hjhan
66a97e03ef
根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(算头不算尾,calcLast=false)时， CalcDailyCompoundInterest 循环的 'if(!calcLast && accrueDate==endDate) continue' 会跳过平仓日。若平仓日恰好是重置日(i%period==0)，取价代码块被一并跳过， 导致 flowEvent.FloatRate 落库为旧周期利率，传染后续 EOD 复利计算。 修复：把重置日的 FR007 取价提前到 calcFirst/calcLast 跳过判断之前—— calcLast 只应跳过'计息'，不应跳过'重置日利率取价'。同时循环外用最终 floatRate 兜底赋值 flowEvent.FloatRate，确保落库值反映最后重置日的利率。 验证： - CI_007 合成测试(平仓日=重置日)：修复前 FloatRate=旧值(FAIL)，修复后=新值(PASS) - 连库验证(GLMS-JIATT-20260805 8/4平仓)：FloatRate 0.0123→0.0213(8/3新值) - 利息金额不变(calcLast 不计当天利息，Amount 不受影响，只修正 FloatRate 字段) - 全套 swap 测试无新增回归(334通过，2失败均为pre-existing单利/EOD路径) 附：CI_007 复现测试 + GLMS20260805 FR007/EOD 诊断工具 + 文档 longRatio 状态更新
375 lines
20 KiB
C#
375 lines
20 KiB
C#
using Newtonsoft.Json;
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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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/// 复利 consumedInterest 扣除 - 合成单元测试
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/// ============================================================================
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/// 验证 c6adb3bb 的修复：复利路径平仓时，扣除历史已通过互换结出的利息。
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///
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/// 核心场景：
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/// 一笔复利交易，N天后做了互换结算（已结N天利息），之后再平仓。
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/// 平仓默认值应 = 从头算的全程利息 - 已结利息（consumedInterest）。
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/// 如果不扣（bug），平仓默认值 = 全程利息（偏大）。
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/// 如果多扣（之前单利的错误），平仓默认值 = 0或负（偏小）。
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///
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/// 模仿 GetInterestsUnitTest_T0 的 StubSwapDealService 模式。
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/// ============================================================================
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[TestClass]
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public class ConsumedInterestScenarioTest
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{
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#region 常量
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private const decimal Principal = 1000m;
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private const decimal FixedRate = 0.0025m; // 加点利率
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private const double FloatRate = 0.001; // FR007
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private const decimal TotalRate = FixedRate + (decimal)FloatRate; // 综合年化利率
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private const int AnnualDays = 365;
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private const int ResetPeriod = 3;
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime ExerciseDate = new(2027, 4, 27);
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#endregion
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#region Stub：内存 SwapDealService + consumedInterest 注入
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/// <summary>
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/// 继承 SwapDealService，override 两个虚方法：
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/// - TryGetFloatRate：返回固定浮动利率（不连库）
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/// - GetConsumedInterest：返回注入的历史已结利息（不连库）
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/// </summary>
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private sealed class StubSwapDealService : SwapDealService
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{
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private readonly double _floatRate;
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private readonly decimal _consumedInterest;
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private readonly Func<DateTime, double> _floatRateByDate;
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public StubSwapDealService(OptUserInfo optUser, double floatRate, decimal consumedInterest)
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: base(optUser)
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{
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_floatRate = floatRate;
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_consumedInterest = consumedInterest;
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_floatRateByDate = null;
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}
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/// <summary>按查询日期返回不同浮动利率（用于复现重置日取价 bug）</summary>
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public StubSwapDealService(OptUserInfo optUser, Func<DateTime, double> floatRateByDate, decimal consumedInterest = 0m)
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: base(optUser)
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{
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_floatRate = 0;
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_consumedInterest = consumedInterest;
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_floatRateByDate = floatRateByDate;
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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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rate = _floatRateByDate != null ? _floatRateByDate(valueDate) : _floatRate;
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return true;
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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{
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return _consumedInterest; // 返回注入值
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}
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}
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#endregion
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#region 数据构建
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private static trade CreateTrade()
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{
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return new trade
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{
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id = 1, TradeNumber = "UT-CONSUMED-001", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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trade_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 = "10", // 算头不算尾
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SettlementRules = 0
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})
