hjhan
9b29211d3c
- GetInterests 保证金分支(5/6)切到 CalcMarginInterest，不再走融资腿通用 CalcEodInterest/CalcUnwindInterest - 删除 InitSwapDealInterest 的保证金 orginPv 维度 hack（保证金已不走该方法，成为死代码） - CalcMarginInterest 修正三处与旧管线的对齐（全量回归发现）： · 加 endDate 参数（盘中用 InitInterestDate 的 endDate，否则少算天数） · calcLast 合并 newCalcLast（与 CalcUnwindInterest 一致，算尾） · 盘中保留 accrualBasis 差分（posiPrincipal 对齐状态路径相关，单一本金变量无法覆盖；orginPv 内部按 PreviousBalance 算，消除外部维度 hack） - 更新 Shadow/GoldenReplay 测试调用点（加 endDate） 修正说明：盘中“消除差分”不可行——SPC_006(position 已对齐) 与 PrepaidPrincipalCloseTrace(position 未对齐) 期望相反，差分 accrualBasis 经 orginPv 自适应两种状态。CalcMarginInterest 真实收益收敛为：保证金领域独立 + orginPv 内聚 + 消除浮动/分段/复利死分支，而非消除差分。EOD 路径无差分（用昨日终本金）。 验证：全量 SwapModule 522/522 通过（0 失败）；真实库黄金回放 60 条 0 差异。
204 lines
11 KiB
C#
204 lines
11 KiB
C#
using System;
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using System.Collections.Generic;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Newtonsoft.Json;
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using YLErp;
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using YLErp.DBModels;
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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.Margin;
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using YLErp.Derivatives.Interest;
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namespace UnitTestProject.Modules.SwapModule.Margin
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{
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/// <summary>
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/// 影子对账：保证金腿新方法 CalcMarginInterest（无 orginPv/差分）vs
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/// 旧通用管线 CalcDailySimpleInterestByEod/CalcDailySimpleInterest（带差分 + orginPv hack）。
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///
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/// 保证金是纯固定利率单利（FloatRateUnderlyingCode 恒空、InterestType 恒单利、SwapIntervalList 单段），
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/// 旧管线差分公式 accrualBasis = TdInterestPrincipal + posiPrincipal - orginPv 对保证金恒等于 posiPrincipal
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/// （因 orginPv 经 PreviousBalance 对齐到昨日终保证金余额），故新方法直接用 posiPrincipal/昨日终本金作
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/// notional 应与旧管线严格数值一致。本测试即在多种场景下证明这一等价，为提交2 切换生产路径提供安全网。
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/// </summary>
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[TestClass]
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public class MarginInterestShadowTest
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{
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private const decimal Principal = 2_000_000m; // 保证金本金（InterestPrincipalFix）
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private const decimal Rate = 0.03m; // 3% 年化固定利率
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 7, 1);
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private static readonly DateTime ExerciseDate = new(2027, 6, 30);
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private sealed class StubSvc : SwapDealService
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{
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public StubSvc() : base(new OptUserInfo(0, nameof(MarginInterestShadowTest), OptUserFrom.UnitTest)) { }
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}
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private static trade CreateTrade() => new trade
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{
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id = 1, TradeNumber = "UT-MARGIN-SHADOW", 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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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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{ AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0 })
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}
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};
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/// <summary>保证金腿（初始预付金 mode 5）：固定利率、单利、年化、无浮动标的。</summary>
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private static swap_position CreateMarginPosition() => new swap_position
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{
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id = 2001, SwapTradeId = 1, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestRateDefault = Rate, InterestPrincipalFix = Principal,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false,
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InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 1, interest_rule = 0,
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FloatRateUnderlyingCode = null, InterestSwapInterval = "[]"
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};
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/// <summary>构造昨日终 eod_swap_position（已含累计利息 InterestProfitSum 与昨日终本金）。</summary>
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private static eod_swap_position CreatePreEod(DateTime valueDate, decimal profitSum) => new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 2001,
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ValueDate = valueDate,
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TdInterestPrincipal = Principal, InterestPrincipalFix = Principal,
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InterestProfitSum = profitSum, PosiNotionalValue = Principal, FloatRate = 0m
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};
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// ──────────────────────────── EOD 路径 ────────────────────────────
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/// <summary>EOD 续接单日：有历史归档，notional=昨日终本金。</summary>
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[TestMethod]
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public void 影子_EOD续接单日_新旧一致()
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{
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var td = CreateTrade();
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var position = CreateMarginPosition();
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var valueDate = StartDate.AddDays(5);
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const decimal profitSum = 820m;
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// 旧方法
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterestByEod(CreatePreEod(StartDate.AddDays(4), profitSum),
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valueDate, td.StartDate.Value, position, Principal, Principal,
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
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// 新方法（独立 preEod，相同初始值）
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: true,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: true, swap: false);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount} ClosePnL={newEvt.InterestClosePnL}");
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Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
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Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
