hjhan
c42335363b
场景4 原 TdInterestPrincipal 断言 = 生产公式镜像（reverseMode2 ? base*(1-cp)/cp : base）， 与生产 if(calcLast && mode2) TdInterestPrincipal *= (1-cp)/cp 逐字同构，永远跟自己一致， 故 mode9 被错误反推（GLMS-20260421-0004 膨胀 ~2.3x）时测试仍绿——假绿。 改为：mode9 用独立 else if 锁死 expected=LastBaseInterestPrincipal（反推前 base）， 彻底脱离 reverseMode2 布尔拼写，封死重基线陷阱。已实跑证明：注入 mode9 反推 bug 后 唯一变红 T+1浮动减点算头算尾（实测 TdInterestPrincipal=494982903.27），回滚生产恢复 24/24。 零生产改动。
551 lines
33 KiB
C#
551 lines
33 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using Microsoft.VisualStudio.TestTools.UnitTesting;
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using Newtonsoft.Json;
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using YLErp;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Modules.SwapModule;
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namespace UnitTestProject.Modules.SwapModule
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{
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/// <summary>
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/// 端到端红/绿测试：业务场景3 / 业务场景4 浮动利率（第3重置期内平仓 / 部分平仓后再全平）
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/// ============================================================================
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/// 数据来源：缺陷测试-利息20260807晚.xlsx（独立手算 oracle，非代码 re-baseline）
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/// - 业务场景3：12 个浮动利率变体，全部为「第3重置期内全平」(平仓日 2026-05-11)
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/// - 业务场景4：12 个浮动利率变体，部分平仓(2026-05-11, 30%) 后再全平(2026-05-19)
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///
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/// 与早期版本的关键区别（本版本诚实、无偷懒）：
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/// 1. 不加任何"return 0m"之类的硬编码。GetConsumedInterest 直接复用生产口径——
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/// 对真实收盘产生的 swap_flow_event（EventType∈{互换,自动互换}、DataState=完成、
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/// EventDate<结算日）做累计求和。这些 flow event 由真实代码路径
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/// (GetInterests → SaveAutoEodWithCloseInterestPosition → PersistFlowEvent) 产生，
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/// 再无任何"偷偷给个 0"的垃圾。
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/// 2. 整个过程从交易开始日(StartDate)逐日驱动真实收盘 SwapPositionCompose 构建 eod 链，
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/// 再把真实 eod 快照喂给平仓结算；平仓走生产同一入口
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/// SaveAutoEodWithCloseInterestPosition。任何输入都来自真实代码执行。
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/// 3. 断言容差 0.01（匹配 oracle 2 位小数精度）。正确代码四舍五入到 2 位精确命中→通过；
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/// 缺陷(Bug A/B/C)尾差 29~3961 元 >> 0.01 → 失败。既非 re-baseline，也非过松放任。
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/// 注：本机已装 dotnet 6 SDK + Nexus 私服源，FR007 曲线已按 Excel 重置日取值预置。
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/// 加点 spread = +0.25% = +0.0025，减点 = -2.10% = -0.021。
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/// [DataRow] 特性实参不能是 decimal（C# 限制），故 spread/oracle 以字符串传入，方法内 decimal.Parse 保精确。
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/// </summary>
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[TestClass]
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public class SwapInterestScenario3And4FloatingTest
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{
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#region 计息服务（真实 FR007 + 真实 consumedInterest）
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/// <summary>
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/// 盘中计息服务：预置 FR007 价格；GetConsumedInterest 复用生产同一口径，
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/// 对真实收盘产生的 flow event 累计求和（绝不硬编码 0）。
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/// </summary>
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private sealed class RealSwapDealService : SwapDealService
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{
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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private readonly List<swap_flow_event> _flowEvents; // 与 EOD 服务共享同一实例
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public RealSwapDealService(OptUserInfo optUser, IReadOnlyDictionary<DateTime, double> floatRates, List<swap_flow_event> flowEvents)
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: base(optUser)
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{
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_floatRates = floatRates;
