增加vega(1bp)希腊值

2026-08-20 14:15:12 +08:00
parent 30b3007307
commit 5ee510aa35
11 changed files with 110 additions and 18 deletions
@@ -0,0 +1,51 @@
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.EodModule;
+
+namespace YLErp.BasicTests
+{
+    [TestClass]
+    public class GLMSGreeksHandleServiceTest
+    {
+        [TestMethod]
+        public void Handle_NonRateAsset_CalculatesVega1bpBeforeRateFilter()
+        {
+            var service = new GLMSGreeksHandleService();
+            var dto = new EodPositionRisksDTO
+            {
+                Vega = 2500d
+            };
+            var underlying = new underlying_manager
+            {
+                UnderlyingInstrumentType = ConsGlobal.InstrumentType.Stock
+            };
+
+            service.Handle(dto, underlying);
+
+            Assert.IsNotNull(dto.Vega_1bp);
+            Assert.AreEqual(0.25d, dto.Vega_1bp.Value, 1e-12);
+            Assert.IsNull(dto.Vega_r);
+            Assert.IsNull(dto.Vega_r_1bp);
+        }
+
+        [TestMethod]
+        public void Handle_TradeValueResult_NonRateAsset_CalculatesVega1bpBeforeRateFilter()
+        {
+            var service = new GLMSGreeksHandleService();
+            var result = new TradeValueResult
+            {
+                Vega = 2500d
+            };
+            var underlying = new underlying_manager
+            {
+                UnderlyingInstrumentType = ConsGlobal.InstrumentType.Stock
+            };
+
+            service.Handle(new trade(), result, underlying);
+
+            Assert.IsNotNull(result.Vega_1bp);
+            Assert.AreEqual(0.25d, result.Vega_1bp.Value, 1e-12);
+            Assert.IsNull(result.Vega_r);
+            Assert.IsNull(result.Vega_r_1bp);
+        }
+    }
+}