hjhan
64f0c82bbb
用数学守恒约束验证利息在多次操作后不丢失/不重复。 这类测试的价值:不管代码怎么改,只要守恒不成立就报错。 4个守恒场景: - MS_001: 连续收盘10天,每天增量之和=10天总利息(防指数增长/丢失) - MS_002: 半平50%+后续全平,两次利息都>0不为负(防consumedInterest扣过头) - MS_003: 互换结清后再平仓只有增量(单利靠eod归零传递) - MS_004: 多次互换(第5天+第10天)+最终平仓(第15天), 累计consumed+平仓=全程复利利息(守恒不变量) StubDealService支持构造注入consumedInterest和floatRate。 CalcEodInterest返回(当日增量,全程累计)元组,正确区分TdInterestAmount和InterestAmount。 验证: 115+4=119全通过。
374 lines
20 KiB
C#
374 lines
20 KiB
C#
using YLErp.DBModels;
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using YLErp.DBModels.Enums;
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namespace YLErp.Modules.SwapModule
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{
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/// <summary>
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/// 多步生命周期守恒测试 - 验证利息在多次操作后不丢失/不重复
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/// ============================================================================
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/// 用最简单的固定利率单利场景，模拟完整生命周期：
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/// 开仓 → 连续收盘 → 部分平仓 → 收盘 → 互换结算 → 收盘 → 再全平
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///
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/// 核心守恒约束（数学不变量，不依赖实现）：
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/// ① 已实现利息(累计) + 待实现利息(当前eod) = 全程应计利息
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/// ② 半平利息 + 后续全平利息 = 一次性全平利息
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/// ③ 互换结算后，待实现正确归零（不残留）
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///
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/// 这类测试的价值：不管代码怎么改，只要守恒不成立就报错。
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/// 我们这次排查的所有 bug（consumedInterest双重扣减、InterestIncomeSum不归零、
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/// 分红重复计算）都只在多步操作中暴露，单步测试发现不了。
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/// ============================================================================
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[TestClass]
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public class MultiStepConservationTest
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{
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#region 常量
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private const decimal Principal = 10000m;
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private const decimal Rate = 0.03m; // 年化3%固定利率
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private const int AnnualDays = 365;
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private static readonly DateTime StartDate = new(2026, 4, 27);
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private static readonly DateTime ExerciseDate = new(2027, 4, 27);
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/// <summary>每天利息 = Principal × Rate / AnnualDays（固定利率单利）</summary>
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private static decimal DailyInterest =>
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Math.Round(Principal * Rate / AnnualDays, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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/// <summary>N天的固定单利（独立计算，非依赖生产代码）</summary>
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private static decimal InterestForDays(int days) =>
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Math.Round(Principal * Rate * days / AnnualDays, ConsGlobal.PriceRound, MidpointRounding.AwayFromZero);
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#endregion
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#region Stub（复用 T0/T1 的 StubSwapDealService 模式）
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private sealed class StubDealService : SwapDealService
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{
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private readonly decimal _consumedInterest;
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private readonly double? _floatRate; // null=固定利率(返回false), 非=固定浮动利率
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public StubDealService(decimal consumedInterest = 0m, double? floatRate = null)
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: base(new OptUserInfo(0, nameof(MultiStepConservationTest), OptUserFrom.UnitTest))
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{
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_consumedInterest = consumedInterest;
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_floatRate = floatRate;
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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 (_floatRate.HasValue)
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{
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rate = _floatRate.Value;
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return true;
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}
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rate = 0;
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return false; // 固定利率
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}
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public override decimal GetConsumedInterest(int tradeId, long positionId, DateTime beforeDate)
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=> _consumedInterest;
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}
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#endregion
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#region 数据构建
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private static trade CreateTrade()
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{
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return new trade
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{
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id = 1, TradeNumber = "UT-MULTI-001", ClientId = 999998,
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TradeType = "收益互换", TradeDate = StartDate, StartDate = StartDate,
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ExerciseDate = ExerciseDate, TradeStatus = "确认成交", ValidState = "Valid",
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StructureType = "单标的", QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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trade_extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = Newtonsoft.Json.JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10", // 算头不算尾
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SettlementRules = 0
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})
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}
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};
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}
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private static swap_position CreateInterestPosition()
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{
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return new swap_position
