hjhan
bf2adf0fae
EOD 不取尾日价靠两道闸：InitInterestDate 到期日回拨(endDate=D-1) + CalcEodInterest calcToday=false(到期日且不算尾)跳过 ByEod 重算——ByEod 的 isResetDay→ResolveFloatRate 不看 calcLast，任一环回归即到期日收盘重新索要尾日价。 - Eod_NoTail_MaturityDayFr007Missing_Succeeds：不算尾+到期日(重置日)缺价 → 放行 - Eod_Tail_MaturityDayFr007Missing_StillThrows：算尾+到期日缺价 → 仍拦 - Eod_MidTradeResetDayFr007Missing_StillThrows：非到期重置日缺价 → 仍拦 （盘中重置日新利率被持续持仓消费，ByEod 取价链是真实依赖，不算尾也不豁免） 验证：GLMS20260817Fr007UnwindMorningTest 28/28 内存全绿
492 lines
25 KiB
C#
492 lines
25 KiB
C#
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。
|
||
///
|
||
/// 守卫矩阵（防"放宽过头"，对应 EQD-6968 方案一四场景）：
|
||
/// Guard_*：算尾("11"或newCalcLast=true)+当日重置日+当日缺价 → 必须仍拦截（正确依赖）；
|
||
/// PrevBizDay_*：interest_rule=-1（前一营业日基准）→ 取价日回拨，当日未发布也放行（场景2）；
|
||
/// TailCalced_NonResetDay_*：算尾+当日非重置日 → 当日价未消费，缺价放行（场景3）。
|
||
/// </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,
|
||
};
|
||
/// <summary>interest_rule=-1（前一营业日基准）取价日市场：重置日 7/6、7/13、7/20（周一）
|
||
/// 经 GetFixingDate 回拨至前一营业日 7/3、7/10、7/17（周五）。
|
||
/// 同时供未回拨的 7/5、7/12、7/19（周日）：QDP "chn" 日历在测试进程内可能被其他用例替换为
|
||
/// "全营业日"退化态（全量运行实测 GetNonHolidayDefore(7/19)=7/19 不回拨），
|
||
/// 两套日期都供价使本套件对进程内日历状态不敏感——被测对象是取价放宽语义，不是日历本身。</summary>
|
||
private static readonly Dictionary<DateTime, double> Fr007MarketPrevBizDay = new()
|
||
{
|
||
[new DateTime(2026, 7, 3)] = 0.0142,
|
||
[new DateTime(2026, 7, 5)] = 0.0142,
|
||
[new DateTime(2026, 7, 10)] = 0.01425,
|
||
[new DateTime(2026, 7, 12)] = 0.01425,
|
||
[new DateTime(2026, 7, 17)] = 0.0143,
|
||
[new DateTime(2026, 7, 19)] = 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;
|
||
private readonly Dictionary<DateTime, double> _market;
|
||
public readonly List<DateTime> PricedDates = new();
|
||
|
||
public StubSwapDealService(OptUserInfo optUser, IEnumerable<DateTime> omit, double closeRate = 0.0143,
|
||
Dictionary<DateTime, double> market = null)
|
||
: base(optUser)
|
||
{
|
||
_omit = new HashSet<DateTime>(omit.Select(d => d.Date));
|
||
_closeRate = closeRate;
|
||
_market = market;
|
||
}
|
||
|
||
protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
|
||
{
|
||
rate = 0d;
|
||
if (underlyingCode != "FR007") return false;
|
||
var map = new Dictionary<DateTime, double>(_market ?? 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, string calcMode = "10", DateTime? exerciseDate = null)
|
||
{
|
||
var extend = new trade_extend
|
||
{
|
||
TradeId = 1,
|
||
ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
|
||
{
|
||
AnnualDays = AnnualDays,
|
||
InterestCalcMode = calcMode,
|
||
SettlementRules = 0
|
||
})
|
||
};
|
||
return new trade
|
||
{
|
||
id = 1,
|
||
TradeNumber = "GLMS-20260817-FR007-MORNING",
|
||
ClientId = 999998,
|
||
TradeType = "债券TRS",
|
||
TradeDate = TradeDate,
|
||
StartDate = StartDate,
|
||
ExerciseDate = 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,
|
||
int interestRule = 0)
|
||
{
|
||
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 = interestRule,
|
||
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,
|
||
string calcMode = "10",
|
||
int interestRule = 0,
|
||
bool newCalcLast = false,
|
||
Dictionary<DateTime, double> market = null,
|
||
DateTime? omitDate2 = null,
|
||
bool settment = false,
|
||
DateTime? exerciseDate = null)
|
||
{
|
||
var cd = closeDate ?? CloseDate;
|
||
var omit = new HashSet<DateTime>();
|
||
if (omitDate.HasValue || omitDate2.HasValue)
|
||
{
|
||
if (omitDate.HasValue) omit.Add(omitDate.Value.Date);
|
||
