zszq-trs/UnitTestProject/Modules/SwapModule/SwapUnwindSameDayDoublePartialTest.cs

using Newtonsoft.Json;
using YLErp.DBModels;
using YLErp.DBModels.Enums;

namespace YLErp.Modules.SwapModule
{
    /// <summary>
    /// 【同日多次部分平仓 · unwind 基数滚动表征测试】
    /// ============================================================================
    /// 背景：unwind 计息基数公式 basis = priorNotional + notional - baseNotional
    ///   (CompoundInterestAccrual / CalcDailyCompoundInterestByEod 同源)，其中
    ///   - priorNotional = 上一日终归档 eod_swap_position.TdInterestPrincipal
    ///   - baseNotional  = orginPv = ResolveUnwindPreviousNotional(lastEod)（上一日终浮动端名义本金）
    ///   - notional      = 当前持仓名义本金（posiNotionalValue，来自实时持仓）
    /// 既有测试（AS_* / SwapUnwindPrepay*Tdd）全是「单事件」场景，没有覆盖
    /// 「同一天第 2 次部分平仓」：第 1 次平仓后持仓已缩减，第 2 次平仓传入的
    /// notional 应是缩减后的实时值。本文件用内存对象驱动真实 GetInterests 两次，
    /// 定性验证「同日多次部分平仓」的应返还本金/计息基数是否按线性拆分。
    ///
    /// 建模：标的期初全价腿(mode=9)，初始名义本金 N=1,000,000；上一日终归档
    ///   eod.TdInterestPrincipal=N、PosiNotionalValue=N（lastEod）。
    ///   第1次平仓 30%（closePercent=0.3，传入 notional=N）
    ///   第2次平仓剩余 50%（closePercent=0.5，传入 notional=0.7N=实时缩减后）
    /// 预期（领域线性）：IP1=0.3N、IP2=0.5×0.7N=0.35N，合计 0.65N。
    ///   若公式在 notional 正确传入时仍非线性 → 暴露 unwind 基数滚动缺陷。
    ///   注：本测试同时是「前置条件护栏」——它证明"只要调用方传入实时缩减后的
    ///   notional，公式即线性正确"；若生产在第2次平仓时传入的是未缩减的陈旧 notional，
    ///   则结果会偏离，需另查调用方（GetUnwindInterests 的 notional 来源）。
    /// ============================================================================
    /// </summary>
    [TestClass]
    public class SwapUnwindSameDayDoublePartialTest
    {
        private sealed class StubSwapDealService : SwapDealService
        {
            public StubSwapDealService(OptUserInfo optUser) : base(optUser) { }

            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
            {
                rate = 0;
                return false; // 标的期初全价腿无浮动标的，不查库
            }
        }

        private const decimal N = 1_000_000m; // 初始名义本金（标的期初全价维度）
        private const int AnnualDays = 365;
        private static readonly DateTime StartDate = new(2026, 8, 1);
        private static readonly DateTime LastEodDate = new(2026, 8, 4);
        private static readonly DateTime UnwindDate = new(2026, 8, 5);

        private SwapDealService _svc;

        [TestInitialize]
        public void Init() => _svc = new StubSwapDealService(new OptUserInfo(0, nameof(SwapUnwindSameDayDoublePartialTest), OptUserFrom.UnitTest));

        private static trade MakeTrade()
        {
            var extend = new trade_extend
            {
                TradeId = 1,
                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                {
                    AnnualDays = AnnualDays,
                    InterestCalcMode = "10", // 算头不算尾
                    SettlementRules = 0
                })
            };
            return new trade
            {
                id = 1, TradeNumber = "UT-SAMEDAY-2UNWIND", ClientId = 999997,
                TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
                ExerciseDate = new DateTime(2027, 8, 1), TradeStatus = "确认成交", ValidState = "Valid",
                StockEqvNotional = (double)N, Notional = (double)N,
                trade_extend = extend
            };
        }

