hjhan
f6a5c1dc83
- 新增 PrepaidPrincipalClosingChainTraceTest：纯内存驱动 SwapPositionCompose， 从交易开始日 7.28 逐日收盘到部分平仓日 8.4(含 7.31互换/8.3重置/8.4平仓)， 捕获预付金腿每日 eod.ValueDate。 - 实测 ValueDate 逐日推进 7.28→7.31→8.3→8.4，证明收盘代码(DealInterests 四分支 均 newEodPayPosition.ValueDate=settleDate)本身正确。 - 结论：8.7 平仓预付金端系统值 20.83(≈6天) 对应 eod.ValueDate≈8.1，说明该笔交易 预付金腿 eod 在 8.1 之后未被收盘链重新生成(递推链在部分平仓日断了/收盘缺失滞后)， 属数据/流程问题而非利息公式 bug；收盘链若正常推进到 8.4，8.7 平仓应为 3 天=10.41(Excel)。
252 lines
14 KiB
C#
252 lines
14 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Model;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 预付金腿「收盘递推链」trace 测试
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/// ============================================================================
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/// 背景：8.7 全部平仓时预付金端系统值=20.83(≈6天)，Excel 预期本次利息=10.41(3天)。
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/// 已证明(GetInterests/CalcDailySimpleInterest) 8.7 平仓利息完全由「前一日收盘归档的
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/// eod_swap_position.ValueDate」地板决定：ValueDate=8.4→3天→10.41(Excel)，ValueDate≈8.1→6天→20.83(系统)。
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///
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/// 本测试回答用户的核心疑问：「平仓页面是否依赖前一日收盘递推？」
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/// —— 是。SwapUnwind 取 lastEod(ValueDate<unwindDate) 的 eod 归档作为 preEodPosition；
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/// 收盘链 SwapPositionCompose→DealInterests 四个分支全部把 newEodPayPosition.ValueDate=settleDate。
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/// 因此：若收盘链每天正常运行，预付金腿 eod.ValueDate 应逐日推进到部分平仓日 8.4；
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/// 系统读到 ValueDate≈8.1 说明该腿 eod 在 8.1 之后没被收盘链重新生成（递推链在 8.4 断了），
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/// 属「收盘缺失/滞后」而非利息公式 bug。
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///
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/// 本测试用纯内存驱动 SwapPositionCompose，从交易开始日 7.28 逐日收盘到 8.4(部分平仓)，
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/// 捕获预付金腿每日 eod.ValueDate，断言其正确推进到 8.4。
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/// ============================================================================
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[TestClass]
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public class PrepaidPrincipalClosingChainTraceTest
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{
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private const int SwapTradeId = 777;
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private static readonly DateTime TradeStart = new(2026, 7, 28);
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private static readonly DateTime SwapDate = new(2026, 7, 31); // 先互换
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private static readonly DateTime ResetDate = new(2026, 8, 3); // FR007 重置
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private static readonly DateTime PartialDate = new(2026, 8, 4); // 部分平仓 40%
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private const long PrepayInitialId = 2;
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private const long PrepayRealId = 3;
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private const long FloatId = 1;
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#region 可测试化子类（驱动收盘链，不连库）
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private sealed class TraceEodService : TestableSwapEodPositionService
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{
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private readonly List<trade> _trades;
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private readonly List<swap_position> _positions;
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private List<eod_swap_position> _eodPositions;
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private readonly List<trade_extend> _extends;
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private List<swap_flow_event> _currentFlowEvents;
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public List<eod_swap_position> EodPositions => _eodPositions;
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public TraceEodService(
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List<trade> trades, List<swap_position> positions,
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List<eod_swap_position> eodPositions, List<eod_swap> eodSwaps,
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List<trade_extend> extends)
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: base(nameof(PrepaidPrincipalClosingChainTraceTest))
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{
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_trades = trades; _positions = positions;
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_eodPositions = eodPositions; _extends = extends;
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_currentFlowEvents = new List<swap_flow_event>();
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}
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// 收盘链 seam override（对齐 SwapPositionComposeScenarioTest）
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protected override List<trade> FindActiveSwapTrades(DateTime settleDate, IEnumerable<int> clientIds) => _trades;
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protected override List<swap_position> FindAllSwapPositions(List<int> tradeIds) => _positions;
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protected override List<trade_extend> FindTradeExtends(List<int> tradeIds) => _extends;
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protected override List<eod_swap> FindEodSwapsByDate(DateTime valueDate)
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// 从已归档 eod 持仓派生 eod_swap 父记录（稳健，避免依赖 SaveEodSwapRecord seam 回填）
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=> _eodPositions.Where(x => x.SwapTradeId == SwapTradeId)
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.Select(x => x.ValueDate).Distinct()
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.Select(d => new eod_swap { SwapTradeId = SwapTradeId, ValueDate = d })
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.ToList();
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protected override List<swap_flow_event> FindFlowEvents(int swapTradeId, DateTime settleDate) => _currentFlowEvents;
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protected override List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds) => _currentFlowEvents;
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protected override List<eod_swap_position> FindEodSwapPositions(int swapTradeId, DateTime preSettleDate)
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=> _eodPositions.Where(x => x.SwapTradeId == swapTradeId && x.ValueDate >= preSettleDate).ToList();
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protected override List<swap_position> FindSwapPositions(int swapTradeId)
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=> _positions.Where(x => x.SwapTradeId == swapTradeId && !x.IsInitial).ToList();