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}
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};
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}
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private static swap_position CreateCompoundPosition()
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true, interest_rest_days = ResetPeriod, interest_rule = 0,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
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})
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};
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}
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/// <summary>调用 GetInterests 获取复利利息（统一调用入口，settment:false走盘中平仓路径）</summary>
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private static swap_flow_event CalcCompoundUnwind(StubSwapDealService service, DateTime unwindDate, decimal closePercent = 1m)
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{
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var td = CreateTrade();
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var position = CreateCompoundPosition();
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var interests = service.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, closePercent,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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add: false, settment: false, newCalcLast: false);
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Assert.AreEqual(1, interests.Count);
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return interests[0];
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}
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private static StubSwapDealService CreateService(decimal consumedInterest)
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{
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return new StubSwapDealService(
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new OptUserInfo(0, nameof(ConsumedInterestScenarioTest), OptUserFrom.UnitTest),
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FloatRate, consumedInterest);
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}
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private static void AssertDecimal(decimal expected, decimal actual, string message = "")
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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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$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
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}
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#endregion
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// ================================================================
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// 场景1：基线——无历史互换（consumedInterest=0），拿到全程复利利息
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// ================================================================
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/// <summary>
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/// [CI_001] 无历史互换结清，复利平仓利息基线
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/// ---------------------------------------------------------------
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/// consumedInterest=0，平仓利息=从头算的全程复利利息。
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/// 此值作为后续场景的参照基线（避免独立复利计算的精度匹配问题）。
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/// ---------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_001_无历史互换平仓利息基线()
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{
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var unwindDate = StartDate.AddDays(10); // 4/27+10=5/7，算头不算尾约9天
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var service = CreateService(consumedInterest: 0m);
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var result = CalcCompoundUnwind(service, unwindDate);
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Assert.IsTrue(result.InterestAmount > 0, "无互换时复利利息应>0");
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Console.WriteLine($"基线(consumedInterest=0): InterestAmount={result.InterestAmount:F6}");
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}
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// ================================================================
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// 场景2：consumedInterest>0 → 平仓利息=基线-consumedInterest
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// ================================================================
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/// <summary>
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/// [CI_002] 注入consumedInterest后，平仓利息应=基线-consumedInterest
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/// ---------------------------------------------------------------
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/// 用相同参数但注入不同的consumedInterest，验证：
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/// 利息(有consumed) = 利息(无consumed) - consumedInterest
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/// 这是验证cs:793 `interest -= consumedInterest` 的直接方式。
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/// ---------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_002_consumedInterest正确扣除()
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{
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var unwindDate = StartDate.AddDays(10);
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// 基线：consumedInterest=0
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var baselineResult = CalcCompoundUnwind(CreateService(0m), unwindDate);
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decimal baseline = baselineResult.InterestAmount;
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// 注入consumedInterest=基线的50%
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decimal consumed = baseline * 0.5m;
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var consumedResult = CalcCompoundUnwind(CreateService(consumed), unwindDate);
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// 期望 = 基线 - consumed
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decimal expected = baseline - consumed;
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AssertDecimal(expected, consumedResult.InterestAmount,
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$"平仓利息应=基线({baseline:F6})-consumed({consumed:F6})={expected:F6}");
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Console.WriteLine($"基线={baseline:F6}, consumed={consumed:F6}");
