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从山证v2.3.0拷贝

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吴方海
2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
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UnitTestProject/BasicTests/AuthHelperTest.cs
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using BaseOUDAL;
using DocumentFormat.OpenXml.Spreadsheet;
using Microsoft.IdentityModel.Tokens;
using System;
using System.Collections.Generic;
using System.IdentityModel.Tokens.Jwt;
using System.Linq;
using System.Net.Http;
using System.Security.Claims;
using System.Text;
using System.Threading.Tasks;
using YLErp.Helpers;
using YLErp.Modules.SwapModule;
namespace YLErp.BasicTests
{
[TestClass]
public class AuthHelperTest
{
[TestMethod]
public void TestGenerateToken()
{
var identity = UserManager.CreateIdentity("1", "superA", Guid.NewGuid().ToString(""));
var jwtToken2 = AuthHelper.CreateJwtToken2(identity);
var jwtTokenHandler = new JwtSecurityTokenHandler();
var token = jwtTokenHandler.ReadJwtToken(jwtToken2);
Assert.Fail();
}
}
}
UnitTestProject/BasicTests/AutoMapperTest.cs
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using AutoMapper;
namespace YLErp.Basic
{
[TestClass]
public class AutoMapperTest
{
[TestMethod]
public void TestDictionToObject()
{
var dic = new Dictionary<string, object> {
{"AA","11" },
{"BB","22" }
};
var poco = new Mapper(new MapperConfiguration(cfg => { })).Map<TestPoco>(dic);
Assert.IsTrue(poco.AA == "11" && poco.BB == "22");
dic = new Dictionary<string, object> {
{"AA","33" },
{"BB","44" }
};
new Mapper(new MapperConfiguration(cfg => { })).Map(dic, poco);
Assert.IsTrue(poco.AA == "33" && poco.BB == "44");
}
}
}
UnitTestProject/BasicTests/DataBaseTest.cs
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using YLErp.Modules.SwapModule;
namespace YLErp.BasicTests
{
[TestClass]
public class DataBaseTest
{
[TestMethod]
public void TestConnection()
{
var yldb = DbContextFactory.GetYLDbContext();
var appconfigs = yldb.AppConfig.Take(10).ToArray();
var admindb = DbContextFactory.GetErpBaseContext();
var sysusers = admindb.SystemUsers.Take(10).ToArray();
var clientdb = DbContextFactory.GetClientDbContext(OptUserInfo.SystemUser);
var clients = clientdb.client.Take(10).ToArray();
Assert.IsTrue(appconfigs.Length > 0 && sysusers.Length > 0 && clients.Length > 0);
}
[TestMethod]
public void TestDictionaries()
{
var admindb = DbContextFactory.GetErpBaseContext();
var dictionaries = admindb.Dictionaries.ToArray();
var sb = new StringBuilder();
foreach(var d in dictionaries)
{
sb.AppendFormat(@"<dictionary name=""{0}"" catalog=""{1}"">",d.Name,d.Catalog)
.Append("</dictionary>").AppendLine();
}
System.Diagnostics.Debug.WriteLine(sb.ToString());
}
[TestMethod]
public void TestGenerateSwapTradeFromDb()
{
new SwapTradeAutoService(OptUserInfo.SystemUser).GenerateSwapTradeFromDb(DateTime.Now.Date, false);
Assert.Fail();
}
}
}
UnitTestProject/BasicTests/EfQueryTest.cs
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using BaseOUDAL;
namespace YLErp.BasicTests
{
[TestClass]
public class EfQueryTest : UnitTestBase
{
[TestMethod("测试Linq ToDictionary是否支持函数处理")]
public void Test1()
{
var db = DbContextFactory.GetYLDbContext();
var priceDic = db.eod_commodity_future_price.Where(e =>
e.UnderlyingCode == "RB00" &&
e.ValueDate >= new DateTime(2021, 1, 1) &&
e.ValueDate <= new DateTime(2021, 12, 1)).OrderBy(e => e.ValueDate)
.ToDictionary(e => e.ValueDate, e => e.GetPrice(SettlementTypeEnum.ReferencePrice));
Assert.IsNotNull(priceDic);
}
[TestMethod("测试Char类型")]
public void TestChar()
{
var db = new YLContext2();
var data = db.Set<ExchangeListOption2>().FirstOrDefault(e => e.ContractCode == "RB00-C-5000");
Assert.IsTrue(!string.IsNullOrEmpty(data.UpdateFlag) && data.UpdateFlag[0] == '0');
data = db.Set<ExchangeListOption2>().FirstOrDefault(e => e.ContractCode == "RB00-P-5000");
Assert.IsTrue(string.IsNullOrEmpty(data.UpdateFlag) || data.UpdateFlag[0] != '0');
}
class YLContext2: DBContextBase
{
protected override string GetConnectionString() => AppManager.GetConnectionString("ylcms");
public DbSet<ExchangeListOption2> ExchangeListOption2 { get; set; }
}
class ExchangeListOption2 : ExchangeListOption
{
public string UpdateFlag { get; set; }
}
}
}
UnitTestProject/BasicTests/ExcelHelperTests.cs
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using System.Drawing;
using static YLErp.Commons.ExcelHelper;
namespace YLErp.BasicTests
{
[TestClass]
public class ExcelHelperTests
{
class ExportTestModel
{
public string Name { get; set; }
public int Age { get; set; }
public string phone { get; set; }
public string Address { get; set; }
}
[TestMethod]
public void ListToExcelTest()
{
var list = new List<ExportTestModel>
{
new ExportTestModel() { Name = "大林", Age = 26, phone = "13824412561", Address = "云南省曲靖市少林东街32号甲" },
new ExportTestModel() { Name = "东近", Age = 20, phone = "13725526482", Address = "云南省曲靖市少林东街32号丁" },
