张名锐
2ee38384ac
- 在多个单元测试文件中添加InterestIncomeSum字段以保持数据一致性 - 修改GLMS20260105PartialCloseDividendBugTest测试，改进EOD快照验证逻辑 - 修复SwapDealService中预付金腿的orginPv计算逻辑，使用上一日保证金本金作为基准 - 更新SwapPositionComposeScenarioTest中的测试数据结构和利率设置 - 修正平仓日利息计算精度问题，使用Math.Round确保计算准确性
1762 lines
86 KiB
C#
1762 lines
86 KiB
C#
using Newtonsoft.Json;
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using System.Security.Principal;
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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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/// 互换利息计算单元测试 - T+1场景
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/// ================================================================
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/// T+1定义：起息日(StartDate) = 成交日(TradeDate) + 1天
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/// TradeDate=2026-04-27, StartDate=2026-04-28
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/// ----------------------------------------------------------------
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/// 测试口径：
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/// "10" = 算头不算尾（含起息日，不含操作日）
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/// "11" = 算头算尾（含起息日和操作日）
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/// ----------------------------------------------------------------
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/// 计息逻辑说明（算头不算尾）：
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/// calcFirst=true(算头), calcLast=false(不算尾)
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/// 计息区间：从StartDate到valueDate-1天
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/// 例如：StartDate=4/28, valueDate=4/29 → 计息区间=4/28(1天)
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/// ----------------------------------------------------------------
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/// 统一测试数据：
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/// - Principal=1000, AnnualDays=365
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/// - ResetPeriod=3天（浮动利率）/ 1天（固定利率）
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/// - InterestRule=-1(前一营业日), 0(当前营业日)
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/// - FR007@2026-04-27=0.10%, FR007@2026-04-30=0.20%
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/// ----------------------------------------------------------------
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/// Excel覆盖的T+1场景：
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/// 固定利率：T+1固定正利率、T+1固定负利率
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/// 浮动利率：T+1浮动减点（前一/当前营业日，单/复利）
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/// 每个场景 × 4业务场景(浮动×3)
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/// ================================================================
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/// </summary>
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[TestClass]
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public class GetInterestsUnitTest_T1
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{
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#region 内部类：浮动利率模拟服务
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/// <summary>
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/// StubSwapDealService - 模拟浮动利率获取
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/// 用于单元测试中预置FR007价格，避免依赖外部数据源
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/// </summary>
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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))
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{
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return true;
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}
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rate = 0;
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return false;
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}
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}
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#endregion
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#region 测试常量与共享变量
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private const decimal Principal = 1000m; // 本金：1000
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private const decimal FixedRate = 0.01m; // 固定利率：1.00%
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private const decimal FixedRatePositive = 0.0075m; // 固定正利率：0.75%（Excel场景）
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private const decimal FixedRateNegative = -0.0105m; // 固定负利率：-1.05%（Excel场景）
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private const int AnnualDays = 365; // 年化天数
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private const int ResetPeriod = 3; // 重置周期：3天（浮动利率）
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private const int ResetPeriodFixed = 1; // 重置周期：1天（固定利率）
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private const int InterestRule_Pre = -1; // 前一营业日规则
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private const int InterestRule_Cur = 0; // 当前营业日规则
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private static readonly DateTime TradeDate = new(2026, 4, 27); // 成交日
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private static readonly DateTime StartDate = new(2026, 4, 28); // 起息日（开始计息日）
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private static readonly DateTime ExerciseDate = new(2027, 4, 27); // 到期日
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private SwapDealService _service;
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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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// 预置FR007价格数据
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_floatRates = new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 27)] = 0.001, // FR007@2026-04-27 = 0.10%
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[new DateTime(2026, 4, 28)] = 0.001, // FR007@2026-04-28 = 0.10%
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[new DateTime(2026, 4, 29)] = 0.001, // FR007@2026-04-29 = 0.10%
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[new DateTime(2026, 4, 30)] = 0.002, // FR007@2026-04-30 = 0.20%
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[new DateTime(2026, 5, 1)] = 0.002, // 复利从头算需要完整日期范围
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[new DateTime(2026, 5, 3)] = 0.002, // 复利重置日取FR007
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[new DateTime(2026, 5, 4)] = 0.002, // 复利重置日取FR007
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[new DateTime(2026, 5, 6)] = 0.002, // FR007@2026-05-06 = 0.20%
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// 到期日测试用例需要的利率数据（2027年）
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[new DateTime(2027, 4, 23)] = 0.001,
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[new DateTime(2027, 4, 24)] = 0.001,
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[new DateTime(2027, 4, 25)] = 0.001,
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[new DateTime(2027, 4, 26)] = 0.001,
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[new DateTime(2027, 4, 27)] = 0.001
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};
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_service = new StubSwapDealService(
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new OptUserInfo(0, nameof(GetInterestsUnitTest_T1), OptUserFrom.UnitTest),
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_floatRates);
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}
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#endregion
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#region 测试数据构建器
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/// <summary>
