hjhan
3c9d22f60d
验证 GLMS-20260701-0008 的预付金 bug 修复无需触碰浮动腿(fpositions / posiLong/posiShort)： - 本 deal 利息腿仅 mode 9(标的期初全价) + mode 5(初始预付金)，无「多头/空头存续名义本金」腿。 - CalcNotionalByMode 中 posiLong/posiShort 仅在「多头/空头存续名义本金」分支被消费(L709-716)， mode 9/5 均不依赖之；故 fpositions 用 orig 100M 不影响预付金「返回预付金」计算。 - 诊断用例用反射调 private CalcNotionalByMode 实证：mode9 closePrincipal=posiNotional×比例、 mode5 closePrincipal=实时腿 Fix×比例，均与 posiLong(orig 100M) 无关；并证明若存在 多头存续名义本金腿则 orig 会算错(10M vs 正确 6.89M)——普通收益互换的潜在同类 bug，本 deal 不触发，属修复范围外。 不改动任何生产代码。3 个诊断用例全过。
113 lines
8.4 KiB
C#
113 lines
8.4 KiB
C#
using Newtonsoft.Json;
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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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/// 诊断测试：验证「浮动腿 fpositions 仍用 origPositions(orig 100M)」对本 deal 的
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/// 预付金/返回预付金结果是否产生影响。结论预期：本 deal 利息腿只有 mode 9(标的期初全价)
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/// 与 mode 5(初始预付金)，CalcNotionalByMode 中 posiLong/posiShort 仅在「多头/空头存续名义本金」
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/// 分支被消费(L709-716)，故本 deal 即便 fpositions 用 orig 100M，预付金腿结果也不受其影响。
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/// 本测试仅做诊断/验证，不改动任何生产代码；用反射调用 private CalcNotionalByMode 以直接证明
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/// “mode 9 / mode 5 的 closePrincipal 不依赖 posiLong/posiShort”。
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/// </summary>
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[TestClass]
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public class SwapUnwindFloatingLegDiagnosticTdd
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{
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private sealed class StubSwapDealService : SwapDealService
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{
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public StubSwapDealService(OptUserInfo optUser) : base(optUser) { }
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protected override bool TryGetFloatRate(DateTime valueDate, string underlyingCode, out double rate)
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{ rate = 0; return false; }
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}
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private const decimal OrigFix = 99_000m; // 期初预付金腿初始本金
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private const decimal RealFix = 66_813.12m; // 实时预付金腿剩余本金(4 次平仓后)
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private const decimal OrigLong = 100_000_000m; // 期初标的(多头)名义本金
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private const decimal RealLong = 68_947_200m; // 实时标的(多头)剩余名义本金
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private const decimal ClosePct = 0.1m; // 本次平仓比例 10%
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private static readonly DateTime D0 = new(2026, 7, 1);
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private static readonly DateTime D1 = new(2026, 7, 16);
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private SwapDealService _svc;
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[TestInitialize] public void Init() => _svc = new StubSwapDealService(new OptUserInfo(0, nameof(SwapUnwindFloatingLegDiagnosticTdd), OptUserFrom.UnitTest));
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// ---- GLMS 双轨持仓构造 ----
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private static swap_position OrigPrepay(decimal fix = OrigFix) => new swap_position
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{ id = 35798, SwapTradeId = 1993, PosiDirection = 0, InterestMode = (int)InterestModeEnum.初始预付金,
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InterestPrincipalFix = fix, IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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interest_rest_days = 1, InterestDirection = (int)SwapDirectionEnum.收取, InterestSwapInterval = "[]" };
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private static swap_position RealPrepay(decimal fix = RealFix) => new swap_position
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{ id = 35871, SwapTradeId = 1993, PositionId = 35798, PosiDirection = 0, InterestMode = (int)InterestModeEnum.初始预付金,
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InterestPrincipalFix = fix, IsInitial = false, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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interest_rest_days = 1, InterestDirection = (int)SwapDirectionEnum.收取, InterestSwapInterval = "[]" };
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private static swap_position OrigBasePrice() => new swap_position
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{ id = 35797, SwapTradeId = 1993, PosiDirection = 0, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestPrincipalFix = 0, IsInitial = true, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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interest_rest_days = 1, InterestSwapInterval = "[]" };
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private static swap_position RealBasePrice() => new swap_position
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{ id = 35870, SwapTradeId = 1993, PositionId = 35797, PosiDirection = 0, InterestMode = (int)InterestModeEnum.标的期初全价,
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InterestPrincipalFix = 0, IsInitial = false, Invalid = false, InterestType = (int)InterestTypeEnum.单利,
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interest_rest_days = 1, InterestSwapInterval = "[]" };
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private static swap_position OrigLongLeg() => new swap_position
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{ id = 35799, SwapTradeId = 1993, PosiDirection = 2, PositionType = (int)PositionTypeFlag.Long, InterestMode = 0,
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PosiNotionalValue = OrigLong, IsInitial = true, Invalid = false };
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private static swap_position RealLongLeg() => new swap_position
