90 lines
3.4 KiB
C#
90 lines
3.4 KiB
C#
using Qdp.Pricing.Base.Enums;
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namespace YLErp.Modules.CalcModules
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{
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/// <summary>
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/// SpreadOptionInfoTest 的摘要说明
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/// </summary>
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[TestClass]
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public class SpreadOptionPayoffTest
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{
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#region 附加测试特性
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//
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// 编写测试时，可以使用以下附加特性:
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//
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// 在运行类中的第一个测试之前使用 ClassInitialize 运行代码
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// [ClassInitialize()]
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// public static void MyClassInitialize(TestContext testContext) { }
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//
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// 在类中的所有测试都已运行之后使用 ClassCleanup 运行代码
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// [ClassCleanup()]
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// public static void MyClassCleanup() { }
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//
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// 在运行每个测试之前，使用 TestInitialize 来运行代码
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// [TestInitialize()]
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// public void MyTestInitialize() { }
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//
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// 在每个测试运行完之后，使用 TestCleanup 来运行代码
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// [TestCleanup()]
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// public void MyTestCleanup() { }
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//
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#endregion
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[TestMethod]
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public void TestParse()
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{
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var spreadInfo = new SpreadOptionPayoff("S1+1.5S2-S3");
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Assert.AreEqual(SpreadType.ThreeAssetsSpreadBasket, spreadInfo.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.0, 1.5, 1.0 }, spreadInfo.Weights));
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}
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[TestMethod]
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public void TestTwoAssets()
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{
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var spreadInfo = new SpreadOptionPayoff("S1-S2");
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Assert.AreEqual(SpreadType.TwoAssetsSpread, spreadInfo.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.0, 1.0 }, spreadInfo.Weights));
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var spreadInfo1 = new SpreadOptionPayoff("1.5S1-2S2");
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Assert.AreEqual(SpreadType.TwoAssetsSpread, spreadInfo1.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.5, 2.0 }, spreadInfo1.Weights));
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}
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[TestMethod]
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public void TestThreeAssets()
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{
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var spreadInfo = new SpreadOptionPayoff("2S1-S2-S3");
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Assert.AreEqual(SpreadType.ThreeAssetsSpread, spreadInfo.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 2.0, 1.0, 1.0 }, spreadInfo.Weights));
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var spreadInfo1 = new SpreadOptionPayoff("S1+0.5S2-1.1S3");
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Assert.AreEqual(SpreadType.ThreeAssetsSpreadBasket, spreadInfo1.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.0, 0.5, 1.1 }, spreadInfo1.Weights));
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}
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[TestMethod]
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public void TestFourAssets()
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{
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var spreadInfo = new SpreadOptionPayoff("1.1S1-0.8S2-0.7S3-S4");
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Assert.AreEqual(SpreadType.FourAssetsSpread, spreadInfo.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.1, 0.8, 0.7, 1.0 }, spreadInfo.Weights));
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var spreadInfo1 = new SpreadOptionPayoff("S1+0.5S2-1.1S3-2S4");
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Assert.AreEqual(SpreadType.FourAssetsSpreadBasketType1, spreadInfo1.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.0, 0.5, 1.1, 2.0 }, spreadInfo1.Weights));
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var spreadInfo2 = new SpreadOptionPayoff("1.1S1+0.5S2+0.9S3-2.2S4");
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Assert.AreEqual(SpreadType.FourAssetsSpreadBasketType2, spreadInfo2.SpreadType);
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Assert.IsTrue(Enumerable.SequenceEqual(new double[] { 1.1, 0.5, 0.9, 2.2 }, spreadInfo2.Weights));
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}
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}
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}
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