hjhan
f7988e8fd3
平仓(盘中)路径对预付金(保证金)腿将 orginPv 取为整笔交易名义本金， 使公式 dynomicPrincipal=TdInterestPrincipal+posiPrincipal-orginPv 把名义本金 (千万~亿级)当减项扣掉，导致"应返还本金"(InterestPrincipal)与计息基数变成巨负值。 修复：仅对初始预付金(5)/追加预付金(6)腿，将 orginPv 对齐为自身保证金本金 InterestPrincipalFix，与日终(EOD)路径 SwapEodPositionService 中预付金腿 orginPv=InterestPrincipalFix 的既有正确行为保持一致。债券本金腿(模式9)及其它 计息模式仍用交易名义本金，不受影响。 新增 SwapUnwindPrepayPrincipalBugTdd 回归测试（6 用例全绿），含客户截图级 0 误差复现、真实库 Trade1813 复现、多次部分平仓及计息基数断言。
224 lines
13 KiB
C#
224 lines
13 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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/// 预付金(保证金)腿 平仓"应返还本金" bug 的回归测试（根因修复后应为全绿）。
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/// ---------------------------------------------------------------
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/// 业务预期：平仓"应返还本金"(swap_flow_event.InterestPrincipal) 应等于该预付金腿的
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/// 保证金本金（InterestPrincipalFix * closePercent），且与逐日利息计算无关；
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/// 同时预付金腿的逐日利息计息基数也应基于"保证金本金"自身，而非整笔交易的名义本金。
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///
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/// 根因：GetUnwindInterests 对全部腿统一用 orginPv = lastEod.NotionalValue ?? stockEqvNotional（整笔交易名义本金），
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/// 缺了"预付金腿用自身保证金"的分支；公式 dynomicPrincipal = TdInterestPrincipal + posiPrincipal - orginPv
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/// 把交易名义本金(千万~亿级)当减项扣掉，使 InterestPrincipal 与计息基数变成巨负值。
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///
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/// 根因修复（SwapDealService.InitSwapDealInterest）：对预付金腿(初始/追加)在利息计算前把
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/// orginPv 对齐为 position.InterestPrincipalFix，与日终路径(SwapEodPositionService)一致。
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/// 仅作用于 InterestMode 5/6；债券本金腿(标的期初全价=9)等仍用交易名义本金，不受影响。
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///
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/// 设计：标的名义本金 100万、预付金(保证金)本金 10万（维度不同，放大错配）；
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/// 另含客户截图级 / 真实库 Trade1813 的精确复现用例。
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/// </summary>
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[TestClass]
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public class SwapUnwindPrepayPrincipalBugTdd
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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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{
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rate = 0;
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return false; // 预付金腿无浮动标的，不查库
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}
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}
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private const decimal UnderlyingNotional = 1_000_000m; // 标的名义本金（股票维度）
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private const decimal PrepayPrincipal = 100_000m; // 预付金/保证金本金（预付金维度）
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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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private static readonly DateTime UnwindDate = new(2026, 4, 28);
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private SwapDealService _svc;
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[TestInitialize]
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public void Init() => _svc = new StubSwapDealService(new OptUserInfo(0, nameof(SwapUnwindPrepayPrincipalBugTdd), OptUserFrom.UnitTest));
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private static trade MakeTrade(decimal notional = UnderlyingNotional)
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{
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var extend = new trade_extend
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{
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TradeId = 1,
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ExtendJson = 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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return new trade
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{
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id = 1, TradeNumber = "UT-PREPAY-TDD", 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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StockEqvNotional = (double)notional, Notional = (double)notional,
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trade_extend = extend
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};
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}
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private static swap_position MakePrepayPosition(decimal fix = PrepayPrincipal)
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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,
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InterestMode = (int)InterestModeEnum.初始预付金,
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InterestRateDefault = 0.01m, InterestPrincipalFix = fix,
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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,
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interest_rule = 0, FloatRateUnderlyingCode = null,
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InterestSwapInterval = "[]"
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};
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}
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private swap_flow_event CalcUnwind(decimal closePercent, List<eod_swap_position> eodPositions)
