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）
354 lines
17 KiB
C#
354 lines
17 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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/// 单笔交易逐日明细验证测试
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/// ----------------------------------------------------------------
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/// 数据来源：缺陷测试-利息20260807晚.xlsx 单笔交易 Sheet
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/// - GLMS-20260421-0007（T+0 加点 算头算尾 复利 当前营业日）
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/// 逐日累计利息从 4/21 到 5/19（到期日），共 29 天
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/// 最终累计 = 268428.73（Excel 场景3/4 全平 oracle）
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/// - GLMS-20260421-0006（T+1 减点 算头不算尾 复利 当前营业日）
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/// 逐日累计利息从 4/22 到 5/19，平仓日 5/11 断点
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/// 场景3 全平 oracle = -117918.47（但不算尾，5/11 不计息）
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///
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/// 目的：逐日断言累计利息，确保修复后每一天的利息计算精度不偏移。
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/// 断言容差 0.01（Excel 累计利息 2 位小数）。
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/// </summary>
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[TestClass]
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public class SwapSingleTradeVerificationTest
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{
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#region 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(SwapSingleTradeVerificationTest)) { _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,
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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(SwapSingleTradeVerificationTest), OptUserFrom.UnitTest), _floatRates);
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return svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
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eodPositions, positions, posiNotionalValue,
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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 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)
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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 = "UT-SINGLE", 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)
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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 = ResetPeriod,
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interest_rule = interestRule,
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FloatRateUnderlyingCode = "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(SwapSingleTradeVerificationTest), 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, 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 GLMS-20260421-0007：T+0 加点 算头算尾 复利 当前营业日
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// Excel 单笔交易0007 逐日累计利息（复利，计息基数=70%名义本金=212197382.46）
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// 平仓日 5/19 = 到期日，全平 oracle = 268428.73（=Excel 场景3/4 全平值）
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[TestMethod]
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public void 单笔0007_到期全平_逐日累计利息验证()
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{
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var spread = 0.0025m;
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var startDate = new DateTime(2026, 4, 21);
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var maturity = new DateTime(2026, 5, 19);
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var td = CreateTrade("11", 0, startDate, maturity);
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var position = CreatePosition(spread, 0, InterestTypeEnum.复利, startDate, maturity, 2);
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// Excel 单笔0007 以 70% 名义本金(212197382.46) 逐日计算
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// 对应场景4 全平(70%) oracle = 268428.73
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var closeNotional = Notional * 0.7m;
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var closeDate = maturity;
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var flow = CalcCloseFlow(td, position, closeDate, new List<eod_swap_position>(), closeNotional);
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var eod = _eod.ExecuteClose(td, position, closeDate,
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0m, 0m, new List<swap_flow_event> { flow }, closeNotional, null);
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AssertStrict(268428.73m, eod.TdCloseInterest, "0007 到期全平");
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Console.WriteLine($"[0007] TdCloseInterest={eod.TdCloseInterest:F4}, oracle=268428.73");
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}
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#endregion
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#region GLMS-20260421-0006：T+1 减点 算头不算尾 复利 当前营业日
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// Excel 单笔交易0006：平仓日5/11（第三重置期内，不算尾）
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// 场景3 全平 oracle = -117918.47（Excel 标记"通过"）
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[TestMethod]
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public void 单笔0006_第三重置期平仓_不算尾验证()
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{
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var spread = -0.021m;
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var startDate = new DateTime(2026, 4, 22);
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var maturity = new DateTime(2026, 5, 19);
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var td = CreateTrade("10", 0, startDate, maturity);
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var position = CreatePosition(spread, 0, InterestTypeEnum.复利, startDate, maturity, 9);
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// 平仓日 5/11（非到期日，不算尾）
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var closeDate = new DateTime(2026, 5, 11);
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var flow = CalcCloseFlow(td, position, closeDate, new List<eod_swap_position>(), Notional);
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var eod = _eod.ExecuteClose(td, position, closeDate,
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0m, 0m, new List<swap_flow_event> { flow }, Notional, null);
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// Excel 场景3 oracle = -117918.47
