using Qdp.Pricing.Base.Implementations;
using YLErp.BLL.Calculation.V2;
using YLErp.BLL.Calculation.V2.Parameter;
using YLErp.QdpModule;

namespace YLErp.Modules.CalcModules
{
    /// <summary>
    /// 中银国际的POC测试，TradeDayCount和CurveDayCount请使用Act365测试
    /// </summary>
    [TestClass]
    public class BocInternationalTest
    {
        private readonly DateTime ValueDate = new(2019, 11, 26);
        private readonly DateTime MaturityDate = new(2019, 12, 26);
        private readonly string UnderlyingTicker = "000300";
        private readonly underlying_manager Underlying = new()
        {
            QuotationDate = new DateTime(2019, 11, 26),
            UnderlyingCode = "000300",
            UnderlyingInstrumentType = "Stock"
        };
        private readonly string userId = Guid.NewGuid().ToString();

        private const double SPOT = 3899.0;
        private const double VOL = 0.2;
        private const double RISKFREE_RATE = 0.05;
        private const double DIVIDEND_RATE = 0.01;
        private const double NOTIONAL = 1000000.0 / 3899.0;

        [TestMethod]
        public void EuropeanVanillaTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var call = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var put = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var parameter = new VanillaOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var callResult = ValueCalculator.CalculateTradeValue(
                userId,
                call,
                Underlying,
                parameter,
                PricingRequest.Pv);

            Assert.AreEqual(12246.342761701024, callResult.Pv, 1e-8);

            var putResult = ValueCalculator.CalculateTradeValue(
                userId,
                put,
                Underlying,
                parameter,
                PricingRequest.Pv);

            Assert.AreEqual(9677.6310645714639, putResult.Pv, 1e-8);
        }

        [TestMethod]
        public void VanillaStrategyTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");
            // 牛市价差
            var leg1 = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.98,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var leg2 = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var parameter = new VanillaOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, leg1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, leg2, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(23808.69577353201, result1.Pv - result2.Pv, 1e-8);

            // 熊市价差
            leg1 = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.98,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            leg2 = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            result1 = ValueCalculator.CalculateTradeValue(userId, leg1, Underlying, parameter, PricingRequest.Pv);
            result2 = ValueCalculator.CalculateTradeValue(userId, leg2, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(25986.246414678219, result2.Pv - result1.Pv, 1e-8);
        }

        [TestMethod]
        public void EuropeanBinaryTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var call = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "CashOrNothing",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var put = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "CashOrNothing",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var parameter = new BinaryOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var callResult = ValueCalculator.CalculateTradeValue(userId, call, Underlying, parameter, PricingRequest.Pv);
            var putResult = ValueCalculator.CalculateTradeValue(userId, put, Underlying, parameter, PricingRequest.Pv);
            Assert.AreEqual(15594.939923929795, callResult.Pv, 1e-8);
            Assert.AreEqual(14329.866102278227, putResult.Pv, 1e-8);
        }

        [TestMethod]
        public void AmericanVanillaTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var call = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var put = new trade()
            {
                TradeType = "香草期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
            };

            var parameter = new VanillaOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var callResult = ValueCalculator.CalculateTradeValue(userId, call, Underlying, parameter, PricingRequest.Pv);
            var putResult = ValueCalculator.CalculateTradeValue(userId, put, Underlying, parameter, PricingRequest.Pv);
            Assert.AreEqual(12282.946028031403, callResult.Pv, 1e-8);
            Assert.AreEqual(9763.3711407456285, putResult.Pv, 1e-8);
        }

        [TestMethod]
        public void AsianTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var call = new trade()
            {
                TradeType = "亚式期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                trade_asian_option = new trade_asian_option()
                {
                    StrikeType = "Fixed",
                    PayoffType = "ArithmeticAverage",
                    AveragingPeriodStartDate = ValueDate
                }
            };

            var put = new trade()
            {
                TradeType = "亚式期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                trade_asian_option = new trade_asian_option()
                {
                    StrikeType = "Fixed",
                    PayoffType = "ArithmeticAverage",
                    AveragingPeriodStartDate = ValueDate
                }
            };

            var parameter = new AsianOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE,
                Fixings = null
            };

            var callResult = ValueCalculator.CalculateTradeValue(userId, call, Underlying, parameter, PricingRequest.Pv);
            var putResult = ValueCalculator.CalculateTradeValue(userId, put, Underlying, parameter, PricingRequest.Pv);
            Assert.AreEqual(3427.8986213282096, callResult.Pv, 1e-8);
            Assert.AreEqual(2618.116861274927, putResult.Pv, 1e-3);
        }

