zszq-trs/UnitTestProject/Modules/SwapModule/Accrual/CompoundPeriodShadowTest.cs

using Newtonsoft.Json;
using YLErp;
using YLErp.Derivatives.Interest;
using YLErp.Modules.SwapModule;
using YLErp.Modules.SwapModule.Accrual;

namespace UnitTestProject.Modules.SwapModule.Accrual
{
    /// <summary>
    /// 影子测试：CalcDailyCompoundInterest（旧逐日循环）vs FundingLegAccrual.AccrueCompoundPeriod（新分段纯函数）。
    /// </summary>
    [TestClass]
    public class CompoundPeriodShadowTest
    {
        private const decimal Notional = 100_000_000m;
        private const decimal Spread = 0.0025m;
        private const int AnnualDays = 365;
        private static readonly DateTime StartDate = new(2026, 4, 21);
        private static readonly DateTime EndDate = new(2026, 5, 11); // 21天 = 3×7, 末日是重置日

        private static trade CreateTrade()
        {
            return new trade
            {
                id = 1, TradeNumber = "UT-COMPOUND-SHADOW", ClientId = 999998,
                TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
                ExerciseDate = StartDate.AddYears(1), TradeStatus = "确认成交", ValidState = "Valid",
                trade_extend = new trade_extend
                {
                    TradeId = 1,
                    ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
                    {
                        AnnualDays = AnnualDays, InterestCalcMode = "10", SettlementRules = 0
                    })
                }
            };
        }

        private static swap_position CreatePosition()
        {
            return new swap_position
            {
                id = 1001, SwapTradeId = 1, PosiDirection = 0,
                InterestDirection = (int)SwapDirectionEnum.收取,
                InterestMode = (int)InterestModeEnum.标的期初全价,
                InterestRateDefault = Spread,
                InterestPrincipalFix = Notional,
                PosiStartDate = StartDate, PosiMatuirityDate = StartDate.AddYears(1),
                IsInitial = true, Invalid = false,
                InterestType = (int)InterestTypeEnum.复利,
                IsAnnualized = true, interest_rest_days = 7, interest_rule = 0,
                FloatRateUnderlyingCode = null,
                InterestSwapInterval = "[]"
            };
        }

        private sealed class StubSvc : SwapDealService
        {
            public StubSvc() : base(new OptUserInfo(0, nameof(CompoundPeriodShadowTest), OptUserFrom.UnitTest)) { }
        }

        /// <summary>
        /// 固定利率（无FR007）算头不算尾，全平。
        /// 重置日 4/28, 5/5, 末日 5/11 恰为重置日（21天=3×7）。
        /// </summary>
        [TestMethod]
        public void 影子_固定利率_全平_末日重置日_旧新一致()
        {
            var position = CreatePosition();
            var flowEvent = new swap_flow_event { InterestRate = Spread };
            var preEod = new eod_swap_position { id = 0 };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 1m, Notional, true, false,
                ref oldI, ref oldTd);

            // 新方法：固定利率全段相同，分段点 = PosiStartDate + k×7
            // 段: [4/21,4/28), [4/28,5/5), [5/5,5/11] → 注意旧代码 calcLast=false 不算末日
            var allInRate = Spread; // 无浮动利率
            var segRates = new List<(DateTime, decimal)>
            {
                (StartDate, allInRate),
                (StartDate.AddDays(7), allInRate),
                (StartDate.AddDays(14), allInRate),
            };
            var result = FundingLegAccrual.AccrueCompoundPeriod(
                notional: Notional,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true,
                resetCarryInterest: 0m,
                realizedInterest: 0m,
                unwindFraction: 1m,
                finalBasis: out _);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }

        /// <summary>
        /// 部分平仓 30% + consumedInterest 扣除。
        /// </summary>
        [TestMethod]
        public void 影子_部分平仓30pct_consumedInterest_旧新一致()
        {
            var position = CreatePosition();
            var flowEvent = new swap_flow_event { InterestRate = Spread };
            var preEod = new eod_swap_position { id = 0 };
            const decimal consumed = 50_000m;
            const decimal closePct = 0.3m;
            const decimal carry = 0m; // 无历史归档

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailyCompoundInterest(EndDate, position, Notional * closePct, flowEvent,
                AnnualDays, false, 0m, closePct, Notional, true, false,
                ref oldI, ref oldTd, consumedInterest: consumed, resetCarryInterest: carry);

            // 新方法
            var allInRate = Spread;
            var segRates = new List<(DateTime, decimal)>
            {
                (StartDate, allInRate),
                (StartDate.AddDays(7), allInRate),
                (StartDate.AddDays(14), allInRate),
            };
            var result = FundingLegAccrual.AccrueCompoundPeriod(
                notional: Notional * closePct,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                boundary: AccrualBoundary.StartOnly,
                annualDays: AnnualDays,
                isAnnualized: true,
                resetCarryInterest: carry,
                realizedInterest: consumed,
                unwindFraction: closePct,
                finalBasis: out _);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }

        /// <summary>
        /// 算头算尾(calcMode="11")对比。
        /// </summary>
        [TestMethod]
        public void 影子_算头算尾_旧新一致()
        {
            var position = CreatePosition();
            var flowEvent = new swap_flow_event { InterestRate = Spread };
            var preEod = new eod_swap_position { id = 0 };

            // 旧方法
            decimal oldI = 0, oldTd = 0;
            var svc = new StubSvc();
            svc.CalcDailyCompoundInterest(EndDate, position, Notional, flowEvent,
                AnnualDays, false, 0m, 1m, Notional, true, true,
                ref oldI, ref oldTd);

            // 新方法
            var allInRate = Spread;
            var segRates = new List<(DateTime, decimal)>
            {
                (StartDate, allInRate),
                (StartDate.AddDays(7), allInRate),
                (StartDate.AddDays(14), allInRate),
            };
            var result = FundingLegAccrual.AccrueCompoundPeriod(
                notional: Notional,
                segmentRates: segRates,
                startDate: StartDate,
                endDate: EndDate,
                boundary: AccrualBoundary.Both,
                annualDays: AnnualDays,
                isAnnualized: true,
                resetCarryInterest: 0m,
                realizedInterest: 0m,
                unwindFraction: 1m,
                finalBasis: out _);

            Console.WriteLine($"旧: I={oldI} Td={oldTd}");
            Console.WriteLine($"新: Accrued={result.Accrued} AccruedToday={result.AccruedToday}");
            Assert.AreEqual((double)oldI, (double)result.Accrued, 0.01, "InterestAmount 一致");
            Assert.AreEqual((double)oldTd, (double)result.AccruedToday, 0.01, "TdInterestAmount 一致");
        }
    }
}