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 +1,118 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+using YLErp.BLL.Calculation;
+
+namespace YLErp.Modules.CalculationModule
+{
+    /// <summary>
+    /// 
+    /// </summary>
+    [TestClass]
+    public class ForwardradeCalcServiceTest
+    {
+        [TestMethod]
+        public void TestCalcValueOld()
+        {
+            var testItems = new[] {
+                new{ BuySell = "买入", CallPut = "Call", Strike = 3500,Notional = 100,SpotPrice= 3550 },
+                new{ BuySell = "买入", CallPut = "Call", Strike = 3500, Notional = 100, SpotPrice= 3450 },
+                new{ BuySell = "买入", CallPut = "Put", Strike = 3500, Notional = 100, SpotPrice= 3550 },
+                new{ BuySell = "买入", CallPut = "Put", Strike = 3500, Notional = 100, SpotPrice= 3450 },
+
+                new{ BuySell = "卖出", CallPut = "Call", Strike = 3500,Notional = 100,SpotPrice= 3550 },
+                new{ BuySell = "卖出", CallPut = "Call", Strike = 3500, Notional = 100, SpotPrice= 3450 },
+                new{ BuySell = "卖出", CallPut = "Put", Strike = 3500, Notional = 100, SpotPrice= 3550 },
+                new{ BuySell = "卖出", CallPut = "Put", Strike = 3500, Notional = 100, SpotPrice= 3450 },
+            };
+
+            foreach (var item in testItems)
+            {
+                var r1 = CalcValueV1(item.Strike, item.SpotPrice, item.Notional, item.CallPut, item.BuySell);
+                var r2 = CalcValueV2(item.Strike, item.SpotPrice, item.Notional, item.CallPut, item.BuySell);
+                Console.WriteLine(item.ToJson());
+                Console.WriteLine($"pv1: {r1.Pv}, pv2: {r2.Pv}, delta1: {r1.Delta}, delta2: {r2.Delta}");
+                Assert.IsTrue(r1.Pv == r2.Pv && r1.Delta == r2.Delta);
+            }
+        }
+
+        /// <summary>
+        /// 计算远期交易(买方角度)ValueCalculator.CalculateForward
+        /// </summary>
+        static TradeValueResult CalculateForwardV1(double strike, double spotPrice, double notional, string callPut)
+        {
+            var pv = 0.0;
+            if (callPut == "Call")
+            {
+                pv = (spotPrice - strike) * notional;
+            }
+            else if (callPut == "Put")
+            {
+                pv = (strike - spotPrice) * notional;
+            }
+
+            return new TradeValueResult()
+            {
+                Pv = pv,
+                Delta = callPut == "Call" ? notional : -notional,
+                DeltaCash = callPut == "Call" ? spotPrice * notional : -spotPrice * notional
+            };
+        }
+
+        public static TradeValueResult CalcValueV1(double strike, double spotPrice, double notional, string callput, string buysell)
+        {
+            var result = CalculateForwardV1(strike, spotPrice, notional, callput);
+            result.Pv *= TradeCalcHelper.GetSign(buysell);
+            result.Delta *= TradeCalcHelper.GetSign(buysell);
+            //买入看跌和卖出看涨取反
+            //var flag = (IsBuy(buysell) ? 1 : 2) | (callput == "Call" ? 1 : 2);
+            //if (flag == 3)
+            //{
+            //    result.Delta = -result.Delta;
+            //}
+
+            return result;
+        }
+
+        /// <summary>
+        /// 计算PV/Risk(交易员角度)
+        /// </summary>
+        public static TradeValueResult CalcValueV2(double strike, double spotPrice, double notional, string callput, string buysell)
+        {
+            var isCall = callput == "Call";
+            var pv = (spotPrice - strike) * notional;
+
+            //买入看跌和卖出看涨取负值
+            var flag = (TradeCalcHelper.IsBuy(buysell) ? 1 : 2) | (isCall ? 1 : 2);
+
+            TradeValueResult result;
+
+            if (flag == 3)
+            {
+                result = new TradeValueResult
+                {
+                    Pv = -pv,
+                    Delta = -notional,
+                    DeltaCash = -spotPrice * notional
+                };
+            }
+            else
+            {
+                result = new TradeValueResult
+                {
+                    Pv = pv,
+                    Delta = notional,
+                    DeltaCash = spotPrice * notional
+                };
+            }
+
+            result.RoundedPv = result.Pv;
+
+            return result;
+        }
+
+        static bool IsBuy(string tradeType)
+        {
+            return tradeType == "Buy" || tradeType == "买入" || string.IsNullOrWhiteSpace(tradeType);
+        }
+    }
+}