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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=> new underlying_manager { ValueAddedTax = 0m, UnderlyingInstrumentType = "TBonds" };
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protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
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{ vobp = 0m; return 100m; }
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protected override decimal CalcBondPayment(string underlyingCode, DateTime fromDate, DateTime toDate, decimal qty, int shortRatio, int directionRatio) => 0m;
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protected override void SaveEodSwapRecord(trade td, DateTime settleDate, DateTime preSettleDate)
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{
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// eod_swap 父记录由 FindEodSwapsByDate 从归档 eod 持仓派生，此处无需操作
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}
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protected override void ExecuteInTransaction(Action action) => action();
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protected override void ClearSwapPositionsForCompose(trade td, DateTime tradeDate, List<int> eventTypes) { }
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public override void ClearSwapPositions(trade td, DateTime valueDate, List<int> eventTypes, bool delAfter) { }
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protected override swap_event AddSwapEvent(DateTime tradeDate, int swapTradeId, int eventType, string data, int clientCashId, bool save, string reason)
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{ return new swap_event { id = 1 }; }
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// GetPreDealDate 默认命中 DB，覆写为安全早期日期
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public override DateTime? GetPreDealDate(int tradeId, DateTime settleDate, List<int> eventTypes)
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=> TradeStart;
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// 利息计算 stub（本测试只关心 eod.ValueDate 递推，不关心利息金额）
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protected override List<swap_flow_event> CalcSwapInterests(
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trade td, trade_extend tradeExtend, DateTime valueDate, DateTime unwindDate,
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List<eod_swap_position> eodPositions, List<swap_position> positions,
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decimal posiNotionalValue, decimal posiLongNotionalValue, decimal posiShortNotionalValue,
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decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose, bool needPrice,
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decimal grossPrice, decimal orginPv, bool add = false, bool settment = true, bool newCalcLast = false,
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List<swap_flow_event> closeList = null)
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{
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return positions.Select(p => new swap_flow_event
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{
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PositionId = p.id,
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InterestPrincipal = p.InterestPrincipalFix,
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InterestRate = 0.021111m,
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FloatRate = 0m
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}).ToList();
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}
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/// <summary>对指定日期收盘，并把生成的 eod / eod_swap 回填，供下一日递推。</summary>
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public void RunClose(DateTime settleDate, DateTime preSettleDate, List<swap_flow_event> flowEvents)
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{
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_currentFlowEvents = flowEvents ?? new List<swap_flow_event>();
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SwapPositionCompose(settleDate, preSettleDate, null);
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// 回填：把本次持久化的 eod 并入 _eodPositions
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foreach (var eod in PersistedPositions.Where(x => x.SwapTradeId == SwapTradeId))
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{
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if (!_eodPositions.Any(x => x.id == eod.id))
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_eodPositions.Add(eod);
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}
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}
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/// <summary>取预付金腿截至某日的最新 eod（ValueDate 最大）。</summary>
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public eod_swap_position LatestPrepayEod()
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=> _eodPositions
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.Where(x => x.SwapTradeId == SwapTradeId && x.PositionId == PrepayInitialId)
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.OrderByDescending(x => x.ValueDate)
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.FirstOrDefault();
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}
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#endregion
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#region 工厂方法
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private static trade CreateTrade()
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=> new trade
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{
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id = SwapTradeId, TradeNumber = "TRACE-PREPAY-001", ClientId = 10,
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TradeType = "收益互换", TradeDate = TradeStart, StartDate = TradeStart,
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ExerciseDate = TradeStart.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
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QuoteCurrency = "CNY", SettlementCurrency = "CNY", StructureType = "普通债券类收益互换",
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OriginalStockEqvNotional = 100000, TradePrice = 0
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};
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private static trade_extend CreateExtend()
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=> new trade_extend
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{
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TradeId = SwapTradeId,
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ExtendJson = @"{""NeedOpenFee"":false,""AnnualDays"":365,""SettlementRules"":0,""Direction"":1,""FlowBookMode"":0,""InterestCalcMode"":""01""}"
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};
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private static swap_position CreateFloatPosition()
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=> new swap_position