new ExportTestModel() { Name = "春妮", Age = 25, phone = "13062405400" }
};
var columnList = new List<DataColumnModel>
{
new DataColumnModel("姓名", "Name") { Style = new ExcelStyle() { BorderColor = Color.Red, BackgroundColor = Color.Green, ForegroundColor = Color.Red } },
new DataColumnModel("年龄", "Age", (cv, obj) =>
{
if (!(cv is int value))
{
return "未知";
}
if (value < 12)
{
return "儿童";
}
return "成人";
})
{ Style = new ExcelStyle() { BorderColor = Color.OrangeRed, BackgroundColor = Color.Green, ForegroundColor = Color.Yellow } },
new DataColumnModel("联系电话", "phone", (cv, obj) =>
{
if (cv is string value)
{
cv = value.Remove(3, 4).Insert(3, "****");
}
return cv;
})
{ Style = new ExcelStyle() { BorderColor = Color.Orange, BackgroundColor = Color.Orange, ForegroundColor = Color.Red } },
new DataColumnModel("详细地址", (obj) =>
{
if (!(obj is ExportTestModel value))
{
return "未知";
}
return string.IsNullOrWhiteSpace(value.Address) ? "地址不详" : "";
})
{ Style = new ExcelStyle() { BorderColor = Color.Red, BackgroundColor = Color.DarkOrange, ForegroundColor = Color.Orange } }
};
var helper = new Commons.ExcelHelper();
helper.ListToExcel<ExportTestModel>(
columnList.ToArray(),
list,
"Sheet1",
true,
out var buffer,
false,
new DataGroupModel[] {
new DataGroupModel {
Caption = "组1",
StartColumnIndex = 0,
Length = 2 ,
Style = new ExcelStyle(){
BackgroundColor = Color.Orange,
BorderColor = Color.Red,
ForegroundColor = Color.Green
}
},
new DataGroupModel {
Caption = "组2",
StartColumnIndex = 3,
Length = 1 ,
Style = new ExcelStyle(){
BackgroundColor = Color.Green,
BorderColor = Color.Red,
ForegroundColor = Color.Orange
}}
});
System.IO.File.WriteAllBytes(@"C:\Users\shiyi\Work\sss.xlsx", buffer);
//string fileName = @"C:\Users\shiyi\Work\sss.xls";
//Commons.ExcelHelper helper1 = new Commons.ExcelHelper(Commons.ExcelHelper.GetVersion(fileName));
//helper1.ListToExcel<ExportTestModel>(columnList.ToArray(), list, "Sheet1", true, out var buffer1);
//System.IO.File.WriteAllBytes(fileName, buffer1);
}
}
}
UnitTestProject/BasicTests/FoundationTest.cs
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using YLErp.Helpers;
namespace YLErp.Commons
{
[TestClass]
public class FoundationTest
{
[TestMethod]
public void DataConvertToLetterTest()
{
var result = "";
result = DataHelper.ConvertToLetter(0);
Assert.IsTrue(result == "A");
result = DataHelper.ConvertToLetter(25);
Assert.IsTrue(result == "Z");
result = DataHelper.ConvertToLetter(26);
Assert.IsTrue(result == "AA");
result = DataHelper.ConvertToLetter(701);
Assert.IsTrue(result == "ZZ");
result = DataHelper.ConvertToLetter(702);
Assert.IsTrue(result == "AAA");
}
[TestMethod]
public void TestExceptionHelper()
{
var aex = new AggregateException(new[] {
new Exception("hello1",new Exception("gogog")),
new Exception("hello2",new NotSupportedException("not support")),
new AggregateException(new []{
new NotSupportedException("hello--1",new Exception("gogog--2")),
new NotSupportedException("hello--1",new NotSupportedException("gogog--3",new Exception("bbb"))),
new Exception("hello--2",new NotSupportedException("not support--2")),
}),
new InvalidOperationException("invalid operation"),
});
var bas = ExceptionHelper.GetBaseExceptions(aex);
Assert.AreEqual(bas[0].Message, "hello1");
Assert.AreEqual(bas[1].Message, "hello2");
Assert.AreEqual(bas[2].Message, "gogog--2");
Assert.AreEqual(bas[3].Message, "hello--1");
Assert.AreEqual(bas[4].Message, "hello--2");
Assert.AreEqual(bas[5].Message, "invalid operation");
System.Diagnostics.Debug.WriteLine(aex.Messages());
}
[TestMethod]
public void TestDataChangeHelper()
{
var sourceTrade = new trade
{
TradeType = "香草期权",
TradeSinglePrice = 1.25,
NumOfSmoothingDays = 5,
TradeAmount = 3.24,
TraderId = 15,
Notional = 26.434,
IsUsePremiumRate = true,//
IsTradePricePayType = true,
MarginType = DBModels.Enums.MarginTypeEnum.FLOAT,
DividendDate = DateTime.Now,
SettlementDate = DateTime.Now.AddDays(-1),
get_trade_swap_details = new System.Collections.Generic.List<trade_swap_detail>
{
new trade_swap_detail
{
ExerciseDate = DateTime.Now,
FinalPrice = 26.45
}
},
MetaDic = new System.Collections.Generic.Dictionary<string, string>
{
["asd"] = "asdf",
["3w4"] = "58"
},
trade_forward = new trade_forward
{
OpenCommission = 156.685,
AnnualMarginRate = 354.438
},
trade_asian_option = null
};
var newTrade = new trade
{
TradeType = "香草期权",
TradeSinglePrice = 1.25,
NumOfSmoothingDays = 5,
TradeAmount = 3.24,
TraderId = 15,
Notional = 26.434,
IsUsePremiumRate = true,
IsTradePricePayType = true,
MarginType = DBModels.Enums.MarginTypeEnum.FLOAT,
DividendDate = DateTime.Now,
SettlementDate = DateTime.Now.AddDays(-1),
get_trade_swap_details = new System.Collections.Generic.List<trade_swap_detail>
{
new trade_swap_detail
{
ExerciseDate = DateTime.Now,
FinalPrice = 26.44
}
},
MetaDic = new System.Collections.Generic.Dictionary<string, string>
{
["as1d"] = "asdf",
["3w4"] = "58"
},
trade_forward = new trade_forward
{
OpenCommission = 156.685,