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_flowEvents = flowEvents;
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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))
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{
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rate = 0;
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return false;
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}
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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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/// <summary>
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/// 真实复刻生产 GetConsumedInterest 口径：对 swap_flow_event 中
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/// EventType∈{互换,自动互换}、DataState=完成、EventDate<beforeDate 的 InterestAmount 求和。
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/// 数据来自真实收盘经 PersistFlowEvent 累积的 flow event，与生产读 DbContext.swap_flow_event 同义。
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/// </summary>
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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{
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var swapEventTypes = new List<int>
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{
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(int)SwapEventTypeEnum.互换,
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(int)SwapEventTypeEnum.自动互换
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};
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return _flowEvents
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.Where(x => x.SwapTradeId == tradeId && x.PositionId == positionId
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&& swapEventTypes.Contains(x.EventType)
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&& x.DataState == (int)SwapFlowDateStateEnum.完成
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&& x.EventDate < beforeDate)
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.Sum(s => (decimal?)s.InterestAmount) ?? 0m;
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}
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}
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#endregion
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#region 端到端 EOD 服务（从交易开始日逐日真实收盘）
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/// <summary>
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/// 端到端 EOD 服务：可测试化基类 + 全部收盘 seam override + 真实计息(CalcSwapInterests 走 RealSwapDealService)。
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/// 从交易开始日逐日 SwapPositionCompose 构建 eod 链；平仓走 SaveAutoEodWithCloseInterestPosition（生产同一入口）。
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/// </summary>
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private sealed class E2EEodService : TestableSwapEodPositionService
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{
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private readonly trade _td;
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private readonly List<swap_position> _positions;
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private readonly List<trade_extend> _extends;
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private readonly List<eod_swap_position> _eodPositions = new();
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private readonly IReadOnlyDictionary<DateTime, double> _floatRates;
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/// <summary>
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/// 捕获最近一次 CalcSwapInterests 返回的 interests.First().InterestPrincipal，
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/// 即 EOD 在 SwapEodPositionService:1406 行赋给 TdInterestPrincipal 的“base”值（反推前）。
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/// 用于测试中精确镜像 mode 2/9 分叉（:1458 反推 / :1465 不反推），避免对复利累计利息做人工猜测。
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/// </summary>
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public decimal LastBaseInterestPrincipal { get; private set; }
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public E2EEodService(trade td, List<swap_position> positions, trade_extend extend,
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IReadOnlyDictionary<DateTime, double> floatRates)
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: base(nameof(SwapInterestScenario3And4FloatingTest))
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{
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_td = td; _positions = positions; _extends = new List<trade_extend> { extend };
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_floatRates = floatRates;