        [TestMethod]
        public void RangeAccrualTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var option = new trade()
            {
                TradeType = "区间累积期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_rangeaccrual = new trade_rangeaccrual()
                {
                    LowerRange = 0.975,
                    UpperRange = 1.025,
                    BonusRate = 0.06
                }
            };

            var parameter = new RangeAccrualParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE,
                Fixings = null
            };

            var result = ValueCalculator.CalculateTradeValue(userId, option, Underlying, parameter, PricingRequest.Pv);
            Assert.AreEqual(29620.042479889609, result.Pv, 1e-8);
        }

        [TestMethod]
        public void AmericanBinaryTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var option1 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "UpOneTouch",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var option2 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.03,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "UpOneTouch",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtEnd"
                }
            };

            var option3 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "DownOneTouch",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var option4 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.97,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "DownOneTouch",
                    CashOrNothingAmount = SPOT * 0.05,
                    RebateType = "AtEnd"
                }
            };

            var parameter = new BinaryOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);
            var result3 = ValueCalculator.CalculateTradeValue(userId, option3, Underlying, parameter, PricingRequest.Pv);
            var result4 = ValueCalculator.CalculateTradeValue(userId, option4, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(30715.28279692346, result1.Pv, 1e-10);
            Assert.AreEqual(30630.600069456796, result2.Pv, 1e-10);
            Assert.AreEqual(29268.976807251885, result3.Pv, 1e-10);
            Assert.AreEqual(29189.216364369575, result4.Pv, 1e-10);
        }

        [TestMethod]
        public void AmericanBinaryDoubleTouchTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var option1 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.9,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "DoubleOneTouch",
                    UpperBarrier = 1.1,
                    CashOrNothingAmount = SPOT * 0.1,
                    RebateType = "AtHit"
                }
            };

            var option2 = new trade()
            {
                TradeType = "二元期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "American",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.9,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_binary_option = new trade_binary_option()
                {
                    PayoffType = "DoubleNoTouch",
                    UpperBarrier = 1.1,
                    CashOrNothingAmount = SPOT * 0.1,
                    RebateType = "AtEnd"
                }
            };

            var parameter = new BinaryOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(16339.046613388811, result1.Pv, 1e-10);
            Assert.AreEqual(83270.814664408739, result2.Pv, 1e-10);
        }

        [TestMethod]
        public void BarrierTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var option1 = new trade()
            {
                TradeType = "障碍期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.05,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_barrier_option = new trade_barrier_option()
                {
                    BarrierType = "UpAndOut",
                    BarrierPrice = 1.1,
                    Discrete = "离散",
                    Rebate = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var option2 = new trade()
            {
                TradeType = "障碍期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.05,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_barrier_option = new trade_barrier_option()
                {
                    BarrierType = "UpAndOut",
                    BarrierPrice = 1.1,
                    Discrete = "离散",
                    Rebate = SPOT * 0.05,
                    RebateType = "AtEnd"
                }
            };

            var option3 = new trade()
            {
                TradeType = "障碍期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.95,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_barrier_option = new trade_barrier_option()
                {
                    BarrierType = "DownAndOut",
                    BarrierPrice = 0.9,
                    Discrete = "离散",
                    Rebate = SPOT * 0.05,
                    RebateType = "AtHit"
                }
            };

            var option4 = new trade()
            {
                TradeType = "障碍期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.95,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_barrier_option = new trade_barrier_option()
                {
                    BarrierType = "DownAndOut",
                    BarrierPrice = 0.9,
                    Discrete = "离散",
                    Rebate = SPOT * 0.05,
                    RebateType = "AtEnd"
                }
            };

            var parameter = new BarrierOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);
            var result3 = ValueCalculator.CalculateTradeValue(userId, option3, Underlying, parameter, PricingRequest.Pv);
            var result4 = ValueCalculator.CalculateTradeValue(userId, option4, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(6434.9341859467013, result1.Pv, 1e-10);
            Assert.AreEqual(6430.1233648704419, result2.Pv, 1e-10);
            Assert.AreEqual(4836.0864487604222, result3.Pv, 1e-10);
            Assert.AreEqual(4833.45426819408, result4.Pv, 1e-10);
        }

        [TestMethod]
        public void DoubleSharkFinTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");

            var option1 = new trade()
            {
                TradeType = "双鲨期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.95,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_double_sharkfin_option = new trade_double_sharkfin_option()
                {
                    StrikeHigh = 1.05,
                    StrikeLow = 0.95,
                    BarrierHigh = 1.1,
                    BarrierLow = 0.9,
                    Rebate = SPOT * 0.04,
                    RebateHigh = SPOT * 0.06,
                    RebateType = "AtHit"
                }
            };

            var option2 = new trade()
            {
                TradeType = "双鲨期权",
                TradeDate = ValueDate,
                MaturityDate = MaturityDate,
                ExerciseDate = MaturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.95,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,

                trade_double_sharkfin_option = new trade_double_sharkfin_option()
                {
                    StrikeHigh = 1.05,
                    StrikeLow = 0.95,
                    BarrierHigh = 1.1,
                    BarrierLow = 0.9,
                    Rebate = SPOT * 0.04,
                    RebateHigh = SPOT * 0.06,
                    RebateType = "AtEnd"
                }
            };

            var parameter = new DoubleSharkFinOptionParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(12366.591429397329, result1.Pv, 1e-8);
            Assert.AreEqual(12356.036818992074, result2.Pv, 1e-8);
        }

