zszq-trs/UnitTestProject/BasicTests/OptionStrategyCodeParseTest.cs

using System.Text.RegularExpressions;

namespace YLErp.BasicTests
{
    [TestClass]
    public class OptionStrategyCodeParseTest
    {
        [TestMethod]
        public void TestOneCode()
        {
            var optionCode = "RB1805C30D222.23";
            var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
            Assert.AreEqual(1, parts.Length);
            Assert.AreEqual(1, parts[0].Notional);
            Assert.AreEqual("RB1805", parts[0].UnderlyingCode);
            Assert.AreEqual("Call", parts[0].OptionType);
            Assert.AreEqual("30D", parts[0].Maturity);
            Assert.AreEqual(222.23, parts[0].Strike, 1e-8);
            Assert.AreEqual(false, parts[0].IsSell);
        }

        [TestMethod]
        public void TestOneCodeWithSign()
        {
            var optionCode = "-CC185P1M222";
            var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
            Assert.AreEqual(1, parts.Length);
            Assert.AreEqual(1, parts[0].Notional);
            Assert.AreEqual("CC185", parts[0].UnderlyingCode);
            Assert.AreEqual("Put", parts[0].OptionType);
            Assert.AreEqual("1M", parts[0].Maturity);
            Assert.AreEqual(222.0, parts[0].Strike, 1e-8);
            Assert.AreEqual(true, parts[0].IsSell);
        }

        [TestMethod]
        public void TestBullSpread()
        {
            var optionCode = "-RB1806C1M3700+RB1806C1M3400";
            var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
            Assert.AreEqual(2, parts.Length);
            Assert.AreEqual(1, parts[0].Notional);
            Assert.AreEqual("RB1806", parts[0].UnderlyingCode);
            Assert.AreEqual("Call", parts[0].OptionType);
            Assert.AreEqual("1M", parts[0].Maturity);
            Assert.AreEqual(3700.0, parts[0].Strike, 1e-8);
            Assert.AreEqual(true, parts[0].IsSell);

            Assert.AreEqual(1, parts[1].Notional);
            Assert.AreEqual("RB1806", parts[1].UnderlyingCode);
            Assert.AreEqual("Call", parts[1].OptionType);
            Assert.AreEqual("1M", parts[1].Maturity);
            Assert.AreEqual(3400.0, parts[1].Strike, 1e-8);
            Assert.AreEqual(false, parts[1].IsSell);
        }

        [TestMethod]
        public void TestButterfly()
        {
            var optionCode = "RB1806C1M3700-2*RB1806C1M3400+RB1806C1M3100";
            var parts = OptionStrategyCodeParser.ParseOptionStrategyCode(optionCode);
            Assert.AreEqual(3, parts.Length);
            Assert.AreEqual(1, parts[0].Notional);
            Assert.AreEqual("RB1806", parts[0].UnderlyingCode);
            Assert.AreEqual("Call", parts[0].OptionType);
            Assert.AreEqual("1M", parts[0].Maturity);
            Assert.AreEqual(3700.0, parts[0].Strike, 1e-8);
            Assert.AreEqual(false, parts[0].IsSell);

            Assert.AreEqual(2, parts[1].Notional);
            Assert.AreEqual("RB1806", parts[1].UnderlyingCode);
            Assert.AreEqual("Call", parts[1].OptionType);
            Assert.AreEqual("1M", parts[1].Maturity);
            Assert.AreEqual(3400.0, parts[1].Strike, 1e-8);
            Assert.AreEqual(true, parts[1].IsSell);

            Assert.AreEqual(1, parts[2].Notional);
            Assert.AreEqual("RB1806", parts[2].UnderlyingCode);
            Assert.AreEqual("Call", parts[2].OptionType);
            Assert.AreEqual("1M", parts[2].Maturity);
            Assert.AreEqual(3100.0, parts[2].Strike, 1e-8);
            Assert.AreEqual(false, parts[2].IsSell);
        }

        public class OptionStrategyCodeParser
        {
            private static readonly Regex codePattern = new(@"(?<sign>[\+-]?)\s*((?<notional>\d+)\*)?(?<underlying>[a-zA-Z]{1,2}[0-9]{3,4})(?<optionType>C|P)(?<maturity>\d+[DMWY]{1})(?<strike>[0-9]+(?:\.[0-9]*)?)");
            public static OptionStrategyCodeParts[] ParseOptionStrategyCode(string code)
            {
                var mc = codePattern.Matches(code);
                if (mc.Count == 0)
                {
                    throw new ArgumentException(string.Format("不合法的策略代码:{0}", code));
                }
                return mc.Cast<Match>().Select(m => ParseOneMatch(m)).ToArray();
            }

            private static OptionStrategyCodeParts ParseOneMatch(Match m)
            {
                var parts = new OptionStrategyCodeParts();
                var groups = m.Groups;
                parts.UnderlyingCode = groups["underlying"].Value;
                parts.Strike = double.Parse(groups["strike"].Value);
                parts.Maturity = groups["maturity"].Value;
                var optionType = groups["optionType"].Value;
                if (optionType == "C")
                {
                    parts.OptionType = "Call";
                }
                else if (optionType == "P")
                {
                    parts.OptionType = "Put";
                }
                else
                { // Shouldn't come to here, the regex ensured only C|P is matched
                    throw new ArgumentException(string.Format("不合法的期权类型{0}. 合法值为[CP]", optionType));
                }
                if (groups["notional"].Length > 0)
                {
                    parts.Notional = int.Parse(groups["notional"].Value);
                }
                else
                {
                    parts.Notional = 1;
                }
                if (groups["sign"].Length > 0)
                {
                    if (groups["sign"].Value == "-")
                    {
                        parts.IsSell = true;
                    }
                    else
                    {
                        parts.IsSell = false;
                    }
                }
                else
                {
                    parts.IsSell = false;
                }
                return parts;
            }
        }

        public class OptionStrategyCodeParts
        {
            public int Notional { get; set; }
            public string UnderlyingCode { get; set; }
            public string OptionType { get; set; }
            public string Maturity { get; set; }
            public double Strike { get; set; }
            public bool IsSell { get; set; }

            public override string ToString()
            {
                return string.Format(
                    "{0}{1}{2}{3}{4}{5}",
                    IsSell ? "-" : "",
                    Notional == 1 ? "" : string.Format("{0}*", Notional),
                    UnderlyingCode,
                    "Call".Equals(OptionType) ? "C" : "P",
                    Maturity,
                    Strike);
            }
        }
    }
}