张名锐
ce0908c53b
- 添加了SetFloatingRealizedPnl方法统一计算已实现盈亏 - 已实现盈亏现在正确包含盯市、分红和费用三个组成部分 - 修复了多处RealizedPnl计算错误，确保数值准确性 - 为DF_008测试场景添加了专门的单元测试验证 - 移除了重复的盈亏计算代码，提高代码可维护性
421 lines
20 KiB
C#
421 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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/// DealFloatPositions 浮动腿收盘归档 - 合成单元测试
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/// ============================================================================
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/// DealFloatPositions 处理浮动腿（标的持仓）的日终归档，三个分支：
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/// ① 无前日eod → SaveCurrentEodInitalPosi（首日初始化，纯计算）
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/// ② 有eod无平仓 → CopyEodPosition（复制+更新价格，依赖外部数据源）
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/// ③ 有eod有平仓 → UpdateEodPosition（更新持仓，依赖外部数据源）
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///
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/// 当前可测范围：
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/// - 分支选择逻辑（DealFloatPositions 调度层，纯内存）
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/// - SaveCurrentEodInitalPosi（首日初始化，纯计算，无外部依赖）
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/// CopyEodPosition/UpdateEodPosition 需额外接缝（UnderlyingCodePrice等），留后续。
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/// ============================================================================
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[TestClass]
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public class DealFloatPositionsScenarioTest
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{
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private const int SwapTradeId = 200;
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private static readonly DateTime TradeDate = new(2026, 4, 28);
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private static readonly DateTime PreSettleDate = new(2026, 4, 27);
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#region Stub
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private sealed class StubEodService : SwapEodPositionService
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{
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// 可注入的外部数据
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public decimal UnderlyingPrice { get; set; } = 1.00m;
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public decimal Vobp { get; set; } = 0m;
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public decimal BondPayment { get; set; } = 0m;
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public decimal TaxRate { get; set; } = 0m;
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public string UnderlyingCode { get; set; } = "210210.IB";
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public StubEodService() : base(new OptUserInfo(0, nameof(DealFloatPositionsScenarioTest), OptUserFrom.UnitTest))
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{
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}
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// override 外部依赖
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protected override decimal GetUnderlyingPrice(string code, DateTime settleDate, out decimal vobp)
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{
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vobp = Vobp;
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return UnderlyingPrice;
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}
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protected override underlying_manager GetUnderlyingData(string underlyingCode)
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{
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return new underlying_manager { ValueAddedTax = TaxRate };
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}
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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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return BondPayment;
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}
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protected override void SaveAllChanges() { }
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protected override double GetCurrencyRate(string quoteCurrency, string settlementCurrency, DateTime valueDate, bool seekPreday, CurrencyRateType currencyRateType)
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=> 1.0;
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// DealFloatPositions 和子方法都是 protected，通过 public 包装暴露
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public List<eod_swap_position> ExecuteDealFloatPositions(
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List<swap_position> posiList, List<swap_position> realPosiList,
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List<eod_swap_position> eodPositions, List<eod_swap_position> todyEodPositions,
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DateTime settleDate, trade td, DateTime preSettleDate, List<swap_flow_event> flowEvents)
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{
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return DealFloatPositions(posiList, realPosiList, eodPositions, todyEodPositions,
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settleDate, td, preSettleDate, flowEvents);
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}
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public eod_swap_position ExecuteSaveCurrentEodInitalPosi(
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swap_position position, trade td, DateTime settleDate, DateTime preSettleDate,
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List<swap_flow_event> unwindEvents)
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{
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return SaveCurrentEodInitalPosi(position, td, settleDate, preSettleDate, unwindEvents);
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}
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public eod_swap_position ExecuteCopyEodPosition(
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eod_swap_position eod, eod_swap_position curretEod, trade td, DateTime valueDate, DateTime preSettleDate)
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{
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return CopyEodPosition(eod, curretEod, td, valueDate, preSettleDate);
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}
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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 = SwapTradeId, TradeNumber = "UT-FLOAT-001", ClientId = 999998,
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TradeType = "收益互换", TradeDate = PreSettleDate, StartDate = PreSettleDate,
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ExerciseDate = new DateTime(2027, 4, 27), TradeStatus = "确认成交",
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ValidState = "Valid", StructureType = "单标的",
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QuoteCurrency = "CNY", SettlementCurrency = "CNY",
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OriginalStockEqvNotional = 10000
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};
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}
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private static swap_position CreateFloatPosition(int id = 3001, decimal qty = 10000m)
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{
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return new swap_position
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{
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id = id, SwapTradeId = SwapTradeId,
