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 +1,144 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+using System.IO;
+using System.Linq;
+using YLErp.Abstract;
+using YLErp.Abstract.DataProviders;
+using YLErp.BLL;
+using YLErp.DBModels;
+using YLErp.Models;
+using YLErp.Modules.CalculationModule.Abstract;
+using YLErp.Modules.DataProviderModule;
+using YLErp.Modules.VolatilityModule;
+using YLErp.QdpModule;
+
+namespace YLErp.Modules.CalculationModule
+{
+    [TestClass]
+    public class OptionCaclTest : YLUnitTestBase
+    {
+        [TestMethod("测试雪球期权PV")]
+        public void TestSnowball()
+        {
+            var td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == "CW20200053E0008");
+            Assert.IsNotNull(td);
+            var calcDataProvider = new CalcDataProvider(this)
+            {
+                UnderlyingPriceProvider = new InnerUnderlyingPriceProvider(),
+                VolatilityDataProvider = new InnerVolatilityDataProvider()
+            };
+            var context = new OptionValueCalcContext("对冲", valuedateBLL.ValueDate, valuedateBLL.RiskFreeRate / 100, calcDataProvider)
+            {
+                AddingVolRate = 0,
+                IsEodSettle = false,
+                IsUseTradeVol = true
+            };
+            context.IsPreciseTimeMode = context.IsUseTradeVol || !context.IsEodSettle;
+            var result = TradeRiskCalcUtil.CalcTradeRisk(td, context, out var underlyings);
+            Console.WriteLine($"PV:{result.Pv}; Delta:{result.Delta}");
+        }
+
+        [TestMethod("测试二元期权计算")]
+        public void TestBinaryOption()
+        {
+            var path = Path.Combine(AppContext.BaseDirectory, "Resources\\期权计算\\二元期权.json");
+            var json = File.ReadAllText(path);
+            var td = JsonHelper.Deserialize<trade>(json);
+            var result = OptionCalculatorV2.GetOptionValueResult(DateTime.Today, td, new OptionValueCalcRequest( 0.025)
+            {
+                spotPrices = new[] { 6105.8249 },
+                vols = new[] { 0.23 }
+            }, out _);
+            Console.WriteLine(result.Delta);
+        }
+
+        [TestMethod("测试二元期权计算")]
+        public void TestBinaryOption2()
+        {
+            var path = Path.Combine(AppContext.BaseDirectory, "Resources\\期权计算\\二元期权计算参数.json");
+            var json = File.ReadAllText(path);
+            var calcParam = JsonHelper.Deserialize<OptionCalcParam<BinaryOptionTradeParam>>(json);
+            using (var mp = new MarketProxy(DateTime.Today, 0.025))
+            {
+                var vols = QdpVolHelper.GetDefaultVolatility(0.23);
+                mp.SaveVolSurface(calcParam.volSurfaceNames[0], vols);
+                var result = TradeRiskCalcUtil.GetBinaryOptionValue(mp, calcParam);
+                Console.WriteLine(result.Gamma);
+            }
+        }
+
+        class CalcDataProvider : IOptionCalcDataProvider
+        {
+            public CalcDataProvider(YLBaseService baseService)
+            {
+                UnderlyingDataProvider = new UnderlyingDataProvider();
+                TradeExtendDataProvider = new TradeExtendDataProvider(baseService);
+            }
+
+            public IPriceProvider UnderlyingPriceProvider { get; set; }
+
+            public IUnderlyingDataProvider UnderlyingDataProvider { get; }
+
+            public ITradeExtendDataProvider TradeExtendDataProvider { get; }
+
+            public IVolatilityDataProvider VolatilityDataProvider { get; set; }
+        }
+
+        class InnerUnderlyingPriceProvider : IPriceProvider
+        {
+            public double GetPrice(string instrumentCode)
+            {
+                return 15.45;
+            }
+
+            public bool TryGetPrice(string instrumentCode, out double price)
+            {
+                price = 15.45;
+                return true;
+            }
+        }
+
+        class InnerVolatilityDataProvider : IVolatilityDataProvider
+        {
+            public double? GetExchangeOptionTradeHedgeVol(string optionCode, DateTime valueDate)
+            {
+                return 0.25;
+            }
+
+            public double? GetOtcOptionTradeEodVol(int tradeId, DateTime valueDate)
+            {
+                return 0.25;
+            }
+
+            public double? GetOtcOptionTradeHedgeVol(int tradeId, DateTime valueDate)
+            {
+                return 0.25;
+            }
+
+            public IOtcTradeVolatility GetOtcOptionTradeVol(int tradeId, DateTime valueDate)
+            {
+                return new OtcTradeVolatility
+                {
+                    OpenVol = 0.25,
+                    CloseVol = 0.25,
+                    SmoothingDays = 1,
+                    IsFirst = false,
+                    ValueDate = valueDate
+                };
+            }
+
+            public IVolatility GetUnderlyingVolatility(string voltype, string contractCode, string userGroup)
+            {
+                return VolatilityHelper.GetDefaultVol(new SingleVolatilityRequest
+                {
+                    QuotationDate = DateTime.Today,
+                    TradeVolWithBidAsk = false,
+                    UnderlyingCode = contractCode,
+                    UnderlyingId = 0,
+                    UserGroup = userGroup,
+                    VolType = voltype
+                }, 0.25);
+            }
+        }
+    }
+}