从山证v2.3.0拷贝

2024-05-09 14:06:26 +08:00
parent 566ff33259
commit f9d8a256a6
4471 changed files with 1203456 additions and 9 deletions
@@ -0,0 +1,59 @@
+using YLErp.Modules.ApiModule.PricingModule;
+
+namespace YLErp.Modules.ApiModule
+{
+    [TestClass]
+    public class OptionPricingTest
+    {
+        /// <summary>
+        /// 国信金阳，api算出9.47手，风险对冲页面9.04手，相差较大
+        /// </summary>
+        [TestMethod]
+        public void TestGuoXinJinYang()
+        {
+            var req = new OptionPricingModelV2
+            {
+                TradeType = "亚式期权",
+                TradeSide = "Buy",
+                UnderlyingCode = "LH00",
+                ExerciseMode = "European",
+                OptionType = "看跌",
+                Strike = 23180,
+                StartDate = new DateTime(2022, 9, 1),
+                ExerciseDate = new DateTime(2022, 9, 30),
+                RiskFreeRate = 0,
+                DividendRate = 0,
+                ExtendFields = new Dictionary<string, string>
+                {
+                    { "PayoffType", "EnhancedArithmeticAverage"},
+                    { "AveragingPeriodStartDate", "2022-09-01"},
+                    { "Fixings", "2022-09-01,23285;2022-09-02,23025;2022-09-05,23380;2022-09-06,23030;2022-09-07,23350;2022-09-08,22940"},
+                },
+                ValueDate = new DateTime(2022, 9, 9),
+                TTMDays = 15,
+                UnderlyingPrice = 22940,
+                VolValue = 0.25,
+                IsCalcGreeks = true,
+                Notional = 312d
+            };
+
+            var result = new OptionPricingApiService().GetOptionPrice(req);
+
+            var result2 = new
+            {
+                req.CalcId,
+                InitialMargin = result.initialMargin,
+                ContractSize = result.contractSize,
+                result.calcResult.Pv,
+                result.calcResult.Delta,
+                result.calcResult.Gamma,
+                result.calcResult.Vega,
+                result.calcResult.Theta,
+                result.calcResult.Rho,
+                result.calcResult.DeltaInLots
+            };
+
+            System.Diagnostics.Debug.WriteLine(JsonHelper.Serialize(result2));
+        }
+    }
+}