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PosiDirection = 2, PositionType = (int)PositionTypeFlag.Long,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PosiQuantity = qty, PosiNotionalValue = qty,
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PosiNetPrice = 1.005m, PosiGrossPrice = 1.002m,
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PosiNetFeePrice = 1.004m, PosiNetNoFeePrice = 1.001m,
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IsInitial = true, Invalid = false,
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PosiTradingFee = 0, PosiTradingFeePending = 0
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};
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}
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private static swap_flow_event CreateCloseEvent(int positionId, decimal qty, decimal markClosePnl = 100m)
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{
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return new swap_flow_event
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{
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SwapTradeId = SwapTradeId, EventType = (int)SwapFlowEventTypeEnum.平仓,
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PositionId = positionId, Quantity = qty,
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MarkClosePnl = markClosePnl, DividendIn = 0, CloseFee = 5m,
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TradingFeePending = 0, TradingAmount = qty * 1.002m,
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UnwindDate = TradeDate, EventDate = TradeDate, PayDate = TradeDate,
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DataState = (int)SwapFlowDateStateEnum.完成
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};
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}
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#endregion
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// ================================================================
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// 场景1：空持仓列表 → 返回空列表
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// ================================================================
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[TestMethod]
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public void DF_001_空持仓返回空列表()
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{
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var service = new StubEodService();
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var result = service.ExecuteDealFloatPositions(
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new List<swap_position>(), new List<swap_position>(),
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new List<eod_swap_position>(), new List<eod_swap_position>(),
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TradeDate, CreateTrade(), PreSettleDate, new List<swap_flow_event>());
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Assert.AreEqual(0, result.Count, "空持仓应返回空列表");
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}
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// ================================================================
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// 场景2：首日无前日eod → 走 SaveCurrentEodInitalPosi 分支
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// ================================================================
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/// <summary>
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/// 无前日eod（eodPositions 不含该持仓），应走 SaveCurrentEodInitalPosi。
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/// SaveCurrentEodInitalPosi 是纯计算，验证基本字段正确。
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/// </summary>
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[TestMethod]
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public void DF_002_首日无eod走初始化分支()
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{
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var service = new StubEodService();
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var td = CreateTrade();
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var position = CreateFloatPosition();
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var result = service.ExecuteDealFloatPositions(
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new List<swap_position> { position },
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new List<swap_position> { position },
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new List<eod_swap_position>(), // 无前日eod
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new List<eod_swap_position>(), // 无当日eod
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TradeDate, td, PreSettleDate,
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new List<swap_flow_event>()); // 无平仓事件
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Assert.AreEqual(1, result.Count, "应生成1条浮动腿eod");
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var eod = result[0];
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Assert.AreEqual(position.id, eod.PositionId, "PositionId应匹配");
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Assert.AreEqual(SwapTradeId, eod.SwapTradeId);
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Assert.AreEqual(TradeDate, eod.ValueDate);
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Console.WriteLine($"首日初始化: PosiQuantity={eod.PosiQuantity}, PosiNetPrice={eod.PosiNetPrice}");
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}
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// ================================================================
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// 场景3：SaveCurrentEodInitalPosi 直接验证（纯计算方法）
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// ================================================================
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/// <summary>
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/// 直接测 SaveCurrentEodInitalPosi，验证它正确初始化 eod 的关键字段。
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/// 这个方法无外部依赖（纯计算），可以精确验证值。
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/// </summary>
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[TestMethod]
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public void DF_003_首日初始化字段正确()
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{
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var service = new StubEodService();
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var td = CreateTrade();
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var position = CreateFloatPosition(qty: 10000m);
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var eod = service.ExecuteSaveCurrentEodInitalPosi(
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position, td, TradeDate, PreSettleDate, new List<swap_flow_event>());
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// 验证关键字段
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Assert.AreEqual(10000m, eod.PosiQuantity, "持仓数量应=初始数量");
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Assert.AreEqual(1.005m, eod.PosiNetPrice, "含费均价应=持仓均价");
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Assert.AreEqual(1.002m, eod.PosiGrossPrice, "不含费均价");
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Assert.AreEqual((int)PositionTypeFlag.Long, eod.PositionType, "持仓类型");
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Assert.AreEqual(SwapTradeId, eod.SwapTradeId, "交易ID");
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Assert.AreEqual(td.ClientId, eod.ClientId, "客户ID");
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Assert.AreEqual(0, eod.TdCloseQty, "首日无平仓数量");
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Assert.AreEqual(0, eod.TdCloseMtmPnl, "首日无平仓盈亏");
