27 lines
838 B
C#
27 lines
838 B
C#
using YLErp.Modules.CalculationModule;
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namespace YLErp.Modules.CalcModules
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{
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/// <summary>
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/// 障碍期权计算测试
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/// </summary>
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[TestClass]
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public class BarrierOptionCalcTest : UnitTestBase
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{
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[TestMethod("卖出障碍期权,PV应为负值但得到正值")]
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public void BarrierOptionCalcTest1()
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{
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var json = ReadResourceFile("TradeJson\\BarrierTrade1.json");
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var td = JsonHelper.Deserialize<trade>(json);
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Assert.IsNotNull(td);
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var result = OptionCalculatorV2.GetOptionValueResult(new DateTime(2021, 5, 24), td, new OptionValueCalcRequest(0.03)
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{
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spotPrices = new[] { 6544.1218 },
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vols = new[] { 0.1598 }
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}, out _);
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Assert.IsTrue(result.Pv < 0);
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}
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}
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}
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