AnnualMarginRate = 354.438
},
trade_asian_option = null
};
TradeHelper2.ReduceTradeExt(sourceTrade);
TradeHelper2.ReduceTradeExt(newTrade);
var list = DataChangeHelper.GetDataChanges(sourceTrade, newTrade);
Assert.IsNotNull(list);
}
}
}
UnitTestProject/BasicTests/JsonHelperTest.cs
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namespace YLErp.BasicTests
{
[TestClass]
public class JsonHelperTest
{
[TestMethod]
public void TestDateOnlyConverter()
{
var obj = new TestDateOnlyClass { AA = new YcDateOnly(DateTime.Now), CC = new DateTime(2022, 2, 2) };
var json = JsonHelper.Serialize(obj, ignoreNullValue: false);
Assert.AreEqual(json, "{\"AA\":\"" + obj.AA.ToString() + "\",\"BB\":null,\"CC\":\"2022-02-02\"}");
var t = JsonHelper.Deserialize<TestDateOnlyClass>(json);
Assert.AreEqual(t.AA.Date, DateTime.Today);
Assert.IsFalse(t.BB.HasValue);
Assert.IsTrue(t.CC.HasValue);
Assert.AreEqual(t.CC.Value.Date, new DateTime(2022, 2, 2));
}
class TestDateOnlyClass
{
public YcDateOnly AA { get; set; }
public YcDateOnly? BB { get; set; }
public YcDateOnly? CC { get; set; }
}
}
}
UnitTestProject/BasicTests/LinqExpressionTest.cs
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using System.Linq.Expressions;
namespace YLErp.BasicTests
{
[TestClass]
public class LinqExpressionTest
{
[TestMethod]
public void TestAddAssign()
{
var data = new LinqData { N1 = 3 };
Expression<Func<LinqData, double>> propExp = n => n.N1;
var pinvoke = Expression.Invoke(propExp, propExp.Parameters);
var addExp = Expression.Add(pinvoke, Expression.Constant(2d, typeof(double)));
var assign = Expression.Assign(propExp.Body, addExp);
var action = Expression.Lambda<Action<LinqData>>(assign, propExp.Parameters).Compile();
action(data);
Assert.AreEqual(data.N1, 5);
var data2 = new LinqData { N1 = 3 };
var assign2 = Expression.AddAssign(propExp.Body, Expression.Constant(3d, typeof(double)));
var action2 = Expression.Lambda<Action<LinqData>>(assign2, propExp.Parameters).Compile();
action2(data2);
Assert.AreEqual(data2.N1, 6);
}
[TestMethod]
public void TestMultiplyAssign()
{
var data = new LinqData { N1 = 3 };
Expression<Func<LinqData, double>> propExp = n => n.N1;
var pinvoke = Expression.Invoke(propExp, propExp.Parameters);
var multiply = Expression.Multiply(pinvoke, Expression.Constant(1 + 0.2, typeof(double)));
var assign = Expression.Assign(propExp.Body, multiply);
var action = Expression.Lambda<Action<LinqData>>(assign, propExp.Parameters).Compile();
action(data);
Assert.AreEqual(data.N1, 3.6, 1e-4);
var data2 = new LinqData { N1 = 3 };
var assign2 = Expression.MultiplyAssign(propExp.Body, Expression.Constant(1.5, typeof(double)));
var action2 = Expression.Lambda<Action<LinqData>>(assign2, propExp.Parameters).Compile();
action2(data2);
Assert.AreEqual(data2.N1, 4.5, 1e-4);
}
class LinqData
{
public double N1 { get; set; }
}
}
}
UnitTestProject/BasicTests/MailSendTest.cs
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using YLErp.MailKit;
namespace YLErp.Commons
{
[TestClass]
public class MailSendTest
{
[TestMethod]
public void TestMailSend()
{
var cfg = new SmtpConfig
{
Server = "smtp.mxhichina.com",
EnableSsl = false,
From = "jinjiang.liu@yieldchain.com",
UserName = "jinjiang.liu@yieldchain.com",
Password = "cheby@307",
Port = 80
};
MailSender.Send(cfg, new MailSendingOption
{
From = cfg.From,
Body = "这封邮件用于测试Excel附件问题",
MailTo = new string[] { "379002060@qq.com" },
Subject = "这封邮件用于测试Excel附件问题",
FilesToAttach = new[] { "D:\\_work\\repo-new\\1111\\持仓报告_20221206_20221206_成都供应链五部.xlsx" }
});
}
}
}
UnitTestProject/BasicTests/NumberHelperTest.cs
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namespace YLErp.BasicTests
{
[TestClass]
public class NumberHelperTest
{
[TestMethod]
public void TestConvertToChinese()
{
var cn1 = NumberHelper.ConvertToChinese(154681.61, true);
Assert.AreEqual(cn1, "人民币拾伍万肆仟陆佰捌拾壹圆陆角壹分");
var cn2 = NumberHelper.ConvertToChinese(154681.61, false);
Assert.AreEqual(cn2, "十五万四千六百八十一点六一");
var cn3 = NumberHelper.CurrToChnInt(54681);
Assert.AreEqual(cn3, "五万四千六百八十一");
var rmb = NumberHelper.CmycurD(154681.61);
Assert.AreEqual(rmb, "壹拾伍万肆仟陆佰捌拾壹元陆角壹分");
rmb = NumberHelper.CmycurD(154308219.19);
Assert.AreEqual(rmb, "壹亿伍仟肆佰叁拾万零捌仟贰佰壹拾玖元壹角玖分");
rmb = NumberHelper.CmycurD(1054308219.19);
Assert.AreEqual(rmb, "壹拾亿零伍仟肆佰叁拾万零捌仟贰佰壹拾玖元壹角玖分");
rmb = NumberHelper.CmycurD(10554308219.19);
Assert.AreEqual(rmb, "壹佰零伍亿伍仟肆佰叁拾万零捌仟贰佰壹拾玖元壹角玖分");
}
}
}
UnitTestProject/BasicTests/OptionStrategyCodeParseTest.cs
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using System.Text.RegularExpressions;
namespace YLErp.BasicTests
{
[TestClass]
public class OptionStrategyCodeParseTest
{
[TestMethod]
public void TestOneCode()
{
var optionCode = "RB1805C30D222.23";
var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
Assert.AreEqual(1, parts.Length);
Assert.AreEqual(1, parts[0].Notional);
Assert.AreEqual("RB1805", parts[0].UnderlyingCode);
Assert.AreEqual("Call", parts[0].OptionType);
Assert.AreEqual("30D", parts[0].Maturity);
