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 +1,164 @@
+using Qdp.ComputeService.Data.CommonModels.ValuationParams.Equity;
+using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
+using YLErp.BLL.Calculation;
+using YLErp.BLL.Calculation.Engine;
+using YLErp.Modules.CalculationModule;
+using YLErp.Modules.TradeModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.CalcModules
+{
+    /// <summary>
+    /// 雪球期权计算测试
+    /// </summary>
+    [TestClass]
+    public class SnowballOptionCalcTest : UnitTestBase
+    {
+        [TestMethod("雪球期权-行权价和执行价近似相等时计算非常慢")]
+        public void SnowballOptionCalcTest1()
+        {
+            var data = DeserializeFormData<OtcOptionTradeFullFormData>("TradeJson\\SnowballTrade1.txt");
+
+            Assert.IsTrue(data.trades != null && data.trades.Any());
+
+            var tdfull = data.trades.First();
+            var tdconv = TradeConverter.ConvertOptionTrade(tdfull);
+
+            var sw = new System.Diagnostics.Stopwatch();
+            sw.Start();
+
+            //为解决慢的问题,TradeRiskCalcUtil类加了优化处理方法:OptimizeSpotPrice
+            var result = OptionCalculatorV2.GetOptionValueResult(new DateTime(2021, 5, 12), tdconv, new OptionValueCalcRequest(0.04)
+            {
+                spotPrices = new[] { 6512.0501 },
+                vols = new[] { 0.18 },
+                pricingRequest = QdpModule.QdpPricingRequest.BASIC_GREEKS
+            }, out _);
+
+            sw.Stop();
+
+            Console.WriteLine($"耗时{sw.ElapsedMilliseconds / 1000}秒,pv:{result.Pv}");
+
+            Assert.IsTrue(sw.ElapsedMilliseconds < 10 * 1000);
+        }
+
+        [TestMethod("雪球期权计算--海通认为算的不对")]
+        public void SnowballOptionCalcTest2()
+        {
+            var json = ReadResourceFile("TradeJson\\SnowballTrade2.json");
+            var td = JsonHelper.Deserialize<trade>(json);
+            Assert.IsNotNull(td);
+            var result = OptionCalculatorV2.GetOptionValueResult(new DateTime(2021, 5, 28), td, new OptionValueCalcRequest(0)
+            {
+                spotPrices = new[] { 13660d },
+                vols = new[] { 0.254561403508772 }
+            }, out _);
+
+            Assert.IsTrue(Math.Abs(Math.Abs(result.Pv) - 213772.8) < 10);
+        }
+
+        [TestMethod("雪球期权计算--和Excel模板算的不一致")]
+        public void SnowballOptionCalcTest3()
+        {
+            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(new SnowballOptionTradeParam
+            {
+                annualizedFactor = 1,
+                annualizedOptionPayoff = true,
+                annualizedPremiumRate = null,
+                barrierStatus = "",
+                buysell = "Buy",
+                callput = Qdp.Pricing.Base.Enums.OptionType.Put,
+                coupon = 0.3149,
+                couponDayCount = "Act365",
+                couponPaymentDateStr = "2022-04-06,2022-05-05,2022-06-06,2022-07-04",
+                dividendRate = 0.015,
+                dividends = null,
+                endDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
+                exerciseDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
+                exerciseType = null,
+                hasNightMarket = false,
+                initialSpotPrice = 100,
+                isAnnualized = false,
+                isFixedCoupon = false,
+                isForwardTrade = false,
+                isMoneynessOption = false,
+                kiBarrier = 120,
+                kiOptionType = Qdp.Pricing.Base.Enums.OptionType.CallSpread,
+                koBarrier = 100,
+                koBarrierAdjustStep = 0,
+                koObservationDateStr = "2022-04-06,2022-05-05,2022-06-06,2022-07-04",
+                koOptionType = Qdp.Pricing.Base.Enums.OptionType.Coupon,
+                koRebate = 0.3149,
+                koStrike = -1,
+                notional = 1,
+                observationDateStr = null,
+                optionType = Qdp.Pricing.Base.Enums.OptionType.Put,
+                participationRate = 1,
+                preciseTimeMode = false,
+                principalRate = 0,
+                riskFreeRate = 0.015,
+                settlementDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
+                spreadStrikeAtKO = -1,
+                spreadStrikeAtMaturity = 100,
+                startDate = new Qdp.Foundation.Implementations.Date(2022, 3, 4),
+                strike = 120,
+                timeToMaturityDays = double.NaN,
+                tradeDate = new Qdp.Foundation.Implementations.Date(2022, 3, 4),
+                tradeId = "111111",
+                underlyingInstrumentType = "Stock",
+                underlyingTickers = new[] { "000001.sz" },
+                useOptionPayoffAtKO = false,
+                useOptionPayoffAtMaturity = true,
+                volSurfaceNames = new[] { "2222" }
+            }, SnowBallOptionMode.SimpleSnowball);
+
+            var option = optionTrade.Instrument as SimpleSnowball;
+            var factory = OptionEngineFactory.GetEngineFactory("SnowBall");
+            var engine = factory.GetEngine(null, option.Exercise);
+
+            var tenors = new string[]
+           {
+                "1D",
+                "2M",
+                "1Y"
+           };
+
+            var strikes = new double[]
+            {
+                0.95,
+                1.0,
+                1.05,
+            };
+            var vols = new double[3, 3];
+            var singleVols = new List<SingleVol>();
+            for (var i = 0; i < vols.GetLength(0); ++i)
+            {
+                for (var j = 0; j < vols.GetLength(1); ++j)
+                {
+                    vols[i, j] = 0.2;
+                    singleVols.Add(new SingleVol()
+                    {
+                        Strike = strikes[j],
+                        Expire = tenors[i],
+                        Vol = 0.44
+                    });
+                }
+            }
+
+            using var mp = new MarketProxy(new DateTime(2022, 3, 4), 0.015);
+            mp.SetVolSurface("2222", new VolatilityImpl { VolTable = singleVols });
+
+            mp.SetStockPrice("000001.sz", 100);
+
+            var _dividendCurveName = Guid.NewGuid().ToString();
+            var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(_dividendCurveName, 0.015);
+            mp.SetYieldCurve(_dividendCurveName, dividendCurve);
+
+            var pps = new OptionValuationParameters(_dividendCurveName,
+                 _dividendCurveName, "2222", "000001.sz");
+            var results = optionTrade.CalculateRisks(mp.QdpMarket, Qdp.Pricing.Base.Implementations.PricingRequest.Pv
+                , engine, pps);
+            Assert.IsTrue(Math.Abs(results.Pv) > 1);
+        }
+    }
+}