zszq-trs/UnitTestProject/Modules/SwapModule/Accrual/SimplePeriodShadowTest.cs

using System;
using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using Newtonsoft.Json;
using YLErp;
using YLErp.DBModels;
using YLErp.DBModels.Enums;
using YLErp.Modules.SwapModule;
using YLErp.Modules.SwapModule.Accrual;
using YLErp.Derivatives.Interest;

namespace UnitTestProject.Modules.SwapModule.Accrual
{
    /// <summary>
    /// 影子测试：CalcDailySimpleInterest（旧逐日循环）vs SimpleInterestAccrual.AccruePeriod（新分段纯函数）。
    /// </summary>
    [TestClass]
    public class SimplePeriodShadowTest
    {
        private const decimal Notional = 100_000_000m;
        private const decimal Spread = 0.0025m;
        private const int AnnualDays = 365;
        private static readonly DateTime StartDate = new(2026, 4, 21);
        private static readonly DateTime EndDate = new(2026, 5, 11); // 21天, 7天周期→重置日 4/28, 5/5

        private static trade CreateTrade()
        {
            return new trade
            {
                id = 1, TradeNumber = "UT-SIMPLE-SHADOW", ClientId = 999998,
                TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
                ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
                trade_extend = new trade_extend
                {
                    TradeId = 1,
                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                    {
                        AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
                    })
                }
            };
        }

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

        private sealed class StubSvc : SwapDealService
        {
            public StubSvc() : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest)) { }
        }

        /// <summary>带浮动率 stub 的 SwapDealService：override IndexFixer 注入预设 FR007 取价。</summary>
        private sealed class FloatStubSvc : SwapDealService
        {
            private readonly IIndexFixer _fixer;
            public FloatStubSvc(IIndexFixer fixer) : base(new OptUserInfo(0, nameof(SimplePeriodShadowTest), OptUserFrom.UnitTest))
                => _fixer = fixer;
            protected override IIndexFixer IndexFixer => _fixer;
        }

        /// <summary>Stub IIndexFixer：对所有查询返回固定 fixing（不依赖日期匹配，规避 QDP 日历差异）。</summary>
        private sealed class StubIndexFixer : IIndexFixer
        {
            private readonly decimal _rate;
            public StubIndexFixer(decimal rate) => _rate = rate;
            public bool TryGetFixing(DateTime fixingDate, string underlyingCode, out decimal rate)
            {
                rate = _rate;
                return true;
            }
        }

        /// <summary>
        /// 固定利率（无FR007）算头不算尾，全平，无历史归档。
        /// </summary>
        [TestMethod]
        public void 影子_固定利率_无归档_旧新一致()
        {
            var td = CreateTrade();
            var position = CreatePosition();
            var flowEvent = new swap_flow_event { InterestRate = Spread };
            var preEod = new eod_swap_position { id = 0, TdInterestPrincipal = 0, InterestProfitSum = 0 };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 1m, Notional, true, false, ref oldI, ref oldTd);

            // 新方法：固定利率全段相同
            // 旧代码差分: dynomicPrincipal = preEod.TdInterestPrincipal(=0) + posiPrincipal - orginPv = 0
            var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
            var accrualPrincipal = 0m + Notional - Notional; // 差分 = 0
            var result = SimpleInterestAccrual.AccruePeriod(
                priorAccrued: 0m,
                notional: 0m,
                unwindFraction: 1m,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                priorValueDate: DateTime.MinValue,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }

        /// <summary>
        /// 有历史归档（preEod.id != 0），续接上一日终。
        /// </summary>
        [TestMethod]
        public void 影子_有归档_续接_旧新一致()
        {
            var position = CreatePosition();
            var preEodDate = new DateTime(2026, 5, 4); // 上一日终 = 第14天
            var preEod = new eod_swap_position
            {
                id = 1, SwapTradeId = 1, PositionId = 1001,
                ValueDate = preEodDate,
                TdInterestPrincipal = Notional,
                InterestProfitSum = 200_000m,
                PosiNotionalValue = Notional, FloatRate = 0m
            };
            var flowEvent = new swap_flow_event { InterestRate = Spread };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 0.5m, Notional, true, false, ref oldI, ref oldTd);

            // 新方法
            // 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
            var accrualPrincipal = Notional + Notional - Notional;
            var segRates = new List<(DateTime, decimal)> { (StartDate, Spread) };
            var result = SimpleInterestAccrual.AccruePeriod(
                priorAccrued: 200_000m * 0.5m,
                notional: accrualPrincipal,
                unwindFraction: 0.5m,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                priorValueDate: preEodDate,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }

        /// <summary>
        /// 单利 + FR007 浮动利率 + 多重置日 + 部分平仓 + 有历史归档。
        /// 验证旧方法内部取价循环生成的 segmentRates 与手算一致——为抽取共享 SegmentRateBuilder 做安全网。
        /// 场景：preEod.ValueDate=4/30，重置日 4/21(跳过取价), 4/28(跳过取价), 5/5(取 FR007 fixing)。
        /// </summary>
        [TestMethod]
        public void 影子_单利浮动_FR007_部分平仓_旧新一致()
        {
            const decimal floatRateIn = 0.0150m;    // 入参 floateRate（上一次取到的浮动率 1.50%）
            const decimal fixingAtReset = 0.0125m;  // 5/5 重置日取到的 FR007 fixing（1.25%）
            const decimal closePct = 0.5m;
            var preEodDate = new DateTime(2026, 4, 30); // 上一日终=4/30，5/5 > 4/30 触发取价

            var position = CreatePosition();
            position.FloatRateUnderlyingCode = "FR007";

            var preEod = new eod_swap_position
            {
                id = 1, SwapTradeId = 1, PositionId = 1001,
                ValueDate = preEodDate,
                TdInterestPrincipal = Notional,
                InterestProfitSum = 200_000m,
                PosiNotionalValue = Notional, FloatRate = 0m
            };
            var flowEvent = new swap_flow_event { InterestRate = Spread };

            // 旧方法（通过 stub IndexFixer 注入 FR007 取价）
            decimal oldI = 0, oldTd = 0;
            var svc = new FloatStubSvc(new StubIndexFixer(fixingAtReset));
            svc.CalcDailySimpleInterest(preEod, EndDate, position, Notional, flowEvent,
                AnnualDays, false, floatRateIn, closePct, Notional, true, false, ref oldI, ref oldTd);

            // 新方法：手算 segmentRates（对齐旧代码取价循环的逻辑）
            // 4/21 <= preEodDate(4/30) → 跳过取价，currentFloat 保持入参 floatRateIn
            // 4/28 <= preEodDate(4/30) → 跳过取价，currentFloat 保持入参 floatRateIn
            // 5/5 > preEodDate(4/30) → 取价，currentFloat 更新为 fixingAtReset
            var segRates = new List<(DateTime, decimal)>
            {
                (StartDate, Spread + floatRateIn),               // (4/21, 0.0175)
                (StartDate.AddDays(7), Spread + floatRateIn),    // (4/28, 0.0175)
                (StartDate.AddDays(14), Spread + fixingAtReset), // (5/5, 0.0150)
            };

            // 差分本金 = preEod.TdInterestPrincipal + posiPrincipal - orginPv
            var accrualPrincipal = Notional + Notional - Notional;
            var result = SimpleInterestAccrual.AccruePeriod(
                priorAccrued: 200_000m * closePct,
                notional: accrualPrincipal,
                unwindFraction: closePct,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                priorValueDate: preEodDate,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }
    }
}