zszq-trs/UnitTestProject/Modules/SwapModule/Penalty/SwapPenaltyInterestCalculatorTest.cs

using YLErp;
using YLErp.DBModels.Enums;
using YLErp.Modules.SwapModule;
using YLErp.Modules.SwapModule.Accrual;
using YLErp.Modules.SwapModule.Penalty;

namespace UnitTestProject.Modules.SwapModule.Penalty
{
    /// <summary>
    /// EQD-6977 平仓罚息计算器契约测试（返回罚息金额）。
    ///
    /// 金标准恒等式（需求核心语义，2026-08-20 裁定的精确续接口径）：
    ///     全期利息 = 平仓日已结利息 + 罚息金额
    /// 历史口径：7/31 起息、8/31 到期、7 天重置（8/7/8/14/8/21/8/28）、8/25 提前终止
    /// （平仓日落在 8/21–8/28 重置段中间——复利承接两分量的关键场景）。
    /// </summary>
    [TestClass]
    public class SwapPenaltyInterestCalculatorTest
    {
        private const decimal Notional = 100_000_000m;
        private const decimal Rate = 0.0225m; // 冻结 all-in 年化
        private const int AnnualDays = 365;
        private static readonly DateTime StartDate = new(2026, 7, 31);
        private static readonly DateTime MaturityDate = new(2026, 8, 31);
        private static readonly DateTime UnwindDate = new(2026, 8, 25);
        private static readonly DateTime LastResetBeforeUnwind = new(2026, 8, 21);

        private static swap_position CreatePosition(InterestTypeEnum interestType, SwapDirectionEnum direction)
            => new()
            {
                id = 1001, SwapTradeId = 1, PosiDirection = 0,
                InterestDirection = (int)direction,
                InterestMode = (int)InterestModeEnum.标的期初全价,
                InterestRateDefault = Rate,
                InterestPrincipalFix = Notional,
                PosiStartDate = StartDate, PosiMatuirityDate = MaturityDate,
                IsInitial = true, Invalid = false,
                InterestType = (int)interestType,
                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
                FloatRateUnderlyingCode = null,
                InterestSwapInterval = "[]"
            };

        private static AccrualPolicy Policy(swap_position p)
            => AccrualPolicy.BuildEod(p, AnnualDays, p.InterestType == (int)InterestTypeEnum.复利);

        /// <summary>常率复利重放 [7/31, endDate]，重置段 = 每 7 天。</summary>
        private static decimal CompoundAccruedTo(DateTime endDate, AccrualBoundary boundary)
        {
            var segs = new List<(DateTime, decimal)>();
            for (var d = StartDate; d <= endDate; d = d.AddDays(7)) segs.Add((d, Rate));
            return CompoundInterestAccrual.AccruePeriod(
                notional: Notional, segmentRates: segs,
                startDate: StartDate, endDate: endDate,
                boundary: boundary, annualDays: AnnualDays, isAnnualized: true,
                resetCarryInterest: 0m, realizedInterest: 0m, unwindFraction: 1m,
                finalBasis: out _).Accrued;
        }

        private static decimal CalcCompoundPenalty(
            swap_position p, decimal closePrincipal, bool settled, decimal capitalized, decimal carryIn)
            => SwapPenaltyInterestCalculator.CalcPenaltyAmount(
                p, closePrincipal,
                unwindDate: UnwindDate, maturityDate: MaturityDate,
                unwindDaySettled: settled, maturityCalcLast: true,
                capitalizedInterest: capitalized, carryInInterest: carryIn,
                frozenRate: FundingLegRate.Fixed(Rate),
                policy: Policy(p), resetAnchor: StartDate);

        [TestMethod]
        public void 金标准恒等式_复利_全期等于已结加罚息()
        {
            var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
            var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
            var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
            var carryIn = elapsed - capitalized;

            var penalty = CalcCompoundPenalty(p, Notional, settled: true, capitalized, carryIn);

            var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
            Assert.AreEqual((double)full, (double)(elapsed + penalty), 0.0001,
                $"全期({full}) 应等于 已结({elapsed}) + 罚息({penalty})；承接①={capitalized} ②={carryIn}");
        }

