zszq-trs/YLErpUnitTest/Modules/CalculationModule/OptionCaclTest.cs

using Microsoft.VisualStudio.TestTools.UnitTesting;
using System;
using System.IO;
using System.Linq;
using YLErp.Abstract;
using YLErp.Abstract.DataProviders;
using YLErp.BLL;
using YLErp.DBModels;
using YLErp.Models;
using YLErp.Modules.CalculationModule.Abstract;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;

namespace YLErp.Modules.CalculationModule
{
    [TestClass]
    public class OptionCaclTest : YLUnitTestBase
    {
        [TestMethod("测试雪球期权PV")]
        public void TestSnowball()
        {
            var td = DbContext.trade.FirstOrDefault(n => n.TradeNumber == "CW20200053E0008");
            Assert.IsNotNull(td);
            var calcDataProvider = new CalcDataProvider(this)
            {
                UnderlyingPriceProvider = new InnerUnderlyingPriceProvider(),
                VolatilityDataProvider = new InnerVolatilityDataProvider()
            };
            var context = new OptionValueCalcContext("对冲", valuedateBLL.ValueDate, valuedateBLL.RiskFreeRate / 100, calcDataProvider)
            {
                AddingVolRate = 0,
                IsEodSettle = false,
                IsUseTradeVol = true
            };
            context.IsPreciseTimeMode = context.IsUseTradeVol || !context.IsEodSettle;
            var result = TradeRiskCalcUtil.CalcTradeRisk(td, context, out var underlyings);
            Console.WriteLine($"PV:{result.Pv}; Delta:{result.Delta}");
        }

        [TestMethod("测试二元期权计算")]
        public void TestBinaryOption()
        {
            var path = Path.Combine(AppContext.BaseDirectory, "Resources\\期权计算\\二元期权.json");
            var json = File.ReadAllText(path);
            var td = JsonHelper.Deserialize<trade>(json);
            var result = OptionCalculatorV2.GetOptionValueResult(DateTime.Today, td, new OptionValueCalcRequest( 0.025)
            {
                spotPrices = new[] { 6105.8249 },
                vols = new[] { 0.23 }
            }, out _);
            Console.WriteLine(result.Delta);
        }

        [TestMethod("测试二元期权计算")]
        public void TestBinaryOption2()
        {
            var path = Path.Combine(AppContext.BaseDirectory, "Resources\\期权计算\\二元期权计算参数.json");
            var json = File.ReadAllText(path);
            var calcParam = JsonHelper.Deserialize<OptionCalcParam<BinaryOptionTradeParam>>(json);
            using (var mp = new MarketProxy(DateTime.Today, 0.025))
            {
                var vols = QdpVolHelper.GetDefaultVolatility(0.23);
                mp.SaveVolSurface(calcParam.volSurfaceNames[0], vols);
                var result = TradeRiskCalcUtil.GetBinaryOptionValue(mp, calcParam);
                Console.WriteLine(result.Gamma);
            }
        }

        class CalcDataProvider : IOptionCalcDataProvider
        {
            public CalcDataProvider(YLBaseService baseService)
            {
                UnderlyingDataProvider = new UnderlyingDataProvider();
                TradeExtendDataProvider = new TradeExtendDataProvider(baseService);
            }

            public IPriceProvider UnderlyingPriceProvider { get; set; }

            public IUnderlyingDataProvider UnderlyingDataProvider { get; }

            public ITradeExtendDataProvider TradeExtendDataProvider { get; }

            public IVolatilityDataProvider VolatilityDataProvider { get; set; }
        }

        class InnerUnderlyingPriceProvider : IPriceProvider
        {
            public double GetPrice(string instrumentCode)
            {
                return 15.45;
            }

            public bool TryGetPrice(string instrumentCode, out double price)
            {
                price = 15.45;
                return true;
            }
        }

        class InnerVolatilityDataProvider : IVolatilityDataProvider
        {
            public double? GetExchangeOptionTradeHedgeVol(string optionCode, DateTime valueDate)
            {
                return 0.25;
            }

            public double? GetOtcOptionTradeEodVol(int tradeId, DateTime valueDate)
            {
                return 0.25;
            }

            public double? GetOtcOptionTradeHedgeVol(int tradeId, DateTime valueDate)
            {
                return 0.25;
            }

            public IOtcTradeVolatility GetOtcOptionTradeVol(int tradeId, DateTime valueDate)
            {
                return new OtcTradeVolatility
                {
                    OpenVol = 0.25,
                    CloseVol = 0.25,
                    SmoothingDays = 1,
                    IsFirst = false,
                    ValueDate = valueDate
                };
            }

            public IVolatility GetUnderlyingVolatility(string voltype, string contractCode, string userGroup)
            {
                return VolatilityHelper.GetDefaultVol(new SingleVolatilityRequest
                {
                    QuotationDate = DateTime.Today,
                    TradeVolWithBidAsk = false,
                    UnderlyingCode = contractCode,
                    UnderlyingId = 0,
                    UserGroup = userGroup,
                    VolType = voltype
                }, 0.25);
            }
        }
    }
}