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Console.WriteLine($"平仓利息={consumedResult.InterestAmount:F6}, 期望={expected:F6} ✅");
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}
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// ================================================================
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// 场景3：守恒——consumed + 平仓利息 = 基线
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// ================================================================
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/// <summary>
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/// [CI_003] 守恒：consumedInterest + 平仓利息(扣后) = 基线(无consumed)
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/// ---------------------------------------------------------------
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/// 注入任意consumedInterest，验证 consumed + 利息 = 基线。
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/// 如果扣多了（守恒不成立→合计<基线）或没扣（合计>基线），测试失败。
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/// ---------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_003_守恒consumed加平仓等于基线()
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{
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var unwindDate = StartDate.AddDays(10);
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decimal baseline = CalcCompoundUnwind(CreateService(0m), unwindDate).InterestAmount;
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// 注入不同的consumedInterest验证守恒
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decimal[] testConsumed = { baseline * 0.3m, baseline * 0.5m, baseline * 0.8m };
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foreach (var consumed in testConsumed)
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{
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var result = CalcCompoundUnwind(CreateService(consumed), unwindDate);
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decimal actual = consumed + result.InterestAmount;
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AssertDecimal(baseline, actual,
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$"守恒: consumed({consumed:F6}) + 利息({result.InterestAmount:F6}) = {actual:F6} 应=基线({baseline:F6})");
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Console.WriteLine($"consumed={consumed:F6} + 利息={result.InterestAmount:F6} = {actual:F6} = 基线{baseline:F6} ✅");
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}
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}
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// ================================================================
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// 场景4：consumedInterest=全部基线 → 平仓利息≈0，不为负
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// ================================================================
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/// <summary>
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/// [CI_004] 全部利息已结清(consumedInterest=基线)，再平仓利息应≈0
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/// ---------------------------------------------------------------
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/// 验证不会扣过头变成负数（之前单利双重扣减的错误）。
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/// 复利从头算全程 - 全程consumed = 0，应精确归零或微小正值。
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/// ---------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_004_全部已结再平仓利息不为负()
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{
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var unwindDate = StartDate.AddDays(10);
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decimal baseline = CalcCompoundUnwind(CreateService(0m), unwindDate).InterestAmount;
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// consumedInterest=全部基线
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var result = CalcCompoundUnwind(CreateService(baseline), unwindDate);
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Console.WriteLine($"基线={baseline:F6}, consumed={baseline:F6}, 平仓利息={result.InterestAmount:F6}");
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Assert.IsTrue(result.InterestAmount >= -0.01m,
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$"全部已结再平仓利息应≈0（实际={result.InterestAmount:F6}），不应为负");
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Console.WriteLine($"全部已结平仓≈0（{result.InterestAmount:F6}）✅");
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}
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[TestMethod]
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public void CI_005_partialClose_scalesConsumedInterest()
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{
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var unwindDate = StartDate.AddDays(10);
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const decimal closePercent = 0.4m;
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const decimal consumed = 100m;
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var baseline = CalcCompoundUnwind(CreateService(0m), unwindDate, closePercent).InterestAmount;
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var result = CalcCompoundUnwind(CreateService(consumed), unwindDate, closePercent).InterestAmount;
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AssertDecimal(baseline - consumed * closePercent, result,
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$"partial close should deduct consumed interest by closePercent ({closePercent})");
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}
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// ================================================================
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// 场景7：复现"平仓日=重置日 + calcLast=false → 重置日跳过 FR007 取价"
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// ================================================================
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/// <summary>
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/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
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/// ----------------------------------------------------------------
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/// 背景(GLMS-JIATT-20260805 根因)：InterestCalcMode='10'(算头不算尾,calcLast=false)，
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/// CalcDailyCompoundInterest 循环里 `if(!calcLast && accrueDate==endDate) continue` 会跳过平仓日当天。
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/// 若平仓日恰好是重置日(i%period==0)，这个跳过会让"重置日取新FR007"的代码块永远不执行，