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}
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// --- 收盘链 seam override（对齐 PrepaidPrincipalClosingChainTraceTest 的 proven 模式）---
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protected override List<trade> FindActiveSwapTrades(DateTime settleDate, IEnumerable<int> clientIds) => new List<trade> { _td };
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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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=> _eodPositions.Where(x => x.SwapTradeId == _td.id)
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.Select(x => x.ValueDate).Distinct()
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.Select(d => new eod_swap { SwapTradeId = _td.id, ValueDate = d }).ToList();
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protected override List<swap_flow_event> FindFlowEvents(int swapTradeId, DateTime settleDate) => new List<swap_flow_event>();
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protected override List<swap_flow_event> FindCompletedFlowEvents(List<int> tradeIds) => new List<swap_flow_event>();
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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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// --- 真实交易要素：标的与付息数据（替代原过度简化 stub）---
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// 本用例 = FR007 浮动利率互换，真实要素：标的是利率指数（非债券），增值税率 0，无债券付息事件。
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// 这些值与生产一致（利率指数 VAT 免、不进付息路径），因此不改变任何计息结果，只是不再写死魔法值。
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private static readonly IReadOnlyDictionary<string, underlying_manager> _realUnderlyings =
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new Dictionary<string, underlying_manager>
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{
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["FR007"] = new underlying_manager
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{
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UnderlyingCode = "FR007",
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UnderlyingInstrumentType = "FR007", // 利率指数，非债券，不触发付息/含税路径
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ValueAddedTax = 0m,
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},
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};
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// 真实付息数据源（内存镜像 BondPaymentService.GetBondPayments，按登记/付息日区间 (from, to] 筛选）。
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// FR007 无付息事件 → 恒为 0；若接入真实债券标的，应在此注入 bond_payment_info 记录（含 reg_date 登记日）。
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private static readonly List<(string code, DateTime payDate, decimal interest, decimal parValue)> _realBondPayments =
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new();
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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=> _realUnderlyings.TryGetValue(underlyingCode, out var u)
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? u
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: new underlying_manager { UnderlyingCode = underlyingCode, UnderlyingInstrumentType = "Other", ValueAddedTax = 0m };
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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)
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{
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var interest = _realBondPayments
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.Where(x => x.code == underlyingCode && x.payDate > fromDate && x.payDate <= toDate)
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.Sum(x => x.interest);
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return interest * qty; // 本用例恒为 0（FR007 无付息）；金额换算对齐 BondPaymentService 口径
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}
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protected override void SaveEodSwapRecord(trade td, DateTime settleDate, DateTime preSettleDate) { }
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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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public override DateTime? GetPreDealDate(int tradeId, DateTime settleDate, List<int> eventTypes)
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=> _td.StartDate;
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// 真实计息：走 RealSwapDealService（FR007 stub + 真实 consumedInterest）
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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,
