82 lines
3.4 KiB
C#
82 lines
3.4 KiB
C#
using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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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 罚息冻结利率解析契约测试。
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/// 规则（需求 2.2.2）：冻结为「最后一个重置区间」定盘；终止日为重置日也取上一区间。
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/// </summary>
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[TestClass]
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public class PenaltyLegRateResolverTest
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{
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private const decimal Spread = 0.05m; // +500bp
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private static readonly DateTime UnwindDate = new(2026, 8, 25);
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private static swap_position CreateFloatPosition(int interestRule = 0)
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=> new()
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{
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id = 1001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.支付,
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InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = Spread,
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PosiStartDate = new DateTime(2026, 7, 31),
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interest_rest_days = 7, interest_rule = interestRule,
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FloatRateUnderlyingCode = "FR007",
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FloatRate = 0.0185m
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};
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[TestMethod]
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public void 浮动腿_preEod快照优先_重置日下午仍取上一区间()
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{
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// 8/25 为重置日且下午已出新价的边缘场景：preEod.FloatRate（昨日区间定盘）仍优先，
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// 解析器不做任何取价——「终止日取上一区间」由快照语义天然覆盖。
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var p = CreateFloatPosition();
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: 0.0210m,
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unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("preEod 在场时不应取价"));
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Assert.AreEqual(Spread + 0.0210m, rate.AllInRate, "冻结 all-in = 利差 + 上一区间定盘");
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}
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[TestMethod]
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public void 浮动腿_无preEod_按前一营业日取价日取定盘()
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{
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var p = CreateFloatPosition(interestRule: 0); // 当前营业日规则
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DateTime? askedDate = null;
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate,
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tryGetFixing: d => { askedDate = d; return 0.0195m; });
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Assert.AreEqual(new DateTime(2026, 8, 24), askedDate, "取价日 = GetFixingDate(8/24, rule=0)");
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Assert.AreEqual(Spread + 0.0195m, rate.AllInRate);
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}
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[TestMethod]
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public void 浮动腿_无preEod_缺价抛异常()
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{
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var p = CreateFloatPosition();
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Assert.ThrowsException<Exception>(() =>
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PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate, tryGetFixing: _ => null));
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}
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[TestMethod]
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public void 固定腿_不取价_直接固定利率()
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{
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var p = CreateFloatPosition();
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p.FloatRateUnderlyingCode = null;
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var rate = PenaltyLegRateResolver.ResolveFrozenRate(
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p, spread: Spread, preEodFloatRate: null,
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unwindDate: UnwindDate, tryGetFixing: _ => throw new AssertFailedException("固定腿不应取价"));
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Assert.AreEqual(Spread, rate.AllInRate);
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}
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}
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}
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