从山证v2.3.0拷贝

UnitTestProject/BasicTests/OptionStrategyCodeParseTest.cs

@@ -0,0 +1,167 @@
+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);
+            }
+        }
+    }
+}