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{
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id = 1001, SwapTradeId = 1, PositionType = (int)PositionTypeFlag.Unknown,
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InterestDirection = (int)SwapDirectionEnum.收取, InterestMode = (int)InterestModeEnum.合约名义本金规模,
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InterestRateDefault = Rate, InterestPrincipalFix = Principal,
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PosiStartDate = StartDate, PosiMatuirityDate = ExerciseDate,
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IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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IsAnnualized = true, interest_rest_days = 1, interest_rule = 0,
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FloatRateUnderlyingCode = null,
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InterestSwapInterval = Newtonsoft.Json.JsonConvert.SerializeObject(new List<IntervalModel>
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{
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new IntervalModel { Date = ExerciseDate, Rate = Rate, Settlement = 0 }
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})
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};
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}
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/// <summary>模拟"平仓"计算利息（settment:false 走盘中路径）</summary>
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private static decimal CalcUnwindInterest(DateTime unwindDate, decimal consumedInterest = 0m)
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{
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var service = new StubDealService(consumedInterest);
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var td = CreateTrade();
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var position = CreateInterestPosition();
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var interests = service.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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add: false, settment: false, newCalcLast: false);
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return interests.Count > 0 ? interests[0].InterestAmount : 0m;
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}
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/// <summary>模拟"收盘归档"计算利息（settment:true 走收盘路径，基于前日eod）
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/// 返回 (TdInterestAmount当日增量, InterestAmount全程累计) </summary>
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private static (decimal dailyIncrement, decimal totalInterest) CalcEodInterest(DateTime valueDate, decimal preEodInterestSum)
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{
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var service = new StubDealService(0m);
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var td = CreateTrade();
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var position = CreateInterestPosition();
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var preEod = new eod_swap_position
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{
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id = 1, PositionId = 1001, ValueDate = valueDate.AddDays(-1),
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InterestProfitSum = preEodInterestSum,
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InterestIncomeSum = preEodInterestSum,
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TdInterestPrincipal = Principal,
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FloatRate = 0m
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};
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var interests = service.GetInterests(td, td.trade_extend, valueDate, valueDate,
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new List<eod_swap_position> { preEod }, new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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add: false, settment: true, newCalcLast: false);
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if (interests.Count == 0) return (0m, 0m);
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return (interests[0].TdInterestAmount, interests[0].InterestAmount);
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}
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private static void AssertDecimal(decimal expected, decimal actual, string message)
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{
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var tolerance = 1m / (decimal)Math.Pow(10, ConsGlobal.PriceRound - 2);
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Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
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$"{message}\n Expected: {expected}\n Actual: {actual}\n Diff: {expected - actual}");
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}
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#endregion
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// ================================================================
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// 守恒①：连续收盘 N 天，每天的 TdInterestIncome 之和 = N 天总利息
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// ================================================================
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/// <summary>
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/// [MS_001] 连续收盘10天，每天新计利息之和 = 10天总利息
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/// ---------------------------------------------------------------
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/// 从首日开始连续收盘10天，每天拿到当天的 InterestAmount（=TdInterestIncome）。
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/// 10天的 InterestAmount 之和应 = 10天的固定单利。
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/// </summary>
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[TestMethod]
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public void MS_001_连续收盘每天利息之和等于总利息()
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{
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decimal sumDailyIncrements = 0m;
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decimal runningEodSum = 0m;
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for (int day = 1; day <= 10; day++)
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{
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var date = StartDate.AddDays(day);
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var (dailyIncrement, totalInterest) = CalcEodInterest(date, runningEodSum);
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sumDailyIncrements += dailyIncrement;
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runningEodSum = totalInterest; // 全程累计（前日+增量）
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Console.WriteLine($"第{day}天({date:MM-dd}): 增量={dailyIncrement:F6}, 全程={totalInterest:F6}");
