zszq-trs/YLErpWeb/fe-tests/swapCalc.test.js

/**
 * swapCalc.test.js — 前端计算逻辑单元测试
 * ============================================================================
 * 双重目的：
 *  1) 回归守卫：锁定 4 个曾出 bug 的纯函数（dcf649f2 / 20ea93d8 / 3c5f25a5 / f873239a）
 *  2) 交叉校验：用 8 个场景（FC_001~FC_008）对齐 C# FrontendCalcCharacterizationTest 金标准，
 *     一旦 JS 公式与后端 FrontendCalcReference 分叉，测试即红。
 *
 * 运行：cd YLErpWeb/fe-tests && npm i && npm test
 */
const SwapCalc = require('../wwwroot/Scripts/app/swaptrade/swapCalc.js');

const TOL = 1e-6;
function expectClose(actual, expected, msg) {
    expect(Math.abs(actual - expected)).toBeLessThanOrEqual(TOL, msg || '');
}

describe('回归守卫：曾出 bug 的纯函数', () => {
    // 20ea93d8 / dcf649f2：必须用全价(PosiGrossPrice) 且债券 ×100
    test('deriveTradingAmountAvg 债券用全价并 ×100 (守卫 20ea93d8/dcf649f2)', () => {
        expectClose(SwapCalc.deriveTradingAmountAvg(1.02, 100), 102, '债券: 1.02×100=102(界面百分比态)');
        expectClose(SwapCalc.deriveTradingAmountAvg(1.02, 1), 1.02, '非债券: 不缩放');
        // 若误用净价(PosiNetPrice) 会偏离，这里锁定"全价"语义
        expect(SwapCalc.deriveTradingAmountAvg(1.02, 100)).toBe(102);
    });

    // 3c5f25a5：FloatPnlSum 必须保留 2 位小数
    test('calcFloatPnlSum 保留 2 位 (守卫 3c5f25a5)', () => {
        expectClose(SwapCalc.calcFloatPnlSum(100.456, 1, 0.5, 0), 101.96, '100.456+1+0.5=101.956→101.96');
        expectClose(SwapCalc.calcFloatPnlSum(30, 20, 0, 0), 50, '30+20=50');
        expect(SwapCalc.calcFloatPnlSum(30, 20, 0, 0)).toBe(50);
    });

    // f873239a：名义本金 round 到 2 位
    test('calcStockEqvNotional round 2 位 (守卫 f873239a)', () => {
        expectClose(SwapCalc.calcStockEqvNotional(1.02, 100 * 100), 10200, '1.02×10000=10200');
        expectClose(SwapCalc.calcStockEqvNotional(10.005, 100), 1000.5, '10.005×100=1000.50');
    });

    test('getPriceScale 债券=0.01 非债券=1', () => {
        expect(SwapCalc.getPriceScale(100)).toBe(0.01);
        expect(SwapCalc.getPriceScale(1)).toBe(1);
    });
});

describe('交叉校验：对齐 C# FrontendCalcCharacterizationTest 金标准', () => {
    // FC_001 平仓-债券多头-默认
    test('FC_001 平仓 债券多头 默认', () => {
        const r = SwapCalc.calcUnwind({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
            closeQty: 1000, payDirection: 1, positionType: 1,
            tradingFee: '20', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 30, 'MarkClosePnl');
        expectClose(r.FloatPnlSum, 50, 'FloatPnlSum');
        expectClose(r.SwapRealizedPnL, 50, 'SwapRealizedPnL');
    });

    // FC_002 改标的价格 105→110
    test('FC_002 平仓 改标的价格', () => {
        const r = SwapCalc.calcUnwind({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 110,
            closeQty: 1000, payDirection: 1, positionType: 1,
            tradingFee: '20', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 80, 'MarkClosePnl');
        expectClose(r.FloatPnlSum, 100, 'FloatPnlSum');
    });

    // FC_003 改平仓数量 1000→500
    test('FC_003 平仓 改平仓数量', () => {
        const r = SwapCalc.calcUnwind({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
            closeQty: 500, payDirection: 1, positionType: 1,
            tradingFee: '20', tradingFeePending: '10', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 15, 'MarkClosePnl');
        expectClose(r.FloatPnlSum, 45, 'FloatPnlSum');
    });

    // FC_004 改利息金额 +100
    test('FC_004 平仓 改利息金额', () => {
        const r = SwapCalc.calcUnwind({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
            closeQty: 1000, payDirection: 1, positionType: 1,
            tradingFee: '20', tradingFeePending: '0', dividendIn: '0',
            interestLegs: [{ interestClosePnL: 100 }]
        });
        expectClose(r.MarkClosePnl, 30, 'MarkClosePnl 不受利息影响');
        expectClose(r.SwapRealizedPnL, 150, '含利息 SwapRealizedPnL');
    });

    // FC_005 非债券空头 方向因子
    test('FC_005 平仓 非债券空头 方向因子', () => {
        const r = SwapCalc.calcUnwind({
            multiplier: 1, posiGrossPrice: 100, tradingAmountAvg: 105,
            closeQty: 1000, payDirection: 1, positionType: 2,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, -5000, '空头价格涨=亏损');
    });

    // FC_006 结息 债券多头 全量
    test('FC_006 结息 债券多头 全量', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 300, 'income MarkClosePnl');
        expectClose(r.SwapRealizedPnL, 300, 'income SwapRealizedPnL');
    });

    // FC_007 结息 改标的价格 105→110
    test('FC_007 结息 改标的价格', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 110,
            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0'
        });
        expectClose(r.MarkClosePnl, 800, '改价格后 income MarkClosePnl');
    });

    // FC_008 结息 含利息腿+预付金腿
    test('FC_008 结息 含利息腿与预付金腿 总额', () => {
        const r = SwapCalc.calcIncome({
            multiplier: 100, posiGrossPrice: 1.02, tradingAmountAvg: 105,
            closeNotionalValue: 10000, closeQty: 0, payDirection: 1, positionType: 1,
            tradingFee: '0', tradingFeePending: '0', dividendIn: '0',
            interestLegs: [{ interestClosePnL: 100 }],
            marginLegs: [{ interestClosePnL: 50 }]
        });
        expectClose(r.SwapRealizedPnL, 450, '含利息+预付金 SwapRealizedPnL');
        expectClose(r.SwapMarginRebatePnl, 50, 'SwapMarginRebatePnl');
    });
});