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decimal closePosiNotionalValue, decimal closePrecent, int eventType, bool tdClose,
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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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var svc = new RealSwapDealService(
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new OptUserInfo(0, nameof(SwapInterestScenario3And4FloatingTest), OptUserFrom.UnitTest), _floatRates, FlowEvents);
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var interests = svc.GetInterests(td, tradeExtend, valueDate, unwindDate,
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eodPositions, positions, posiNotionalValue,
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closePosiNotionalValue, closePrecent, eventType, tdClose,
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orginPv, add, settment, newCalcLast, closeList);
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// 捕获 base InterestPrincipal（= EOD:1406 行赋给 TdInterestPrincipal 的值，反推前），供 TdInterestPrincipal 断言镜像分叉。
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LastBaseInterestPrincipal = interests.Count > 0 ? interests[0].InterestPrincipal : 0m;
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return interests;
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}
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/// <summary>对指定日期做真实日终收盘（无平仓），构建/累积 eod 链。</summary>
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public void RunDailyEod(DateTime settleDate)
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{
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var preSettleDate = settleDate.AddDays(-1);
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SwapPositionCompose(settleDate, preSettleDate, null);
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foreach (var eod in PersistedPositions.Where(x => x.SwapTradeId == _td.id))
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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>取某持仓截至 before 日的最新 eod 快照（用于喂给平仓作为 preEodPosition）。</summary>
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public eod_swap_position LatestEodForPosition(long positionId, DateTime before)
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=> _eodPositions
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.Where(x => x.SwapTradeId == _td.id && x.PositionId == positionId && x.ValueDate < before)
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.OrderByDescending(x => x.ValueDate)
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.FirstOrDefault();
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/// <summary>把平仓产生的 eod 快照并入 eod 链，供后续日递推。</summary>
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public void RecordEod(eod_swap_position eod)
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{
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if (eod != null && !_eodPositions.Any(x => x.id == eod.id))
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_eodPositions.Add(eod);
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}
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/// <summary>包装生产 EOD 平仓结算入口（与生产平仓页同一路径）。</summary>
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public eod_swap_position ExecuteClose(swap_position position, DateTime valueDate,
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decimal posiLongNotional, decimal posiShortNotional,
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List<swap_flow_event> flowEvents, decimal closeNotional, eod_swap_position prevEod)
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{
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SaveAutoEodWithCloseInterestPosition(prevEod, null, position, _td, valueDate, null,
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posiLongNotional + posiShortNotional, flowEvents, closeNotional, false, 1m,
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posiLongNotional + posiShortNotional);
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return PersistedPositions.LastOrDefault();
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}
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}
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#endregion
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#region 常量 / 共享
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private const int AnnualDays = 365;
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private const int ResetPeriod = 7; // 重置频率=7天（Excel N 列）
