张名锐
415539704d
- 将价差盈亏计算从使用CloseNotionalValue改为使用PositionQty和ContractSize - 更新前端JavaScript代码中的计算公式，按持仓数量和合约乘数计算价差盈亏 - 在UnwindInput模型中添加PositionQty和ContractSize字段 - 修正后台计算服务中的数据映射逻辑 - 添加FC_009测试用例验证债券价差按数量计算的正确性 - 更新现有测试用例的输入参数以匹配新的计算方式
268 lines
13 KiB
C#
268 lines
13 KiB
C#
using Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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using YLErp.Helpers;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 前端计算逻辑特征化测试（Characterization Test）
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/// ============================================================================
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/// 目的：用 golden 冻结前端 JS 的计算行为（含用户可变输入分支），
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/// 作为下一轮"计算下沉后端"的金标准——后端结果必须匹配这些 golden。
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///
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/// 背景：前端 unwindSwapTrade.js / incomeSwapTrade.js 是实时响应式计算器，
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/// 用户改标的价格/平仓数量/交易费用/利息金额时，前端立刻重算 MarkClosePnl/
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/// SwapRealizedPnL/SwapCloseAmount，后端拿到"前端算好的最终结果"直接记账。
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/// 本测试用 C# 忠实重写前端公式作参考实现，手算真实输入的期望值存 golden。
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///
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/// 命名规范（见命名决策文档）：参考实现内部用规范名（EntryPrice/ExitPrice/
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/// floatRatio/longRatio），注释标明对应前端字段与规范语义。
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/// ============================================================================
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[TestClass]
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public class FrontendCalcCharacterizationTest
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{
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private static readonly string GoldenDir = Path.Combine(
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AppDomain.CurrentDomain.BaseDirectory, "Resources", "GoldenFiles", "FrontendCalc");
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// FrontendCalcReference 已搬迁到生产代码 YLErpDAL/Helpers/FrontendCalcReference.cs，
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// 生产代码(SwapDealService校验)与测试共用同一份公式实现，避免分叉。
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// ================================================================
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// 8 个测试场景（含用户可变输入分支）
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// ================================================================
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// ---- 平仓页（unwind）场景 ----
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/// <summary>
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/// [FC_001] 平仓-债券多头-默认值（基线）
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/// EntryDirtyPrice(PosiGrossPrice)=1.02, ExitPrice(TradingAmountAvg,×100形态)=105,
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/// CloseQty=1000, PayDirection=1(收取), PositionType=1(多头), TradingFee="20"
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/// scale=0.01, floatRatio=1, longRatio=1
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/// MarkClosePnl = round(1000×(105×0.01−1.02)×1×1×10000)/10000 = round(1000×0.03×10000)/10000 = 30
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/// </summary>
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[TestMethod]
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public void FC_001_平仓_债券多头_默认值()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// MarkClosePnl = 1000×(1.05−1.02)×1×1 = 30
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AssertDecimalEqual(30m, result.MarkClosePnl, 0.01m, "MarkClosePnl");
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// FloatPnlSum = 30 + 20 + 0 + 0 = 50
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AssertDecimalEqual(50m, result.FloatPnlSum, 0.01m, "FloatPnlSum");
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// SwapRealizedPnL = FloatPnlSum(50)
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AssertDecimalEqual(50m, result.SwapRealizedPnL, 0.01m, "SwapRealizedPnL");
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Console.WriteLine($"FC_001: MarkClosePnl={result.MarkClosePnl}, FloatPnlSum={result.FloatPnlSum} ✅");
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}
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/// <summary>
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/// [FC_002] 平仓-用户改标的价格（TradingAmountAvg 100→110）
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/// MarkClosePnl = round(1000×(110×0.01−1.02)×10000)/10000 = round(1000×0.08×10000)/10000 = 80
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/// </summary>
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[TestMethod]
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public void FC_002_平仓_用户改标的价格()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 110m, // 改成110
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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AssertDecimalEqual(80m, result.MarkClosePnl, 0.01m, "改价格后 MarkClosePnl");
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AssertDecimalEqual(100m, result.FloatPnlSum, 0.01m, "改价格后 FloatPnlSum");
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Console.WriteLine($"FC_002: 改标的价格后 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_003] 平仓-用户改平仓数量（CloseQty 1000→500，TradingFeePending 随比例变）
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/// MarkClosePnl = round(500×(105×0.01−1.02)×10000)/10000 = round(500×0.03×10000)/10000 = 15
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/// TradingFeePending 按比例=BeforeCloseFee×ClosePercent(0.5)，假设=10
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/// </summary>
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[TestMethod]
