zszq-trs/YLErpUnitTest/Modules/TradeModule/OrderModule/OtcTradeImportServiceTest.cs

using Microsoft.VisualStudio.TestTools.UnitTesting;
using System;
using System.Collections.Generic;
using System.IO;
using YLErp.Modules.TradeModule.OrderModule;
using ClosedXML.Excel;

namespace YLErp.Modules.TradeModule
{
    /// <summary>
    /// 场外期权交易导入测试
    /// </summary>
    [TestClass]
    public class OtcTradeImportServiceTest : UnitTestBase
    {
        [TestMethod("测试场外期权雪球交易导入")]
        public void TestImportSnowBallTrade()
        {
            List<OtcOptionTradeFullEx> trades = null;
            var path = Path.Combine(AppContext.BaseDirectory, "Resources\\场外期权导入\\场外期权交易导入(雪球).xlsx");
            using (var stream = new FileStream(path, FileMode.Open, FileAccess.Read))
            {
                trades = new OtcTradeImportService(CurUser).ReadOptionTradesFromExcel(stream);
            }

            var td = trades[0];
            Assert.AreEqual(td.TradeNumber, "FH0001");
            Assert.AreEqual(td.AssetBookName, "FH0001");
            Assert.AreEqual(td.TraderName, "FH0001");
            Assert.AreEqual(td.TradeType, "雪球期权");
            Assert.AreEqual(td.BuySell, "买入");
            Assert.AreEqual(td.ExerciseMode, "European");
            Assert.AreEqual(td.TradeDate, new DateTime(2020, 8, 8));
            Assert.AreEqual(td.ExerciseDate, new DateTime(2021, 2, 1));
            Assert.AreEqual(td.SettlementDate, new DateTime(2021, 2, 1));
            Assert.AreEqual(td.UnderlyingCode, "FH0001");
            Assert.AreEqual(td.SpotPrice, 888.88);
            Assert.AreEqual(td.IsMoneynessOption, "是");
            Assert.AreEqual(td.Strike, 1.01);

            Assert.AreEqual(td.TradeSinglePrice, 55.55);
            Assert.AreEqual(td.TradePrice, 555500);
            Assert.AreEqual(td.PremiumRate, 0.07);
            Assert.AreEqual(td.Notional, 1000);
            Assert.AreEqual(td.StockEqvNotional, 800000);
            Assert.AreEqual(td.StockEqvNotionalReal, 800000);

            Assert.AreEqual(td.IsAnnualized, false);
            Assert.AreEqual(td.AnnualizeFactor, 1);
            Assert.AreEqual(td.MetaDic[nameof(td.AnnualizeFactor)], null);

            Assert.AreEqual(td.IsAnnualized2, true);
            Assert.AreEqual(td.AnnualizeFactor2, 33.0 / 244);
            Assert.AreEqual(td.MetaDic[nameof(td.AnnualizeFactor2)], "33/244");

            Assert.AreEqual(td.PrincipalRate, 0.1);
            Assert.AreEqual(td.ParticipationRate, 0.9);
            Assert.AreEqual(td.DividendRate, 0.01);
            Assert.AreEqual(td.NoRiskRate, 0.02);
            Assert.AreEqual(td.TradeOpenVolatility, 0.33);
            Assert.AreEqual(td.TradeCloseVolatility, 0.23);
            Assert.AreEqual(td.NumOfSmoothingDays, 50);
            Assert.AreEqual(td.SettlementType, 0);

            Assert.AreEqual(td.Comments, "1111");

            Assert.AreEqual(td.KOBarrier, 1.05);
            Assert.AreEqual(td.KOPayoffType, DBModels.KOPayoffTypeEnum.Rebate);
            Assert.AreEqual(td.IsFixedCoupon, false);
            Assert.AreEqual(td.KORebate, 0.1);
            Assert.AreEqual(td.SpreadStrikeAtKO1, null);
            Assert.AreEqual(td.SpreadStrikeAtKO, null);
            Assert.AreEqual(td.AnnualizedPremiumRate, 0.01);
            Assert.AreEqual(td.KORebateType, DBModels.RebateTypeEnum.AtHit);

            Assert.AreEqual(td.KIBarrier, 0.98);
            Assert.AreEqual(td.KIPayoffType, DBModels.KIPayoffTypeEnum.ToCallOption);
            Assert.AreEqual(td.SpreadStrike1, 0.97);
            Assert.AreEqual(td.SpreadStrike, null);
            Assert.AreEqual(td.Coupon, 0.01);
        }

