hjhan
b01b485ee4
钉住三组现状（Step3 特判降级的前置回归网）：
- 复利×mode2×部分平仓30%：盘中=0.036164835616（closePosi=平掉额300 全程重放）；
EOD=0.059041913305（preEod待实现0.05 + 平掉额末段增量0.009042，closePercent==1 分支）
⚠️ 两值不等=同一经济事件两种结息额的口径分歧，已留档待业务裁决（勿当既定正确）
- 单利×mode2：双入口数值留档（Console），断言非零
- 复利×mode9 全平（posi=0）：兜底覆盖生效，结息额非零（兜底钉子）
基建复用 GetInterestsUnitTest_T0 口径（T+0、4/27起息、11算头算尾、FR007内存取价stub）。
221 lines
12 KiB
C#
221 lines
12 KiB
C#
using Newtonsoft.Json;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// GetInterests 双显式入口语义字符化测试（Step3"特判降级"的前置钉子）。
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///
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/// 背景：GetIntradayUnwindInterests（盘中：平仓前剩余×实际比例）与
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/// CalcEodPostCloseSettleInterests（EOD平仓后收盘：平仓后剩余×恒1）是同一经济事件
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/// （部分平仓）的两套传参语义，靠 GetInterests 内 mode2 无条件覆盖 / mode9 全平兜底粘合。
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/// 本测试钉死当前行为，使后续特判降级/语义重构有回归网：
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/// ① 复利×mode2：closePrincipal（特判产物）是 CalcDailyCompoundInterest 的重放本金——
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/// 两入口 closePosiNotionalValue 均为实际平掉额 → InterestAmount 必须相等；
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/// ② 单利×mode2：CalcDailySimpleInterest 消费的是 posiPrincipal×closePercent——
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/// 盘中(平仓前×比例) vs EOD(剩余×1) 数值口径可能不同，本测试【记录现状】（见各断言注释）；
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/// ③ mode9 全平（posi=0）：兜底覆盖生效，结息额非零。
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///
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/// 数据基建复用 GetInterestsUnitTest_T0 的构建器口径（T+0，4/27起息，"11"算头算尾）。
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/// </summary>
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[TestClass]
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public class GetInterestsEntrySemanticsTest
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{
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private const decimal Principal = 1000m;
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private const decimal FixedRate = 0.01m;
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private const decimal FloatRate = 0.001m;
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private const int AnnualDays = 365;
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private const int ResetPeriod = 3;
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private static readonly DateTime TradeDate = new(2026, 4, 27);
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime ExerciseDate = new(2027, 4, 27);
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private static readonly DateTime UnwindDate = new(2026, 4, 30);
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// 平仓前剩余 1000，平掉 30%（300），收盘后剩余 700
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private const decimal PreClose = 1000m;
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private const decimal Closed = 300m;
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private const decimal Remaining = 700m;
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private const decimal ClosePercent = 0.3m;
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#region Stub（浮动利率内存取价，与 T0 同款）
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private sealed class StubSwapDealService : SwapDealService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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public StubSwapDealService(OptUserInfo optUser, IReadOnlyDictionary<DateTime, double> floatRates) : base(optUser)
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{
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_floatRates = floatRates;
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}
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{
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if (!string.Equals(underlyingCode, "FR007", StringComparison.OrdinalIgnoreCase)) { rate = 0; return false; }
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if (_floatRates.TryGetValue(valueDate.Date, out rate)) return true;
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rate = 0;
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return false;
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}
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}
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private static SwapDealService CreateService() => new StubSwapDealService(
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new OptUserInfo(0, nameof(GetInterestsEntrySemanticsTest), OptUserFrom.UnitTest),
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new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 27)] = (double)FloatRate,
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[new DateTime(2026, 4, 28)] = (double)FloatRate,
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[new DateTime(2026, 4, 29)] = (double)FloatRate,
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[new DateTime(2026, 4, 30)] = (double)FloatRate,
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});
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#endregion
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#region 数据构建（T0 口径）
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private static trade CreateTrade()
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{
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var 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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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "11", // 算头算尾
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SettlementRules = 0
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})
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};
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return new trade
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{
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id = 1, TradeNumber = "UT-INT-ENTRY-SEMANTICS", ClientId = 999998,
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TradeType = "收益互换", TradeDate = TradeDate, StartDate = StartDate,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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trade_extend = extend
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};
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}
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private static swap_position CreatePosition(InterestModeEnum mode, InterestTypeEnum interestType, bool floating = false)
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{
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var intervalModels = new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = FixedRate, Settlement = 0 }
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};
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)mode,
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InterestRateDefault = FixedRate, InterestPrincipalFix = Principal,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)interestType,
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IsAnnualized = true, interest_rest_days = ResetPeriod, interest_rule = 0,
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FloatRateUnderlyingCode = floating ? "FR007" : null,
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InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
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};
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}
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private static eod_swap_position CreatePreEod(decimal interestSum, decimal principal)
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=> new()
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{