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public void FC_003_平仓_用户改平仓数量()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 500, // 改成500（原1000）
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PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "10", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// MarkClosePnl = 500×0.03 = 15
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AssertDecimalEqual(15m, result.MarkClosePnl, 0.01m, "改数量后 MarkClosePnl");
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// FloatPnlSum = 15 + 20 + 10 + 0 = 45
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AssertDecimalEqual(45m, result.FloatPnlSum, 0.01m, "改数量后 FloatPnlSum");
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Console.WriteLine($"FC_003: 改平仓数量后 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_004] 平仓-用户改利息金额（InterestClosePnL=100）
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/// SwapRealizedPnL = FloatPnlSum(50) + InterestClosePnL(100) = 150
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/// </summary>
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[TestMethod]
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public void FC_004_平仓_用户改利息金额()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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CloseQty = 1000, PayDirection = 1, PositionType = 1,
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TradingFee = "20", TradingFeePending = "0", DividendIn = "0"
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};
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input.InterestLegs.Add(new LegInput { InterestClosePnL = 100m });
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var result = FrontendCalcReference.CalcUnwind(input);
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AssertDecimalEqual(30m, result.MarkClosePnl, 0.01m, "MarkClosePnl 不受利息影响");
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// SwapRealizedPnL = 50 + 100 = 150
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AssertDecimalEqual(150m, result.SwapRealizedPnL, 0.01m, "含利息的 SwapRealizedPnL");
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Console.WriteLine($"FC_004: 改利息后 SwapRealizedPnL={result.SwapRealizedPnL} ✅");
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}
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/// <summary>
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/// [FC_005] 平仓-非债券空头（PositionType=Short=2, multiplier=1）
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/// floatRatio=1(收取), longRatio=-1(空头)
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/// MarkClosePnl = round(1000×(100×1−100)×1×(−1)×10000)/10000 = 0（价格不变时空头盈亏=0）
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/// 改成价格涨：TradingAmountAvg=105, MarkClosePnl=round(1000×(105−100)×1×(−1)×10000)/10000=−50000
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/// 空头价格涨=亏损
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/// </summary>
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[TestMethod]
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public void FC_005_平仓_非债券空头_方向因子()
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{
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var input = new UnwindInput
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{
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Multiplier = 1, PosiGrossPrice = 100m, TradingAmountAvg = 105m, // 涨了5
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CloseQty = 1000, PayDirection = 1, PositionType = 2, // 空头
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcUnwind(input);
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// 空头价格涨=亏损：1000×(105−100)×1×(−1) = −5000
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AssertDecimalEqual(-5000m, result.MarkClosePnl, 0.01m, "空头价格涨=亏损");
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Console.WriteLine($"FC_005: 空头方向因子 MarkClosePnl={result.MarkClosePnl} ✅");
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}
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// ---- 结息页（income）场景 ----
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/// <summary>
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/// [FC_006] 结息-债券多头-全量结算（基线）
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/// income 使用持仓数量和合约乘数，无 longRatio
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/// EntryPrice=1.02, TradingAmountAvg=105(×100形态), PositionQty=10000, ContractSize=1
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/// MarkClosePnl = 10000×1×(105×0.01−1.02)×1 = 10000×0.03 = 300
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/// </summary>
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[TestMethod]
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public void FC_006_结息_债券多头_全量结算()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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PositionQty = 10000,
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ContractSize = 1,
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CloseNotionalValue = 10200, // 与数量刻意不同，守卫 income 不再误用名义本金
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CloseQty = 0, // income 不用数量
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PayDirection = 1, PositionType = 1,
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcIncome(input);
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AssertDecimalEqual(300m, result.MarkClosePnl, 0.01m, "income MarkClosePnl");
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AssertDecimalEqual(300m, result.SwapRealizedPnL, 0.01m, "income SwapRealizedPnL");
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Console.WriteLine($"FC_006: income MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_007] 结息-用户改标的价格（TradingAmountAvg 105→110）
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/// MarkClosePnl = 10000×(110×0.01−1.02) = 10000×0.08 = 800
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/// </summary>
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[TestMethod]