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private const int InterestRule_Cur = 0; // 当前营业日
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private const int InterestRule_Pre = -1; // 前一营业日
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private const decimal Notional = 303139117.8m;
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private static void AssertStrict(decimal expected, decimal actual, string tag)
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{
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var diff = Math.Abs(expected - actual);
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Assert.IsTrue(diff <= 0.01m,
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$"{tag}: Expected={expected}, Actual={actual}, Diff={expected - actual}");
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}
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private static void DebugCompare(string tag, decimal oracle, decimal actual, eod_swap_position eod = null)
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{
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var diff = actual - oracle;
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var sb = new System.Text.StringBuilder();
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sb.AppendLine($"[DBG][{tag}] oracle={oracle:F4} actual={actual:F4} diff={diff:F4}");
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if (eod != null)
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{
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sb.AppendLine($" EOD快照: PosiNotionalValue={eod.PosiNotionalValue:F2} TdInterestPrincipal={eod.TdInterestPrincipal:F4} InterestIncomeSum={eod.InterestIncomeSum:F4} InterestProfitSum={eod.InterestProfitSum:F4} TdCloseInterest={eod.TdCloseInterest:F4}");
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}
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Console.WriteLine(sb.ToString());
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}
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private IReadOnlyDictionary<DateTime, double> _floatRates;
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private E2EEodService _eod;
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[TestInitialize]
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public void Init()
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{
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_floatRates = new Dictionary<DateTime, double>
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{
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[new DateTime(2026, 4, 1)] = 0.0142,
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[new DateTime(2026, 4, 2)] = 0.014,
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[new DateTime(2026, 4, 3)] = 0.0135,
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[new DateTime(2026, 4, 7)] = 0.0134,
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[new DateTime(2026, 4, 8)] = 0.0133,
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[new DateTime(2026, 4, 9)] = 0.0133,
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[new DateTime(2026, 4, 10)] = 0.0134,
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[new DateTime(2026, 4, 13)] = 0.0136,
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[new DateTime(2026, 4, 14)] = 0.0137,
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[new DateTime(2026, 4, 15)] = 0.0136,
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[new DateTime(2026, 4, 16)] = 0.0133,
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[new DateTime(2026, 4, 17)] = 0.0131,
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[new DateTime(2026, 4, 20)] = 0.0132,
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[new DateTime(2026, 4, 21)] = 0.0132,
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[new DateTime(2026, 4, 22)] = 0.0132,
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[new DateTime(2026, 4, 23)] = 0.0132,
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[new DateTime(2026, 4, 24)] = 0.0131,
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[new DateTime(2026, 4, 27)] = 0.013502,
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[new DateTime(2026, 4, 28)] = 0.0136,
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[new DateTime(2026, 4, 29)] = 0.0138,
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[new DateTime(2026, 4, 30)] = 0.0139,
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[new DateTime(2026, 5, 4)] = 0.0139,
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[new DateTime(2026, 5, 5)] = 0.0139,
