张名锐
b2f4e16782
- 实现股票/基金现金分红数据从 ex_dividend_info 同步到 BondPayment - 新增公司行为去重机制，避免镜像任务完成后重复计息 - 统一现金分红存储口径为"每 10 份派现金额"，保持与同步任务一致性 - 修改 CalcPayment 方法，股票/基金分红需除以 10 转换实际现金金额 - 添加单元测试验证债券票息和股票/基金分红的不同计算方式 - 更新文档注释说明"每 10 份派现金额"存储规范 - 修复公司行为生效日处理逻辑，确保正确应用除权系数 - 扩展测试覆盖股票类证券的公司行为处理场景
361 lines
16 KiB
C#
361 lines
16 KiB
C#
using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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[TestClass]
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public class FundCorporateActionRollbackAndUnwindTest
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{
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// 生产恢复范围已从原 Fund-only 扩展到 TRS Fund/Stock；本组继续使用 Fund 夹具，
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// 验证共享的登记日/EffectiveDate 边界和回退、平仓基线。
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private static readonly DateTime ExDate = new(2026, 8, 17);
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[TestMethod]
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public void FCA_RB_001_回退选择最近实际Eod并遵守除权日边界()
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{
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var friday = CreateEod(new DateTime(2026, 8, 14), 1000m, 100m);
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var exDate = CreateEod(ExDate, 2000m, 50m);
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var invalidSunday = CreateEod(new DateTime(2026, 8, 16), 9999m, 1m);
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invalidSunday.Invalid = true;
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var snapshots = new[] { friday, invalidSunday, exDate };
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var rollbackToExDate = SwapEodPositionService.SelectLatestEodPositionsBefore(
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snapshots,
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ExDate);
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var rollbackAfterExDate = SwapEodPositionService.SelectLatestEodPositionsBefore(
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snapshots,
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ExDate.AddDays(1));
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Assert.AreEqual(friday.ValueDate, rollbackToExDate.Single().ValueDate,
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"回退到除权日应恢复除权前最近实际 EOD，不能用周日自然日或除权日自身");
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Assert.AreEqual(1000m, rollbackToExDate.Single().PosiQuantity);
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Assert.AreEqual(exDate.ValueDate, rollbackAfterExDate.Single().ValueDate,
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"回退到除权日之后应保留已经生效的除权 EOD");
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Assert.AreEqual(2000m, rollbackAfterExDate.Single().PosiQuantity);
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}
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[TestMethod]
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public void FCA_UW_001_最近FundEod恢复价格数量且重复恢复不重复除权()
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{
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var realtime = CreateRealtimeFundPosition();
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var eod = CreateEod(ExDate, 2000m, 50m);
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Assert.IsTrue(SwapEodPositionService.RestoreFundPositionFromEod(realtime, eod));
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Assert.AreEqual(2000m, realtime.PosiQuantity);
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Assert.AreEqual(50m, realtime.PosiGrossPrice);
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Assert.AreEqual(100000m, realtime.PosiNotionalValue);
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Assert.IsTrue(SwapEodPositionService.RestoreFundPositionFromEod(realtime, eod));
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Assert.AreEqual(2000m, realtime.PosiQuantity,
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"恢复 EOD 是复制快照，不是再次套 10 送 10 系数，不能变成 4000");
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Assert.AreEqual(50m, realtime.PosiGrossPrice,
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"重复恢复不能把价格再次调整为 25");
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}
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[TestMethod]
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public void FCA_UW_002_股票与最新Eod后已有完成流水时保持实时持仓()
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{
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var nonFund = CreateRealtimeFundPosition();
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nonFund.UnderlyingInstrumentType = ConsGlobal.InstrumentType.Stock;
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var eod = CreateEod(ExDate, 2000m, 50m);
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Assert.IsTrue(SwapEodPositionService.RestoreFundPositionFromEod(nonFund, eod));
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Assert.AreEqual(2000m, nonFund.PosiQuantity);
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Assert.AreEqual(50m, nonFund.PosiGrossPrice);
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var td = SwapDealTestFactory.CreateTrade();
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var realtime = CreateRealtimeFundPosition();
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realtime.PosiQuantity = 1500m;
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realtime.PosiGrossPrice = 50m;
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var service = CreateService(td, realtime, eod, hasCompletedFlow: true);
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var unwindData = CreateFullCloseUnwindData();
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Assert.IsFalse(service.RestoreEffectiveFundPositionForTest(unwindData, ExDate.AddDays(1)));
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Assert.AreEqual(1500m, realtime.PosiQuantity,
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"EOD 后已有部分平仓流水时不能用 2000 份 EOD 覆盖实时剩余 1500 份");
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Assert.AreEqual(1000m, unwindData.CloseQty,
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"未恢复基线时不得擅自改写前端请求，沿用既有当日实时流程");
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}
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[TestMethod]
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public void FCA_UW_008_股票TRS平仓恢复有效Eod基线()
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{
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var realtime = CreateRealtimeFundPosition();
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realtime.UnderlyingCode = "STOCK.TEST";
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realtime.UnderlyingInstrumentType = ConsGlobal.InstrumentType.Stock;
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realtime.PosiQuantity = 1000m;
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realtime.PosiGrossPrice = 100m;
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realtime.PosiNetPrice = 100m;