        /// <summary>标的期初全价腿(mode=9)，单利、重置周期1天（无重置日分支，隔离基数滚动行为）。</summary>
        private static swap_position MakePosition(decimal posiNotionalValue)
        {
            return new swap_position
            {
                id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
                InterestDirection = (int)SwapDirectionEnum.收取,
                InterestMode = (int)InterestModeEnum.标的期初全价,
                InterestRateDefault = 0.01m, InterestPrincipalFix = 0m,
                PosiStartDate = StartDate, PosiMatuirityDate = new DateTime(2027, 8, 1),
                IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
                IsAnnualized = true, interest_rest_days = 1,
                interest_rule = 0, FloatRateUnderlyingCode = null,
                InterestSwapInterval = "[]",
                PosiNotionalValue = posiNotionalValue
            };
        }

        /// <summary>上一日终归档：basis 锚点。TdInterestPrincipal=N、PosiNotionalValue=N（lastEod 尚未缩减）。</summary>
        private static List<eod_swap_position> MakeLastEod()
        {
            return new List<eod_swap_position>
            {
                new eod_swap_position
                {
                    id = 1, SwapTradeId = 1, PositionId = 1001,
                    ValueDate = LastEodDate,
                    TdInterestPrincipal = N,
                    PosiNotionalValue = N,
                    InterestProfitSum = 0m, FloatRate = 0m
                }
            };
        }

        /// <summary>
        /// 驱动一次盘中平仓（与前端平仓页相同路径，仅用内存对象、不查库）。
        /// <paramref name="currentNotional"/> = 本次平仓时实时持仓名义本金；
        /// <paramref name="closePercent"/> = 占剩余比例（前端 ToRemainingClosePercent 转换后的值）。
        /// orginPv 取 lastEod 名义本金 N（与 GetUnwindInterests 真实传参 ResolveUnwindPreviousNotional(lastEod) 一致）。
        /// </summary>
        private swap_flow_event CalcUnwind(decimal currentNotional, decimal closePercent)
        {
            var td = MakeTrade();
            var position = MakePosition(currentNotional);
            var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
                MakeLastEod(), new List<swap_position> { position },
                currentNotional, currentNotional, currentNotional, currentNotional * closePercent, closePercent,
                (int)SwapEventTypeEnum.平仓,
                false, N, false, settment: false, newCalcLast: false, closeList: null);
            Assert.AreEqual(1, interests.Count, "标的期初全价腿应生成 1 条 flow_event");
            return interests[0];
        }

        [TestMethod]
        public void 同日两次部分平仓_应返还本金应线性拆分且合计等于65pct()
        {
            // 第1次：平仓 30%（持仓仍满 N）
            var fe1 = CalcUnwind(N, 0.3m);
            // 第2次：同日再平剩余 50%（持仓已缩减为 0.7N，传入实时 notional）
            var fe2 = CalcUnwind(0.7m * N, 0.5m);

            Console.WriteLine($"[表征] 第1次(30%) InterestPrincipal={fe1.InterestPrincipal} InterestAmount={fe1.InterestAmount}");
            Console.WriteLine($"[表征] 第2次(剩余50%) InterestPrincipal={fe2.InterestPrincipal} InterestAmount={fe2.InterestAmount}");
            Console.WriteLine($"[表征] 合计 InterestPrincipal={fe1.InterestPrincipal + fe2.InterestPrincipal} (期望=0.65N={(0.65m * N)})");

            // 领域预期（线性）：第1次返 0.3N，第2次返 0.5×0.7N=0.35N，合计 0.65N
            Assert.AreEqual(0.3m * N, fe1.InterestPrincipal,
                "第1次平仓30%: 应返还本金应=0.3N（线性）");
            Assert.AreEqual(0.35m * N, fe2.InterestPrincipal,
                "第2次平仓剩余50%: 应返还本金应=0.5×0.7N=0.35N（基于实时缩减后的 notional，线性）");
            Assert.AreEqual(0.65m * N, fe1.InterestPrincipal + fe2.InterestPrincipal,
                "同日两次部分平仓合计应返还本金应=0.65N（线性拆分，无重复/遗漏）");
        }
    }
}