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[new DateTime(2026, 5, 6)] = 0.0136,
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[new DateTime(2026, 5, 7)] = 0.0136,
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[new DateTime(2026, 5, 8)] = 0.0135,
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[new DateTime(2026, 5, 9)] = 0.0131,
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[new DateTime(2026, 5, 11)] = 0.0134,
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[new DateTime(2026, 5, 12)] = 0.013,
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[new DateTime(2026, 5, 13)] = 0.0129,
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[new DateTime(2026, 5, 14)] = 0.013,
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[new DateTime(2026, 5, 15)] = 0.013,
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[new DateTime(2026, 5, 18)] = 0.0132,
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[new DateTime(2026, 5, 19)] = 0.0131,
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[new DateTime(2026, 5, 20)] = 0.0132,
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[new DateTime(2026, 5, 21)] = 0.013131,
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[new DateTime(2026, 5, 22)] = 0.0135,
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[new DateTime(2026, 5, 25)] = 0.0139,
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[new DateTime(2026, 5, 26)] = 0.013727,
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[new DateTime(2026, 5, 27)] = 0.013639,
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[new DateTime(2026, 5, 28)] = 0.0135,
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};
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_eod = null;
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}
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#endregion
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#region 构造器
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private static trade CreateTrade(string interestCalcMode, int interestRule, DateTime startDate)
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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 = interestCalcMode,
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SettlementRules = interestRule
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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,
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TradeNumber = "UT-SCEN-3-4",
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||
ClientId = 999998,
|
||
TradeType = "收益互换",
|
||
TradeDate = new DateTime(2026, 4, 21),
|
||
StartDate = startDate,
|
||
ExerciseDate = new DateTime(2026, 5, 19),
|
||
TradeStatus = "确认成交",
|
||
ValidState = "Valid",
|
||
trade_extend = extend
|
||
};
|
||
}
|
||
|
||
private static swap_position CreateFloatPosition(decimal spread, int interestRule,
|
||
InterestTypeEnum interestType, DateTime startDate, int interestMode)
|
||
{
|
||
var intervalModels = new List<IntervalModel>
|
||
{
|
||
new IntervalModel { Date = new DateTime(2026, 5, 19), Rate = spread, Settlement = 0 }
|
||
};
|
||
return new swap_position
|
||
{
|
||
id = 1001,
|
||
SwapTradeId = 1,
|
||
PositionType = (int)PositionTypeFlag.Unknown,
|
||
InterestDirection = (int)SwapDirectionEnum.收取,
|
||
InterestMode = interestMode,
|
||
InterestRateDefault = spread,
|
||
InterestPrincipalFix = Notional,
|
||
PosiStartDate = startDate,
|
||
PosiMatuirityDate = new DateTime(2026, 5, 19),
|
||
IsInitial = true,
|
||
Invalid = false,
|
||
InterestType = (int)interestType,
|
||
IsAnnualized = true,
|
||
interest_rest_days = ResetPeriod,
|
||
interest_rule = interestRule,
|
||
FloatRateUnderlyingCode = "FR007",
|
||
InterestSwapInterval = JsonConvert.SerializeObject(intervalModels)
|
||
};
|
||
}
|
||
|
||
/// <summary>从交易开始日逐日真实收盘（仅 accrual，无平仓），构建 eod 链。</summary>
|
||
private void RunDailyEodFromStart(E2EEodService svc, DateTime start, DateTime exclusiveEnd)
|
||
{
|
||
for (var d = start.Date; d < exclusiveEnd.Date; d = d.AddDays(1))
|
||
{
|
||
if (d.DayOfWeek == DayOfWeek.Saturday || d.DayOfWeek == DayOfWeek.Sunday) continue;
|
||
svc.RunDailyEod(d);
|
||
}
|
||
}
|
||
|
||
/// <summary>用生产同一计息入口计算平仓流水（真实 GetInterests，从 PosiStartDate 重放）。</summary>
|
||
private swap_flow_event CalcCloseFlow(trade td, swap_position position, DateTime valueDate,
|
||
List<eod_swap_position> prevEod, decimal remainingNotional, decimal closeNotional)
|
||
{
|
||
var svc = new RealSwapDealService(
|
||
new OptUserInfo(0, nameof(SwapInterestScenario3And4FloatingTest), OptUserFrom.UnitTest), _floatRates, _eod.FlowEvents);
|
||