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realtime.PosiNetFeePrice = 100m;
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realtime.PosiNetNoFeePrice = 100m;
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realtime.PosiNotionalValue = 100000m;
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var eod = CreateEod(ExDate, 2000m, 50m);
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eod.UnderlyingCode = "STOCK.TEST";
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eod.UnderlyingInstrumentType = ConsGlobal.InstrumentType.Stock;
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var service = CreateService(SwapDealTestFactory.CreateTrade(), realtime, eod, hasCompletedFlow: false);
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var unwindData = CreateFullCloseUnwindData();
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unwindData.ValueDate = ExDate;
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unwindData.UnwindDate = ExDate.AddDays(1);
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Assert.IsTrue(service.RestoreEffectiveFundPositionForTest(unwindData, ExDate));
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Assert.AreEqual(2000m, realtime.PosiQuantity,
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"Stock TRS 生效日盘中平仓应使用有效 EOD 数量，不能继续使用除权前实时数量");
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Assert.AreEqual(50m, realtime.PosiGrossPrice,
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"Stock TRS 生效日盘中平仓应使用有效 EOD 价格");
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Assert.AreEqual(2000m, unwindData.PositionQty);
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Assert.AreEqual(2000m, unwindData.CloseQty);
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Assert.AreEqual(50m, unwindData.FlowEvents.Single().PosiGrossPrice);
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}
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[TestMethod]
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public void FCA_UW_005_生效日盘中恢复前一Eod后再套除权()
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{
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var recordDate = new DateTime(2026, 8, 14);
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var realtime = CreateRealtimeFundPosition();
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var eod = CreateEod(recordDate, 1000m, 100m);
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var service = CreateService(SwapDealTestFactory.CreateTrade(), realtime, eod, hasCompletedFlow: false);
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service.ExDividendInfos.Add(new ex_dividend_info
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{
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UnderlyingCode = "FUND.TEST",
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ExDividendDate = recordDate,
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EffectiveDate = ExDate,
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GiveShareAmount = 10m,
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ValidStatus = true
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});
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var unwindData = CreateFullCloseUnwindData();
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Assert.IsTrue(service.RestoreEffectiveFundPositionForTest(unwindData, ExDate));
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Assert.AreEqual(2000m, realtime.PosiQuantity,
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"8 月 17 日盘中应先从 8 月 14 日 EOD 恢复，再按 10 送 10 变为 2000 份");
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Assert.AreEqual(50m, realtime.PosiGrossPrice,
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"真实除权生效日盘中应使用 50 元基准，不能继续使用登记日 100 元");
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Assert.AreEqual(2000m, unwindData.CloseQty);
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Assert.AreEqual(50m, unwindData.FlowEvents.Single().PosiGrossPrice);
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}
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[TestMethod]
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public void FCA_UW_006_登记日盘中平仓不提前应用除权()
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{
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var recordDate = new DateTime(2026, 8, 14);
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var realtime = CreateRealtimeFundPosition();
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// 8 月 14 日盘中尚未生成当日 EOD，最近可用快照应是 8 月 13 日。
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var eod = CreateEod(recordDate.AddDays(-1), 1000m, 100m);
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var service = CreateService(SwapDealTestFactory.CreateTrade(), realtime, eod, hasCompletedFlow: false);
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service.ExDividendInfos.Add(new ex_dividend_info
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{
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UnderlyingCode = "FUND.TEST",
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ExDividendDate = recordDate,
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EffectiveDate = ExDate,
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GiveShareAmount = 10m,
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ValidStatus = true
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});
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var unwindData = CreateFullCloseUnwindData();
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unwindData.ValueDate = recordDate;
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unwindData.UnwindDate = recordDate.AddDays(1);
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service.SwapUnwind(unwindData);
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Assert.AreEqual(1000m, unwindData.PositionQty,
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"登记日仍使用除权前 EOD 基线，不能提前变为 2000 份");
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Assert.AreEqual(1000m, unwindData.CloseQty);
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Assert.AreEqual(100m, unwindData.FlowEvents.Single().PosiGrossPrice,
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"登记日盘中平仓价格仍应为 100 元，除权生效日才切换为 50 元");
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}
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[TestMethod]
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public void FCA_UW_007_基金直接拆合股比例零点零一_平仓按新数量价格()
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{
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var recordDate = new DateTime(2026, 8, 14);
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var realtime = CreateRealtimeFundPosition();
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var eod = CreateEod(recordDate, 1000m, 100m);
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var td = SwapDealTestFactory.CreateTrade();
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td.StockEqvNotional = 100000d;