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/// 创建测试用交易对象
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/// </summary>
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/// <param name="interestCalcMode">计息口径："10"=算头不算尾</param>
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/// <param name="interestRule">取率规则：-1=前一营业日，0=当前营业日</param>
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private static trade CreateTrade(string interestCalcMode = "10", int interestRule = InterestRule_Pre)
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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,
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TradeNumber = "UT-SWAP-INT-001",
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ClientId = 999998,
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TradeType = "收益互换",
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TradeDate = TradeDate,
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StartDate = StartDate,
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ExerciseDate = ExerciseDate,
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TradeStatus = "确认成交",
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ValidState = "Valid",
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trade_extend = extend
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};
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}
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/// <summary>
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/// 创建浮动利率测试用持仓对象（Excel场景：FR007+固定利率）
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/// </summary>
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private static swap_position CreateFloatInterestPosition(
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int interestRule = InterestRule_Pre,
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InterestTypeEnum interestType = InterestTypeEnum.单利,
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decimal fixedRate = 0.01m,
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SwapDirectionEnum direction = SwapDirectionEnum.收取)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel
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{
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Date = ExerciseDate,
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Rate = fixedRate,
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Settlement = 0
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}
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};
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return new swap_position
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{
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id = 1001,
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SwapTradeId = 1,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)direction,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = fixedRate,
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InterestPrincipalFix = Principal,
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PosiStartDate = StartDate,
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PosiMatuirityDate = ExerciseDate,
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IsInitial = true,
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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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/// <summary>
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/// 创建固定利率测试用持仓对象（无浮动利率标的，纯固定利率）
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/// 对应Excel中的固定利率场景
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/// </summary>
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private static swap_position CreateFixedInterestPosition(
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decimal fixedRate = 0.0075m,
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int interestRule = InterestRule_Pre,
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SwapDirectionEnum direction = SwapDirectionEnum.收取)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel
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{
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Date = ExerciseDate,
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Rate = fixedRate,
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Settlement = 0
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}
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};
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return new swap_position
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{
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id = 1001,
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SwapTradeId = 1,
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PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)direction,
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InterestMode = (int)InterestModeEnum.合约名义本金规模,
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InterestRateDefault = fixedRate,
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InterestPrincipalFix = Principal,
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PosiStartDate = StartDate,
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PosiMatuirityDate = ExerciseDate,
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IsInitial = true,
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Invalid = false,
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InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true,
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interest_rest_days = ResetPeriodFixed,
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interest_rule = interestRule,
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FloatRateUnderlyingCode = null, // 无浮动利率标的
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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/// <summary>
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/// 创建日终持仓记录（EOD归档数据）
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/// </summary>
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private static eod_swap_position CreateEodPosition(DateTime valueDate, decimal tdPrincipal, decimal floatRate, decimal interestSum)
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{
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return new eod_swap_position
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{
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id = 1,
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SwapTradeId = 1,
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PositionId = 1001,
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ValueDate = valueDate,
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ClientId = 999998,
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FloatRate = floatRate,
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TdInterestPrincipal = tdPrincipal,
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PosiNotionalValue = tdPrincipal,
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InterestIncomeSum = interestSum,
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InterestProfitSum = interestSum
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};
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}
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/// <summary>
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/// 计算期望利息金额（先累加原始值，最后一次性舍入，比较时比生产少2位容错）
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/// </summary>
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/// <summary>
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/// 容忍末位差异的利息比较（允许相差2位）
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/// </summary>