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public void FC_007_结息_用户改标的价格()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 110m,
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PositionQty = 10000, ContractSize = 1,
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CloseNotionalValue = 10200, CloseQty = 0,
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PayDirection = 1, PositionType = 1,
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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var result = FrontendCalcReference.CalcIncome(input);
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AssertDecimalEqual(800m, result.MarkClosePnl, 0.01m, "改价格后 income MarkClosePnl");
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Console.WriteLine($"FC_007: 改价格后 income MarkClosePnl={result.MarkClosePnl} ✅");
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}
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/// <summary>
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/// [FC_008] 结息-含利息腿与预付金腿（InterestClosePnL + margin InterestClosePnL）
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/// SwapRealizedPnL = FloatPnlSum(300) + 利息腿(100) + 预付金腿(50) = 450
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/// SwapMarginRebatePnl = 预付金腿(50)
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/// </summary>
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[TestMethod]
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public void FC_008_结息_含利息腿与预付金腿_总额()
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{
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var input = new UnwindInput
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{
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Multiplier = 100, PosiGrossPrice = 1.02m, TradingAmountAvg = 105m,
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PositionQty = 10000, ContractSize = 1,
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CloseNotionalValue = 10200, CloseQty = 0,
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PayDirection = 1, PositionType = 1,
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TradingFee = "0", TradingFeePending = "0", DividendIn = "0"
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};
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input.InterestLegs.Add(new LegInput { InterestClosePnL = 100m });
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input.MarginLegs.Add(new LegInput { InterestClosePnL = 50m });
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var result = FrontendCalcReference.CalcIncome(input);
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// SwapRealizedPnL = 300 + 100 + 50 = 450
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AssertDecimalEqual(450m, result.SwapRealizedPnL, 0.01m, "含利息+预付金的 SwapRealizedPnL");
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// SwapMarginRebatePnl = 50
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AssertDecimalEqual(50m, result.SwapMarginRebatePnl, 0.01m, "SwapMarginRebatePnl");
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Console.WriteLine($"FC_008: SwapRealizedPnL={result.SwapRealizedPnL}, SwapMarginRebatePnl={result.SwapMarginRebatePnl} ✅");
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}
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/// <summary>
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/// [FC_009] 结息-债券支付端：价差盈亏必须按数量计算，不能按期初名义本金计算。
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/// 纯价差 = 30000000×1×(80%−98%)×(−1) = 5400000；加分红-45000后合计5355000。
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/// </summary>
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[TestMethod]
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public void FC_009_结息_债券价差按数量计算()
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{
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var input = new UnwindInput
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{
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Multiplier = 100,
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PosiGrossPrice = 0.98m,
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TradingAmountAvg = 80m,
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PositionQty = 30000000m,
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ContractSize = 1m,
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CloseNotionalValue = 29400000m,
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CloseQty = 0m,
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PayDirection = 2,
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PositionType = 1,
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TradingFee = "0",
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TradingFeePending = "0",
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DividendIn = "-45000"
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};
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var result = FrontendCalcReference.CalcIncome(input);
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AssertDecimalEqual(5400000m, result.MarkClosePnl, 0.01m, "income MarkClosePnl按数量计算");
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AssertDecimalEqual(5355000m, result.FloatPnlSum, 0.01m, "income FloatPnlSum包含分红");
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}
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private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tolerance, string message = "")
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{
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Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
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$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
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}
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}
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}
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