zszq-trs/UnitTestProject/Modules/SwapModule/SwapEodPositionRiskNewTabTest.cs

using YLErp.DBModels;
using YLErp.DBModels.Enums;

namespace YLErp.Modules.SwapModule;

/// <summary>
/// EQD-7084 新“框架合约”Tab 的口径测试。
/// 纯计算测试不依赖数据库，直接锁定 EodPnlCalculator 的新口径。
/// </summary>
[TestClass]
public class SwapEodPositionRiskNewTabTest
{
    [TestMethod]
    public void 新口径_普通利息排除保证金_浮动收益剔除费用并保留估值总额()
    {
        var floating = new[]
        {
            // EOD 归一后，费用已经按我方收益视角落库；支付费用为负数。
            FloatingLeg("600000", 1, 100m, 0m, -12m, "普通收益互换")
        };
        var interests = new[]
        {
            InterestLeg(1, (int)InterestModeEnum.固定值, 80m, 0.02m, 0.02m),
            InterestLeg(1, (int)InterestModeEnum.初始预付金, 20m, 0.01m, 0.01m)
        };

        var fields = InvokeCalculation(
            floating,
            interests,
            structureType: "普通收益互换",
            notionalValue: 1_000m,
            startDate: new DateTime(2026, 1, 1),
            maturityDate: new DateTime(2026, 12, 31),
            periodAmount: 5m,
            dividendPayDate: 0);

        Assert.AreEqual(100m, GetDecimal(fields, "FloatingUnrealizedPnl"), 0.0001m,
            "新浮动端待实现收益应排除 PosiFeePending：PosiProfitSum(88) - PosiFeePending(-12) = 100");
        Assert.AreEqual(-12m, GetDecimal(fields, "OpeningClosingFee"), 0.0001m,
            "开平仓费用直接使用 EOD 已归一的 PosiFeePending");
        Assert.AreEqual(80m, GetDecimal(fields, "OrdinaryInterestPnl"), 0.0001m,
            "利息端待实现收益应排除初始/维持保证金腿");
        Assert.AreEqual(-20m, GetDecimal(fields, "MarginInterestAmount"), 0.0001m,
            "保证金利息仍应按保证金腿方向计入估值");
        Assert.AreEqual(153m, GetDecimal(fields, "MaturityNettingValuation"), 0.0001m,
            "估值应保持旧口径：100 - 12 + 80 - 20 + 5 = 153；费用只计一次");
    }

    [TestMethod]
    public void 新口径_当前利率合计使用普通利息腿TdInterestRate_并识别FR007()
    {
        var fr007Leg = InterestLeg(2, (int)InterestModeEnum.合约名义本金规模, 20m, 0.03m, 0.018m);
        fr007Leg.FloatRateUnderlyingCode = "FR007";
        fr007Leg.FloatRate = 0.015m;
        var fields = InvokeCalculation(
            new[] { FloatingLeg("600001", 2, 100m, 0m, 0m, "普通收益互换") },
            new[]
            {
                InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m),
                fr007Leg
            },
            structureType: "普通收益互换",
            notionalValue: 100m,
            startDate: new DateTime(2026, 2, 1),
            maturityDate: new DateTime(2026, 8, 1),
            periodAmount: 0m,
            dividendPayDate: 1);

        Assert.AreEqual(0.0305m, GetDecimal(fields, "InterestRatePrice"), 0.0000001m,
            "利率端价格应为普通利息腿当前 TdInterestRate 合计，而非默认利差合计");
        Assert.AreEqual("FR007", GetString(fields, "InterestBenchmark"));
    }

    [TestMethod]
    public void 新口径_普通利息腿无FR007时基准为固定利率()
    {
        var fields = InvokeCalculation(
            new[] { FloatingLeg("600002", 1, 100m, 0m, 0m, "普通收益互换") },
            new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 10m, 0.02m, 0.0125m) },
            structureType: "普通收益互换",
            notionalValue: 100m,
            startDate: new DateTime(2026, 2, 1),
            maturityDate: new DateTime(2026, 8, 1),
            periodAmount: 0m,
            dividendPayDate: 1);

        Assert.AreEqual("固定利率", GetString(fields, "InterestBenchmark"));
    }

    [TestMethod]
    public void 新口径_债券期初价格按风险页约定放大百分价格_并保留合同字段()
    {
        var fields = InvokeCalculation(
            new[] { FloatingLeg("110000", 1, 99.12m, 0m, 0m, "普通债券类收益互换", "Bond") },
            new[] { InterestLeg(1, (int)InterestModeEnum.固定值, 1m, 0.01m, 0.01m) },
            structureType: "普通债券类收益互换",
            notionalValue: 9_900m,
            startDate: new DateTime(2026, 3, 1),
            maturityDate: new DateTime(2027, 3, 1),
            periodAmount: 0m,
            dividendPayDate: 1);

        Assert.AreEqual(99.12m, GetDecimal(fields, "InitialPrice"), 0.0001m,
            "债券日终 PosiGrossPrice 已由 SetPosiPrice 按风险页口径缩放，新接口不能再次乘 100");
        Assert.AreEqual(9_900m, GetDecimal(fields, "NotionalQuantity"), 0.0001m);
        Assert.AreEqual("多头", GetString(fields, "UnderlyingDirection"));
        Assert.AreEqual("110000", GetString(fields, "UnderlyingCode"));
        Assert.AreEqual("Bond", GetString(fields, "UnderlyingInstrumentType"));
        Assert.AreEqual(new DateTime(2026, 3, 1), GetDate(fields, "ContractStartDate"));
        Assert.AreEqual(new DateTime(2027, 3, 1), GetDate(fields, "ContractMaturityDate"));
    }

    private static object InvokeCalculation(
        IEnumerable<eod_swap_position> floating,
        IEnumerable<eod_swap_position> interests,
        string structureType,
        decimal notionalValue,
        DateTime startDate,
        DateTime maturityDate,
        decimal periodAmount,
        int dividendPayDate)
    {
        return EodPnlCalculator.CalculateEodSwapRiskNewFields(
            floating,
            interests,
            structureType,
            notionalValue,
            startDate,
            maturityDate,
            periodAmount,
            dividendPayDate);
    }

    private static decimal GetDecimal(object fields, string name)
        => Convert.ToDecimal(fields.GetType().GetProperty(name)!.GetValue(fields));

    private static string GetString(object fields, string name)
        => (string)fields.GetType().GetProperty(name)!.GetValue(fields)!;

    private static DateTime GetDate(object fields, string name)
        => (DateTime)fields.GetType().GetProperty(name)!.GetValue(fields)!;

    private static eod_swap_position FloatingLeg(
        string code,
        int positionType,
        decimal mtm,
        decimal dividend,
        decimal fee,
        string structureType,
        string instrumentType = null)
        => new()
        {
            UnderlyingCode = code,
            UnderlyingInstrumentType = instrumentType ?? structureType,
            PositionType = positionType,
            PosiGrossPrice = mtm,
            PosiMtmPnL = mtm,
            PosiDividendSum = dividend,
            PosiFeePending = fee,
            PosiProfitSum = mtm + dividend + fee,
            PosiNotionalValue = 100m
        };

    private static eod_swap_position InterestLeg(
        int direction,
        int mode,
        decimal profit,
        decimal defaultRate,
        decimal currentRate)
        => new()
        {
            InterestDirection = direction,
            InterestMode = mode,
            InterestProfitSum = profit,
            InterestRateDefault = defaultRate,
            TdInterestRate = currentRate
        };
}