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{
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eodPositions ??= new List<eod_swap_position>();
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var td = MakeTrade();
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var position = MakePrepayPosition();
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var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, new List<swap_position> { position },
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UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, UnderlyingNotional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, UnderlyingNotional, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
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return interests[0];
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}
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/// <summary>
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/// 客户/真实库场景：自定义 标的名义本金(notional) 与 保证金本金(fix)。
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/// orginPv 用 notional（与 GetUnwindInterests 行为一致：lastEod.NotionalValue ?? stockEqvNotional）。
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/// </summary>
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private swap_flow_event CalcUnwindWith(decimal closePercent, List<eod_swap_position> eodPositions, decimal notional, decimal fix)
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{
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eodPositions ??= new List<eod_swap_position>();
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var td = MakeTrade(notional);
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var position = MakePrepayPosition(fix);
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var interests = _svc.GetInterests(td, td.trade_extend, UnwindDate, UnwindDate,
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eodPositions, new List<swap_position> { position },
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notional, notional, notional, notional, closePercent,
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(int)SwapEventTypeEnum.平仓,
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false, false, 0, notional, false, settment: false, newCalcLast: false, closeList: null);
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Assert.AreEqual(1, interests.Count, "预付金腿应生成 1 条 flow_event");
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return interests[0];
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}
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[TestMethod]
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public void 无历史归档_全平_应返还本金应等于保证金本金()
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{
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var fe = CalcUnwind(1m, null); // 无 eod 归档 → preEod.id==0
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Console.WriteLine($"[TDD] 无归档 实测 InterestPrincipal={fe.InterestPrincipal} (期望={PrepayPrincipal})");
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Assert.AreEqual(PrepayPrincipal, fe.InterestPrincipal,
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"无归档全平: InterestPrincipal(应返还本金) 应=保证金本金(预付金本金)，不应被利息公式改写为含 -orginPv 与 double 的怪值");
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}
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[TestMethod]
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public void 有历史归档_全平_应返还本金应等于保证金本金()
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{
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var eod = new List<eod_swap_position>
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{
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new eod_swap_position
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{
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id = 1, SwapTradeId = 1, PositionId = 1001,
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ValueDate = new DateTime(2026, 4, 27),
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TdInterestPrincipal = PrepayPrincipal,
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PosiNotionalValue = PrepayPrincipal,
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InterestProfitSum = 0m
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}
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};
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var fe = CalcUnwind(1m, eod);
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Console.WriteLine($"[TDD] 有归档 实测 InterestPrincipal={fe.InterestPrincipal} (期望={PrepayPrincipal})");
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Assert.AreEqual(PrepayPrincipal, fe.InterestPrincipal,
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"有归档全平: 计息区间被跳过，InterestPrincipal 应保持初始正确值=保证金本金");
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}
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// ---- 客户截图级 / 真实库场景（验证"前后是否真 Fix"）----
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[TestMethod]
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public void 客户截图级_全平_应返还本金应等于保证金本金()
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{
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// 客户截图症状：支付预付金 9,185,755.81；平仓"应返还本金"=-287,820,348.6
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// 反推标的名义本金 = 2*9,185,755.81 + 287,820,348.6 = 306,191,860.22（保证金比例 3%，正常）
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const decimal notional = 306_191_860.22m;
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const decimal fix = 9_185_755.81m;
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var fe = CalcUnwindWith(1m, null, notional, fix);