if (omitDate2.HasValue) omit.Add(omitDate2.Value.Date);
|
||
}
|
||
else if (!includeCloseDate) omit.Add(cd.Date);
|
||
|
||
var svc = new StubSwapDealService(MakeOptUser(), omit, closeRate, market);
|
||
var td = BuildTrade(cd, calcMode, exerciseDate);
|
||
var position = BuildPosition(interestType, cd, restDays, interestRule);
|
||
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: settment, newCalcLast: newCalcLast, 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");
|
||
}
|
||
|
||
// ── 算尾守卫（EQD-6968 方案一场景4：算尾+当前营业日+当日重置日+当日缺价 → 必须仍拦截）──
|
||
// 放宽只针对"该日利率不参与计息"的场景；算尾时当日利率被消费，缺价拦截是正确依赖，不得误放。
|
||
|
||
[TestMethod]
|
||
public void Guard_TailCalced_ResetDayFr007Missing_StillThrows()
|
||
{
|
||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "11",
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||
Assert.IsTrue(o.Threw, "算尾(11)+当日重置日+当日缺价 → 应拦截（该日利率被消费）");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void Guard_TailCalced_Simple_ResetDayFr007Missing_StillThrows()
|
||
{
|
||
var o = Run(InterestTypeEnum.单利, includeCloseDate: false, calcMode: "11",
|
||
preEod: BuildPreEod(StartDate));
|
||
Assert.IsTrue(o.Threw, "单利 算尾(11)+当日重置日+当日缺价 → 应拦截");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void Baseline_TailCalced_ResetDayFr007Present_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11",
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"算尾(11)+当日重置日+当日有价 → 应成功");
|
||
}
|
||
|
||
// ── newCalcLast 守卫：交易本身"10"不算尾，但本次平仓显式指定算尾 → effectiveCalcLast=true → 缺价仍拦截 ──
|
||
|
||
[TestMethod]
|
||
public void Guard_NewCalcLast_OverridesToTail_MissingPrice_StillThrows()
|
||
{
|
||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, newCalcLast: true,
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||
Assert.IsTrue(o.Threw, "不算尾(10)+本次平仓指定算尾+当日缺价 → 应按算尾拦截");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void Baseline_NewCalcLast_OverridesToTail_WithPrice_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, newCalcLast: true,
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"不算尾(10)+本次平仓指定算尾+当日有价 → 应成功");
|
||
}
|
||
|
||
// ── 前一营业日基准（interest_rule=-1，EQD-6968 方案一场景2）──
|
||
// 取价日=重置日前一营业日，当日(7/20)定盘未发布也用不到 → 放行；
|
||
// 但取价日(前一营业日)本身缺价 → 仍是真实依赖，必须拦截。
|
||
|
||
[TestMethod]
|
||
public void PrevBizDay_TailCalced_ResetDayTodayMissing_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"算尾(11)+前一营业日基准+当日(7/20)未发布 → 应放行（取价日7/17已发布）");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void PrevBizDay_TailCalced_Simple_ResetDayTodayMissing_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"单利 算尾(11)+前一营业日基准+当日未发布 → 应放行");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void PrevBizDay_NoTail_ResetDayTodayMissing_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, interestRule: -1,
|
||
omitDate: CloseDate, market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"不算尾(10)+前一营业日基准+当日未发布 → 应放行");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void PrevBizDay_TailCalced_FixingDayMissing_StillThrows()
|
||
{
|
||
// 取价日候选 7/17(周五，正常日历回拨) 与 7/19(周日，退化日历不回拨) 都扣掉 → 两种日历态下都缺价
|
||
var o = Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", interestRule: -1,
|
||
omitDate: new DateTime(2026, 7, 17), omitDate2: new DateTime(2026, 7, 19),
|
||
market: Fr007MarketPrevBizDay, preEod: BuildPreEod(new DateTime(2026, 7, 13)));
|
||
Assert.IsTrue(o.Threw, "算尾(11)+前一营业日基准+取价日本身缺价 → 仍应拦截（真实依赖）");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
|
||
// ── 算尾+当前营业日+当日非重置日（EQD-6968 方案一场景3）──
|
||