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/// 沿用上一个重置周期的旧利率。
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///
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/// 构造：PosiStartDate=4/27, ResetPeriod=3, InterestCalcMode='10'(calcLast=false)
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/// - FR007 按日期分段：5/3之前返回 rateOld=0.001，5/3及之后返回 rateNew=0.002
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/// - 对照A：平仓日=5/5(非重置日,9? 不: (5/5-4/27)=8, 8%3=2 非重置) → 不该取新值
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/// - 对照B：平仓日=5/6(重置日,(5/6-4/27)=9, 9%3=0) → 应取新值 rateNew
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///
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/// 修复前：5/6 重置日被 calcLast 跳过 → 取到旧 rateOld → 与 5/5 相同
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/// 修复后：5/6 重置日正常取价 → 取到 rateNew → 与 5/5 不同
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/// ----------------------------------------------------------------
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/// </summary>
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/// <summary>
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/// [CI_007] 平仓日恰好是重置日时，calcLast=false 不应导致该重置日的 FR007 取价被跳过
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/// ----------------------------------------------------------------
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/// 根因(GLMS-JIATT-20260805)：InterestCalcMode='10'(calcLast=false)，
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/// CalcDailyCompoundInterest 循环 `if(!calcLast && accrueDate==endDate) continue` 跳过平仓日。
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/// 若平仓日=重置日，取价代码块被跳过 → flowEvent.FloatRate 停留旧值 → 落库后传染 EOD。
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///
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/// 构造(避开周末，period=7)：
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/// PosiStartDate=4/27(周一), period=7, interest_rule=0, InterestCalcMode='10'
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/// 重置日：i=0→4/27(周一), i=7→5/4(周一,工作日)
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/// 平仓日=5/4(=重置日=endDate)
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/// FR007 分界：rateDate>=5/4 返回 rateNew，否则 rateOld
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///
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/// 修复前：i=7(5/4)被 calcLast 跳过 → FloatRate=rateOld(旧值)
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/// 修复后：i=7(5/4)正常取价 → FloatRate=rateNew(新值)
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/// ----------------------------------------------------------------
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/// </summary>
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[TestMethod]
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public void CI_007_平仓日等于重置日_calcLast_false_仍应取新FR007()
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{
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const double rateOld = 0.001;
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const double rateNew = 0.002;
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// 用 6 月日期避开五一/周末：PosiStartDate=6/1(周一), period=7, 平仓日=6/8(周一,重置日)
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DateTime posiStart = new DateTime(2026, 6, 1);
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DateTime unwindDate = new DateTime(2026, 6, 8); // (6/8-6/1)=7, 7%7=0 重置日
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DateTime newRateFrom = new DateTime(2026, 6, 8); // 6/8(查询日,周一工作日)起为新利率
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StubSwapDealService ServiceByDate() => new StubSwapDealService(
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new OptUserInfo(0, nameof(ConsumedInterestScenarioTest), OptUserFrom.UnitTest),
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d => d >= newRateFrom ? rateNew : rateOld);
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var td = new trade
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{
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id = 1, TradeNumber = "UT-CI007", ClientId = 999998,
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TradeType = "收益互换", TradeDate = posiStart, StartDate = posiStart,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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trade_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, InterestCalcMode = "10", SettlementRules = 0
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})
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}
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};
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var position = new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
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PosiStartDate = posiStart, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.复利,
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IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
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FloatRateUnderlyingCode = "FR007",
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InterestSwapInterval = JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
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})
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};
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var interests = ServiceByDate().GetInterests(td, td.trade_extend, unwindDate, unwindDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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add: false, settment: false, newCalcLast: false);
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Assert.AreEqual(1, interests.Count);
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var result = interests[0];
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Console.WriteLine($"6/8(重置日,周一)平仓：FloatRate={result.FloatRate} Amount={result.InterestAmount:F6}");
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Console.WriteLine($" 期望 FloatRate={rateNew}（6/8 重置日查询日=6/8工作日，应取新利率）");
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|
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// 核心断言：6/8 是重置日，flowEvent.FloatRate 应反映新利率 rateNew
|
||
Assert.IsTrue(Math.Abs((result.FloatRate ?? 0) - (decimal)rateNew) < 0.0001m,
|
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$"平仓日=重置日时 FloatRate 应={rateNew}（取到新利率）。" +
|
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$"实际={result.FloatRate}，若={rateOld} 说明 calcLast=false 跳过了重置日取价（GLMS-JIATT-20260805 根因）");
|
||
}
|
||
}
|
||
}
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