Assert.AreEqual(222.23, parts[0].Strike, 1e-8);
Assert.AreEqual(false, parts[0].IsSell);
}
[TestMethod]
public void TestOneCodeWithSign()
{
var optionCode = "-CC185P1M222";
var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
Assert.AreEqual(1, parts.Length);
Assert.AreEqual(1, parts[0].Notional);
Assert.AreEqual("CC185", parts[0].UnderlyingCode);
Assert.AreEqual("Put", parts[0].OptionType);
Assert.AreEqual("1M", parts[0].Maturity);
Assert.AreEqual(222.0, parts[0].Strike, 1e-8);
Assert.AreEqual(true, parts[0].IsSell);
}
[TestMethod]
public void TestBullSpread()
{
var optionCode = "-RB1806C1M3700+RB1806C1M3400";
var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
Assert.AreEqual(2, parts.Length);
Assert.AreEqual(1, parts[0].Notional);
Assert.AreEqual("RB1806", parts[0].UnderlyingCode);
Assert.AreEqual("Call", parts[0].OptionType);
Assert.AreEqual("1M", parts[0].Maturity);
Assert.AreEqual(3700.0, parts[0].Strike, 1e-8);
Assert.AreEqual(true, parts[0].IsSell);
Assert.AreEqual(1, parts[1].Notional);
Assert.AreEqual("RB1806", parts[1].UnderlyingCode);
Assert.AreEqual("Call", parts[1].OptionType);
Assert.AreEqual("1M", parts[1].Maturity);
Assert.AreEqual(3400.0, parts[1].Strike, 1e-8);
Assert.AreEqual(false, parts[1].IsSell);
}
[TestMethod]
public void TestButterfly()
{
var optionCode = "RB1806C1M3700-2*RB1806C1M3400+RB1806C1M3100";
var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
Assert.AreEqual(3, parts.Length);
Assert.AreEqual(1, parts[0].Notional);
Assert.AreEqual("RB1806", parts[0].UnderlyingCode);
Assert.AreEqual("Call", parts[0].OptionType);
Assert.AreEqual("1M", parts[0].Maturity);
Assert.AreEqual(3700.0, parts[0].Strike, 1e-8);
Assert.AreEqual(false, parts[0].IsSell);
Assert.AreEqual(2, parts[1].Notional);
Assert.AreEqual("RB1806", parts[1].UnderlyingCode);
Assert.AreEqual("Call", parts[1].OptionType);
Assert.AreEqual("1M", parts[1].Maturity);
Assert.AreEqual(3400.0, parts[1].Strike, 1e-8);
Assert.AreEqual(true, parts[1].IsSell);
Assert.AreEqual(1, parts[2].Notional);
Assert.AreEqual("RB1806", parts[2].UnderlyingCode);
Assert.AreEqual("Call", parts[2].OptionType);
Assert.AreEqual("1M", parts[2].Maturity);
Assert.AreEqual(3100.0, parts[2].Strike, 1e-8);
Assert.AreEqual(false, parts[2].IsSell);
}
public class OptionStrategyCodeParser
{
private static readonly Regex codePattern = new(@"(?<sign>[\+-]?)\s*((?<notional>\d+)\*)?(?<underlying>[a-zA-Z]{1,2}[0-9]{3,4})(?<optionType>C|P)(?<maturity>\d+[DMWY]{1})(?<strike>[0-9]+(?:\.[0-9]*)?)");
public static OptionStrategyCodeParts[] ParseOptionStrategyCode(string code)
{
var mc = codePattern.Matches(code);
if (mc.Count == 0)
{
throw new ArgumentException(string.Format("不合法的策略代码:{0}", code));
}
return mc.Cast<Match>().Select(m => ParseOneMatch(m)).ToArray();
}
private static OptionStrategyCodeParts ParseOneMatch(Match m)
{
var parts = new OptionStrategyCodeParts();
var groups = m.Groups;
parts.UnderlyingCode = groups["underlying"].Value;
parts.Strike = double.Parse(groups["strike"].Value);
parts.Maturity = groups["maturity"].Value;
var optionType = groups["optionType"].Value;
if (optionType == "C")
{
parts.OptionType = "Call";
}
else if (optionType == "P")
{
parts.OptionType = "Put";
}
else
{ // Shouldn't come to here, the regex ensured only C|P is matched
throw new ArgumentException(string.Format("不合法的期权类型{0}. 合法值为[CP]", optionType));
}
if (groups["notional"].Length > 0)
{
parts.Notional = int.Parse(groups["notional"].Value);
}
else
{
parts.Notional = 1;
}
if (groups["sign"].Length > 0)
{
if (groups["sign"].Value == "-")
{
parts.IsSell = true;
}
else
{
parts.IsSell = false;
}
}
else
{
parts.IsSell = false;
}
return parts;
}
}
public class OptionStrategyCodeParts
{
public int Notional { get; set; }
public string UnderlyingCode { get; set; }
public string OptionType { get; set; }
public string Maturity { get; set; }
public double Strike { get; set; }
public bool IsSell { get; set; }
public override string ToString()
{
return string.Format(
"{0}{1}{2}{3}{4}{5}",
IsSell ? "-" : "",
Notional == 1 ? "" : string.Format("{0}*", Notional),
UnderlyingCode,
"Call".Equals(OptionType) ? "C" : "P",
Maturity,
Strike);
}
}
}
}
UnitTestProject/BasicTests/OtcFormatTest.cs
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using YLErp.Commons;
using static YLErp.Models.OtcFormatModel;
namespace YLErp.BasicTests
{
[TestClass]
public class OtcFormatTest
{
[TestMethod("OtcFormatOption")]
public void TestOtcFormatOption()
{
const double d1 = 2221585d;
const double d2 = 2221585.99665655;
//-------------------------------------
var option = new OtcFormatOption { };
Assert.AreEqual(option.GetFormat(), "0");
Assert.AreEqual(option.Format(d1), "2221585");
Assert.AreEqual(option.Format(d2), "2221586");
//---------------------------------------------------
option = new OtcFormatOption { grouping = true };
Assert.AreEqual(option.GetFormat(), "#,##0");
Assert.AreEqual(option.Format(d1), "2,221,585");
