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 +1,145 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+using System.Linq;
+using YLErp.DBModels;
+using YLErp.Modules.DataProviderModule;
+
+namespace YLErp.Modules.VolatilityModule
+{
+    [TestClass]
+    public class VarietyVolServiceTest : YLUnitTestBase
+    {
+        [ClassInitialize]
+        public static void Init(TestContext context)
+        {
+            using (var db = DbContextFactory.GetYLDbContext())
+            {
+                db.OptUser = new OptUserInfo(0, "UnitTest");
+
+                db.Database.ExecuteSqlCommand("truncate table variety_vol;");
+
+                var datas = new[] {
+                new VarietyVol{ VarietyId = 1,ValueDate = new DateTime(2020,9,1),Vol = 0.301 },
+                new VarietyVol{ VarietyId = 1,ValueDate = new DateTime(2020,9,3),Vol = 0.311 },
+                new VarietyVol{ VarietyId = 1,ValueDate = new DateTime(2020,9,13),Vol = 0.331 },
+
+                new VarietyVol{ VarietyId = 2,ValueDate = new DateTime(2020,9,21),Vol = 0.401 },
+                new VarietyVol{ VarietyId = 2,ValueDate = new DateTime(2020,9,22),Vol = 0.501 },
+                new VarietyVol{ VarietyId = 2,ValueDate = new DateTime(2020,10,10),Vol = 0.601 },
+            };
+
+                foreach (var data in datas)
+                {
+                    data.OptId = 0;
+                    data.OptName = "UnitTest";
+                    data.OptDate = DateTime.Now;
+                }
+
+                db.variety_vol.AddRange(datas);
+                db.SaveChanges();
+            }
+        }
+
+        [TestMethod]
+        public void TestGetVols()
+        {
+            var dates = new[] { new DateTime(2020, 9, 10), new DateTime(2020, 9, 22) };
+            var check = new[] {
+                new Action<VarietyVolDto[]>(n=>{
+                    Assert.IsTrue(n.Length == 1);
+                    Assert.IsTrue(n[0].Vol == 0.311);
+                    Assert.IsTrue(n[0].ValueDate == new DateTime(2020, 9, 3));
+                }),
+                new Action<VarietyVolDto[]>(n=>{
+                    Assert.IsTrue(n.Length == 2);
+                    Assert.IsTrue(n[0].Vol == 0.331);
+                    Assert.IsTrue(n[0].ValueDate == new DateTime(2020, 9, 13));
+
+                    Assert.IsTrue(n[1].Vol == 0.501);
+                    Assert.IsTrue(n[1].ValueDate == new DateTime(2020, 9, 22));
+                }),
+            };
+
+            for (var i = 0; i < dates.Length; i++)
+            {
+                var date = dates[i];
+
+                var grpQry = from vol in DbContext.variety_vol
+                             where vol.ValueDate <= date
+                             group vol by vol.VarietyId into grp
+                             select new
+                             {
+                                 VarietyId = grp.Key,
+                                 ValueDate = grp.Max(n => n.ValueDate)
+                             };
+
+                var qry = from gv in grpQry
+                          join vol in DbContext.variety_vol on gv equals new { vol.VarietyId, vol.ValueDate }
+                          orderby gv.VarietyId
+                          select new VarietyVolDto
+                          {
+                              VarietyId = vol.VarietyId,
+                              ValueDate = vol.ValueDate,
+                              Vol = vol.Vol
+                          };
+
+                var qryDatas = qry.ToArray();
+
+                check[i](qryDatas);
+            }
+        }
+
+        [TestMethod]
+        public void TestGetVols2()
+        {
+            var dates = new[] { new DateTime(2020, 9, 10), new DateTime(2020, 9, 22) };
+            var check = new[] {
+                new Action<VarietyVolDto[]>(n=>{
+                    Assert.IsTrue(n.Length == 3);
+                    Assert.IsTrue(n[0].Vol == 0.311);
+                    Assert.IsTrue(n[0].ValueDate == new DateTime(2020, 9, 3));
+
+                    Assert.IsTrue(n[1].Vol == 0.3);
+                    Assert.IsTrue(n[1].ValueDate == new DateTime(2020, 9, 10));
+
+                    Assert.IsTrue(n[2].Vol == 0.3);
+                    Assert.IsTrue(n[2].ValueDate == new DateTime(2020, 9, 10));
+                }),
+                new Action<VarietyVolDto[]>(n=>{
+                    Assert.IsTrue(n.Length == 3);
+                    Assert.IsTrue(n[0].Vol == 0.331);
+                    Assert.IsTrue(n[0].ValueDate == new DateTime(2020, 9, 13));
+
+                    Assert.IsTrue(n[1].Vol == 0.501);
+                    Assert.IsTrue(n[1].ValueDate == new DateTime(2020, 9, 22));
+
+                     Assert.IsTrue(n[2].Vol == 0.3);
+                    Assert.IsTrue(n[2].ValueDate == new DateTime(2020, 9, 22));
+                }),
+            };
+
+            for (var i = 0; i < dates.Length; i++)
+            {
+                var date = dates[i];
+
+                var qryDatas = new VarietyVolService(this).GetVols(date, new[] { 1, 2, 3 });
+
+                check[i](qryDatas.ToArray());
+            }
+        }
+
+        [TestMethod]
+        public void TestGetVols3()
+        {
+            var provider = new VarietyVolProvider(new DateTime(2020, 9, 22));
+
+            Assert.IsTrue(provider.TryGetVol(1, out var vol1)&&vol1 == 0.331);
+
+            Assert.IsTrue(provider.TryGetVol(5, out var vol11)&&vol11 == 0.3);
+
+            Assert.IsTrue(provider.TryGetVol("RB00", out var vol2) && vol2 == 0.501);