        [TestMethod]
        public void SnowballTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");
            var maturityDate = new DateTime(2020, 2, 24);
            var option1 = new trade()
            {
                TradeType = "雪球期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.0,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1,

                trade_snowball = new trade_snowball()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 1.0,
                    Coupon = 0.0,
                    KORebate = 0.1,
                    //KOBarrierAdjustStep = 0.0,
                    //UseOptionPayoffAtMaturity = false,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1W")
                }
            };

            var option2 = new trade()
            {
                TradeType = "雪球期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.0,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1.0,

                trade_snowball = new trade_snowball()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 1.0,
                    Coupon = 0.0,
                    KORebate = 0.1,
                    //KOBarrierAdjustStep = -0.01,
                    //UseOptionPayoffAtMaturity = false,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1W")
                }
            };

            var option3 = new trade()
            {
                TradeType = "雪球期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看涨",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 0.98,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1.0,

                trade_snowball = new trade_snowball()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 1.0,
                    Coupon = 0.0,
                    KORebate = 0.1,
                    //KOBarrierAdjustStep = 0.0,
                    //UseOptionPayoffAtMaturity = true,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1W")
                }
            };

            var parameter = new SnowballParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);
            var result3 = ValueCalculator.CalculateTradeValue(userId, option3, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(256.05315398303719, result1.Pv, 1.0);
            Assert.AreEqual(257.09573597682572, result2.Pv, 1.0);
            Assert.AreEqual(256.11164110697115, result3.Pv, 1.0);
        }

        [TestMethod]
        public void PhoenixAutocallTest()
        {
            PS.ResetConfig("{\"SkewMapVolConstruction\":\"false\"}");
            var maturityDate = new DateTime(2020, 2, 24);
            var option1 = new trade()
            {
                TradeType = "凤凰期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.0,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1,

                trade_autocall = new trade_autocall()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 0.8,
                    CouponBarrier = 0.8,
                    Coupon = 0.05,
                    CouponPayType = CouponPayTypeEnum.AtCreated,
                    IncludeCouponAfterKI = false,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1M")
                }
            };

            var option2 = new trade()
            {
                TradeType = "凤凰期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.0,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1,

                trade_autocall = new trade_autocall()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 0.8,
                    CouponBarrier = 1.03,
                    Coupon = 0.05,
                    CouponPayType = CouponPayTypeEnum.AtCreated,
                    IncludeCouponAfterKI = false,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1M")
                }
            };

            //ki to put spread
            var option4 = new trade()
            {
                TradeType = "凤凰期权",
                TradeDate = ValueDate,
                MaturityDate = maturityDate,
                ExerciseDate = maturityDate,
                OptionType = "看跌",
                ExerciseMode = "European",
                BuySell = "Buy",
                UnderlyingInstrumentType = "Stock",
                Strike = 1.0,
                Notional = NOTIONAL,
                IsMoneynessOption = "是",
                SpotPrice = SPOT,
                ParticipationRate = 1,

                trade_autocall = new trade_autocall()
                {
                    KOBarrier = 1.03,
                    KIBarrier = 0.8,
                    CouponBarrier = 0.8,
                    Coupon = 0.05,
                    CouponPayType = CouponPayTypeEnum.AtCreated,
                    IncludeCouponAfterKI = false,
                    SpreadStrike = 0.8,
                    KOObservationDates = QdpObservationHelper.GetObservationDateString(ValueDate, maturityDate, "1M")
                }
            };

            var parameter = new AutocallParameter()
            {
                ValueDate = ValueDate,
                Volatility = VOL,
                SpotPrices = new Dictionary<string, double>() { { UnderlyingTicker, SPOT } },
                RiskFreeRate = RISKFREE_RATE,
                DividendRate = DIVIDEND_RATE
            };

            var result1 = ValueCalculator.CalculateTradeValue(userId, option1, Underlying, parameter, PricingRequest.Pv);
            //var result2 = ValueCalculator.CalculateTradeValue(userId, option2, Underlying, parameter, PricingRequest.Pv);
            var result4 = ValueCalculator.CalculateTradeValue(userId, option4, Underlying, parameter, PricingRequest.Pv);

            Assert.AreEqual(3250, result1.Pv, 10);
            //Assert.AreEqual(2328.39, result2.Pv, 10);
            Assert.AreEqual(3519, result4.Pv, 10);
        }
    }
}