Assert.AreEqual(option.Format(d2), "2,221,586");
//---------------------------------------------------
option = new OtcFormatOption { rounded = false };
Assert.AreEqual(option.GetFormat(), "0");
Assert.AreEqual(option.Format(d1), "2221585");
Assert.AreEqual(option.Format(d2), "2221585");
//---------------------------------------------------
option = new OtcFormatOption { percent = true };
Assert.AreEqual(option.GetFormat(), "0%");
Assert.AreEqual(option.Format(d1), "222158500%");
Assert.AreEqual(option.Format(d2), "222158600%");
//---------------------------------------------------
option = new OtcFormatOption { grouping = true, rounded = false };
Assert.AreEqual(option.GetFormat(), "#,##0");
Assert.AreEqual(option.Format(d1), "2,221,585");
Assert.AreEqual(option.Format(d2), "2,221,585");
//---------------------------------------------------
option = new OtcFormatOption { grouping = true, percent = true };
Assert.AreEqual(option.GetFormat(), "#,##0%");
Assert.AreEqual(option.Format(d1), "222,158,500%");
Assert.AreEqual(option.Format(d2), "222,158,600%");
//---------------------------------------------------
option = new OtcFormatOption { grouping = true, percent = true, rounded = false };
Assert.AreEqual(option.GetFormat(), "#,##0%");
Assert.AreEqual(option.Format(d1), "222,158,500%");
Assert.AreEqual(option.Format(d2), "222,158,599%");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2 };
Assert.AreEqual(option.GetFormat(), "0.00");
Assert.AreEqual(option.Format(d1), "2221585.00");
Assert.AreEqual(option.Format(d2), "2221586.00");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 0, maxDecimals = 4 };
Assert.AreEqual(option.GetFormat(), "0.####");
Assert.AreEqual(option.Format(d1), "2221585");
Assert.AreEqual(option.Format(d2), "2221585.9967");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 0, maxDecimals = 4, rounded = false };
Assert.AreEqual(option.GetFormat(), "0.####");
Assert.AreEqual(option.Format(d1), "2221585");
Assert.AreEqual(option.Format(d2), "2221585.9966");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 0, maxDecimals = 4, grouping = true };
Assert.AreEqual(option.GetFormat(), "#,##0.####");
Assert.AreEqual(option.Format(d1), "2,221,585");
Assert.AreEqual(option.Format(d2), "2,221,585.9967");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 0, maxDecimals = 4, grouping = true, percent = true };
Assert.AreEqual(option.GetFormat(), "#,##0.####%");
Assert.AreEqual(option.Format(d1), "222,158,500%");
Assert.AreEqual(option.Format(d2), "222,158,599.6657%");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 0, maxDecimals = 4, grouping = true, percent = true, rounded = false };
Assert.AreEqual(option.GetFormat(), "#,##0.####%");
Assert.AreEqual(option.Format(d1), "222,158,500%");
Assert.AreEqual(option.Format(d2), "222,158,599.6656%");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4 };
Assert.AreEqual(option.GetFormat(), "0.00##");
Assert.AreEqual(option.Format(d1), "2221585.00");
Assert.AreEqual(option.Format(d2), "2221585.9967");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4, rounded = false };
Assert.AreEqual(option.GetFormat(), "0.00##");
Assert.AreEqual(option.Format(d1), "2221585.00");
Assert.AreEqual(option.Format(d2), "2221585.9966");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4, rounded = false, percent = true };
Assert.AreEqual(option.GetFormat(), "0.00##%");
Assert.AreEqual(option.Format(d1), "222158500.00%");
Assert.AreEqual(option.Format(d2), "222158599.6656%");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4, rounded = false, grouping = true };
Assert.AreEqual(option.GetFormat(), "#,##0.00##");
Assert.AreEqual(option.Format(d1), "2,221,585.00");
Assert.AreEqual(option.Format(d2), "2,221,585.9966");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4, rounded = true, grouping = true };
Assert.AreEqual(option.GetFormat(), "#,##0.00##");
Assert.AreEqual(option.Format(d1), "2,221,585.00");
Assert.AreEqual(option.Format(d2), "2,221,585.9967");
//---------------------------------------------------
option = new OtcFormatOption { minDecimals = 2, maxDecimals = 4, rounded = true, grouping = true, percent = true };
Assert.AreEqual(option.GetFormat(), "#,##0.00##%");
Assert.AreEqual(option.Format(d1), "222,158,500.00%");
Assert.AreEqual(option.Format(d2), "222,158,599.6657%");
//---------------------------------------------------
Assert.AreEqual(10d.OtcFormatFlex(0, 10), "10");
Assert.AreEqual(10.1d.OtcFormatFlex(0, 10), "10.1");
Assert.AreEqual(10.11d.OtcFormatFlex(0, 10), "10.11");
Assert.AreEqual(10.123d.OtcFormatFlex(0, 10), "10.123");
}
[TestMethod]
public void OtcFormatTest1()
{
var model = new OtcFormatModel
{
trading = new TradingFormat
{
premiumRateP = new OtcFormatOptionPercent { minDecimals = 2, maxDecimals = 4 }
}
};
OtcFormatHelper.Initialize(JsonHelper.Serialize(model));
Assert.AreEqual(OtcFormatExtensions.OtcFormat(0.22556677, OtcFormatFlag.premiumRate), "0.225567");
