zszq-trs/UnitTestProject/Modules/SwapModule/GLMS20260817Fr007UnwindMorningTest.cs

using Newtonsoft.Json;
using YLErp.DBModels.Enums;

namespace YLErp.Modules.SwapModule
{
    /// <summary>
    /// EQD-6968 FR007 不算尾平仓"上午未发布"误拦截 —— 修复后回归套件（内存，不连库）。
    /// 任务编号 EQD-6968；现象报告日 2026-08-17。参照 GLMS20260703CloseInterestTest 内存 FR007 写法。
    ///
    /// 设计：所有场景经单一 Run 运行器驱动真实 GetInterests 平仓利息路径；
    /// 内存 StubSwapDealService 重写 TryGetFloatRate 按日期返回 FR007（缺失即返回 false → 触发取价失败）。
    /// 覆盖两条计息路径（复利 CalcDailyCompoundInterest / 单利 CalcDailySimpleInterest）共用的修复点 BuildSegmentRates，
    /// 以及全平重放分支、非整倍数边界、数值一致性（"跳过取价=沿用上一重置日利率"）。
    ///
    /// 核心语义：算头不算尾(calcLast=false)时 endDate 当天不计息，其 FR007 利率不参与计息。
    /// 缺价时跳过取价（currentFloat 保持不变），不回退取其他日期利率，不告警。
    /// </summary>
    [TestClass]
    public class GLMS20260817Fr007UnwindMorningTest
    {
        private static readonly Dictionary<DateTime, double> Fr007Market = new()
        {
            [new DateTime(2026, 7, 6)] = 0.0142,
            [new DateTime(2026, 7, 13)] = 0.01425,
            [new DateTime(2026, 7, 20)] = 0.0143,
        };
        private const double PreviousResetRate = 0.01425;

        private const decimal Notional = 279486108.21m;
        private const int AnnualDays = 365;
        private const decimal Spread = -0.0155m;
        private static readonly DateTime StartDate = new(2026, 7, 6);
        private static readonly DateTime TradeDate = new(2026, 7, 3);
        private static readonly DateTime CloseDate = new(2026, 7, 20);
        private static readonly DateTime NonIntCloseDate = new(2026, 7, 22);

        private sealed class StubSwapDealService : SwapDealService
        {
            private readonly HashSet<DateTime> _omit;
            private readonly double _closeRate;
            public readonly List<DateTime> PricedDates = new();

            public StubSwapDealService(OptUserInfo optUser, IEnumerable<DateTime> omit, double closeRate = 0.0143)
                : base(optUser)
            {
                _omit = new HashSet<DateTime>(omit.Select(d => d.Date));
                _closeRate = closeRate;
            }

            protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
            {
                rate = 0d;
                if (underlyingCode != "FR007") return false;
                var map = new Dictionary<DateTime, double>(Fr007Market) { [CloseDate] = _closeRate };
                if (_omit.Contains(valueDate.Date)) return false;
                if (map.TryGetValue(valueDate.Date, out rate))
                {
                    PricedDates.Add(valueDate.Date);
                    return true;
                }
                return false;
            }

            // 内存世界无历史结息流水，consumedInterest=0（与本类"内存，不连库"声明一致；否则复利路径偷连 96 库）
            public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate) => 0m;
        }

        private sealed class Outcome
        {
            public swap_flow_event Fe;
            public Exception Ex;
            public bool Threw => Ex != null;
        }

        private static OptUserInfo MakeOptUser() =>
            new(0, nameof(GLMS20260817Fr007UnwindMorningTest), OptUserFrom.UnitTest);

        private static trade BuildTrade(DateTime closeDate)
        {
            var extend = new trade_extend
            {
                TradeId = 1,
                ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                {
                    AnnualDays = AnnualDays,
                    InterestCalcMode = "10",
                    SettlementRules = 0
                })
            };
            return new trade
            {
                id = 1,
                TradeNumber = "GLMS-20260817-FR007-MORNING",
                ClientId = 999998,
                TradeType = "债券TRS",
                TradeDate = TradeDate,
                StartDate = StartDate,
                ExerciseDate = closeDate.AddDays(1),
                TradeStatus = "已平仓",
                ValidState = "Valid",
                trade_extend = extend
            };
        }

        private static swap_position BuildPosition(InterestTypeEnum interestType, DateTime closeDate, int restDays = 7)
        {
            var intervalModels = new List<IntervalModel>
            {
                new IntervalModel { Date = closeDate, Rate = Spread, Settlement = 0 }
            };
            return new swap_position
            {
                id = 1001,
                SwapTradeId = 1,
                PositionType = (int)PositionTypeFlag.Unknown,
                InterestDirection = (int)SwapDirectionEnum.支付,
                InterestMode = (int)InterestModeEnum.标的期初全价,
                InterestRateDefault = Spread,
                InterestPrincipalFix = Notional,
                PosiStartDate = StartDate,
                PosiMatuirityDate = closeDate,
                IsInitial = true,
                Invalid = false,
                InterestType = (int)interestType,
                IsAnnualized = true,
                interest_rest_days = restDays,
                interest_rule = 0,
                FloatRateUnderlyingCode = "FR007",
                FloatRate = 0m,
                PosiNotionalValue = Notional,
                UnderlyingCode = "2500002.IB",
                InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
            };
        }

        private static eod_swap_position BuildPreEod(DateTime valueDate)
        {
            return new eod_swap_position
            {
                id = 5001,
                PositionId = 1001,
                ValueDate = valueDate,
                FloatRate = 0.01425m,
                InterestProfitSum = -100000m,
                TdInterestPrincipal = Notional,
                InterestIncomeSum = -150000m
            };
        }

