60 lines
2.0 KiB
C#
60 lines
2.0 KiB
C#
using YLErp.Modules.ApiModule.PricingModule;
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namespace YLErp.Modules.ApiModule
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{
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[TestClass]
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public class OptionPricingTest
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{
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/// <summary>
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/// 国信金阳，api算出9.47手，风险对冲页面9.04手，相差较大
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/// </summary>
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[TestMethod]
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public void TestGuoXinJinYang()
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{
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var req = new OptionPricingModelV2
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{
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TradeType = "亚式期权",
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TradeSide = "Buy",
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UnderlyingCode = "LH00",
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ExerciseMode = "European",
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OptionType = "看跌",
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Strike = 23180,
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StartDate = new DateTime(2022, 9, 1),
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ExerciseDate = new DateTime(2022, 9, 30),
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RiskFreeRate = 0,
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DividendRate = 0,
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ExtendFields = new Dictionary<string, string>
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{
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{ "PayoffType", "EnhancedArithmeticAverage"},
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{ "AveragingPeriodStartDate", "2022-09-01"},
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{ "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"},
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},
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ValueDate = new DateTime(2022, 9, 9),
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TTMDays = 15,
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UnderlyingPrice = 22940,
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VolValue = 0.25,
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IsCalcGreeks = true,
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Notional = 312d
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};
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var result = new OptionPricingApiService().GetOptionPrice(req);
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var result2 = new
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{
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req.CalcId,
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InitialMargin = result.initialMargin,
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ContractSize = result.contractSize,
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result.calcResult.Pv,
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result.calcResult.Delta,
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result.calcResult.Gamma,
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result.calcResult.Vega,
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result.calcResult.Theta,
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result.calcResult.Rho,
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result.calcResult.DeltaInLots
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};
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System.Diagnostics.Debug.WriteLine(JsonHelper.Serialize(result2));
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}
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}
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}
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