168 lines
9.5 KiB
C#
168 lines
9.5 KiB
C#
using YLErp.Modules.SwapModule.Accrual;
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using YLErp.Modules.SwapModule.Penalty;
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namespace UnitTestProject.Modules.SwapModule.Penalty
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{
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/// <summary>
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/// EQD-6977 罚息接缝 headless 测试（无 DB：spread/preEod/取价 全部以委托注入）。
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/// 锁定：Merge 把罚息金额并入既有利息事件的 InterestFee（不新增事件、不改 InterestAmount）；
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/// 承接量取实际计息状态（preEod 基数 + 事件实结金额）——含【多区间不同定盘】恒等式钉死，
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/// 该用例在"冻结利率重放推导承接量"的旧实现下必挂（FR007 真实利率历史场景）。
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/// </summary>
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[TestClass]
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public class PenaltyInterestFeeMergerTest
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{
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private const decimal Notional = 100_000_000m;
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private const decimal Rate = 0.0225m; // 冻结 all-in 年化
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 7, 31);
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private static readonly DateTime MaturityDate = new(2026, 8, 31);
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private static readonly DateTime UnwindDate = new(2026, 8, 25);
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private static readonly DateTime LastResetBeforeUnwind = new(2026, 8, 21);
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private static trade CreateTrade()
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=> new()
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{
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id = 1, TradeNumber = "UT-MERGE", ClientId = 999998,
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TradeType = "收益互换", StartDate = StartDate, TradeDate = StartDate,
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ExerciseDate = MaturityDate, TradeStatus = "确认成交", ValidState = "Valid"
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};
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private static swap_position Leg(InterestTypeEnum interestType)
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=> new()
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0, InterestDirection = 1,
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InterestMode = (int)InterestModeEnum.标的期初全价, InterestRateDefault = Rate,
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InterestPrincipalFix = Notional, PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
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IsInitial = true, Invalid = false, InterestType = (int)interestType,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
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};
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/// <summary>正常平仓利息流（模拟 GetInterests 产出）：InterestAmount=实结利息、InterestFee=0。</summary>
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private static swap_flow_event NormalEvent(decimal settledAmount)
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=> new() { PositionId = 1001, InterestAmount = settledAmount, InterestFee = 0m,
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InterestDirection = 1, InterestClosePnL = settledAmount }; // 模拟 GetInterests 已算好的 PnL（收取=+1）
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private static eod_swap_position PreEod(decimal rollingBasis, decimal floatRate = 0m)
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=> new() { id = 9, PositionId = 1001, ValueDate = UnwindDate.AddDays(-1),
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TdInterestPrincipal = rollingBasis, FloatRate = floatRate };
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private static void RunMerge(
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swap_position p, swap_flow_event normalEvent, eod_swap_position? preEod,
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Func<swap_position, decimal>? getSpread = null, Func<DateTime, string, decimal?>? tryGetFixing = null)
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{
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getSpread ??= _ => Rate;
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tryGetFixing ??= (d, code) => Rate;
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PenaltyInterestFeeMerger.Merge(
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CreateTrade(), new List<swap_position> { p }, new List<swap_flow_event> { normalEvent },
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UnwindDate, AnnualDays,
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unwindDaySettled: true, maturityCalcLast: true,
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posiNotionalValue: Notional, closePosiNotionalValue: Notional, closePercent: 1m,
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getSpread: getSpread,
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getPreEod: _ => preEod,
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tryGetFixing: tryGetFixing);
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}
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/// <summary>复利重放 [StartDate, endDate]，重置段=每 7 天；分段利率由 rates 决定（rates.Count=1 时为常率）。</summary>
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private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary, params decimal[] rates)
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{
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var segs = new List<(DateTime, decimal)>();
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var i = 0;
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for (var d = StartDate; d <= endDate; d = d.AddDays(7))
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// 超出所给历史段后沿用最后区间利率——即“未来段冻结为最后区间利率”的语义（勿循环回绕）
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segs.Add((d, rates.Length == 1 ? rates[0] : i < rates.Length ? rates[i++] : rates[^1]));
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return CompoundInterestAccrual.AccruePeriod(
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notional: Notional, segmentRates: segs,
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startDate: StartDate, endDate: endDate,
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boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
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resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
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finalBasis: out _).Accrued;
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}