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Console.WriteLine($"[TDD][客户] 实测 InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount} (期望Principal={fix})");
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Assert.AreEqual(fix, fe.InterestPrincipal,
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"客户级: 应返还本金应=保证金本金 9,185,755.81，不应被算成 -287,820,348.6");
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Assert.IsTrue(fe.InterestAmount > 0 && fe.InterestAmount < fix,
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"客户级: 利息基数应基于保证金本金(小额正)，证明 orginPv 已对齐 Fix 而非交易名义本金");
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}
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[TestMethod]
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public void 真实库Trade1813_全平_应返还本金应等于保证金本金()
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{
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// 测试库 Trade=1813 / Pos=34204：Fix=35,140，Notional=12,100,000，
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// 实际存储 InterestPrincipal=-12,029,720.00（=2*35,140-12,100,000，公式精确 0 误差）
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const decimal notional = 12_100_000m;
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const decimal fix = 35_140m;
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var fe = CalcUnwindWith(1m, null, notional, fix);
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Console.WriteLine($"[TDD][Trade1813] 实测 InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount} (期望Principal={fix})");
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Assert.AreEqual(fix, fe.InterestPrincipal,
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"Trade1813: 应返还本金应=保证金本金 35,140，不应被算成 -12,029,720.00");
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Assert.IsTrue(fe.InterestAmount > 0 && fe.InterestAmount < fix,
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"Trade1813: 利息基数应基于保证金本金(小额正)，证明 orginPv 已对齐 Fix 而非交易名义本金");
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}
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// ---- 多次部分平仓（验证最小修复是否覆盖"多次部分成交"）----
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[TestMethod]
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public void 多次部分平仓_显示值每次返回比例份额且总计等于保证金()
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{
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// 模拟分 3 次平仓：0.3 / 0.5 / 1.0(剩余)。每次传入的 fix = 该次剩余保证金本金
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// （真实系统中每次部分平仓后 position.InterestPrincipalFix 会被扣减，下一笔用剩余值）。
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// 根因修复后：InterestPrincipal 由利息公式基于 Fix 正确得出 = fix * closePercent。
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decimal total = 0;
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var r1 = CalcUnwindWith(0.3m, null, 306_191_860.22m, 100_000m);
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total += r1.InterestPrincipal;
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var r2 = CalcUnwindWith(0.5m, null, 306_191_860.22m, 70_000m); // 剩余 7万
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total += r2.InterestPrincipal;
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var r3 = CalcUnwindWith(1.0m, null, 306_191_860.22m, 35_000m); // 剩余 3.5万
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total += r3.InterestPrincipal;
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Console.WriteLine($"[TDD][多次部分] r1={r1.InterestPrincipal} r2={r2.InterestPrincipal} r3={r3.InterestPrincipal} 合计={total}");
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Assert.AreEqual(30_000m, r1.InterestPrincipal, "第1次(30%)应返还 3万");
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Assert.AreEqual(35_000m, r2.InterestPrincipal, "第2次(50% of 剩余7万)应返还 3.5万");
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Assert.AreEqual(35_000m, r3.InterestPrincipal, "第3次(剩余全平)应返还 3.5万");
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Assert.AreEqual(100_000m, total, "多次部分平仓合计应=保证金本金 10万");
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}
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[TestMethod]
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public void 多次部分平仓_计息基数也被根因修复_利息基于保证金本金()
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{
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// 根因修复后：预付金腿的 orginPv 已对齐为其自身保证金(Fix)，
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// 不仅"应返还本金"(InterestPrincipal) 正确，逐日利息计息基数也正确
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// (基于保证金本金，而非交易名义本金)，故 InterestAmount 应为小额正。
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const decimal notional = 306_191_860.22m;
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const decimal fix = 9_185_755.81m;
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var fe = CalcUnwindWith(1m, null, notional, fix);
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Assert.AreEqual(fix, fe.InterestPrincipal, "显示值(应返还本金)已=保证金本金");
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Console.WriteLine($"[TDD][计息基数] InterestPrincipal={fe.InterestPrincipal} InterestAmount={fe.InterestAmount}");
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Assert.IsTrue(fe.InterestAmount > 0,
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"根因修复后: 预付金腿 InterestAmount 应基于保证金本金算出小额正值(约 fix*rate)，不再是巨负");
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Assert.IsTrue(fe.InterestAmount < fix,
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"利息基数必须为保证金维度(远小于 fix)，证明 orginPv 已用预付金自身 Fix，而非交易名义本金 notional");
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}
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}
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}
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