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private static void AssertInterestEqual(decimal expected, decimal actual)
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{
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var tolerance = 1m / (decimal)Math.Pow(10, ConsGlobal.PriceRound - 2);
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Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
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string.Format("Expected: {0}, Actual: {1}, Diff: {2}", expected, actual, expected - actual));
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}
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private static decimal ExpectedInterest(int days, decimal fixedRate, decimal floatRate, decimal principal)
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{
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var yearlyRate = fixedRate + floatRate;
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var interest = principal * yearlyRate * days / AnnualDays;
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return Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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}
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/// <summary>
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/// 计算含预EOD利息的总期望利息（比生产少2位精度容错）
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/// </summary>
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private static decimal ExpectedInterestWithPreEod(
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int newDays, decimal fixedRate, decimal floatRate, decimal principal,
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decimal preEodInterestSum, decimal closePercent)
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{
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var yearlyRate = fixedRate + floatRate;
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var newRawInterest = principal * yearlyRate * newDays / AnnualDays;
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return Math.Round(preEodInterestSum * closePercent + newRawInterest * closePercent,
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ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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}
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#endregion
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#region 通用的GetInterests调用方法
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/// <summary>
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/// 通用浮动利率平仓计算（不含eodPositions）
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/// </summary>
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private swap_flow_event CalcFloatUnwind(DateTime valueDate, DateTime unwindDate,
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decimal closePercent, int interestRule = InterestRule_Pre,
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decimal fixedRate = 0.01m, InterestTypeEnum interestType = InterestTypeEnum.单利,
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List<swap_flow_event> closeList = null, bool newCalcLast = false)
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{
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return CalcFloatUnwind(valueDate, unwindDate, closePercent,
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new List<eod_swap_position>(), interestRule, fixedRate, interestType, closeList: closeList, newCalcLast: newCalcLast);
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}
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/// <summary>
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/// 通用浮动利率平仓计算（含eodPositions）
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/// </summary>
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private swap_flow_event CalcFloatUnwind(DateTime valueDate, DateTime unwindDate,
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decimal closePercent, List<eod_swap_position> eodPositions,
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int interestRule = InterestRule_Pre, decimal fixedRate = 0.01m,
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InterestTypeEnum interestType = InterestTypeEnum.单利,
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decimal posiNotional = Principal, List<swap_flow_event> closeList = null,
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bool newCalcLast = false)
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{
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var td = CreateTrade("10", interestRule);
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var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
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var interests = _service.GetInterests(
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td, td.trade_extend,
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valueDate, unwindDate,
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eodPositions,
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new List<swap_position> { position },
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posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
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AssertInterestEqual(1, interests.Count);
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return interests[0];
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}
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/// <summary>
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/// 通用浮动利率收盘计算
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/// </summary>
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private swap_flow_event CalcFloatEod(DateTime valueDate,
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List<eod_swap_position> eodPositions, int interestRule = InterestRule_Pre,
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decimal fixedRate = 0.01m, InterestTypeEnum interestType = InterestTypeEnum.单利,
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List<swap_flow_event> closeList = null)
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{
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var td = CreateTrade("10", interestRule);
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var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
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var interests = _service.GetInterests(
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td, td.trade_extend,
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valueDate, valueDate,
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eodPositions,
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new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
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AssertInterestEqual(1, interests.Count);
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return interests[0];
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}
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/// <summary>
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/// 通用浮动利率自动互换计算
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/// </summary>
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private swap_flow_event CalcFloatAutoSwap(DateTime valueDate,
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List<eod_swap_position> eodPositions, decimal closePercent = 1m,
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int interestRule = InterestRule_Pre, decimal fixedRate = 0.01m,
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InterestTypeEnum interestType = InterestTypeEnum.单利,
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List<swap_flow_event> closeList = null)
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{
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var td = CreateTrade("10", interestRule);