Assert.AreEqual(OtcFormatExtensions.OtcFormat(0.22556677, OtcFormatFlag.premiumRateP), "22.5567%");
Assert.AreEqual(OtcFormatExtensions.OtcFormatMoney(2255.667788, grouping: true), "2,255.67");
Assert.AreEqual(OtcFormatExtensions.OtcFormatMoney(2255.667788, grouping: false), "2255.67");
}
[TestMethod]
public void OtcFormatTest2()
{
var d = 0.223;
var a1 = d.ToString(GetUmPriceFormat() + "%");
var a2 = d.OtcFormatUmPrice(true);
Assert.AreEqual(a1, "22.3000%");
Assert.AreEqual(a2, "22.30%");
var PremiumRate = 0.225566778899;
var fmt = GetPremiumRateFormat() + "%";
var str1 = PremiumRate.ToString(fmt);
Assert.AreEqual(str1, "22.5567%");
Assert.AreEqual(str1, PremiumRate.OtcFormat(OtcFormatFlag.premiumRateP));
}
[TestMethod("OtcFormatPercent")]
public void TestOtcFormatPercent()
{
var dnan = double.NaN;
Assert.AreEqual(dnan.OtcFormatPercent(5), "");
dnan = double.NegativeInfinity;
Assert.AreEqual(dnan.OtcFormatPercent(5), "");
var d = 0.2233445566778899;
Assert.AreEqual(d.OtcFormatPercent(0), "22%");
Assert.AreEqual(d.OtcFormatPercent(1), "22.3%");
Assert.AreEqual(d.OtcFormatPercent(2), "22.33%");
Assert.AreEqual(d.OtcFormatPercent(3), "22.334%");
Assert.AreEqual(d.OtcFormatPercent(4), "22.3345%");
Assert.AreEqual(d.OtcFormatPercent(5), "22.33446%");
Assert.AreEqual(d.OtcFormatPercent(6), "22.334456%");
Assert.AreEqual(d.OtcFormatPercent(7), "22.3344557%");
Assert.AreEqual(d.OtcFormatPercent(8), "22.33445567%");
Assert.AreEqual(d.OtcFormatPercent(9), "22.334455668%");
Assert.AreEqual(d.OtcFormatPercent(10), "22.3344556678%");
Assert.AreEqual(d.OtcFormatPercent(11), "22.33445566779%");
Assert.AreEqual(d.OtcFormatPercent(12), "22.334455667789%");
d = 22.5566778899;
Assert.AreEqual(d.OtcFormatPercent(0), "2256%");
Assert.AreEqual(d.OtcFormatPercent(1), "2255.7%");
Assert.AreEqual(d.OtcFormatPercent(2), "2255.67%");
Assert.AreEqual(d.OtcFormatPercent(3), "2255.668%");
Assert.AreEqual(d.OtcFormatPercent(4), "2255.6678%");
Assert.AreEqual(d.OtcFormatPercent(5), "2255.66779%");
Assert.AreEqual(d.OtcFormatPercent(6), "2255.667789%");
Assert.AreEqual(d.OtcFormatPercent(7), "2255.6677890%");
Assert.AreEqual(d.OtcFormatPercent(8), "2255.66778899%");
Assert.AreEqual(d.OtcFormatPercent(0, grouping: true), "2,256%");
Assert.AreEqual(d.OtcFormatPercent(1, grouping: true), "2,255.7%");
Assert.AreEqual(d.OtcFormatPercent(2, grouping: true), "2,255.67%");
Assert.AreEqual(d.OtcFormatPercent(3, grouping: true), "2,255.668%");
Assert.AreEqual(d.OtcFormatPercent(4, grouping: true), "2,255.6678%");
Assert.AreEqual(d.OtcFormatPercent(5, grouping: true), "2,255.66779%");
Assert.AreEqual(d.OtcFormatPercent(6, grouping: true), "2,255.667789%");
Assert.AreEqual(d.OtcFormatPercent(7, grouping: true), "2,255.6677890%");
Assert.AreEqual(d.OtcFormatPercent(8, grouping: true), "2,255.66778899%");
double? d2 = default;
Assert.AreEqual(d2.OtcFormatPercent(0), "");
Assert.AreEqual(d2.OtcFormatPercent(1), "");
Assert.AreEqual(d2.OtcFormatPercent(2), "");
Assert.AreEqual(d2.OtcFormatPercent(3), "");
d2 = 22.5566778899;
Assert.AreEqual(d2.OtcFormatPercent(0), "2256%");
Assert.AreEqual(d2.OtcFormatPercent(1), "2255.7%");
Assert.AreEqual(d2.OtcFormatPercent(2), "2255.67%");
Assert.AreEqual(d2.OtcFormatPercent(3), "2255.668%");
Assert.AreEqual(d2.OtcFormatPercent(4), "2255.6678%");
}
[TestMethod("OtcFormatFlex")]
public void TestOtcFormatFlex()
{
var dnan = double.NaN;
Assert.AreEqual(dnan.OtcFormatFlex(5), "");
dnan = double.NegativeInfinity;
Assert.AreEqual(dnan.OtcFormatFlex(5), "");
var d1 = 22.55;
Assert.AreEqual(d1.OtcFormatFlex(0), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(0, maxDecimals: 4), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(0, rounded: false), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(0, maxDecimals: 4, rounded: false), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(2), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(2, maxDecimals: 4), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(2, rounded: false), "22.55");
Assert.AreEqual(d1.OtcFormatFlex(2, maxDecimals: 4, rounded: false), "22.55");
var d = 22.5566778899;
Assert.AreEqual(d.OtcFormatFlex(0), "22.556678");
Assert.AreEqual(d.OtcFormatFlex(0, maxDecimals: 4), "22.5567");
Assert.AreEqual(d.OtcFormatFlex(0, rounded: false), "22.556677");
Assert.AreEqual(d.OtcFormatFlex(0, maxDecimals: 4, rounded: false), "22.5566");
Assert.AreEqual(d.OtcFormatFlex(2), "22.556678");
Assert.AreEqual(d.OtcFormatFlex(2, maxDecimals: 4), "22.5567");
Assert.AreEqual(d.OtcFormatFlex(2, rounded: false), "22.556677");
Assert.AreEqual(d.OtcFormatFlex(2, maxDecimals: 4, rounded: false), "22.5566");
Assert.AreEqual(d.OtcFormatFlex(0, 0, percent: true), "2256%");
Assert.AreEqual(d.OtcFormatFlex(1, 1, percent: true), "2255.7%");
Assert.AreEqual(d.OtcFormatFlex(2, 2, percent: true), "2255.67%");
Assert.AreEqual(d.OtcFormatFlex(3, 3, percent: true), "2255.668%");
Assert.AreEqual(d.OtcFormatFlex(4, 4, percent: true), "2255.6678%");