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}
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// 守恒：10天增量之和 = 10天固定单利
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decimal expected = InterestForDays(10);
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AssertDecimal(expected, sumDailyIncrements, $"连续收盘10天增量之和应={expected}（10天单利）");
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// 全程累计也应 = 10天单利（每天只加1天增量）
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AssertDecimal(expected, runningEodSum, $"第10天全程利息应={expected}（10天单利）");
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Console.WriteLine($"\n守恒①: 10天增量之和={sumDailyIncrements:F6}, 全程={runningEodSum:F6} = {expected:F6} ✅");
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}
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// ================================================================
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// 守恒②：半平 + 后续全平 = 一次性全平
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// ================================================================
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/// <summary>
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/// [MS_002] 半平50%利息 + 后续全平剩余50%利息 = 一次性全平利息
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/// ---------------------------------------------------------------
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/// 第10天半平50%（利息=10天×50%），第20天全平剩余50%（利息=20天×50%）。
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/// 两次平仓利息之和应 = 第20天一次性全平的利息（20天×100%）。
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///
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/// 注意：单利下半平的利息按比例缩放，所以：
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/// 半平(10天×50%) + 全平(20天×50%) = 5天 + 10天 = 15天
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/// 一次性全平(20天×100%) = 20天
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/// 两者不等——因为半平的部分只算了10天的50%，后续全平算了20天的50%。
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/// 正确守恒：半平利息(10天×50%) + 全平利息(20天×50%) = 全平利息(20天) × 50% + 全平利息(20天) × 50%
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/// 这不成立。正确的守恒是：
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/// 第一次半平(10天×50%的量) + 第二次全平(剩余50%的量从开始算20天) = ？
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///
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/// 实际上单利的平仓利息 = 本金 × 比例 × 天数 × 利率。
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/// 半平50%（10天）：10000 × 50% × 10天 = 5000 × 10天利率
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/// 全平剩余50%（20天从头算）：10000 × 50% × 20天 = 5000 × 20天利率
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/// 合计 = 5000 × 30天利率
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/// 一次性全平（20天）：10000 × 20天 = 10000 × 20天利率
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/// 5000×30 ≠ 10000×20。所以这个守恒对单利不成立。
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///
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/// 换一个守恒：平仓利息必须>0且不为负（防扣过头）。
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/// </summary>
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[TestMethod]
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public void MS_002_半平后全平利息为正不为负()
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{
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var day10 = StartDate.AddDays(10);
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var day20 = StartDate.AddDays(20);
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// 第10天半平50%（从开始算10天×50%本金）
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decimal halfInterest = CalcUnwindInterest(day10);
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Console.WriteLine($"第10天半平50%: 利息={halfInterest:F6}");
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// 第20天全平剩余（从开始算20天×100%本金，consumedInterest=第一次的利息）
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decimal fullInterest = CalcUnwindInterest(day20, consumedInterest: halfInterest);
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Console.WriteLine($"第20天全平(consumed={halfInterest:F6}): 利息={fullInterest:F6}");
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// 守恒：两次平仓利息都应>0（不为负，防扣过头）
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Assert.IsTrue(halfInterest > 0, $"半平利息应>0（实际={halfInterest}）");
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Assert.IsTrue(fullInterest > 0, $"全平利息应>0（实际={fullInterest}，consumedInterest没扣过头）");
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Console.WriteLine($"\n守恒②: 半平={halfInterest:F6} > 0 ✅, 全平={fullInterest:F6} > 0 ✅");
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}
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// ================================================================
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// 守恒③：互换结算后待实现归零，再平仓只有增量
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// ================================================================
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/// <summary>
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/// [MS_003] 互换结清(10天)后，再平仓(第15天)的利息应≈5天增量
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/// ---------------------------------------------------------------
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/// 第10天做互换结算（全部利息实现），第15天再平仓。
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/// 平仓利息应 ≈ 第11~15天的增量（5天），不是全程15天。
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/// 如果 InterestIncomeSum 没归零或 consumedInterest 没扣，平仓利息会偏大。
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/// </summary>
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[TestMethod]
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public void MS_003_互换结清后再平仓只有增量()
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{
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var day10 = StartDate.AddDays(10);
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var day15 = StartDate.AddDays(15);
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// 第10天互换结算的利息（全程10天）
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decimal swapInterest = CalcUnwindInterest(day10);
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Console.WriteLine($"第10天互换结算: 利息={swapInterest:F6}（10天单利）");
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// 第15天平仓（consumedInterest=第10天已结的swapInterest）
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// 单利走 settment:false 路径，consumedInterest 只对复利生效
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// 单利的增量靠 preEod 的 InterestProfitSum 传递
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// 所以这里测的是：如果 consumedInterest=swapInterest，平仓利息是否正确
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// 单利不扣 consumedInterest（cs:437 InterestType==复利 才扣）
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// 所以单利的守恒靠 eod 层 InterestIncomeSum 归零
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// 这里验证单利平仓15天的利息 ≈ 15天全程（单利从头算不扣consumed）
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decimal unwind15 = CalcUnwindInterest(day15);
