spread >= 0 ? new DateTime(2026, 4, 21) : new DateTime(2026, 4, 22);
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var td = CreateTrade("11", rule, startDate, new DateTime(2026, 5, 19));
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var position = CreatePosition(spread, rule, InterestTypeEnum.复利, startDate, new DateTime(2026, 5, 19), interestMode, Notional);
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var flow = CalcCloseFlow(td, position, new DateTime(2026, 4, 2), new List<eod_swap_position>(), Notional);
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var eod = _eod.ExecuteClose(td, position, new DateTime(2026, 4, 2),
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0m, 0m, new List<swap_flow_event> { flow }, Notional, null);
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// Excel 标记"无关"，利息应为 0（T+1 起算日 4/22 > 4/2，0 天计息）
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AssertStrict(0m, eod.TdCloseInterest, "场景1-浮动 " + note);
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}
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#endregion
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#region 业务场景1-固定：固定利率单利，平仓日5/28（12用例，Excel全标"通过"）
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// 固定利率单利，Notional=10012350，到期日6/12
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// 利率准则列(利率准则)为空时固定利率不使用FR007, interest_rule不影响固定利率
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// interestMode: 2=合约名义本金规模, 9=标的期初全价
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// 平仓日 = 5/28 (53天 for T+1, 53天 for T+0), 4/6 平仓日变体 = 1天/2天
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[DataTestMethod]
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// 平仓日 4/6（T+1=closeDate4/6=1天, T+0=closeDate4/7=2天）
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// T+1: tradeDate=4/3, startDate=4/6, closeDate=4/6
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// T+0: tradeDate=4/6, startDate=4/6, closeDate=4/7
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[DataRow("T+1固定正利率算头算尾_4月6日", true, true, 2, "0.0075", "205.73", "0406")]
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[DataRow("T+0固定正利率算头算尾_4月6日", true, true, 2, "0.0075", "411.47", "0406")]
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[DataRow("T+1固定负利率算头不算尾_4月6日", true, false, 9, "-0.0075", "0", "0406")]
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[DataRow("T+1固定正利率算头不算尾_4月6日", true, false, 9, "0.0075", "0", "0406")]
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[DataRow("T+0固定负利率算头不算尾_4月6日", true, false, 2, "-0.0075", "-205.73", "0406")]
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[DataRow("T+0固定正利率算头不算尾_4月6日", true, false, 2, "0.0075", "205.73", "0406")]
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// 平仓日 5/28（T+1=53天, T+0=53天）
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[DataRow("T+1固定正利率算头算尾_5月28日", true, true, 2, "0.0075", "10903.86", "0528")]
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[DataRow("T+0固定正利率算头算尾_5月28日", true, true, 2, "0.0075", "10903.86", "0528")]
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[DataRow("T+1固定负利率算头不算尾_5月28日", true, false, 9, "-0.0075", "-10698.13", "0528")]
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[DataRow("T+1固定正利率算头不算尾_5月28日", true, false, 9, "0.0075", "10698.13", "0528")]
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[DataRow("T+0固定负利率算头不算尾_5月28日", true, false, 2, "-0.0075", "-10698.13", "0528")]
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[DataRow("T+0固定正利率算头不算尾_5月28日", true, false, 2, "0.0075", "10698.13", "0528")]
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public void 场景1_固定利率单利平仓(string note, bool calcFirst, bool calcLast,
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int interestMode, string spreadStr, string oracleStr, string dateGroup)
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{
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var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
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var oracle = decimal.Parse(oracleStr, System.Globalization.CultureInfo.InvariantCulture);
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var mode = (calcFirst && calcLast) ? "11" : "10";
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// 固定利率交易：起算日4/6, 到期日6/12
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var startDate = new DateTime(2026, 4, 6);