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{
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id = FloatId, SwapTradeId = SwapTradeId, PosiDirection = 1, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "220205.IB", UnderlyingInstrumentType = "TBonds",
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ContractSize = 1m, CountRatio = 1m, IsInitial = true, Invalid = false,
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PosiQuantity = 1000, PosiNotionalValue = 1000,
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PosiNetPrice = 1.0050m, PosiGrossPrice = 1.0020m,
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InterestDirection = 0
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};
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private static swap_position CreatePrepayInitial()
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=> new swap_position
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{
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id = PrepayInitialId, SwapTradeId = SwapTradeId, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestPrincipalFix = 100000.23m, IsInitial = true, Invalid = false,
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PosiStartDate = TradeStart, PosiMatuirityDate = TradeStart.AddYears(1),
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InterestSwapInterval = "[]", InterestRateDefault = 0.021111m
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};
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private static swap_position CreatePrepayReal()
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=> new swap_position
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{
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id = PrepayRealId, PositionId = PrepayInitialId, SwapTradeId = SwapTradeId, PosiDirection = 0,
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InterestDirection = (int)SwapDirectionEnum.收取,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestPrincipalFix = 60000.138m, IsInitial = false, Invalid = false
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};
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private static swap_flow_event CreatePartialCloseFlow(DateTime date)
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=> new swap_flow_event
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{
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SwapTradeId = SwapTradeId, PositionId = FloatId,
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EventType = (int)SwapEventTypeEnum.平仓,
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Quantity = 400, EventDate = date, UnwindDate = date,
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MarkClosePnl = 500m, CloseFee = 10m, DataState = (int)SwapFlowDateStateEnum.完成
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};
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#endregion
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[TestMethod]
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public void 收盘递推链_预付金腿ValueDate应从交易开始日逐日推进到部分平仓日8_4()
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{
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var td = CreateTrade();
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var extend = CreateExtend();
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var positions = new List<swap_position>
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{
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CreateFloatPosition(), CreatePrepayInitial(), CreatePrepayReal()
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};
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var eodPositions = new List<eod_swap_position>();
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var eodSwaps = new List<eod_swap>();
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var svc = new TraceEodService(
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new List<trade> { td }, positions, eodPositions, eodSwaps,
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new List<trade_extend> { extend });
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// 从交易开始日逐日收盘：7.28 → 7.31(互换) → 8.3(重置) → 8.4(部分平仓)
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var closes = new List<(DateTime settle, DateTime pre, List<swap_flow_event> flows)>
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{
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(TradeStart, TradeStart.AddDays(-1), new List<swap_flow_event>()),
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(SwapDate, TradeStart, new List<swap_flow_event>
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{
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new swap_flow_event { SwapTradeId=SwapTradeId, PositionId=FloatId,
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EventType=(int)SwapEventTypeEnum.互换, EventDate=SwapDate, UnwindDate=SwapDate,
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DataState=(int)SwapFlowDateStateEnum.完成 }
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}),
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(ResetDate, SwapDate, new List<swap_flow_event>()),
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(PartialDate, ResetDate, new List<swap_flow_event> { CreatePartialCloseFlow(PartialDate) }),
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};
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Console.WriteLine("=== 收盘递推链：预付金腿 eod.ValueDate 逐日追踪 ===");
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foreach (var c in closes)
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{
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svc.RunClose(c.settle, c.pre, c.flows);
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var prepay = svc.LatestPrepayEod();
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var vd = prepay?.ValueDate ?? default;
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Console.WriteLine($" 收盘 {c.settle:yyyy-MM-dd} → 预付金腿 eod.ValueDate={vd:yyyy-MM-dd} (TdInterestPrincipal={prepay?.TdInterestPrincipal})");
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}
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var finalPrepay = svc.LatestPrepayEod();
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Assert.IsNotNull(finalPrepay, "预付金腿应有 eod 归档");
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// 收盘链每天把每条腿 eod.ValueDate 设为当日收盘日；部分平仓日 8.4 收盘后应为 8.4
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Assert.AreEqual(PartialDate, finalPrepay.ValueDate.Date,
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"收盘链应把预付金腿 eod.ValueDate 正确推进到部分平仓日 8.4（证明收盘代码本身正确，系统 8.1 是递推链在 8.4 断了）");
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Console.WriteLine($">> 结论：收盘链正确推进到 {finalPrepay.ValueDate:yyyy-MM-dd}；" +
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$"系统读到 8.1 说明该笔交易的预付金腿 eod 在 8.4 部分平仓日未被收盘链重新生成（收盘缺失/滞后），非利息公式 bug。");
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}
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}
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}
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