using YLErp.Modules.ApiModule.PricingModule;

namespace YLErp.Modules.ApiModule
{
    [TestClass]
    public class OptionPricingTest
    {
        /// <summary>
        /// 国信金阳，api算出9.47手，风险对冲页面9.04手，相差较大
        /// </summary>
        [TestMethod]
        public void TestGuoXinJinYang()
        {
            var req = new OptionPricingModelV2
            {
                TradeType = "亚式期权",
                TradeSide = "Buy",
                UnderlyingCode = "LH00",
                ExerciseMode = "European",
                OptionType = "看跌",
                Strike = 23180,
                StartDate = new DateTime(2022, 9, 1),
                ExerciseDate = new DateTime(2022, 9, 30),
                RiskFreeRate = 0,
                DividendRate = 0,
                ExtendFields = new Dictionary<string, string>
                {
                    { "PayoffType", "EnhancedArithmeticAverage"},
                    { "AveragingPeriodStartDate", "2022-09-01"},
                    { "Fixings", "2022-09-01,23285;2022-09-02,23025;2022-09-05,23380;2022-09-06,23030;2022-09-07,23350;2022-09-08,22940"},
                },
                ValueDate = new DateTime(2022, 9, 9),
                TTMDays = 15,
                UnderlyingPrice = 22940,
                VolValue = 0.25,
                IsCalcGreeks = true,
                Notional = 312d
            };

            var result = new OptionPricingApiService().GetOptionPrice(req);

            var result2 = new
            {
                req.CalcId,
                InitialMargin = result.initialMargin,
                ContractSize = result.contractSize,
                result.calcResult.Pv,
                result.calcResult.Delta,
                result.calcResult.Gamma,
                result.calcResult.Vega,
                result.calcResult.Theta,
                result.calcResult.Rho,
                result.calcResult.DeltaInLots
            };

            System.Diagnostics.Debug.WriteLine(JsonHelper.Serialize(result2));
        }
    }
}