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td.TradeAmount = 1000d;
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var service = CreateService(td, realtime, eod, hasCompletedFlow: false);
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service.ExDividendInfos.Add(new ex_dividend_info
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{
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UnderlyingCode = "FUND.TEST",
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ExDividendDate = recordDate,
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EffectiveDate = ExDate,
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// 上游 splitratio=0.01 必须先转换为 10 * (0.01 - 1)=-9.9；
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// 直接写 0.01 会按当前字段公式得到 1.001 倍，无法表达缩小为 0.01 倍。
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GiveShareAmount = -9.9m,
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ValidStatus = true
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});
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var unwindData = CreateFullCloseUnwindData();
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unwindData.ValueDate = ExDate;
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unwindData.UnwindDate = ExDate.AddDays(1);
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service.SwapUnwind(unwindData);
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Assert.AreEqual(10m, unwindData.PositionQty,
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"Fund splitratio=0.01 时，有效平仓基线应为 1000 * 0.01 = 10 份");
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Assert.AreEqual(10m, unwindData.CloseQty);
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Assert.AreEqual(10000m, unwindData.FlowEvents.Single().PosiGrossPrice,
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"Fund 份额缩小为 0.01 倍时，直接平仓期初价应为 100 / 0.01 = 10000");
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}
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[TestMethod]
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public void FCA_UW_003_正式平仓按FundEod基线重算PnL和现金()
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{
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var td = SwapDealTestFactory.CreateTrade();
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td.StockEqvNotional = 100000d;
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td.TradeAmount = 1000d;
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var realtime = CreateRealtimeFundPosition();
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var eod = CreateEod(ExDate, 2000m, 50m);
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var service = CreateService(td, realtime, eod, hasCompletedFlow: false);
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var unwindData = CreateFullCloseUnwindData();
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var floatEvent = unwindData.FlowEvents.Single();
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service.SwapUnwind(unwindData);
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Assert.AreEqual(2000m, unwindData.PositionQty);
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Assert.AreEqual(2000m, unwindData.CloseQty);
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Assert.AreEqual(100000m, unwindData.CloseNotionalValue);
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Assert.AreEqual(50m, floatEvent.PosiGrossPrice);
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Assert.AreEqual(20000m, floatEvent.MarkClosePnl,
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"平仓价 60 - 除权后期初价 50，乘 2000 份，应为 20000");
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Assert.AreEqual(20000m, unwindData.SwapRealizedPnL);
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Assert.AreEqual(-20000d, service.ClientCashCalls.Single().amount, 0.001d,
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"客户现金必须使用后台按有效 EOD 重算后的平仓金额");
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}
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[TestMethod]
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public void FCA_UW_004_现金分红后部分平仓从Eod名义本金扣减()
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{
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var td = SwapDealTestFactory.CreateTrade();
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td.StockEqvNotional = 100000d;
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td.TradeAmount = 1000d;
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var realtime = CreateRealtimeFundPosition();
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var eod = CreateEod(ExDate, 1000m, 99m);
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var service = CreateService(td, realtime, eod, hasCompletedFlow: false);
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var unwindData = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: -500m,
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closeMethod: (int)CloseMethodEnum.部分平仓,
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closePercent: 0.5m,
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closeQty: 500m,
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closeNotionalValue: 50000m,
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positionQty: 1000m);
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unwindData.NotionalValue = 100000m;
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unwindData.PosiNotionalValue = 100000m;
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unwindData.FlowEvents.Add(new swap_flow_event
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{
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PositionId = 101,
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EventType = (int)SwapEventTypeEnum.平仓,
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UnderlyingCode = "FUND.TEST",
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UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund,
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PositionType = (int)PositionTypeFlag.Long,
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PayDirection = 1,
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PosiGrossPrice = 100m,
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PosiNetPrice = 100m,
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TradingAmountAvg = 99m,
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Quantity = 500m,
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PositionQty = 500m,
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ContractSize = 1m,
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MarkClosePnl = -500m
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});
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service.SwapUnwind(unwindData);
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Assert.AreEqual(99000m, unwindData.PosiNotionalValue);
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Assert.AreEqual(49500m, unwindData.CloseNotionalValue);
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Assert.AreEqual(0m, unwindData.SwapRealizedPnL,