        [TestMethod]
        public void 金标准恒等式_复利_不算尾平仓日()
        {
            // 不算尾：正常结算未计 8/25 → 罚息含 8/25（IncludeStart=true），承接②少一天
            var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
            var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.StartOnly);
            var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
            var carryIn = elapsed - capitalized;

            var penalty = CalcCompoundPenalty(p, Notional, settled: false, capitalized, carryIn);

            var full = CompoundAccruedTo(MaturityDate, AccrualBoundary.Both);
            Assert.AreEqual((double)full, (double)(elapsed + penalty), 0.0001,
                "不算尾时罚息窗口须补回平仓日，恒等式仍成立");
        }

        [TestMethod]
        public void 单利固定腿_剩余期限利息等于公式()
        {
            // 需求 2.2.1：剩余利息 = 固定 × 名义本金 × 剩余天数 / 计息基准
            // 算尾平仓日 + 到期算尾：窗口 (8/25, 8/31] = 6 天
            var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
                CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付), Notional,
                unwindDate: UnwindDate, maturityDate: MaturityDate,
                unwindDaySettled: true, maturityCalcLast: true,
                capitalizedInterest: 0m, carryInInterest: 0m,
                frozenRate: FundingLegRate.Fixed(Rate),
                policy: Policy(CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付)),
                resetAnchor: StartDate);

            var expected = Rate * Notional * 6m / AnnualDays;
            Assert.AreEqual((double)expected, (double)amount, 0.0001, "6 天 = 8/26..8/31");
        }

        [TestMethod]
        public void 边界四象限_剩余天数口径正确()
        {
            var p = CreatePosition(InterestTypeEnum.单利, SwapDirectionEnum.支付);
            // 8/26..8/31 共 6 个计息日候选；IncludeStart 加 8/25、IncludeEnd 加 8/31 由约定裁剪
            var cases = new (bool settled, bool calcLast, int days)[]
            {
                (true,  true,  6), // (8/25, 8/31] 8/26..8/31
                (true,  false, 5), // (8/25, 8/31) 8/26..8/30
                (false, true,  7), // [8/25, 8/31] 8/25..8/31
                (false, false, 6), // [8/25, 8/31) 8/25..8/30
            };
            foreach (var (settled, calcLast, days) in cases)
            {
                var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
                    p, Notional,
                    unwindDate: UnwindDate, maturityDate: MaturityDate,
                    unwindDaySettled: settled, maturityCalcLast: calcLast,
                    capitalizedInterest: 0m, carryInInterest: 0m,
                    frozenRate: FundingLegRate.Fixed(Rate),
                    policy: Policy(p), resetAnchor: StartDate);
                var expected = Rate * Notional * days / AnnualDays;
                Assert.AreEqual((double)expected, (double)amount, 0.0001,
                    $"settled={settled}, calcLast={calcLast} → {days} 天");
            }
        }

        [TestMethod]
        public void 部分平仓_仅被平份额计罚息()
        {
            var p = CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付);
            var elapsed = CompoundAccruedTo(UnwindDate, AccrualBoundary.Both);
            var capitalized = CompoundAccruedTo(LastResetBeforeUnwind.AddDays(-1), AccrualBoundary.Both);
            var carryIn = elapsed - capitalized;

            // 被平 30%：本金与两承接量同比缩放，罚息应恰为全额的 30%
            var full = CalcCompoundPenalty(p, Notional, true, capitalized, carryIn);
            var partial = CalcCompoundPenalty(p, Notional * 0.3m, true, capitalized * 0.3m, carryIn * 0.3m);

            Assert.AreEqual((double)(full * 0.3m), (double)partial, 0.0001,
                "被平 30%（本金与承接量同比）罚息应恰为全额的 30%");
        }

        [TestMethod]
        public void 零剩余期限_金额为零()
        {
            var amount = SwapPenaltyInterestCalculator.CalcPenaltyAmount(
                CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付), Notional,
                unwindDate: MaturityDate, maturityDate: MaturityDate,
                unwindDaySettled: true, maturityCalcLast: true,
                capitalizedInterest: 90_000m, carryInInterest: 10_000m,
                frozenRate: FundingLegRate.Fixed(Rate),
                policy: Policy(CreatePosition(InterestTypeEnum.复利, SwapDirectionEnum.支付)),
                resetAnchor: StartDate);
            Assert.AreEqual(0m, amount, "平仓日=到期日无剩余期限，罚息为 0（承接量不产生利息）");
        }
    }
}