using YLErp.Modules.VolatilityModule;

namespace YLErp.Modules.CalcModules
{
    [TestClass]
    public class ImpliedVolCalcTest
    {
        [TestMethod]
        public void TestMethod1()
        {
            var ValueDate = new DateTime(2023, 2, 27);
            var tradeObj = new trade
            {
                TradeType = "场内期权",
                UnderlyingCode = "CF305",
                UnderlyingId = 0,
                TradeDate = ValueDate,
                BuySell = "买入",
                StartDate = ValueDate,
                ExerciseDate = new DateTime(2023, 4, 6),
                MaturityDate = new DateTime(2023, 4, 6),
                TradePrice = 151,
                TradeStatus = "确认成交",
                ExerciseMode = "European",
                OptionType = "看跌",
                Strike = 14000,
                Notional = 1,
                UnderlyingInstrumentType = ConsGlobal.InstrumentType.CommodityFutures,
                ExchangeOptionCode = "CF305P14000",
                AssetId = 0,
                id = 0,
                UnderlyingAssetClass = "CF",

                //用于反算隐含波动率
                StructureType = "场内期权",
                TradeSinglePrice = 151
            };

            var volValue = 100 * VolatilityHelper.GetImpliedVol(ValueDate, tradeObj, null, 14295, true);

            Assert.IsTrue(volValue > 15 && volValue < 17);
        }
    }
}