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id = 1, SwapTradeId = 1, PositionId = 1001, ValueDate = new DateTime(2026, 4, 29),
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ClientId = 999998, FloatRate = FloatRate, TdInterestPrincipal = principal,
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PosiNotionalValue = principal, InterestIncomeSum = interestSum, InterestProfitSum = interestSum
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};
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#endregion
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/// <summary>
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/// 复利×mode2×部分平仓30%：钉住两入口【当前】结息口径（2026-08-14 实测，字符化）。
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///
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/// 实测（closePrincipal 特判两边均=平掉额300，但消费路径不同）：
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/// 盘中 = 0.036164835616 —— CalcDailyCompoundInterest 以 closePosi(300) 全程重放 [4/27,4/30]；
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/// EOD = 0.059041913305 —— InitSwapDealInterest closePercent==1 分支：
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/// preEod.InterestIncomeSum(0.05 全腿待实现) + amountAtEnd(0.036165) - amountAtPrevEod(0.027123)。
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///
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/// ⚠️ 两值不等 = 已观察到的口径分歧（同一经济事件两种结息额），非断言失败项；
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/// 待业务裁决哪个口径正确前，本测试锁死两值防意外漂移。裁决后改断言为"相等"或删除错方。
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/// </summary>
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[TestMethod]
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public void 复利_mode2_部分平仓_双入口口径钉住现状()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.复利, floating: true);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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var intraday = CreateService().GetIntradayUnwindInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, PreClose, PreClose, 0m, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null);
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var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, Remaining, Remaining, 0m, Closed, 1m,
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(int)SwapEventTypeEnum.平仓, tdClose: false, needPrice: true, grossPrice: 1m, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, intraday.Count);
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Assert.AreEqual(1, eodPostClose.Count);
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Console.WriteLine($"[复利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
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// 钉住两入口各自的当前值（容差 1e-9 级，防任何实现漂移）
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Assert.AreEqual(0.036164835616m, intraday[0].InterestAmount, 0.000000001m,
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"盘中口径：closePosi(平掉额300) 全程重放利息。此值变化=盘中复利口径漂移");
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Assert.AreEqual(0.059041913305m, eodPostClose[0].InterestAmount, 0.000000001m,
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"EOD口径：preEod待实现(0.05) + 平掉额末段增量(0.009042)。此值变化=EOD平仓后收盘复利口径漂移");
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}
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/// <summary>
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/// 单利×mode2×部分平仓30%：记录两入口当前口径（快照×比例 vs 重放基数差异面）。
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/// 单利消费 posiPrincipal×closePercent：盘中 1000×0.3 vs EOD 700×1 —— 若两值不等，
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/// 这是当前系统的已知口径差异面（非断言失败项），数值以 Console 留档，供特判降级时对照。
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/// </summary>
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[TestMethod]
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public void 单利_mode2_部分平仓_双入口口径留档()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.合约名义本金规模, InterestTypeEnum.单利);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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var intraday = CreateService().GetIntradayUnwindInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, PreClose, PreClose, 0m, Closed, ClosePercent,
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(int)SwapEventTypeEnum.平仓, tdClose: true, orginPv: PreClose, add: true, newCalcLast: false, closeList: null);
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var eodPostClose = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, Remaining, Remaining, 0m, Closed, 1m,
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(int)SwapEventTypeEnum.平仓, tdClose: false, needPrice: true, grossPrice: 1m, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, intraday.Count);
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Assert.AreEqual(1, eodPostClose.Count);
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Console.WriteLine($"[单利mode2] 盘中 InterestAmount={intraday[0].InterestAmount} / EOD={eodPostClose[0].InterestAmount}");
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Console.WriteLine($"[单利mode2] TdInterestAmount: 盘中={intraday[0].TdInterestAmount} / EOD={eodPostClose[0].TdInterestAmount}");
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// 钉住"两入口非零"这一最低限度事实；数值差异本身是记录项，不是失败项
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Assert.IsTrue(intraday[0].InterestAmount != 0m, "盘中单利结息额不应为0");
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Assert.IsTrue(eodPostClose[0].InterestAmount != 0m, "EOD单利结息额不应为0");
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}
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/// <summary>
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/// mode9 全平（EOD，posi=0）：特判兜底触发 closePrincipal=closePosiNotionalValue（实际平掉额），
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/// 结息额非零。若兜底被删，closePrincipal=0×1=0 → 结息额归零 → 本断言红。
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/// </summary>
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[TestMethod]
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public void 复利_mode9_全平_兜底覆盖生效结息额非零()
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{
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var td = CreateTrade();
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var position = CreatePosition(InterestModeEnum.标的期初全价, InterestTypeEnum.复利, floating: true);
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var preEod = CreatePreEod(interestSum: 0.05m, principal: PreClose);
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var eodPositions = new List<eod_swap_position> { preEod };
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var positions = new List<swap_position> { position };
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// 全平：剩余=0，平掉=全部 1000
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var result = CreateService().GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, positions, 0m, 0m, 0m, PreClose, 1m,
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(int)SwapEventTypeEnum.平仓, tdClose: false, needPrice: true, grossPrice: 1m, orginPv: PreClose,
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add: true, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, result.Count);
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Console.WriteLine($"[复利mode9全平] InterestAmount={result[0].InterestAmount}");
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Assert.IsTrue(result[0].InterestAmount != 0m,
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"mode9 全平时 posi=0，兜底必须以 closePosiNotionalValue(实际平掉额) 为结息本金，结息额非零（兜底钉子）");
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}
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}
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}
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