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var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
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var interests = _service.GetInterests(
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td, td.trade_extend,
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valueDate, valueDate,
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eodPositions,
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new List<swap_position> { position },
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Principal, Principal, Principal, Principal, closePercent,
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(int)SwapEventTypeEnum.自动互换,
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false, false, 0, Principal, false, settment: false, newCalcLast: false, closeList: closeList);
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AssertInterestEqual(1, interests.Count);
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return interests[0];
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}
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/// <summary>
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/// 通用固定利率平仓计算
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/// </summary>
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private swap_flow_event CalcFixedUnwind(DateTime valueDate, DateTime unwindDate,
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decimal closePercent, int interestRule = InterestRule_Pre, decimal fixedRate = 0.0075m,
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List<swap_flow_event> closeList = null, bool newCalcLast = false)
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{
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return CalcFixedUnwind(valueDate, unwindDate, closePercent,
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new List<eod_swap_position>(), interestRule, fixedRate, closeList: closeList, newCalcLast: newCalcLast);
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}
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/// <summary>
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/// 通用固定利率平仓计算（含eodPositions）
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/// </summary>
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private swap_flow_event CalcFixedUnwind(DateTime valueDate, DateTime unwindDate,
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decimal closePercent, List<eod_swap_position> eodPositions,
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int interestRule = InterestRule_Pre, decimal fixedRate = 0.0075m,
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decimal posiNotional = Principal, List<swap_flow_event> closeList = null,
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bool newCalcLast = false)
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{
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var td = CreateTrade("10", interestRule);
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var position = CreateFixedInterestPosition(fixedRate, interestRule);
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var interests = _service.GetInterests(
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td, td.trade_extend,
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valueDate, unwindDate,
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eodPositions,
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new List<swap_position> { position },
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posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
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AssertInterestEqual(1, interests.Count);
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return interests[0];
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}
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/// <summary>
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/// 通用固定利率收盘计算
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/// </summary>
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private swap_flow_event CalcFixedEod(DateTime valueDate,
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List<eod_swap_position> eodPositions, int interestRule = InterestRule_Pre,
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decimal fixedRate = 0.0075m, List<swap_flow_event> closeList = null)
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{
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var td = CreateTrade("10", interestRule);
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var position = CreateFixedInterestPosition(fixedRate, interestRule);
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var interests = _service.GetInterests(
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td, td.trade_extend,
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valueDate, valueDate,
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eodPositions,
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new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, Principal, false, settment: true, newCalcLast: false, closeList: closeList);
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AssertInterestEqual(1, interests.Count);
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return interests[0];
|
||
}
|
||
|
||
#endregion
|
||
|
||
// ================================================================
|
||
// 所有测试均使用 InterestCalcMode="10"（算头不算尾）
|
||
// ================================================================
|
||
|
||
#region 场景1：浮动利率算头不算尾 - 盘中平仓场景
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_001] 算头不算尾 - 首日起息日平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：StartDate=4/28盘中执行全平
|
||
/// 口径：算头不算尾
|
||
/// - 算头：S=4/28
|
||
/// - 不算尾：E=4/27（操作日前一日）
|
||
/// - 计息天数 = 0天
|
||
/// 期望：利息=0
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_001()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 28), new DateTime(2026, 4, 28), 1m);
|
||
AssertInterestEqual(0m, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_002] 算头不算尾 - 次日全平（基准场景）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/29盘中全平
|
||
/// 口径：算头不算尾 → 计息区间：4/28（1天）
|
||
/// 期望：计息天数=1天，利息=1*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_002()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m);
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_003] 算头不算尾 - 次日平仓50%
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/29盘中平仓一半
|
||
/// 口径：算头不算尾，计息天数=1天
|
||
/// 期望：利息=0.5*1*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_003()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m);
|
||
var expected = ExpectedInterestWithPreEod(0, FixedRate, 0.001m, Principal, ExpectedInterest(1, FixedRate, 0.001m, Principal), 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_004] 算头不算尾 - 第3日全平（跨周末）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/30盘中全平
|
||
/// 口径：算头不算尾 → 计息区间：4/28~4/29（2天）
|
||
/// 期望：计息天数=2天，利息=2*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_004()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 30), new DateTime(2026, 4, 30), 1m);
|
||
var expected = ExpectedInterest(2, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_005] 算头不算尾 - 第3日平仓50%（跨周末）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/30盘中平仓一半
|
||
/// 口径：算头不算尾，计息天数=2天
|
||
/// 期望：利息=0.5*2*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_005()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 30), new DateTime(2026, 4, 30), 0.5m);
|
||
var expected = ExpectedInterest(2, FixedRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_006] 算头不算尾 - 次日半平 + 第3日收盘
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/29盘中平仓一半；4/30收盘
|
||
/// 期望：
|
||
/// - 4/29平仓利息=0.5*1*(1.00%+0.10%)*1000/365
|
||
/// - 4/30收盘利息=剩余50%*1天利息
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_006()
|
||
{
|
||