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[TestMethod]
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public void 单利固定腿_罚息并入InterestFee_不新增事件()
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{
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var e = NormalEvent(settledAmount: 50_000m);
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RunMerge(Leg(InterestTypeEnum.单利), e, preEod: PreEod(Notional));
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Assert.AreEqual(0d, (double)(e.InterestFee - Rate * Notional * 6m / AnnualDays), 0.0001,
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"罚息=利率×本金×6天/基准（窗口 (8/25, 8/31]）");
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Assert.AreEqual(50_000d, (double)e.InterestAmount, 0.0001, "正常实结利息不受影响");
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Assert.AreEqual((double)(50_000m + e.InterestFee), (double)e.InterestClosePnL, 0.0001, "PnL=（实结+罚息）×方向(收取=+1)");
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}
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[TestMethod]
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public void 浮动腿_取价委托解析冻结率_并入费用()
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{
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var p = Leg(InterestTypeEnum.单利);
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p.FloatRateUnderlyingCode = "FR007";
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var e = NormalEvent(settledAmount: 50_000m);
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// 无 preEod → 走取价委托：all-in = spread(0) + 定盘(Rate)
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RunMerge(p, e, preEod: null, getSpread: _ => 0m, tryGetFixing: (d, code) => Rate);
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Assert.AreEqual(0d, (double)(e.InterestFee - Rate * Notional * 6m / AnnualDays), 0.0001,
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"浮动腿冻结率=取价委托值(零利差)");
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}
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[TestMethod]
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public void 复利常率_承接取实际状态_恒等式全期等于已结加罚息()
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{
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// 实际计息状态：preEod 滚动基数 = P + 已并入利息(截至 8/20)；事件实结 = elapsed([7/31,8/25] Both)
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var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, Rate);
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, Rate);
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var e = NormalEvent(elapsed);
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RunMerge(Leg(InterestTypeEnum.复利), e, preEod: PreEod(Notional + capitalized));
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var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both, Rate);
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Assert.AreEqual((double)full, (double)(elapsed + e.InterestFee), 0.0001,
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"常率下 全期 = 已结(事件实结) + 罚息(InterestFee)");
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}
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[TestMethod]
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public void 复利多区间不同定盘_承接取实际状态_恒等式仍成立()
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{
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// 真实 FR007 世界：四个历史重置区间定盘各不相同，冻结利率=最后区间(2.25%)
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var r1 = 0.0310m; var r2 = 0.0420m; var r3 = 0.0530m; var r4 = Rate; // r4=0.0225 冻结值
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var rates = new[] { r1, r2, r3, r4 };
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// 实际计息状态（与 GetInterests 重放同源）：
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var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, rates); // 已并入 8/21 重置日
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, rates); // 实结（含 8/21..8/25 段内利息）
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var e = NormalEvent(elapsed);
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RunMerge(Leg(InterestTypeEnum.复利), e, preEod: PreEod(Notional + capitalized));
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// 全期参照：历史段按各自真实定盘、8/28 起的未来段按冻结利率（=r4，恰好同段延续）
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var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both, rates);
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Assert.AreEqual((double)full, (double)(elapsed + e.InterestFee), 0.01,
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"多区间不同定盘下 全期(历史实率+未来冻结) = 实结 + 罚息——承接量必须来自实际状态");
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// 反证旧缺陷：冻结重放推导的承接①（全程 r4）≠ 实际①（分段实率），差额显著
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var frozenReplayCapitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both, Rate);
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Assert.AreNotEqual((double)capitalized, (double)frozenReplayCapitalized, 1000d,
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"前提自检：分段实率与冻结重放的已并入利息应显著不同（否则用例失去鉴别力）");
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}
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[TestMethod]
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public void 复利无preEod_承接退化为实结全额_可计算不崩溃()
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{
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var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both, Rate);
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var e = NormalEvent(elapsed);
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RunMerge(Leg(InterestTypeEnum.复利), e, preEod: null);
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Assert.IsTrue(e.InterestFee > 0m, "无 preEod（首日平仓等）仍可计算罚息");
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}
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[TestMethod]
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public void 冻结利率解析失败_跳过该腿不阻断()
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{
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var p = Leg(InterestTypeEnum.单利);
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p.FloatRateUnderlyingCode = "FR007";
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var e = NormalEvent(settledAmount: 50_000m);
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RunMerge(p, e, preEod: null, getSpread: _ => 0m, tryGetFixing: (d, code) => null);
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Assert.AreEqual(0m, e.InterestFee, "缺价跳过：不加罚息、不抛异常");
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Assert.AreEqual(50_000d, (double)e.InterestAmount, 0.0001, "正常平仓不受影响");
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}
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}
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}
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