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"市场价和除权后期初价同为 99 时不应产生额外盯市损益");
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Assert.AreEqual(49500d, td.StockEqvNotional, 0.001d,
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"应从 EOD 有效名义本金 99000 扣除 49500，不能从旧 trade 值 100000 扣减");
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Assert.AreEqual(500d, td.TradeAmount, 0.001d);
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}
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private static TestableSwapDealService CreateService(
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trade td,
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swap_position realtime,
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eod_swap_position eod,
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bool hasCompletedFlow)
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{
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return new TestableSwapDealService(td)
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{
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RealtimeFloatPosition = realtime,
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LatestFundEodPosition = eod,
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HasCompletedFlowAfterLatestFundEod = hasCompletedFlow,
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ActiveSwapPositions = new List<swap_position> { realtime }
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};
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}
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private static swap_position CreateRealtimeFundPosition()
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{
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return new swap_position
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{
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SwapTradeId = SwapDealTestFactory.SwapTradeId,
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PositionId = 101,
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IsInitial = false,
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PosiDirection = 1,
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PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "FUND.TEST",
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UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund,
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PosiQuantity = 1000m,
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PosiGrossPrice = 100m,
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PosiNetPrice = 100m,
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PosiNetFeePrice = 100m,
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PosiNetNoFeePrice = 100m,
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PosiNotionalValue = 100000m,
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ContractSize = 1m
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};
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}
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private static eod_swap_position CreateEod(DateTime valueDate, decimal quantity, decimal price)
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{
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return new eod_swap_position
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{
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SwapTradeId = SwapDealTestFactory.SwapTradeId,
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PositionId = 101,
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ValueDate = valueDate,
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PosiDirection = 1,
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PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "FUND.TEST",
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UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund,
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PosiQuantity = quantity,
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PosiGrossPrice = price,
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PosiNetPrice = price,
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PosiNetFeePrice = price,
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PosiNetNoFeePrice = price,
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UnderlyingPrice = price,
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PosiNotionalValue = quantity * price,
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ContractSize = 1m
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};
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}
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private static UnwindData CreateFullCloseUnwindData()
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{
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var data = SwapDealTestFactory.CreateUnwindData(
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swapRealizedPnL: -40000m,
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closeMethod: (int)CloseMethodEnum.全部平仓,
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closePercent: 1m,
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closeQty: 1000m,
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closeNotionalValue: 100000m,
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positionQty: 1000m);
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data.NotionalValue = 100000m;
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data.PosiNotionalValue = 100000m;
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data.FlowEvents.Add(new swap_flow_event
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{
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PositionId = 101,
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EventType = (int)SwapEventTypeEnum.平仓,
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UnderlyingCode = "FUND.TEST",
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UnderlyingInstrumentType = ConsGlobal.InstrumentType.Fund,
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PositionType = (int)PositionTypeFlag.Long,
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PayDirection = 1,
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PosiGrossPrice = 100m,
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PosiNetPrice = 100m,
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TradingAmountAvg = 60m,
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Quantity = 1000m,
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PositionQty = 0m,
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ContractSize = 1m,
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MarkClosePnl = -40000m
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});
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return data;
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}
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}
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}
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