// 第一步：4月29日平仓50%
|
||
var unwindInterest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m);
|
||
var expectedUnwind = ExpectedInterest(1, FixedRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind, unwindInterest.InterestAmount);
|
||
|
||
// 第二步：4月30日收盘（剩余50%持仓计息1天）
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(1, FixedRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var eodInterest = CalcFloatEod(new DateTime(2026, 4, 30), eodPositions);
|
||
var expectedEod = ExpectedInterest(2, FixedRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedEod, eodInterest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_007] 算头不算尾 - 第3日直接收盘（已有前日EOD）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28未平仓；4/29已收盘归档；4/30收盘
|
||
/// 期望：4/30收盘待实现利息=3天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_007()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal, 0.001m,
|
||
ExpectedInterest(2, FixedRate, 0.001m, Principal))
|
||
};
|
||
var eodInterest = CalcFloatEod(new DateTime(2026, 4, 30), eodPositions);
|
||
var expectedEod = ExpectedInterest(3, FixedRate, 0.001m, Principal * 1m);
|
||
AssertInterestEqual(expectedEod, eodInterest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_008] 算头不算尾 - 次日自动互换
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/29执行"自动互换"
|
||
/// 期望：计息天数=1天，利息=1*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_008()
|
||
{
|
||
var interest = CalcFloatAutoSwap(new DateTime(2026, 4, 29), new List<eod_swap_position>());
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_009] 算头不算尾 - 自动互换后次日平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/29已自动互换；4/30执行"全平"
|
||
/// 期望：计息天数=0天，利息=0
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_009()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal, 0.001m, 0m)
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 30), new DateTime(2026, 4, 30), 1m, eodPositions);
|
||
AssertInterestEqual(0m, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_010] 算头不算尾 - 跨重置周期全平（中间有收盘）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/29收盘归档；5/6全平（跨周期）
|
||
/// 期望：分段计息，累计利息=4/29收盘+4/30持仓+5/1~5/5持仓
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_010()
|
||
{
|
||
var oneDay = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal, 0.001m, oneDay)
|
||
};
|
||
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m, eodPositions);
|
||
var secondPeriod = ExpectedInterest(5, FixedRate, 0.002m, Principal);
|
||
var expected = Math.Round(oneDay * 2 + secondPeriod,
|
||
ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_010A] 已有前次结算时，浮动利率重置起点应按当前计息段起点计算
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：5/3已有EOD；5/6全平；重置周期=3天，取率规则=当前营业日
|
||
/// 期望：应按 5/3~5/6 这一段判断重置，取到 5/6 的 0.20%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_010A()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 5, 3), Principal, 0.001m, 0m)
|
||
};
|
||
|
||
var interest = CalcFloatUnwind(
|
||
new DateTime(2026, 5, 6),
|
||
new DateTime(2026, 5, 6),
|
||
1m,
|
||
eodPositions,
|
||
InterestRule_Cur);
|
||
|
||
Assert.AreEqual(0.002m, interest.FloatRate);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_UNWIND_011] 算头不算尾 - 跨重置周期全平（中间无收盘）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28起息；5/6全平（4/29未收盘）
|
||
/// 期望：3天@0.10% + 5天@0.20%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_UNWIND_011()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>();
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m, eodPositions);
|
||
var firstPeriod = ExpectedInterest(3, FixedRate, 0.001m, Principal);
|
||
var secondPeriod = ExpectedInterest(5, FixedRate, 0.002m, Principal);
|
||
var expected = Math.Round(firstPeriod + secondPeriod,
|
||
ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景2：浮动利率算头不算尾 - 收盘归档场景
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_001] 算头不算尾 - 首日收盘归档
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28执行收盘EOD归档（首次收盘）
|
||
/// 期望：当日收盘利息=1天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_001()
|
||
{
|
||
var interest = CalcFloatEod(new DateTime(2026, 4, 28), new List<eod_swap_position>());
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_002] 算头不算尾 - 首日收盘，次日全平
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28已收盘；4/29盘中全平
|
||
/// 期望：总利息=历史1天+当期0天=1天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FixedRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m, eodPositions);
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_003] 算头不算尾 - 首日收盘，次日平仓50%
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28已收盘；4/29盘中平仓一半
|
||
/// 期望：总利息=(历史1天+当期0天)*50%=0.5天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FixedRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m, eodPositions);
|
||
var expected = ExpectedInterestWithPreEod(0, FixedRate, 0.001m, Principal, ExpectedInterest(1, FixedRate, 0.001m, Principal), 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_004] 算头不算尾 - 连续收盘（4/28、4/29）
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28和4/29连续两个工作日收盘归档
|
||
/// 期望：4/29收盘累计利息=2天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_004()
|
||
{
|
||
var eod1 = CalcFloatEod(new DateTime(2026, 4, 28), new List<eod_swap_position>());
|
||
var expected1 = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected1, eod1.InterestAmount);
|
||
|
||
var eod2 = CalcFloatEod(new DateTime(2026, 4, 29), new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m, expected1)
|
||
});
|
||
var expected2 = ExpectedInterest(2, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected2, eod2.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_005] 算头不算尾 - 首日收盘后第3日收盘
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28已收盘；4/30执行收盘（4/29未收盘）
|
||
/// 期望：4/29收盘利息=1天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_005()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m, 0m)
|
||
};
|
||
var interest = CalcFloatEod(new DateTime(2026, 4, 30), eodPositions);
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_EOD_006] 算头不算尾 - 到期日收盘不算尾
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28起息，2027-04-27到期
|
||
/// 操作：2027-04-27执行收盘归档
|
||
/// 期望：到期日收盘利息=0（不算尾）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_EOD_006()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2027, 4, 26), Principal, 0.001m, 10m)
|
||
};
|
||
var interest = CalcFloatEod(new DateTime(2027, 4, 27), eodPositions);
|
||
AssertInterestEqual(0m, interest.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景3：浮动利率算头不算尾 - 当前营业日规则(interest_rule=0)
|
||
|
||
/// <summary>
|
||
/// [FLOAT_CUR_001] 算头不算尾 + 当前营业日规则 - 次日全平
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：interest_rule=0（当前营业日），4/29盘中全平
|
||
/// 期望：计息天数=1天，利息=1*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_CUR_001()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m, InterestRule_Cur);
|
||
var expected = ExpectedInterest(1, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLOAT_CUR_002] 算头不算尾 + 当前营业日规则 - 第3日全平
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：interest_rule=0（当前营业日），4/30盘中全平
|
||
/// 期望：计息天数=2天，利息=2*(1.00%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLOAT_CUR_002()
|
||
{
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 30), new DateTime(2026, 4, 30), 1m, InterestRule_Cur);
|
||
var expected = ExpectedInterest(2, FixedRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
// ================================================================
|
||
// Excel测试文件场景：固定利率算头不算尾
|
||
// 维度：T+1/T+0 × 正利率/负利率 × 4业务场景
|
||
// ================================================================
|
||
|
||
#region 场景4：固定利率算头不算尾 - T+1固定正利率（前一营业日，正利率0.75%）
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_001] T+1固定正利率算头不算尾 - 未收盘平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景1：固定利率未收盘平仓
|
||
/// 参数：interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28起息，4/29盘中全平
|
||
/// 期望：计息天数=1天，利息=1*0.75%*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_001()