Assert.AreEqual(d.OtcFormatFlex(5, 5, percent: true), "2255.66779%");
Assert.AreEqual(d.OtcFormatFlex(6, 6, percent: true), "2255.667789%");
Assert.AreEqual(d.OtcFormatFlex(7, 7, percent: true), "2255.6677890%");
Assert.AreEqual(d.OtcFormatFlex(8, 8, percent: true), "2255.66778899%");
Assert.AreEqual(d.OtcFormatFlex(0, 0, rounded: false, percent: true), "2255%");
Assert.AreEqual(d.OtcFormatFlex(1, 1, rounded: false, percent: true), "2255.6%");
Assert.AreEqual(d.OtcFormatFlex(2, 2, rounded: false, percent: true), "2255.66%");
Assert.AreEqual(d.OtcFormatFlex(3, 3, rounded: false, percent: true), "2255.667%");
Assert.AreEqual(d.OtcFormatFlex(4, 4, rounded: false, percent: true), "2255.6677%");
Assert.AreEqual(d.OtcFormatFlex(5, 5, rounded: false, percent: true), "2255.66778%");
Assert.AreEqual(d.OtcFormatFlex(6, 6, rounded: false, percent: true), "2255.667788%");
Assert.AreEqual(d.OtcFormatFlex(7, 7, rounded: false, percent: true), "2255.6677889%");
Assert.AreEqual(d.OtcFormatFlex(8, 8, rounded: false, percent: true), "2255.66778899%");
double? dnan2 = double.NaN;
Assert.AreEqual(dnan2.OtcFormatFlex(5), "");
dnan2 = double.NegativeInfinity;
Assert.AreEqual(dnan2.OtcFormatFlex(5), "");
double? d2 = default;
Assert.AreEqual(d2.OtcFormatFlex(0, 0, percent: true), "");
Assert.AreEqual(d2.OtcFormatFlex(1, 1, percent: true), "");
Assert.AreEqual(d2.OtcFormatFlex(2, 2, percent: true), "");
Assert.AreEqual(d2.OtcFormatFlex(3, 3, percent: true), "");
d2 = 22.5566778899;
Assert.AreEqual(d2.OtcFormatFlex(0, 0, percent: true), "2256%");
Assert.AreEqual(d2.OtcFormatFlex(1, 1, percent: true), "2255.7%");
Assert.AreEqual(d2.OtcFormatFlex(2, 2, percent: true), "2255.67%");
Assert.AreEqual(d2.OtcFormatFlex(3, 3, percent: true), "2255.668%");
Assert.AreEqual(d2.OtcFormatFlex(4, 4, percent: true), "2255.6678%");
}
private static TradingFormat trading => OtcFormatHelper.FormatModel.trading;
/// <summary>
/// 获取标的价格显示格式
/// </summary>
public static string GetUmPriceFormat()
{
if (trading.umprice.precision <= 0)
{
trading.umprice.precision = 4;
}
return "0.".PadRight(trading.umprice.precision + 2, '0');
}
/// <summary>
/// 获取期权费单价显示格式
/// </summary>
public static string GetTradeSinglePriceFormat()
{
if (trading.tradeSinglePrice.precision <= 0)
{
trading.tradeSinglePrice.precision = 3;
}
return "0.".PadRight(trading.tradeSinglePrice.precision + 2, '0');
}
/// <summary>
/// 获取名义本金显示格式
/// </summary>
public static string GetStockEqvNotionalFormat()
{
if (trading.StockEqvNotional.precision <= 0)
{
trading.StockEqvNotional.precision = 2;
}
return "0.".PadRight(trading.StockEqvNotional.precision + 2, '0');
}
/// <summary>
/// 获取期权费总额显示格式
/// </summary>
public static string GetTradePriceFormat()
{
return "0.00";
}
/// <summary>
/// 获取期权费率显示格式(percentFmt为true时返回P格式)
/// </summary>
public static string GetPremiumRateFormat(bool percentFmt = false)
{
if (percentFmt)
{
return trading.premiumRateP.precision < 1 ? "P4" : "P" + trading.premiumRateP;
}
if (trading.premiumRateP.precision <= 0)
{
trading.premiumRateP.precision = 4;
}
return "0.".PadRight(trading.premiumRateP.precision + 2, '0');
}
/// <summary>
/// 获取希腊值显示格式
/// </summary>
public static string GetGreekFormat()
{
if (trading.greek.precision <= 0)
{
trading.greek.precision = 3;
}
return "0.".PadRight(trading.greek.precision + 2, '0');
}
/// <summary>
/// 获取数量显示格式
/// </summary>
public static string GetNotional()
{
if (trading.notional.precision <= 0)
{
trading.notional.precision = 2;
}
return "0.".PadRight(trading.notional.precision + 2, '0');
}
}
}
UnitTestProject/BasicTests/QdpExtensionTest.cs
+167
View File
@@ -0,0 +1,167 @@
using Qdp.Pricing.Base.Implementations;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;
namespace YLErp.BasicTests
{
[TestClass]
public class QdpExtensionTest : UnitTestBase
{
[TestMethod]
public void TTMTest()
{
var maturityDate = new DateTime(2019, 7, 16);
var dateT = new DateTime(2019, 7, 12);
var dateTPlus = new DateTime(2019, 7, 15);
var dateTMinus = new DateTime(2019, 7, 11);
var dayCount = new Bus244();
//1. 报价日期不等于系统日期，所有精确时间模式都无效
var ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTMinus, dateT, dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTMinus, dateT, dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTMinus, dateT, dayCount, true, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTMinus, dateT, dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTPlus, dateT, dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTPlus, dateT, dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTPlus, dateT, dayCount, true, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateTPlus, dateT, dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
//2. 报价期日等于系统日期
//2.1 系统日期等于服务器日期，交易日的日盘
//2.1.1 精确到半天
//2.1.1.1 有夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 00, 01, 0), dayCount, true, false);
Assert.AreEqual(2.66, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 9, 31, 0), dayCount, true, false);