var isMaturity = valueDate == td.ExerciseDate;
|
||
var interests = svc.GetInterests(
|
||
td, td.trade_extend, valueDate, valueDate,
|
||
prevEod, new List<swap_position> { position },
|
||
closeNotional, closeNotional, 1m,
|
||
(int)SwapEventTypeEnum.平仓,
|
||
false, closeNotional, false, settment: false, newCalcLast: isMaturity);
|
||
Assert.AreEqual(1, interests.Count);
|
||
return interests[0];
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 业务场景3：第3重置期内全平（平仓日 2026-05-11，closePercent=1）
|
||
|
||
[DataTestMethod]
|
||
[DataRow("T+1浮动减点算头算尾（当前营业日）", true, true, true, 0, 2, "-0.021", "-124062.54")]
|
||
[DataRow("T+0浮动加点算头算尾（当前营业日）", true, true, true, 0, 2, "0.0025", "280303.16")]
|
||
[DataRow("T+1浮动减点算头不算尾（当前营业日）", true, true, false, 0, 9, "-0.021", "-117918.47")]
|
||
[DataRow("T+0浮动加点算头不算尾（当前营业日）", true, true, false, 0, 2, "0.0025", "266674.35")]
|
||
[DataRow("T+1浮动减点算头算尾", true, true, true, -1, 9, "-0.021", "-123730.45")]
|
||
[DataRow("T+0浮动加点算头算尾", true, true, true, -1, 2, "0.0025", "279733.07")]
|
||
[DataRow("T+1浮动减点算头不算尾", true, true, false, -1, 9, "-0.021", "-117835.49")]
|
||
[DataRow("T+0浮动加点算头不算尾", true, true, false, -1, 9, "0.0025", "266104.29")]
|
||
[DataRow("T+1浮动减点算头算尾（单利）", false, true, true, -1, 9, "-0.021", "-123747.2")]
|
||
[DataRow("T+0浮动加点算头算尾（单利）", false, true, true, -1, 2, "0.0025", "279647.08")]
|
||
[DataRow("T+1浮动减点算头不算尾（单利）", false, true, false, 0, 9, "-0.021", "-117933.57")]
|
||
[DataRow("T+0浮动加点算头不算尾（单利）", false, true, false, -1, 9, "0.0025", "266026.58")]
|
||
public void 场景3_第3重置期内全平(string note, bool compound, bool calcFirst, bool calcLast,
|
||
int rule, int interestMode, string spreadStr, string oracleStr)
|
||
{
|
||
var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var oracle = decimal.Parse(oracleStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var mode = (calcFirst && calcLast) ? "11" : "10";
|
||
var type = compound ? InterestTypeEnum.复利 : InterestTypeEnum.单利;
|
||
|
||
var startDate = spread >= 0 ? new DateTime(2026, 4, 21) : new DateTime(2026, 4, 22);
|
||
var td = CreateTrade(mode, rule, startDate);
|
||
var position = CreateFloatPosition(spread, rule, type, startDate, interestMode);
|
||
_eod = new E2EEodService(td, new List<swap_position> { position }, td.trade_extend, _floatRates);
|
||
|
||
// 从交易开始日(=TradeDate)逐日真实收盘，构建 eod 链（平仓日前一天为止）
|
||
RunDailyEodFromStart(_eod, td.TradeDate.Value, new DateTime(2026, 5, 11));
|
||
var prevEod = _eod.LatestEodForPosition(position.id, new DateTime(2026, 5, 11));
|
||
|
||
// 全平：真实 EOD 平仓结算（生产同一入口），consumedInterest 来自真实累积 flow event
|
||
var flow = CalcCloseFlow(td, position, new DateTime(2026, 5, 11), new List<eod_swap_position>(), Notional, Notional);
|
||
var eod = _eod.ExecuteClose(position, new DateTime(2026, 5, 11),
|
||
0m, 0m, new List<swap_flow_event> { flow }, Notional, prevEod);
|
||
_eod.RecordEod(eod);
|
||
|
||
DebugCompare("场景3 " + note, oracle, eod.TdCloseInterest, eod);
|
||
AssertStrict(oracle, eod.TdCloseInterest, "场景3 " + note);
|
||
// 覆盖 mode 2/9 全平路径（SwapEodPositionService:1399-1406）：全平 closePercent=1 不进分歧分支，
|
||
// TdInterestPrincipal 等于计息器返回的 base（interests.First().InterestPrincipal，本服务已捕获到 LastBaseInterestPrincipal）。
|
||
AssertStrict(_eod.LastBaseInterestPrincipal, eod.TdInterestPrincipal, "场景3 TdInterestPrincipal " + note);
|
||
}
|
||
|
||
#endregion
|
||
|
||
#region 业务场景4：部分平仓(05-11,30%)后再全平(05-19)
|
||
|
||
[DataTestMethod]
|
||
[DataRow("T+1浮动减点算头算尾（当前营业日）", true, true, true, 0, 2, "-0.021", "-37218.76", "-124093.74")]
|
||
[DataRow("T+0浮动加点算头算尾（当前营业日）", true, true, true, 0, 2, "0.0025", "84090.95", "268428.73")]
|
||
[DataRow("T+1浮动减点算头不算尾（当前营业日）", true, true, false, 0, 9, "-0.021", "-35375.54", "-119386.71")]
|
||
[DataRow("T+0浮动加点算头不算尾（当前营业日）", true, true, false, 0, 2, "0.0025", "80002.31", "259348.38")]
|
||
[DataRow("T+1浮动减点算头算尾", true, true, true, -1, 9, "-0.021", "-37119.14", "-123280.17")]
|
||
[DataRow("T+0浮动加点算头算尾", true, true, true, -1, 2, "0.0025", "83919.92", "269717.13")]
|
||
[DataRow("T+1浮动减点算头不算尾", true, true, false, -1, 9, "-0.021", "-35350.65", "-118631.26")]
|
||
[DataRow("T+0浮动加点算头不算尾", true, true, false, -1, 9, "0.0025", "79831.29", "260578.53")]
|
||
[DataRow("T+1浮动减点算头算尾（单利）", false, true, true, -1, 9, "-0.021", "-37124.16", "-123307.03")]
|
||
[DataRow("T+0浮动加点算头算尾（单利）", false, true, true, -1, 2, "0.0025", "83894.12", "269586.02")]
|
||
[DataRow("T+1浮动减点算头不算尾（单利）", false, true, false, 0, 9, "-0.021", "-35380.07", "-119411.9")]
|
||
[DataRow("T+0浮动加点算头不算尾（单利）", false, true, false, -1, 9, "0.0025", "79807.97", "260458.63")]
|
||
public void 场景4_部分平仓后再全平(string note, bool compound, bool calcFirst, bool calcLast,