        private static Outcome Run(
            InterestTypeEnum interestType,
            bool includeCloseDate,
            DateTime? closeDate = null,
            int restDays = 7,
            eod_swap_position preEod = null,
            decimal closePrecent = 1m,
            DateTime? omitDate = null,
            double closeRate = 0.0143)
        {
            var cd = closeDate ?? CloseDate;
            var omit = new HashSet<DateTime>();
            if (omitDate.HasValue) omit.Add(omitDate.Value.Date);
            else if (!includeCloseDate) omit.Add(cd.Date);

            var svc = new StubSwapDealService(MakeOptUser(), omit, closeRate);
            var td = BuildTrade(cd);
            var position = BuildPosition(interestType, cd, restDays);
            var eodList = preEod == null
                ? new List<eod_swap_position>()
                : new List<eod_swap_position> { preEod };
            try
            {
                var interests = svc.GetInterests(
                    td, td.trade_extend, cd, cd, eodList,
                    new List<swap_position> { position },
                    Notional, Notional, closePrecent,
                    (int)SwapEventTypeEnum.平仓, false, Notional,
                    false, settment: false, newCalcLast: false, closeList: null);
                Assert.AreEqual(1, interests.Count, "应返回恰好 1 条利息事件");
                return new Outcome { Fe = interests[0] };
            }
            catch (Exception ex)
            {
                return new Outcome { Ex = ex };
            }
        }

        private static void AssertNoThrow(Outcome o, string scenario)
        {
            Assert.IsFalse(o.Threw, scenario + " 不应因平仓日 FR007 未发布而抛异常：" + o.Ex?.Message);
            Assert.IsNotNull(o.Fe, scenario + " 应返回利息事件");
            Assert.IsFalse(o.Fe.InterestAmount == 0 && o.Fe.FloatRate == 0, scenario + " 利息不应全为零");
        }

        [TestMethod]
        public void Red_Compound_WithoutCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false), "复利-无preEod-缺平仓日");
        }

        [TestMethod]
        public void Baseline_Compound_WithCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true), "复利-无preEod-有平仓日");
        }

        [TestMethod]
        public void Red_Compound_FullClose_WithPreEod_WithoutCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
                "复利-全平重放-缺平仓日");
        }

        [TestMethod]
        public void Baseline_Compound_FullClose_WithPreEod_WithCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
                "复利-全平重放-有平仓日");
        }

        [TestMethod]
        public void Red_Simple_WithoutPreEod_WithoutCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false), "单利-无preEod-缺平仓日");
        }

        [TestMethod]
        public void Red_Simple_WithPreEod_WithoutCloseDateFr007_Succeeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate)),
                "单利-带preEod-缺平仓日");
        }

        [TestMethod]
        public void Consistency_Compound_SkipEqualsPreviousRate()
        {
            var worldA = Run(InterestTypeEnum.复利, includeCloseDate: false);
            var worldB = Run(InterestTypeEnum.复利, includeCloseDate: true, closeRate: PreviousResetRate);
            Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
            Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
            Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
                "缺价跳过取价世界 应与 显式置上一期利率世界 利息完全一致（该日利率不参与计息，沿用上期）");
        }

        [TestMethod]
        public void Consistency_Simple_SkipEqualsPreviousRate()
        {
            var worldA = Run(InterestTypeEnum.单利, includeCloseDate: false, preEod: BuildPreEod(StartDate));
            var worldB = Run(InterestTypeEnum.单利, includeCloseDate: true, preEod: BuildPreEod(StartDate), closeRate: PreviousResetRate);
            Assert.IsFalse(worldA.Threw, "世界A 不应抛：" + worldA.Ex?.Message);
            Assert.IsFalse(worldB.Threw, "世界B 不应抛：" + worldB.Ex?.Message);
            Assert.AreEqual(worldA.Fe.InterestAmount, worldB.Fe.InterestAmount,
                "单利：缺价跳过取价世界 应与 显式置上一期利率世界 利息完全一致（该日利率不参与计息）");
        }

        [TestMethod]
        public void Boundary_Compound_NonIntegerMultiple_LastResetStillPrices()
        {
            var o = Run(InterestTypeEnum.复利, includeCloseDate: false, closeDate: NonIntCloseDate, omitDate: new DateTime(2026, 7, 20));
            Assert.IsTrue(o.Threw, "非整倍数时末段重置日 7/20 缺价应抛异常（该日利率被消费）");
            StringAssert.Contains(o.Ex.Message, "FR007");
        }

        [TestMethod]
        public void Boundary_Compound_NonIntegerMultiple_WithCloseDateSucceeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, closeDate: NonIntCloseDate),
                "非整倍数-有7/20价-应成功");
        }

        [TestMethod]
        public void Boundary_Simple_NonIntegerMultiple_LastResetStillPrices()
        {
            var o = Run(InterestTypeEnum.单利, includeCloseDate: false, closeDate: NonIntCloseDate,
                preEod: BuildPreEod(StartDate), omitDate: new DateTime(2026, 7, 20));
            Assert.IsTrue(o.Threw, "单利 非整倍数时末段重置日 7/20 缺价应抛异常");
            StringAssert.Contains(o.Ex.Message, "FR007");
        }

        [TestMethod]
        public void Boundary_Simple_NonIntegerMultiple_WithCloseDateSucceeds()
        {
            AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, closeDate: NonIntCloseDate, preEod: BuildPreEod(StartDate)),
                "单利-非整倍数-有7/20价-应成功");
        }
    }
}