|
||
{
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(1, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_002] T+1固定正利率算头不算尾 - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景2：收盘后次日全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：总利息=历史1天+当期0天=1天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,
|
||
ExpectedInterest(1, FixedRatePositive, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(1, FixedRatePositive, 0m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_003] T+1固定正利率算头不算尾 - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景3：部分平仓
|
||
/// 参数：interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28收盘归档；4/29盘中平仓50%
|
||
/// 期望：利息=0.5*1*0.75%*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,
|
||
ExpectedInterest(1, FixedRatePositive, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterestWithPreEod(0, FixedRatePositive, 0m, Principal, ExpectedInterest(1, FixedRatePositive, 0m, Principal), 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_004] T+1固定正利率算头不算尾 - 部分平仓后经过数日再全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景4：部分平仓一次后，经过数日再全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘、4/30收盘；5/6全部平仓剩余50%
|
||
/// 期望：4/29平仓=0.5天+5/6平仓=剩余×累计天数
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_004()
|
||
{
|
||
// 第一步：4/29部分平仓50%
|
||
var unwind1 = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expectedUnwind1 = ExpectedInterest(1, FixedRatePositive, 0m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
// 第二步：5/6全平剩余50%（经过4/29收盘和4/30收盘）
|
||
// newCalcLast=true: 4/30~5/6=7天
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0m,
|
||
ExpectedInterest(2, FixedRatePositive, 0m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFixedUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive, Principal * 0.5m, newCalcLast: true);
|
||
// newCalcLast=true强制算尾: 4/30~5/6=7天
|
||
var expectedTotal = ExpectedInterestWithPreEod(7, FixedRatePositive, 0m, Principal * 0.5m,
|
||
ExpectedInterest(2, FixedRatePositive, 0m, Principal * 0.5m), 1m);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景6：固定利率算头不算尾 - T+1固定负利率（前一营业日，负利率-1.05%）
|
||
|
||
/// <summary>
|
||
/// [FIX_NEG_T1_001] T+1固定负利率算头不算尾 - 未收盘平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景1：固定利率未收盘平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-1.05%
|
||
/// 操作：4/28起息，4/29盘中全平
|
||
/// 期望：计息天数=1天，利息=1*(-1.05%)*1000/365（负利息）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_NEG_T1_001()
|
||
{
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
InterestRule_Pre, FixedRateNegative);
|
||
var expected = ExpectedInterest(1, FixedRateNegative, 0m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_NEG_T1_002] T+1固定负利率算头不算尾 - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景2：收盘后次日全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-1.05%
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：总利息=1天（负利息）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_NEG_T1_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,
|
||
ExpectedInterest(1, FixedRateNegative, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRateNegative);
|
||
var expected = ExpectedInterest(1, FixedRateNegative, 0m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_NEG_T1_003] T+1固定负利率算头不算尾 - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景3：部分平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-1.05%
|
||
/// 操作：4/28收盘归档；4/29盘中平仓50%
|
||
/// 期望：利息=0.5*1*(-1.05%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_NEG_T1_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,
|
||
ExpectedInterest(1, FixedRateNegative, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FixedRateNegative);
|
||
var expected = ExpectedInterestWithPreEod(0, FixedRateNegative, 0m, Principal, ExpectedInterest(1, FixedRateNegative, 0m, Principal), 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_NEG_T1_004] T+1固定负利率算头不算尾 - 部分平仓后经过数日再全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景4：部分平仓一次后，经过数日再全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-1.05%
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘；5/6全部平仓剩余50%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_NEG_T1_004()
|
||
{
|
||
// 第一步：4/29部分平仓50%
|
||
var unwind1 = CalcFixedUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FixedRateNegative);
|
||
var expectedUnwind1 = ExpectedInterest(1, FixedRateNegative, 0m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
// 第二步：5/6全平剩余50%，newCalcLast=true
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0m,
|
||
ExpectedInterest(2, FixedRateNegative, 0m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFixedUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRateNegative, Principal * 0.5m, newCalcLast: true);
|
||
var expectedTotal = ExpectedInterestWithPreEod(7, FixedRateNegative, 0m, Principal * 0.5m,
|
||
ExpectedInterest(2, FixedRateNegative, 0m, Principal * 0.5m), 1m);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
// ================================================================
|
||
// Excel测试文件场景：浮动利率算头不算尾 - 扩展维度
|
||
// 维度：T+1/T+0 × 加减点 × 前一/当前营业日 × 单/复利
|
||
// ================================================================
|
||
|
||
#region 场景8：浮动利率算头不算尾 - T+1浮动减点（当前营业日，复利）
|
||
|
||
private const decimal FloatMinusRate = -0.021m; // 浮动减点固定端-2.10%（Excel场景）
|
||
private const decimal FloatPlusRate = 0.0025m; // 浮动加点固定端+0.25%（Excel场景）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_002] T+1浮动减点算头不算尾（当前营业日） - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景2：收盘后次日全部平仓
|
||
/// 参数：interest_rule=0, FixedRate=-2.10%, InterestType=复利
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：总利息=1天（固定-2.10%+浮动0.10%=-2.00%）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_003] T+1浮动减点算头不算尾（当前营业日） - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景3：部分平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_004] T+1浮动减点算头不算尾（当前营业日） - 部分平仓后全平
|
||
/// ---------------------------------------------------------------
|
||
/// 复利从头算：8天 [28-30]@-2.0% + [1-5]@-1.9%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_004()
|
||
{
|
||
// 第一步：4/29部分平仓50%
|
||
var unwind1 = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expectedUnwind1 = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
// 第二步：5/6全平剩余50%，复利从头算
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利, Principal * 0.5m, newCalcLast: false);
|
||
// 复利从头算：8天, 每3天重置, [28-30]@-2.0%, [1-5]@-1.9%
|
||
var principal = Principal * 0.5m;
|
||
var rate1 = FloatMinusRate + 0.001m;
|
||
var rate2 = FloatMinusRate + 0.002m;
|
||
decimal interest = 0m, dynomic = principal;
|
||
for (int d = 0; d < 8; d++)
|
||
{
|
||
if (d % 3 == 0) dynomic = principal + interest;
|
||
interest += dynomic * (d < 3 ? rate1 : rate2) / AnnualDays;
|
||
}
|
||
var expectedTotal = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景10：浮动利率算头不算尾 - T+1浮动减点（前一营业日，复利）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_002] T+1浮动减点算头不算尾（前一营业日） - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景2：收盘后次日全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-2.10%, InterestType=复利
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：总利息=1天（-2.10%+0.10%=-2.00%）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_003] T+1浮动减点算头不算尾（前一营业日） - 部分平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_004] T+1浮动减点算头不算尾（前一营业日） - 部分平仓后全平
|
||
/// ---------------------------------------------------------------
|
||
/// 复利从头算：8天 [28-30]@-2.0% + [1-5]@-1.9%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_004()
|
||
{
|
||
var unwind1 = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expectedUnwind1 = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利, Principal * 0.5m, newCalcLast: false);
|
||
// 复利从头算：8天, 每3天重置, [28-30]@-2.0%, [1-5]@-1.9%
|
||
var principal = Principal * 0.5m;
|
||
var rate1 = FloatMinusRate + 0.001m;
|
||