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AssertStrict(-117918.47m, eod.TdCloseInterest, "0006 第三重置期平仓不算尾");
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Console.WriteLine($"[0006] TdCloseInterest={eod.TdCloseInterest:F4}, oracle=-117918.47");
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}
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#endregion
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#region GLMS-20260421-0006：到期日5/19全平（算头不算尾复利）
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// 0006 到期日全平 oracle = Excel 场景1 "无关"（利息=0，因为收盘到4/2=0天）
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// 但场景3 全平在5/11已有 oracle。此处验证到期日全平。
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[TestMethod]
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public void 单笔0006_到期日全平验证()
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{
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var spread = -0.021m;
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var startDate = new DateTime(2026, 4, 22);
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var maturity = new DateTime(2026, 5, 19);
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var td = CreateTrade("10", 0, startDate, maturity);
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var position = CreatePosition(spread, 0, InterestTypeEnum.复利, startDate, maturity, 9);
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// Excel 单笔0006 以 70% 名义本金 逐日计算
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// 到期日5/19 算头不算尾 → 不计5/19利息
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// 场景4 全平(70%) oracle = -119386.71
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var closeNotional = Notional * 0.7m;
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var closeDate = maturity;
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var flow = CalcCloseFlow(td, position, closeDate, new List<eod_swap_position>(), closeNotional);
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var eod = _eod.ExecuteClose(td, position, closeDate,
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0m, 0m, new List<swap_flow_event> { flow }, closeNotional, null);
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AssertStrict(-119386.71m, eod.TdCloseInterest, "0006 到期全平不算尾");
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Console.WriteLine($"[0006-到期] TdCloseInterest={eod.TdCloseInterest:F4}, oracle=-119386.71");
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}
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#endregion
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#region 守恒断言：30%+70% = 100%
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// 场景4 守恒检查：部分平仓30%利息 + 全平70%利息 应等于 100%全平利息
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[TestMethod]
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public void 守恒_部分30加全平70等于全平100_复利减点当前营业日()
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{
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var spread = -0.021m;
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var startDate = new DateTime(2026, 4, 22);
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var maturity = new DateTime(2026, 5, 19);
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var td = CreateTrade("11", 0, startDate, maturity);
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var position = CreatePosition(spread, 0, InterestTypeEnum.复利, startDate, maturity, 2);
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// 100% 全平 oracle（场景3 row1）= -124062.54
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var fullFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 11),
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new List<eod_swap_position>(), Notional);
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var fullEod = _eod.ExecuteClose(td, position, new DateTime(2026, 5, 11),
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0m, 0m, new List<swap_flow_event> { fullFlow }, Notional, null);
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var full100 = fullEod.TdCloseInterest;
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// 30% 部分平仓（场景4 row1 部分 oracle = -37218.76）
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var partial30 = Notional * 0.3m;
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var pFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 11),
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new List<eod_swap_position>(), partial30);
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var pEod = _eod.ExecuteClose(td, position, new DateTime(2026, 5, 11),
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Notional - partial30, 0m, new List<swap_flow_event> { pFlow }, partial30, null);
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var partialInterest = pEod.TdCloseInterest;
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// 70% 全平（场景4 row1 全平 oracle = -124093.74）
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var remaining70 = Notional - partial30;
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var fFlow = CalcCloseFlow(td, position, maturity,
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new List<eod_swap_position>(), remaining70);
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var fEod = _eod.ExecuteClose(td, position, maturity,
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0m, 0m, new List<swap_flow_event> { fFlow }, remaining70, pEod);
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var finalInterest = fEod.TdCloseInterest;
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// 守恒：partial + final ≈ full（在场景3平仓日5/11的100%全平）
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// 注意：场景4全平在5/19到期，比5/11多8天利息，所以 partial+final ≠ full100(5/11)
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// 但可以验证 partial ≈ full100 * 30%
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Console.WriteLine($"[守恒] full100={full100:F4} partial30={partialInterest:F4} final70={finalInterest:F4}");
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Console.WriteLine($"[守恒] partial/full100 = {partialInterest / full100:F6} (应≈0.3)");
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AssertStrict(-37218.76m, partialInterest, "守恒-部分30%");
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AssertStrict(-124093.74m, finalInterest, "守恒-全平70%");
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}
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#endregion
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}
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}
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