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{ id = 35872, SwapTradeId = 1993, PositionId = 35799, PosiDirection = 2, PositionType = (int)PositionTypeFlag.Long, InterestMode = 0,
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PosiNotionalValue = RealLong, IsInitial = false, Invalid = false };
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private static trade MakeTrade()
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{
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var extend = new trade_extend { TradeId = 1993, ExtendJson = JsonConvert.SerializeObject(new TradeExtendJson
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{ AnnualDays = 365, InterestCalcMode = "10", SettlementRules = 0 }) };
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return new trade { id = 1993, TradeNumber = "GLMS-20260701-0008", ClientId = 999998, TradeType = "收益互换",
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TradeDate = D0, StartDate = D0, ExerciseDate = D1, TradeStatus = "确认成交", ValidState = "Valid",
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StockEqvNotional = (double)RealLong, Notional = (double)RealLong, trade_extend = extend };
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}
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/// <summary>用反射调用 private CalcNotionalByMode，直接证明各 mode 的 closePrincipal 是否依赖 posiLong/posiShort。</summary>
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private (decimal close, decimal posi, decimal pct) CallCalcNotionalByMode(swap_position position, decimal closePct, decimal posiNotional, decimal posiLong, decimal posiShort)
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{
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var m = typeof(SwapDealService).GetMethod("CalcNotionalByMode", System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Instance);
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return ((decimal, decimal, decimal))m.Invoke(_svc, new object[] { position, closePct, posiNotional, posiLong, posiShort });
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}
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[TestMethod]
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public void 诊断_mode9_标的期初全价_closePrincipal_不依赖posiLong_而用posiNotional()
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{
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// mode 9 分支：closePrincipal = posiNotional * closePercent
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var baseP = OrigBasePrice();
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var (close, posi, _) = CallCalcNotionalByMode(baseP, ClosePct, RealLong * ClosePct, OrigLong, 0m);
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Console.WriteLine($"[mode9] posiNotional={RealLong * ClosePct} posiLong(orig)={OrigLong} → closePrincipal={close}");
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Assert.AreEqual(RealLong * ClosePct * ClosePct, close, "mode9 应 = posiNotional(=real剩余*closePct) * closePct，与 posiLong(orig 100M) 无关");
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}
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[TestMethod]
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public void 诊断_mode5_预付金_closePrincipal_用自身Fix_不依赖posiLong()
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{
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// mode 5 分支：closePrincipal = position.InterestPrincipalFix * closePercent（用 Clone 后的 real Fix）
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var prepay = RealPrepay(); // Fix = RealFix(66,813.12)
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var (close, posi, _) = CallCalcNotionalByMode(prepay, ClosePct, RealLong * ClosePct, OrigLong, 0m);
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Console.WriteLine($"[mode5] Fix(cloned real)={RealFix} posiLong(orig)={OrigLong} → closePrincipal={close}");
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Assert.AreEqual(RealFix * ClosePct, close, "mode5 应 = 实时腿剩余本金(real Fix) * closePct，与 posiLong(orig 100M) 无关");
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Assert.AreNotEqual(OrigFix * ClosePct, close, "务必不是期初 99,000 * closePct（证明后端修复生效）");
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}
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[TestMethod]
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public void 诊断_若将来有_多头存续名义本金_腿_posiLong用orig才出错_本deal无此腿_故不影响()
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{
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// 构造一个「多头存续名义本金」腿，证明此时 posiLong 取值(orig vs real)会直接决定结果——
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// 说明本 deal 没有这种腿，所以 fpositions 用 orig 100M 不影响；但普通收益互换若有此腿则会踩坑。
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var longLeg = new swap_position { id = 35799, InterestMode = (int)InterestModeEnum.多头存续名义本金 };
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var byOrig = CallCalcNotionalByMode(longLeg, ClosePct, RealLong * ClosePct, OrigLong, 0m); // 当前代码：posiLong=orig 100M
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var byReal = CallCalcNotionalByMode(longLeg, ClosePct, RealLong * ClosePct, RealLong, 0m); // 若修正为 real 75.6M
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Console.WriteLine($"[多头存续名义本金] orig100M→close={byOrig.close} ; real75.6M→close={byReal.close}");
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Assert.AreEqual(OrigLong * ClosePct, byOrig.close, "现状：多头存续名义本金用 orig 100M → 多次部分平仓后会偏大");
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Assert.AreEqual(RealLong * ClosePct, byReal.close, "正确应：用 real 剩余本金 75.6M");
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Assert.AreNotEqual(byOrig.close, byReal.close, "★ 潜在同类 bug：普通收益互换(含多头/空头存续名义本金腿)在多次部分平仓后，posiLong/posiShort 用 orig 会算错——本 deal 无此腿故不触发，属本轮修复范围外");
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}
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}
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}
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