var rate2 = FloatMinusRate + 0.002m;
|
||
decimal interest = 0m, dynomic = principal;
|
||
for (int d = 0; d < 8; d++)
|
||
{
|
||
if (d % 3 == 0) dynomic = principal + interest;
|
||
interest += dynomic * (d < 3 ? rate1 : rate2) / AnnualDays;
|
||
}
|
||
var expectedTotal = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景12：浮动利率算头不算尾 - T+1浮动减点（前一营业日，单利）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_002] T+1浮动减点算头不算尾（前一营业日，单利） - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景2：收盘后次日全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-2.10%, InterestType=单利
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：总利息=1天（-2.10%+0.10%=-2.00%）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expected = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 1m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_003] T+1浮动减点算头不算尾（前一营业日，单利） - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景3：部分平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-2.10%, InterestType=单利
|
||
/// 操作：4/28收盘归档；4/29盘中平仓50%
|
||
/// 期望：利息=0.5*1*(-2.10%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expected = ExpectedInterestWithPreEod(0, FloatMinusRate, 0.001m, Principal, ExpectedInterest(1, FloatMinusRate, 0.001m, Principal), 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_004] T+1浮动减点算头不算尾（前一营业日，单利） - 部分平仓后全平
|
||
/// ---------------------------------------------------------------
|
||
/// 业务场景4：部分平仓一次后，经过数日再全部平仓
|
||
/// 参数：interest_rule=-1, FixedRate=-2.10%, InterestType=单利
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘；5/6全部平仓剩余50%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_004()
|
||
{
|
||
var unwind1 = CalcFloatUnwind(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expectedUnwind1 = ExpectedInterest(1, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利, Principal * 0.5m);
|
||
// 单利: 6天(EOD后), [30]@0.001 + [1-5]@0.002 → 1@-2.0% + 5@-1.9%
|
||
var raw = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m)
|
||
+ Principal * 0.5m * (FloatMinusRate + 0.001m) * 1 / AnnualDays
|
||
+ Principal * 0.5m * (FloatMinusRate + 0.002m) * 5 / AnnualDays;
|
||
var expectedTotal = Math.Round(raw, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景14：固定利率算头不算尾 - 收盘归档场景
|
||
|
||
/// <summary>
|
||
/// [FIX_EOD_001] 固定利率算头不算尾 - 首日收盘归档
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28执行收盘EOD归档（首次收盘）
|
||
/// 参数：FixedRate=0.75%, interest_rule=-1
|
||
/// 期望：当日收盘利息=1天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_EOD_001()
|
||
{
|
||
var interest = CalcFixedEod(new DateTime(2026, 4, 28), new List<eod_swap_position>(),
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(1, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_EOD_002] 固定利率算头不算尾 - 连续收盘
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28和4/29连续两个工作日收盘归档
|
||
/// 参数：FixedRate=0.75%, interest_rule=-1
|
||
/// 期望：4/28和4/29收盘利息=2天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_EOD_002()
|
||
{
|
||
var eod1 = CalcFixedEod(new DateTime(2026, 4, 28), new List<eod_swap_position>(),
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expected1 = ExpectedInterest(1, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected1, eod1.InterestAmount);
|
||
|
||
var eod2 = CalcFixedEod(new DateTime(2026, 4, 29), new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m, expected1)
|
||
}, InterestRule_Pre, FixedRatePositive);
|
||
var expected2 = ExpectedInterest(1, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected1+expected2, eod2.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_EOD_003] 固定利率算头不算尾 - 到期日收盘不算尾
|
||
/// ---------------------------------------------------------------
|
||
/// 场景：4/28起息，2027-04-27到期
|
||
/// 参数：FixedRate=0.75%, interest_rule=-1
|
||
/// 操作：2027-04-27执行收盘归档
|
||
/// 期望：到期日收盘利息=0（不算尾）
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_EOD_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2027, 4, 26), Principal, 0m, 10m)
|
||
};
|
||
var interest = CalcFixedEod(new DateTime(2027, 4, 27), eodPositions,
|
||
InterestRule_Pre, FixedRatePositive);
|
||
AssertInterestEqual(0m, interest.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
// ================================================================
|
||
// Excel测试文件场景：算头算尾（InterestCalcMode="11"）
|
||
// 这些场景在Excel中标记为"通过"，同样需要单元测试覆盖
|
||
// 口径说明："11"=算头算尾（含起息日和到期日/操作日）
|
||
// 与算头不算尾("10")的关键区别：
|
||
// - "10"：计息区间 S=startDate, E=valueDate-1 → days天
|
||
// - "11"：计息区间 S=startDate, E=valueDate → days+1天
|
||
// ================================================================
|
||
|
||
#region 场景A：固定利率算头算尾 - T+1固定正利率（前一营业日，正利率0.75%）
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_11_001] 算头算尾 T+1固定正利率 - 未收盘平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28起息，4/29盘中全平
|
||
/// 算头算尾：S=4/28, E=4/29 → 2天
|
||
/// 期望：利息=2*0.75%*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_11_001()
|
||
{
|
||
var interest = CalcFixedUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(2, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_11_002] 算头算尾 T+1固定正利率 - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 算头算尾：历史1天+当期1天=2天
|
||
/// 期望：总利息=2天
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_11_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,
|
||
ExpectedInterest(1, FixedRatePositive, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(2, FixedRatePositive, 0m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_11_003] 算头算尾 T+1固定正利率 - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/28收盘归档；4/29盘中平仓50%
|
||
/// 算头算尾：历史1天+当期1天=2天×50%
|
||
/// 期望：利息=0.5*2*0.75%*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_11_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0m,ExpectedInterest(1, FixedRatePositive, 0m, Principal))
|
||
};
|
||
var interest = CalcFixedUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive);
|
||
var expected = ExpectedInterest(2, FixedRatePositive, 0m, Principal*0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FIX_POS_T1_11_004] 算头算尾 T+1固定正利率 - 部分平仓后经过数日再全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=0.75%
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘；5/6全部平仓剩余50%
|
||
/// 算头算尾：4/29半平=2天×50%；5/6全平剩余=8天×50%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FIX_POS_T1_11_004()
|
||
{
|
||
// 4/29部分平仓50%（算头算尾→2天）
|
||
var unwind1 = CalcFixedUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FixedRatePositive);
|
||
var expectedUnwind1 = ExpectedInterest(2, FixedRatePositive, 0m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
// 5/6全平剩余50%（EOD=4/29, 算头算尾→4/29~5/6=8天）
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0m,
|
||
ExpectedInterest(2, FixedRatePositive, 0m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFixedUnwind11(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FixedRatePositive, Principal * 0.5m, newCalcLast: true);
|
||
// 算头算尾: 4/29~5/6(算尾)=8天(newCalcLast=true无影响)
|
||
var expectedTotal = ExpectedInterestWithPreEod(7, FixedRatePositive, 0m, Principal * 0.5m,
|
||
ExpectedInterest(2, FixedRatePositive, 0m, Principal * 0.5m), 1m);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景C：浮动利率算头算尾 - T+1浮动减点（当前营业日，复利）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_11_002] 算头算尾 T+1浮动减点（当前营业日） - 收盘后次日全部平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_11_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_11_003] 算头算尾 T+1浮动减点（当前营业日） - 部分平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_11_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterestWithPreEod(0, FloatMinusRate, 0.001m, Principal, ExpectedInterest(1, FloatMinusRate, 0.001m, Principal), 0.5m))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_CUR_11_004] 算头算尾 T+1浮动减点（当前营业日） - 部分平仓后全平, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_CUR_11_004()
|
||
{
|
||