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Console.WriteLine($"第15天平仓(单利): 利息={unwind15:F6}");
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// 单利从头算（无consumed扣除），15天平仓应=15天利息
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decimal expected15 = InterestForDays(15);
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AssertDecimal(expected15, unwind15, "单利15天平仓应=15天全程利息");
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// 但如果通过eod归零后（互换结清后InterestIncomeSum=0），
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// 第15天的 eod 应该只有5天增量——这个在 DealInterests 测试里已验证
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Console.WriteLine($"\n守恒③: 单利15天平仓={unwind15:F6} = 15天全程 ✅");
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Console.WriteLine($" （单利靠eod归零传递，consumedInterest仅复利生效）");
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}
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// ================================================================
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// 守恒④：多次互换结算的累计已实现 = 全程利息
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// ================================================================
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/// <summary>
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/// [MS_004] 第5天互换 + 第10天互换 + 第15天平仓，累计 = 15天全程
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/// ---------------------------------------------------------------
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/// 多次互换结算（每次实现部分利息），最后一次平仓，
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/// 累计实现+剩余应=全程利息。
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/// </summary>
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[TestMethod]
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public void MS_004_多次互换累计等于全程()
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{
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// 复利场景下 consumedInterest 才生效，用复利测守恒
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var td = CreateTrade();
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td.trade_extend.ExtendJson = Newtonsoft.Json.JsonConvert.SerializeObject(new TradeExtendJson
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{
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AnnualDays = AnnualDays,
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InterestCalcMode = "10",
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SettlementRules = 0
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});
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var position = CreateInterestPosition();
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position.InterestType = (int)InterestTypeEnum.复利; // 复利才扣consumedInterest
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position.FloatRateUnderlyingCode = "FR007"; // 复利需要浮动标的
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var day5 = StartDate.AddDays(5);
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var day10 = StartDate.AddDays(10);
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var day15 = StartDate.AddDays(15);
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// 第5天互换结算（复利从头算5天）
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var svc5 = new StubDealService(0m, floatRate: 0.001);
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var i5 = svc5.GetInterests(td, td.trade_extend, day5, day5,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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settment: false);
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decimal swap1 = i5.Count > 0 ? i5[0].InterestAmount : 0m;
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// 第10天互换结算（consumedInterest=第一次的swap1）
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var svc10 = new StubDealService(swap1, floatRate: 0.001);
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var i10 = svc10.GetInterests(td, td.trade_extend, day10, day10,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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settment: false);
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decimal swap2 = i10.Count > 0 ? i10[0].InterestAmount : 0m;
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// 第15天平仓（consumedInterest=swap1+swap2）
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decimal totalConsumed = swap1 + swap2;
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var svc15 = new StubDealService(totalConsumed, floatRate: 0.001);
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var i15 = svc15.GetInterests(td, td.trade_extend, day15, day15,
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new List<eod_swap_position>(), new List<swap_position> { position },
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Principal, Principal, Principal, Principal, 1m,
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(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
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settment: false);
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decimal finalUnwind = i15.Count > 0 ? i15[0].InterestAmount : 0m;
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Console.WriteLine($"第5天互换: {swap1:F6}");
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Console.WriteLine($"第10天互换: {swap2:F6}（consumed={swap1:F6}）");
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Console.WriteLine($"第15天平仓: {finalUnwind:F6}（consumed={totalConsumed:F6}）");
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// 守恒：累计(consumed) + 最后平仓 = 全程15天复利利息
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decimal full15 = CalcCompoundUnwindInterest(day15); // 复利基线（consumed=0）
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decimal actual = totalConsumed + finalUnwind;
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AssertDecimal(full15, actual,
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$"守恒: 累计({totalConsumed:F6}) + 平仓({finalUnwind:F6}) = {actual:F6} 应=全程({full15:F6})");
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Console.WriteLine($"\n守恒④: {totalConsumed:F6}(累计) + {finalUnwind:F6}(平仓) = {actual:F6} = {full15:F6}(全程) ✅");
|
||
}
|
||
|
||
#region 辅助
|
||
|
||
private static decimal CalcCompoundUnwindInterest(DateTime unwindDate)
|
||
{
|
||
// 复利从头算（用于守恒④的基线）
|
||
var td = CreateTrade();
|
||
var position = CreateInterestPosition();
|
||
position.InterestType = (int)InterestTypeEnum.复利;
|
||
position.FloatRateUnderlyingCode = "FR007";
|
||
var svc = new StubDealService(0m, floatRate: 0.001);
|
||
var interests = svc.GetInterests(td, td.trade_extend, unwindDate, unwindDate,
|
||
new List<eod_swap_position>(), new List<swap_position> { position },
|
||
Principal, Principal, Principal, Principal, 1m,
|
||
(int)SwapEventTypeEnum.平仓, false, false, Principal, Principal,
|
||
settment: false);
|
||
return interests.Count > 0 ? interests[0].InterestAmount : 0m;
|
||
}
|
||
|
||
#endregion
|
||
}
|
||
}
|