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}
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/// <summary>EOD 首日（preEod.id==0）：首日初始化 notional=posiPrincipal。</summary>
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[TestMethod]
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public void 影子_EOD首日_新旧一致()
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{
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var td = CreateTrade();
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var position = CreateMarginPosition();
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var valueDate = StartDate;
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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svc.CalcDailySimpleInterestByEod(new eod_swap_position { id = 0 },
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valueDate, td.StartDate.Value, position, Principal, Principal,
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, ref oldI, ref oldTd);
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: true,
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new eod_swap_position { id = 0 }, 0, add: false, settment: true, swap: false);
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Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
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Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
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}
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// ──────────────────────────── 盘中路径 ────────────────────────────
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/// <summary>盘中全平（closePercent=1）：新方法 notional=posiPrincipal，旧方法差分 accrualBasis 恒=posiPrincipal。</summary>
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[TestMethod]
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public void 影子_盘中全平_新旧一致()
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{
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var td = CreateTrade();
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var position = CreateMarginPosition();
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var valueDate = StartDate.AddDays(5);
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const decimal profitSum = 820m;
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// 旧方法：orginPv 经 PreviousBalance 对齐到昨日终保证金余额 → accrualBasis 恒= Principal
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
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decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
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svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, 1m, orginPv,
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calcFirst: true, calcLast: false, ref oldI, ref oldTd);
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// 新方法：notional = posiPrincipal（无差分、无 orginPv）
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
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Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
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Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
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}
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/// <summary>盘中部分平仓（closePercent=0.5）：缩放累计，新旧线性等价。</summary>
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[TestMethod]
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public void 影子_盘中部分平仓_新旧一致()
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{
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var td = CreateTrade();
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var position = CreateMarginPosition();
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var valueDate = StartDate.AddDays(5);
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const decimal profitSum = 820m;
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const decimal closePct = 0.5m;
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decimal oldI = 0, oldTd = 0;
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var svc = new StubSvc();
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var preEodOld = CreatePreEod(StartDate.AddDays(4), profitSum);
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decimal orginPv = MarginCalc.PreviousBalance(preEodOld, Principal);
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svc.CalcDailySimpleInterest(preEodOld, valueDate, position, Principal,
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new swap_flow_event { InterestRate = Rate }, AnnualDays, 0m, closePct, orginPv,
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calcFirst: true, calcLast: false, ref oldI, ref oldTd);
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate,
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Principal * closePct, Principal, closePct,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), profitSum), 0, add: false, settment: false, swap: false);
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Console.WriteLine($"旧: I={oldI} Td={oldTd}");
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Console.WriteLine($"新: I={newEvt.InterestAmount} Td={newEvt.TdInterestAmount}");
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Assert.AreEqual(oldI, newEvt.InterestAmount, "InterestAmount 一致");
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Assert.AreEqual(oldTd, newEvt.TdInterestAmount, "TdInterestAmount 一致");
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}
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/// <summary>互换事件（swap=true，盘中）：利息应归零。</summary>
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[TestMethod]
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public void 影子_盘中互换_利息归零()
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{
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var td = CreateTrade();
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var position = CreateMarginPosition();
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var valueDate = StartDate.AddDays(5);
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var svc = new StubSvc();
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var newEvt = svc.CalcMarginInterest(td, valueDate, valueDate, position, Rate, Principal, Principal, 1m,
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AnnualDays, calcFirst: true, calcLast: false,
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CreatePreEod(StartDate.AddDays(4), 820m), 0, add: false, settment: false, swap: true);
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Assert.AreEqual(0m, newEvt.InterestAmount, "互换利息归零");
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Assert.AreEqual(0m, newEvt.TdInterestAmount, "互换 TdInterestAmount 归零");
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Assert.AreEqual(0m, newEvt.InterestClosePnL, "互换 InterestClosePnL 归零");
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}
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}
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}
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