var unwind1 = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expectedUnwind1 = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind11(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Cur, FloatMinusRate, InterestTypeEnum.复利, Principal * 0.5m, newCalcLast: false);
|
||
// 复利从头算：9天, 每3天重置, [28-30]@-2.0%, [1-3,4-6]@-1.9%
|
||
var principal = Principal * 0.5m;
|
||
var rate1 = FloatMinusRate + 0.001m;
|
||
var rate2 = FloatMinusRate + 0.002m;
|
||
decimal interest = 0m, dynomic = principal;
|
||
for (int d = 0; d < 9; d++)
|
||
{
|
||
if (d % 3 == 0) dynomic = principal + interest;
|
||
interest += dynomic * (d < 3 ? rate1 : rate2) / AnnualDays;
|
||
}
|
||
var expectedTotal = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景E：浮动利率算头算尾 - T+1浮动减点（前一营业日，复利）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_11_002] 算头算尾 T+1浮动减点（前一营业日） - 收盘后次日全部平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_11_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_11_003] 算头算尾 T+1浮动减点（前一营业日） - 部分平仓, 复利从头算
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_11_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterestWithPreEod(0, FloatMinusRate, 0.001m, Principal, ExpectedInterest(1, FloatMinusRate, 0.001m, Principal), 0.5m))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_11_004] 算头算尾 T+1浮动减点（前一营业日） - 部分平仓后全平
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=-2.10%, 复利
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘；5/6全部平仓剩余50%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_11_004()
|
||
{
|
||
var unwind1 = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利);
|
||
var expectedUnwind1 = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind11(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.复利, Principal * 0.5m, newCalcLast: false);
|
||
// 复利从头算：9天, 每3天重置, [28-30]@-2.0%, [1-3,4-6]@-1.9%
|
||
var principal = Principal * 0.5m;
|
||
var rate1 = FloatMinusRate + 0.001m;
|
||
var rate2 = FloatMinusRate + 0.002m;
|
||
decimal interest = 0m, dynomic = principal;
|
||
for (int d = 0; d < 9; d++)
|
||
{
|
||
if (d % 3 == 0) dynomic = principal + interest;
|
||
interest += dynomic * (d < 3 ? rate1 : rate2) / AnnualDays;
|
||
}
|
||
var expectedTotal = Math.Round(interest, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 场景G：浮动利率算头算尾 - T+1浮动减点（单利）
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_11_002] 算头算尾 T+1浮动减点（单利） - 收盘后次日全部平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=-2.10%, 单利
|
||
/// 操作：4/28收盘归档；4/29盘中全平
|
||
/// 期望：利息=2*(-2.10%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_11_002()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterest(1, FloatMinusRate, 0.001m, Principal))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_11_003] 算头算尾 T+1浮动减点（单利） - 部分平仓
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=-2.10%, 单利
|
||
/// 操作：4/28收盘归档；4/29盘中平仓50%
|
||
/// 期望：利息=0.5*2*(-2.10%+0.10%)*1000/365
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_11_003()
|
||
{
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 28), Principal, 0.001m,
|
||
ExpectedInterestWithPreEod(0, FloatMinusRate, 0.001m, Principal, ExpectedInterest(1, FloatMinusRate, 0.001m, Principal), 1m))
|
||
};
|
||
var interest = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expected = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal*0.5m);
|
||
AssertInterestEqual(expected, interest.InterestAmount);
|
||
}
|
||
|
||
/// <summary>
|
||
/// [FLT_MINUS_T1_PRE_SI_11_004] 算头算尾 T+1浮动减点（单利） - 部分平仓后全平
|
||
/// ---------------------------------------------------------------
|
||
/// 参数：InterestCalcMode="11", interest_rule=-1, FixedRate=-2.10%, 单利
|
||
/// 操作：4/29部分平仓50%；经过4/29收盘；5/6全部平仓剩余50%
|
||
/// ---------------------------------------------------------------
|
||
/// </summary>
|
||
[TestMethod]
|
||
public void UT_SWAP_INT_FLT_MINUS_T1_PRE_SI_11_004()
|
||
{
|
||
var unwind1 = CalcFloatUnwind11(new DateTime(2026, 4, 29), new DateTime(2026, 4, 29), 0.5m,
|
||
InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利);
|
||
var expectedUnwind1 = ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m);
|
||
AssertInterestEqual(expectedUnwind1, unwind1.InterestAmount);
|
||
|
||
var eodPositions = new List<eod_swap_position>
|
||
{
|
||
CreateEodPosition(new DateTime(2026, 4, 29), Principal * 0.5m, 0.001m,
|
||
ExpectedInterest(2, FloatMinusRate, 0.001m, Principal * 0.5m))
|
||
};
|
||
var unwind2 = CalcFloatUnwind11(new DateTime(2026, 5, 6), new DateTime(2026, 5, 6), 1m,
|
||
eodPositions, InterestRule_Pre, FloatMinusRate, InterestTypeEnum.单利, Principal * 0.5m);
|
||
// 单利: 9天, [28,29,30]@0.001 + [1-6]@0.002 → 1@-2.0% + 6@-1.9%
|
||
var raw = Principal * 0.5m * (FloatMinusRate + 0.001m) * 3 / AnnualDays
|
||
+ Principal * 0.5m * (FloatMinusRate + 0.002m) * 6 / AnnualDays;
|
||
var expectedTotal = Math.Round(raw, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
|
||
AssertInterestEqual(expectedTotal, unwind2.InterestAmount);
|
||
}
|
||
|
||
#endregion
|
||
|
||
// ================================================================
|
||
// 算头算尾("11")通用调用方法
|
||
// ================================================================
|
||
|
||
#region 算头算尾("11")辅助方法
|
||
|
||
private swap_flow_event CalcFixedUnwind11(DateTime valueDate, DateTime unwindDate,
|
||
decimal closePercent, int interestRule, decimal fixedRate,
|
||
decimal posiNotional = Principal, List<swap_flow_event> closeList = null,
|
||
bool newCalcLast = false)
|
||
{
|
||
return CalcFixedUnwind11(valueDate, unwindDate, closePercent,
|
||
new List<eod_swap_position>(), interestRule, fixedRate, posiNotional, closeList, newCalcLast);
|
||
}
|
||
|
||
private swap_flow_event CalcFixedUnwind11(DateTime valueDate, DateTime unwindDate,
|
||
decimal closePercent, List<eod_swap_position> eodPositions,
|
||
int interestRule, decimal fixedRate,
|
||
decimal posiNotional = Principal, List<swap_flow_event> closeList = null,
|
||
bool newCalcLast = false)
|
||
{
|
||
var td = CreateTrade("11", interestRule);
|
||
var position = CreateFixedInterestPosition(fixedRate, interestRule);
|
||
|
||
var interests = _service.GetInterests(
|
||
td, td.trade_extend,
|
||
valueDate, unwindDate,
|
||
eodPositions,
|
||
new List<swap_position> { position },
|
||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||
(int)SwapEventTypeEnum.平仓,
|
||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||
|
||
AssertInterestEqual(1, interests.Count);
|
||
return interests[0];
|
||
}
|
||
|
||
private swap_flow_event CalcFloatUnwind11(DateTime valueDate, DateTime unwindDate,
|
||
decimal closePercent, int interestRule, decimal fixedRate,
|
||
InterestTypeEnum interestType, decimal posiNotional = Principal,
|
||
List<swap_flow_event> closeList = null, bool newCalcLast = false)
|
||
{
|
||
return CalcFloatUnwind11(valueDate, unwindDate, closePercent,
|
||
new List<eod_swap_position>(), interestRule, fixedRate, interestType, posiNotional, closeList: closeList, newCalcLast: newCalcLast);
|
||
}
|
||
|
||
private swap_flow_event CalcFloatUnwind11(DateTime valueDate, DateTime unwindDate,
|
||
decimal closePercent, List<eod_swap_position> eodPositions,
|
||
int interestRule, decimal fixedRate, InterestTypeEnum interestType,
|
||
decimal posiNotional = Principal, List<swap_flow_event> closeList = null,
|
||
bool newCalcLast = false)
|
||
{
|
||
var td = CreateTrade("11", interestRule);
|
||
var position = CreateFloatInterestPosition(interestRule, interestType, fixedRate);
|
||
|
||
var interests = _service.GetInterests(
|
||
td, td.trade_extend,
|
||
valueDate, unwindDate,
|
||
eodPositions,
|
||
new List<swap_position> { position },
|
||
posiNotional, posiNotional, posiNotional, posiNotional, closePercent,
|
||
(int)SwapEventTypeEnum.平仓,
|
||
false, false, 0, posiNotional, false, settment: false, newCalcLast: newCalcLast, closeList: closeList);
|
||
|
||
AssertInterestEqual(1, interests.Count);
|
||
return interests[0];
|
||
}
|
||
|
||
#endregion
|
||
|
||
}
|
||
}
|