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 +1,142 @@
+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);
+        }
+    }
+}