        [TestMethod]
        public void TestCreateImportExcel()
        {
            using (var fs = new FileStream("d:\\www999test.xlsx", FileMode.Create, FileAccess.ReadWrite))
            {
                CreateImportExcel("雪球期权", fs);
            }
        }

        private void CreateImportExcel(string tradeType, Stream streamIn)
        {
            using (var wb = new XLWorkbook())
            {
                var ws = wb.AddWorksheet("交易导入");

                var basicFields = new MyField[] { "交易编号", "簿记账户名称", "交易员名称", "交易对手方名称",
                    new MyField("结构类型"){ SetCell=cc=>cc.SetDataValidation().List("香草期权,亚式期权,合成价差期权,二元期权,障碍期权,双鲨期权,区间累积期权,凤凰期权,雪球期权,气囊结构,收益增强结构,自定义交易") },
                    new MyField("交易方向"){ SetCell=cc=>cc.SetDataValidation().List("买入,卖出") },
                    new MyField("行权方式"){ SetCell=cc=>cc.SetDataValidation().List("欧式,美式") },
                    new MyField("看涨看跌"){ SetCell=cc=>cc.SetDataValidation().List("看涨,看跌") },
                    "交易日期","到期日期","结算日期","标的代码", "标的价格",
                    new MyField("相对行权价"){ SetCell=cc=>cc.SetDataValidation().List("是,否") },
                    "执行价格",
                    new MyField("权利金单价"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,255,230,153);
                    }},
                    new MyField("权利金总额"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,255,230,153);
                    }},
                    new MyField("期权费率%"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,255,230,153);
                        cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%");
                    }},
                    new MyField("交易份额"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,189,215,238);
                    }},
                    new MyField("名义本金"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,189,215,238);
                    }},
                    new MyField("实际名义本金"){ SetCell=cc=>{
                        cc.Style.Fill.BackgroundColor=XLColor.FromArgb(255,189,215,238);
                    }},
                    new MyField("期权年化"){ SetCell=cc=>cc.SetDataValidation().List("是,否") },
                    "年化系数",
                    new MyField("保底收益率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    new MyField("参与率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    new MyField("分红率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    new MyField("无风险利率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    new MyField("成交波动率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    new MyField("目标波动率%"){ SetCell=cc=>cc.WorksheetColumn().Style.NumberFormat.SetFormat("0.00%")},
                    "平滑过渡天数",
                    new MyField("收益结算"){ SetCell=cc=>cc.SetDataValidation().List("收盘价,结算价") },
                    "销售员",
                    new MyField("提成方式"){ SetCell=cc=>cc.SetDataValidation().List("绝对值,比例") },
                    "提成金额", "备注" };
                var cell = ws.Row(2).FirstCell();
                WriteExcelHeader("基本要素", basicFields, ws, ref cell, null);

                //了结信息字段


                //奇异期权要素
                MyField[] exoticFields = null;

                switch (tradeType)
                {
                    case "雪球期权":
                        exoticFields = new MyField[] { "敲出障碍价格", "敲出赔付类别", "票息年化", "票息率%", "敲出行权价1", "敲出行权价2", "年化期权费率%", "敲出支付方式", "票息支付日期", "敲入障碍价格", "敲入到期支付类别", "敲入行权价1", "敲入行权价2", "非敲入到期支付票息%" };
                        break;
                }

                if (exoticFields != null)
                {
                    WriteExcelHeader(tradeType, exoticFields, ws, ref cell, null);
                }

                WriteExcelHeader("敲入观察日设置", new MyField[] { "自定义观察日", "使用规则生成观察日" }, ws, ref cell, null);
                WriteExcelHeader("敲出观察日设置", new MyField[] { "观察日", "障碍价格", "票息率" }, ws, ref cell, null);

                wb.SaveAs(streamIn);
            }
        }

        private void WriteExcelHeader2(string mainCol, string[] subCols, IXLWorksheet ws, ref IXLCell firstCell)
        {
            var cell = firstCell;

            foreach (var str in subCols)
            {
                cell.SetValue(str);
                cell = cell.CellRight();
            }

            var above = firstCell.CellAbove().SetValue(mainCol);
            var wr = ws.Range(above, cell.CellLeft().CellAbove()).Merge();
            firstCell = cell;
        }

        private void WriteExcelHeader(MyField mainCell, MyField[] subCells, IXLWorksheet ws, ref IXLCell firstCell, MyStyle myStyle)
        {
            var cell = firstCell;

            foreach (var col in subCells)
            {
                cell.SetValue(col.Text);
                cell.Style.Font.Bold = true;
                if (myStyle != null)
                {
                    cell.Style.Font.FontColor = myStyle.fgcolor;
                    cell.Style.Fill.BackgroundColor = myStyle.bgcolor;
                }
                col.SetCell?.Invoke(cell);
                cell.WorksheetColumn().AdjustToContents();
                cell = cell.CellRight();
            }

            var above = firstCell.CellAbove().SetValue(mainCell.Text);
            above.Style.Font.Bold = true;
            above.Style.Alignment.SetHorizontal(XLAlignmentHorizontalValues.Center);
            if (myStyle != null)
            {
                above.Style.Font.FontColor = myStyle.fgcolor;
                above.Style.Fill.BackgroundColor = myStyle.bgcolor;
            }
            mainCell.SetCell?.Invoke(above);
            var wr = ws.Range(above, cell.CellLeft().CellAbove()).Merge();

            firstCell = cell;
        }

        class MyField
        {
            public string Text { get; private set; }

            public Action<IXLCell> SetCell { get; set; }

            public MyField(string text)
            {
                Text = text ?? throw new ArgumentNullException(nameof(text));
            }

            public static implicit operator MyField(string text)
            {
                return new MyField(text);
            }

            public override string ToString()
            {
                return Text;
            }
        }

        class MyStyle
        {
            public XLColor bgcolor = XLColor.White;
            public XLColor fgcolor = XLColor.Black;
        }
    }
}