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Console.WriteLine($"首日初始化 eod: Qty={eod.PosiQuantity}, NetPrice={eod.PosiNetPrice}, GrossPrice={eod.PosiGrossPrice} ✅");
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}
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// ================================================================
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// 场景4：有前日eod无平仓 → 走 CopyEodPosition 分支
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// ================================================================
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/// <summary>
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/// 有前日eod但无平仓事件，应走 CopyEodPosition 分支。
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/// CopyEodPosition 依赖外部数据源（DataCacheProvider/UnderlyingCodePrice），
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/// 测试验证分支选择正确（不验证值），且不抛异常。
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/// </summary>
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[TestMethod]
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public void DF_004_有eod无平仓走Copy分支()
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{
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var service = new StubEodService();
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var td = CreateTrade();
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var position = CreateFloatPosition();
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var preEod = new eod_swap_position
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{
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id = 5001, SwapTradeId = SwapTradeId, PositionId = position.id,
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ValueDate = PreSettleDate, PosiQuantity = 10000m,
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PosiNetPrice = 1.005m, PosiGrossPrice = 1.002m,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PositionType = (int)PositionTypeFlag.Long, PosiDirection = 2
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};
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// CopyEodPosition 内部调 DataCacheProvider/UnderlyingCodePrice，
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// 这些连缓存可能返回null → 方法 cs:1492 if(um==null) return curretEod
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// 所以即使缓存没数据，也不会抛异常，只是字段不更新
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try
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{
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var result = service.ExecuteDealFloatPositions(
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new List<swap_position> { position },
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new List<swap_position> { position },
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new List<eod_swap_position> { preEod },
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new List<eod_swap_position>(),
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TradeDate, td, PreSettleDate,
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new List<swap_flow_event>()); // 无平仓
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Assert.AreEqual(1, result.Count, "应生成1条eod");
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// um==null时 CopyEodPosition 直接返回 clone，字段不变
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Assert.AreEqual(10000m, result[0].PosiQuantity, "无缓存时数量应=前日值");
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Console.WriteLine($"Copy分支(无缓存): PosiQuantity={result[0].PosiQuantity}（保持前日值）");
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}
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catch (Exception ex)
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{
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Assert.Inconclusive($"CopyEodPosition 依赖外部数据源，需额外接缝。异常: {ex.Message}");
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}
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}
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// ================================================================
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// 场景5：CopyEodPosition 盯市盈亏计算（注入固定标的价格）
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// ================================================================
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/// <summary>
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/// [DF_005] 无平仓日，标的价格变动 → PosiMtmPnL 正确反映浮动盈亏
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/// ---------------------------------------------------------------
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/// 前日持仓全价=1.002，当日标的价格=1.010（涨了）。
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/// 多头收取方向，PosiMtmPnL = (1.010 - 1.002) × 10000 × 1(ContractSize) × 1(shortRatio) × 1(directionRatio)
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/// = 0.008 × 10000 = 80
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/// </summary>
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[TestMethod]
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public void DF_005_Copy分支盯市盈亏计算()
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{
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var service = new StubEodService();
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service.UnderlyingPrice = 1.010m; // 当日标的价格
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service.TaxRate = 0m;
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service.BondPayment = 0m;
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var td = CreateTrade();
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var position = CreateFloatPosition();
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var preEod = new eod_swap_position
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{
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id = 5001, SwapTradeId = SwapTradeId, PositionId = position.id,
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ValueDate = PreSettleDate, PosiQuantity = 10000m,
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PosiGrossPrice = 1.002m, PosiNetPrice = 1.005m,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PositionType = (int)PositionTypeFlag.Long, PosiDirection = (int)SwapDirectionEnum.收取,
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PosiDividendSum = 0m, PosiFeePending = 0m, PosiProfitSum = 0m
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};
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var result = service.ExecuteCopyEodPosition(preEod, null, td, TradeDate, PreSettleDate);
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// PosiMtmPnL = (price - grossPrice) × qty × contractSize × shortRatio × directionRatio
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// 收取方向 directionRatio=1, 多头 shortRatio=1
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// = (1.010 - 1.002) × 10000 × 1 × 1 × 1 = 80
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AssertDecimalEqual(80m, result.PosiMtmPnL, 0.01m, "盯市盈亏");
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Console.WriteLine($"Copy分支盯市: PosiMtmPnL={result.PosiMtmPnL}（(1.010-1.002)×10000=80）✅");
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}
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// ================================================================
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// 场景6：CopyEodPosition 分红计算（注入固定付息）
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// ================================================================
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/// <summary>
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/// [DF_006] 无平仓日，债券付息 → TdPosiDividend 和 PosiDividendSum 正确