+
+            Assert.IsTrue(provider.TryGetVol("ceshi1", out var vol3) && vol3 == 0.3);
+        }
+    }
+}
@@ -0,0 +1,32 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+using System.Collections.Generic;
+using YLErp.DBModels;
+using YLErp.Models;
+using YLErp.QdpModule.Constants;
+
+namespace YLErp.Modules.VolatilityModule
+{
+    [TestClass]
+    public class VolatilityBasicTest
+    {
+        [TestMethod("测试波动率数据序列化")]
+        public void TestSerialize()
+        {
+            var date = new DateTime(2020, 4, 23);
+
+            var vola = VolatilityBuilder.CreateMoneynessVolBuilder(date)
+                .SetUnderlying(111, "RB2005").SetData(0.25533333).Build();
+
+            Assert.AreEqual(vola.QuotationDate, date);
+            Assert.AreEqual(vola.VolType, ConsVolInfos.defVolType);
+            Assert.AreEqual(vola.VolSurfaceMode, ConsVolInfos.defVolMode);
+            Assert.AreEqual(vola.UnderlyingId, 111);
+            Assert.AreEqual(vola.ContractCode, "RB2005");
+
+            var list = JsonHelper.Deserialize<List<SingleVol>>(vola.Data);
+
+            Assert.AreEqual(0.255333, list[0].Vol);
+        }
+    }
+}
@@ -0,0 +1,142 @@
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using System;
+using System.Linq;
+using YLErp.DBModels;
+
+namespace YLErp.Modules.VolatilityModule
+{
+    [TestClass]
+    public class VolatilityQueryServiceTest : YLUnitTestBase
+    {
+        readonly VolatilityQueryService service;
+
+        public VolatilityQueryServiceTest()
+        {
+            service = new VolatilityQueryService(new OptUserInfo(0, "UnitTest"));
+        }
+
+        [TestMethod("获取单个标的的曲面波动率")]
+        public void TestGetVolatility()
+        {
+            var date = new DateTime(2020, 4, 20);
+
+            //标的不存在的情况下获取不到波动率
+
+            var vols = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = date,
+                TradeVolWithBidAsk = true,
+                UnderlyingId = 1,
+                UnderlyingCode = "TA006",
+                UserGroup = "",
+                VolType = "交易"
+            });
+
+            Assert.AreEqual(vols.Count(), 0);
+
+            //同源标的不存在波动率的情况下获取默认波动率
+
+            var vols2 = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = date,
+                TradeVolWithBidAsk = true,
+                UnderlyingCode = "AP005",
+                UserGroup = "",
+                VolType = "交易"
+            });
+
+            Assert.AreEqual(vols2.Count(), 3);
+            Assert.AreEqual(vols2.First().VolTable[0].Vol, 0.3);
+            Assert.AreEqual(vols2.First().QuotationDate, date);
+
+            var vols3 = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = date,
+                TradeVolWithBidAsk = true,
+                UnderlyingId = 14,
+                //UnderlyingCode = "AP005",
+                UserGroup = "",
+                VolType = "交易"
+            });
+
+            Assert.AreEqual(vols3.Count(), 3);
+            Assert.AreEqual(vols3.First().VolTable[0].Vol, 0.3);
+            Assert.AreEqual(vols3.First().QuotationDate, date);
+
+            //标的已过期的情况下返回波动率为0的默认波动率
+
+            var vols4 = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = date,
+                TradeVolWithBidAsk = true,
+                UnderlyingCode = "RB2003",
+                UserGroup = "",
+                VolType = "交易"
+            });
+
+            Assert.AreEqual(vols4.Count(), 3);
+            Assert.AreEqual(vols4.First().VolTable[0].Vol, 0);
+            Assert.AreEqual(vols4.First().QuotationDate, date);
+        }
+
+        [TestMethod("获取单个标的的曲面波动率2")]
+        public void TestGetVolatility2()
+        {
+            var date = DateTime.Today;
+
+            var vols = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = date,
+                TradeVolWithBidAsk = true,
+                UnderlyingCode = "AL00",
+                VolType = "交易"
+            });
+
+            Assert.AreEqual(vols.Count(), 0);
+        }
+
+        [TestMethod("获取批量标的的曲面波动率")]
+        public void TestGetVolatilities()
+        {
+            var vols = service.GetVolatilities(new BatchVolatilityRequest
+            {
+                QuotationDate = DateTime.Today,
+                TradeVolWithBidAsk = true,
+                UserGroup = string.Empty,
+                VolType = "交易"
+            }, true);
+        }
+
+        [TestMethod("验证波动率复制")]
+        public void TestMissingVolatilities()
+        {
+            var un = GetUnderlyingManager();
+
+            AddClearSQL<volatility>($"{nameof(volatility.ContractCode)}='{un.UnderlyingCode}'");
+
+            var vols = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = DateTime.Today,
+                TradeVolWithBidAsk = false,
+                UserGroup = string.Empty,
+                VolType = "交易",
+                UnderlyingCode = un.UnderlyingCode,
+                UnderlyingId = un.id
+            }, true);
+
+            Assert.IsTrue(vols.Count() == 1 && vols.First().VolTable[0].Vol == 0.3);
+
+            var vols2 = service.GetVolatility(new SingleVolatilityRequest
+            {
+                QuotationDate = DateTime.Today,
+                TradeVolWithBidAsk = true,
+                UserGroup = string.Empty,
+                VolType = "交易",
+                UnderlyingCode = un.UnderlyingCode,
+                UnderlyingId = un.id
+            }, true);
+
+            Assert.IsTrue(vols2.Count() == 3 && vols2.First().VolTable[0].Vol == 0.3);
+        }
+    }
+}