|
||
int rule, int interestMode, string spreadStr, string oraclePartialStr, string oracleFinalStr)
|
||
{
|
||
var spread = decimal.Parse(spreadStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var oraclePartial = decimal.Parse(oraclePartialStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var oracleFinal = decimal.Parse(oracleFinalStr, System.Globalization.CultureInfo.InvariantCulture);
|
||
var mode = (calcFirst && calcLast) ? "11" : "10";
|
||
var type = compound ? InterestTypeEnum.复利 : InterestTypeEnum.单利;
|
||
|
||
var startDate = spread >= 0 ? new DateTime(2026, 4, 21) : new DateTime(2026, 4, 22);
|
||
var td = CreateTrade(mode, rule, startDate);
|
||
var position = CreateFloatPosition(spread, rule, type, startDate, interestMode);
|
||
_eod = new E2EEodService(td, new List<swap_position> { position }, td.trade_extend, _floatRates);
|
||
|
||
// 从交易开始日(=TradeDate)逐日真实收盘，到部分平仓日前一天
|
||
RunDailyEodFromStart(_eod, td.TradeDate.Value, new DateTime(2026, 5, 11));
|
||
var prevEodPartial = _eod.LatestEodForPosition(position.id, new DateTime(2026, 5, 11));
|
||
|
||
// 第一步：2026-05-11 部分平仓 30%（真实 EOD 平仓结算，produces 真实 flow event）
|
||
var partialCloseNotional = Notional * 0.3m;
|
||
var remainingNotional = Notional - partialCloseNotional; // 提前声明，供 TdInterestPrincipal 断言使用
|
||
var partialFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 11), new List<eod_swap_position>(), partialCloseNotional, partialCloseNotional);
|
||
var partialEod = _eod.ExecuteClose(position, new DateTime(2026, 5, 11),
|
||
remainingNotional, 0m, new List<swap_flow_event> { partialFlow }, partialCloseNotional, prevEodPartial);
|
||
_eod.RecordEod(partialEod);
|
||
DebugCompare("场景4[部分] " + note, oraclePartial, partialEod.TdCloseInterest, partialEod);
|
||
AssertStrict(oraclePartial, partialEod.TdCloseInterest, "场景4[部分] " + note);
|
||
// TdInterestPrincipal 独立经济不变量断言（取代原 reverseMode2 镜像布尔）。
|
||
// 生产线路（SwapEodPositionService ~:1400-1453）：
|
||
// 单利：直接 TdInterestPrincipal = posiNotionalValue = remainingNotional（无累计利息）。
|
||
// 复利：base = 计息器 CalcSwapInterests 返回的 InterestPrincipal，已由本桩捕获为 LastBaseInterestPrincipal。
|
||
// - mode9（标的期初全价）：计息器已直接返回「剩余动态本金」，禁止任何 (1-cp)/cp 反推
|
||
// （GLMS-20260421-0004：误反推会把 ~212135529.97 膨胀到 ~494982903.27）。
|
||
// - mode2（合约名义本金规模）仅 calcLast 时 InterestPrincipal 为已平部分，需反推剩余
|
||
// = base*(1-cp)/cp（经济恒等式 remaining = closed/cp − closed，非代码镜像）。
|
||
// 下方用独立 if 锁死 mode9=base，不依赖 reverseMode2 布尔的拼写——
|
||
// 重基线时即便把 reverseMode2 错写成含 mode9，mode9 仍走 base 分支，断言照红。
|
||
decimal expectedTdPrincipal;
|
||
if (!compound)
|
||
{
|
||
expectedTdPrincipal = remainingNotional;
|
||
}
|
||
else if (interestMode == (int)InterestModeEnum.标的期初全价)
|
||
{
|
||
// mode9 回归守卫（GLMS-20260421-0004）：TdInterestPrincipal 必须等于反推前的 base；
|
||
// 任何 (1-cp)/cp 反推都会把 ~212M 剩余本金膨胀到 ~495M，此断言立即红。
|
||
expectedTdPrincipal = _eod.LastBaseInterestPrincipal;
|
||
}
|
||
else
|
||
{
|
||
// mode2（合约名义本金规模）：仅 calcLast 时 InterestPrincipal 为已平部分，需反推剩余
|
||
// = base*(1-cp)/cp（经济恒等式 remaining = closed/cp − closed，非代码镜像）。
|
||
// !calcLast 时生产走 usesFullPreviousEodPrincipal 分支（*= (1-cp)），本测因部分平仓前一日 eod
|
||
// 差 3 天使 Days==1 不成立而跳过，故此处取 base。
|
||
var cp = partialCloseNotional / Notional; // = 0.3，与 EOD 内部 closePercent 一致
|
||
bool reverseMode2 = interestMode == (int)InterestModeEnum.合约名义本金规模 && calcLast;
|
||
expectedTdPrincipal = reverseMode2
|
||
? _eod.LastBaseInterestPrincipal * (1m - cp) / cp
|
||
: _eod.LastBaseInterestPrincipal;
|
||
}
|
||
AssertStrict(expectedTdPrincipal, partialEod.TdInterestPrincipal, "场景4[部分] TdInterestPrincipal " + note);
|
||
|
||
// 部分平仓后，剩余名义本金缩减为 70%（真实代码路径更新持仓口径）
|
||
position.InterestPrincipalFix = remainingNotional;
|
||
position.PosiNotionalValue = remainingNotional;
|
||
|
||
// 从部分平仓次日逐日真实收盘，到全部平仓日前一天
|
||
RunDailyEodFromStart(_eod, new DateTime(2026, 5, 12), new DateTime(2026, 5, 19));
|
||
var prevEodFull = _eod.LatestEodForPosition(position.id, new DateTime(2026, 5, 19));
|
||
|
||
// 第二步：2026-05-19 全部平仓剩余 70%（consumedInterest 此时从真实累积的 flow event 读取，
|
||
// 真实扣除 5/11 部分平仓已结利息——绝无硬编码 0）
|
||
var fullFlow = CalcCloseFlow(td, position, new DateTime(2026, 5, 19), new List<eod_swap_position>(), remainingNotional, remainingNotional);
|
||
var fullEod = _eod.ExecuteClose(position, new DateTime(2026, 5, 19),
|
||
0m, 0m, new List<swap_flow_event> { fullFlow }, remainingNotional, prevEodFull);
|
||
_eod.RecordEod(fullEod);
|
||
DebugCompare("场景4[全平] " + note, oracleFinal, fullEod.TdCloseInterest, fullEod);
|
||
AssertStrict(oracleFinal, fullEod.TdCloseInterest, "场景4[全平] " + note);
|
||
}
|
||
|
||
#endregion
|
||
}
|
||
}
|