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/// ---------------------------------------------------------------
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/// 注入 BondPayment=100（付息总额），增值税率=0。
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/// TdPosiDividend = 100 / (1+0) × (1-0) = 100。
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/// PosiDividendSum = preEod.PosiDividendSum(0) + TdPosiDividend(100) = 100。
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/// </summary>
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[TestMethod]
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public void DF_006_Copy分支分红计算()
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{
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var service = new StubEodService();
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service.UnderlyingPrice = 1.002m; // 价格不变
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service.TaxRate = 0m;
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service.BondPayment = 100m; // 付息100
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var td = CreateTrade();
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var position = CreateFloatPosition();
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var preEod = new eod_swap_position
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{
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id = 5001, SwapTradeId = SwapTradeId, PositionId = position.id,
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ValueDate = PreSettleDate, PosiQuantity = 10000m,
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PosiGrossPrice = 1.002m, PosiNetPrice = 1.005m,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PositionType = (int)PositionTypeFlag.Long, PosiDirection = (int)SwapDirectionEnum.收取,
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PosiDividendSum = 0m, PosiFeePending = 0m, PosiProfitSum = 0m
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};
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var result = service.ExecuteCopyEodPosition(preEod, null, td, TradeDate, PreSettleDate);
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// TdPosiDividend = payment / (1+tax) × (1-tax) = 100 / 1 × 1 = 100
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AssertDecimalEqual(100m, result.TdPosiDividend, 0.01m, "当日分红");
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// PosiDividendSum = 前日(0) + 当日(100) = 100
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AssertDecimalEqual(100m, result.PosiDividendSum, 0.01m, "待实现分红累计");
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Console.WriteLine($"Copy分支分红: TdPosiDividend={result.TdPosiDividend}, PosiDividendSum={result.PosiDividendSum} ✅");
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}
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// ================================================================
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// 场景7：分红增值税调整（税率≠0）
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// ================================================================
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/// <summary>
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/// [DF_007] 分红含增值税调整：BondPayment=100, tax=6%(0.06)
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/// ---------------------------------------------------------------
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/// TdPosiDividend = 100 / (1+0.06) × (1-0.06) = 100/1.06×0.94 ≈ 88.68
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/// 验证增值税调整公式 cs:1508 payment / (1+tax) * (1-tax)。
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/// </summary>
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[TestMethod]
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public void DF_007_分红增值税调整()
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{
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var service = new StubEodService();
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service.UnderlyingPrice = 1.002m;
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service.TaxRate = 0.06m; // 增值税率6%
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service.BondPayment = 100m;
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var td = CreateTrade();
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var position = CreateFloatPosition();
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var preEod = new eod_swap_position
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{
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id = 5001, SwapTradeId = SwapTradeId, PositionId = position.id,
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ValueDate = PreSettleDate, PosiQuantity = 10000m,
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PosiGrossPrice = 1.002m, PosiNetPrice = 1.005m,
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UnderlyingCode = "210210.IB", ContractSize = 1m,
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PositionType = (int)PositionTypeFlag.Long, PosiDirection = 2,
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PosiDividendSum = 0m, PosiFeePending = 0m, PosiProfitSum = 0m
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};
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var result = service.ExecuteCopyEodPosition(preEod, null, td, TradeDate, PreSettleDate);
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// TdPosiDividend = 100 / 1.06 × 0.94 = 88.6792...
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decimal expected = Math.Round(100m / 1.06m * 0.94m, 2);
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AssertDecimalEqual(expected, result.TdPosiDividend, 0.01m, "增值税调整后分红");
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Console.WriteLine($"分红增值税调整: 付息100, 税率6% → TdPosiDividend={result.TdPosiDividend}（期望{expected}）✅");
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}
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[TestMethod]
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public void DF_008_CopyBranch_RealizedPnlIncludesRealizedFee()
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{
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var service = new StubEodService
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{
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UnderlyingPrice = 1.002m,
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TaxRate = 0m,
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BondPayment = 0m
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};
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var preEod = new eod_swap_position
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{
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id = 5001,
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SwapTradeId = SwapTradeId,
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PositionId = 3001,
|
||
ValueDate = PreSettleDate,
|
||
PosiQuantity = 10000m,
|
||
PosiGrossPrice = 1.002m,
|
||
PosiNetPrice = 1.005m,
|
||
UnderlyingCode = "210210.IB",
|
||
ContractSize = 1m,
|
||
PositionType = (int)PositionTypeFlag.Long,
|
||
PosiDirection = (int)SwapDirectionEnum.收取,
|
||
RealizedMtmPnL = 98000000m,
|
||
RealizedDividend = 0m,
|
||
RealizedFee = 100m,
|
||
RealizedPnl = 98000000m
|
||
};
|
||
|
||
var result = service.ExecuteCopyEodPosition(preEod, null, CreateTrade(), TradeDate, PreSettleDate);
|
||
|
||
Assert.AreEqual(98000100m, result.RealizedPnl);
|
||
}
|
||
|
||
private static void AssertDecimalEqual(decimal expected, decimal actual, decimal tolerance, string message = "")
|
||
{
|
||
Assert.IsTrue(Math.Abs(expected - actual) <= tolerance,
|
||
$"{message} Expected: {expected}, Actual: {actual}, Diff: {expected - actual}");
|
||
}
|
||
}
|
||
}
|