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var maturity = new DateTime(2026, 6, 12);
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var td = CreateTrade(mode, 0, startDate, maturity, "UT-SCEN-1-FIX");
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var position = CreatePosition(spread, 0, InterestTypeEnum.单利, startDate, maturity, interestMode, FixedNotional, isFixed: true);
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// T+1: closeDate=4/6 (同起算日); T+0: closeDate=4/7 (起算日+1)
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// 5/28变体: closeDate=5/28
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DateTime closeDate;
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if (dateGroup == "0528")
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closeDate = new DateTime(2026, 5, 28);
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else // 0406
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closeDate = note.StartsWith("T+1") ? new DateTime(2026, 4, 6) : new DateTime(2026, 4, 7);
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var flow = CalcCloseFlow(td, position, closeDate, new List<eod_swap_position>(), FixedNotional);
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var eod = _eod.ExecuteClose(td, position, closeDate,
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0m, 0m, new List<swap_flow_event> { flow }, FixedNotional, null);
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AssertStrict(oracle, eod.TdCloseInterest, "场景1-固定 " + note);
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}
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#endregion
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#region 业务场景2：浮动利率第一重置期内平仓(4/27)（12用例，Excel全标"通过"）
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// 浮动利率，平仓日 4/27（第一重置期内），Notional=303139117.8
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[DataTestMethod]
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[DataRow("T+1浮动减点算头算尾（当前营业日）", true, true, true, 0, 2, "-0.021", "-38868.25")]
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[DataRow("T+0浮动加点算头算尾（当前营业日）", true, true, true, 0, 2, "0.0025", "91273.94")]
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[DataRow("T+1浮动减点算头不算尾（当前营业日）", true, true, false, 0, 9, "-0.021", "-32390.21")]
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[DataRow("T+0浮动加点算头不算尾（当前营业日）", true, true, false, 0, 2, "0.0025", "78234.81")]
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[DataRow("T+1浮动减点算头算尾", true, true, true, -1, 9, "-0.021", "-38868.25")]
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[DataRow("T+0浮动加点算头算尾", true, true, true, -1, 2, "0.0025", "91273.94")]
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[DataRow("T+1浮动减点算头不算尾", true, true, false, -1, 9, "-0.021", "-32390.21")]
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[DataRow("T+0浮动加点算头不算尾", true, true, false, -1, 9, "0.0025", "78234.81")]
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[DataRow("T+1浮动减点算头算尾（单利）", false, true, true, -1, 9, "-0.021", "-38868.25")]
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[DataRow("T+0浮动加点算头算尾（单利）", false, true, true, -1, 2, "0.0025", "91273.94")]
|
||
[DataRow("T+1浮动减点算头不算尾（单利）", false, true, false, 0, 9, "-0.021", "-32390.21")]
|
||
[DataRow("T+0浮动加点算头不算尾（单利）", false, true, false, -1, 9, "0.0025", "78234.81")]
|
||
public void 场景2_第一重置期内平仓(string note, bool compound, bool calcFirst, bool calcLast,
|
||
int rule, int interestMode, string spreadStr, string oracleStr)
|
||
{
|
||
var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var oracle = decimal.Parse(oracleStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var mode = (calcFirst && calcLast) ? "11" : "10";
|
||
var type = compound ? InterestTypeEnum.复利 : InterestTypeEnum.单利;
|
||
|
||
var startDate = spread >= 0 ? new DateTime(2026, 4, 21) : new DateTime(2026, 4, 22);
|
||
var td = CreateTrade(mode, rule, startDate, new DateTime(2026, 5, 19));
|
||
var position = CreatePosition(spread, rule, type, startDate, new DateTime(2026, 5, 19), interestMode, Notional);
|
||
|
||
// 平仓日 4/27（第一重置期内，非到期日）
|
||
var closeDate = new DateTime(2026, 4, 27);
|
||
var flow = CalcCloseFlow(td, position, closeDate, new List<eod_swap_position>(), Notional);
|
||
var eod = _eod.ExecuteClose(td, position, closeDate,
|
||
0m, 0m, new List<swap_flow_event> { flow }, Notional, null);
|
||
AssertStrict(oracle, eod.TdCloseInterest, "场景2 " + note);
|
||
}
|
||
|
||
#endregion
|
||
}
|
||
}
|