Assert.AreEqual(2.66, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 11, 31, 0), dayCount, true, false);
Assert.AreEqual(2.66, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 01, 0), dayCount, true, false);
Assert.AreEqual(2.33, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 31, 0), dayCount, true, false);
Assert.AreEqual(2.33, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 15, 01, 0), dayCount, true, false);
Assert.AreEqual(2, ttm, 1e-10);
//2.1.1.2 无夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 00, 01, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 9, 31, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 11, 31, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 01, 0), dayCount, false, false);
Assert.AreEqual(2.5, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 31, 0), dayCount, false, false);
Assert.AreEqual(2.5, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 15, 01, 0), dayCount, false, false);
Assert.AreEqual(2, ttm, 1e-10);
//2.1.2 精确到分钟
//2.1.2.1 有夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 00, 15, 0), dayCount, true, true);
Assert.AreEqual(2.6666666666666665, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 9, 55, 0), dayCount, true, true);
Assert.AreEqual(2.5138888888888888, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 11, 27, 0), dayCount, true, true);
Assert.AreEqual(2.2583333333333333, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 08, 0), dayCount, true, true);
Assert.AreEqual(2.25, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 36, 0), dayCount, true, true);
Assert.AreEqual(2.2333333333333334, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 15, 01, 0), dayCount, true, true);
Assert.AreEqual(2, ttm, 1e-10);
//2.1.2.2 无夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 00, 15, 0), dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 9, 55, 0), dayCount, false, true);
Assert.AreEqual(2.7708333333333335, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 11, 27, 0), dayCount, false, true);
Assert.AreEqual(2.3875, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 08, 0), dayCount, false, true);
Assert.AreEqual(2.375, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 13, 36, 0), dayCount, false, true);
Assert.AreEqual(2.35, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 12, 15, 01, 0), dayCount, false, true);
Assert.AreEqual(2, ttm, 1e-10);
//2.2 系统日期大于服务器日期，交易日的夜盘
//2.2.1 精确到半天
//2.2.1.1 有夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 15, 01, 0), dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 20, 31, 0), dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 21, 01, 0), dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 23, 59, 0), dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
//2.2.1.2 无夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 15, 01, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 20, 31, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 21, 01, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 23, 59, 0), dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
//2.2.2 精确到分钟
//2.2.2.1 有夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 15, 01, 0), dayCount, true, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 20, 31, 0), dayCount, true, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 21, 13, 0), dayCount, true, true);
Assert.AreEqual(2.963888888888889, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 23, 59, 0), dayCount, true, true);
Assert.AreEqual(2.6666666666666665, ttm, 1e-10);
//2.2.2.2 无夜盘
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 15, 01, 0), dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 20, 31, 0), dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 21, 13, 0), dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, new DateTime(2019, 7, 11, 23, 59, 0), dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
//2.3 系统日期小于服务器日期，所有精确时间模式都无效
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, dateTPlus, dayCount, true, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, dateTPlus, dayCount, false, false);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, dateTPlus, dayCount, true, true);
Assert.AreEqual(3, ttm, 1e-10);
ttm = QdpHelper.CalculateTTMDays(dateT, maturityDate, dateT, dateTPlus, dayCount, false, true);
Assert.AreEqual(3, ttm, 1e-10);
}
[TestMethod]
public void TestGetTradeVol()
{
var vol1 = VolatilityHelper.GetTradeVol(valueDate: new DateTime(2022, 3, 10)
, valueStartDate: new DateTime(2022, 3, 10)
, exerciseDate: new DateTime(2022, 3, 20)
, openVol: 0.3
, closeVol: 0.1
, mumOfSmoothingDays: 3, includeStartDate: true);
var vol2 = VolatilityHelper.GetTradeVol(valueDate: new DateTime(2022, 3, 10)
, valueStartDate: new DateTime(2022, 3, 10)
, exerciseDate: new DateTime(2022, 3, 17)
, openVol: 0.7
, closeVol: 0.1
, mumOfSmoothingDays: 7, includeStartDate: true);
Assert.AreEqual(vol2, 0.3, 0.001);
}
}
}