// 当日价未被任何计息段消费（末段重置日7/20是历史日），当日(7/22)缺价 → 放行。
|
||
|
||
[TestMethod]
|
||
public void TailCalced_NonResetDay_TodayMissing_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: true, calcMode: "11", closeDate: NonIntCloseDate,
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"算尾(11)+当日非重置日+当日(7/22)缺价 → 应放行（非重置日不取当日价）");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void TailCalced_NonResetDay_Simple_TodayMissing_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "11", closeDate: NonIntCloseDate,
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"单利 算尾(11)+当日非重置日+当日缺价 → 应放行");
|
||
}
|
||
|
||
// ── 不算头不算尾(calcMode="00")：CalcFirst=false 组合 ──
|
||
// 对尾日 FR007 行为与"10"一致(calcLast 同 false)；另以单利精确断言钉 CalcFirst 语义——
|
||
// "00" 比"10"恰好少计开始日一天的利息（单利无基数效应，差值可精确到分毫）。
|
||
|
||
[TestMethod]
|
||
public void Red_Compound_NoHeadNoTail_WithoutCloseDateFr007_Succeeds()
|
||
{
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "00",
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13))),
|
||
"不算头不算尾(00)+缺平仓日价 → 应放行（与10同口径，尾日不参与计息）");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void CalcFirst_Simple_NoHeadDropsExactlyStartDayInterest()
|
||
{
|
||
// closeRate=0.0142 与 7/6 定盘相同：使"00"首段种子利率与"10"首段取价利率一致，
|
||
// 断言只对"少计开始日一天"敏感，免疫无日终快照时 fetchAfter=interestStart-1
|
||
// 跳过 7/6 取价、首段用种子利率的既有取价细节。
|
||
var w10 = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "10", closeRate: 0.0142);
|
||
var w00 = Run(InterestTypeEnum.单利, includeCloseDate: true, calcMode: "00", closeRate: 0.0142);
|
||
Assert.IsFalse(w10.Threw, "10 不应抛：" + w10.Ex?.Message);
|
||
Assert.IsFalse(w00.Threw, "00 不应抛：" + w00.Ex?.Message);
|
||
// 开始日 7/6 属首段：all-in = spread(-0.0155) + 定盘(0.0142) = -0.0013；
|
||
// 单利下 00 与 10 的利息差 = 恰好首日一天利息（年化 A365）。
|
||
var expectedStartDayInterest = Notional * (Spread + 0.0142m) / AnnualDays;
|
||
Assert.AreEqual(expectedStartDayInterest, w10.Fe.InterestAmount - w00.Fe.InterestAmount, 0.0000001m,
|
||
"不算头(00)应恰好少计开始日一天利息（CalcFirst 回归锚）");
|
||
}
|
||
|
||
// ── EOD 收盘归档路径（settment=true，此前全套件仅覆盖盘中 settment:false）──
|
||
// EOD 不取尾日价的依赖链：InitInterestDate 到期日回拨(endDate=D-1) + CalcEodInterest 的
|
||
// calcToday=false(valueDate==到期日且不算尾) 整体跳过 ByEod 重算——ByEod 的取价
|
||
// (CalcDailyCompoundInterestByEod/CalcDailySimpleInterestByEod 的 isResetDay→ResolveFloatRate)
|
||
// 不看 calcLast，任何一环回归都会让到期日收盘重新索要尾日 FR007。以下三例钉死该链。
|
||
|
||
[TestMethod]
|
||
public void Eod_NoTail_MaturityDayFr007Missing_Succeeds()
|
||
{
|
||
// 到期日=7/20(重置日)当天收盘，尾日价未发布 → 不算尾应放行（回拨+跳过重算两道闸）
|
||
AssertNoThrow(Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true),
|
||
"EOD 不算尾(10)+到期日缺价 → 应放行（尾日不参与计息，不得取价）");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void Eod_Tail_MaturityDayFr007Missing_StillThrows()
|
||
{
|
||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "11",
|
||
exerciseDate: CloseDate, preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true);
|
||
Assert.IsTrue(o.Threw, "EOD 算尾(11)+到期日(重置日)缺价 → 应拦截（该日利率被消费）");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
|
||
[TestMethod]
|
||
public void Eod_MidTradeResetDayFr007Missing_StillThrows()
|
||
{
|
||
// 非到期日的盘中重置日：不算尾也不豁免——新利率自当日起被持续持仓消费，ByEod 必须取到
|
||
var o = Run(InterestTypeEnum.复利, includeCloseDate: false, calcMode: "10",
|
||
preEod: BuildPreEod(new DateTime(2026, 7, 13)), settment: true);
|
||
Assert.IsTrue(o.Threw, "EOD 不算尾(10)+非到期重置日(7/20)缺价 → 仍应拦截（ByEod 取价链，真实依赖）");
|
||
StringAssert.Contains(o.Ex.Message, "FR007");
|
||
}
|
||
}
|
||
}
|
||
|