zszq-trs/UnitTestProject/Modules/CalcModules/AutocalllOptionCalcTest.cs

using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Enums;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Interfaces;
using Qdp.Pricing.Library.Options.MonteCarlo;
using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix;
using Qdp.Pricing.Library.Options.Products.Autocall.Phoenix.Numerical;
using YLErp.Modules.CalculationModule;
using YLErp.QdpModule;

namespace YLErp.Modules.CalcModules
{
    /// <summary>
    /// 凤凰期权计算测试
    /// </summary>
    [TestClass]
    public class AutocalllOptionCalcTest : UnitTestBase
    {
        [TestMethod("看跌凤凰")]
        public void SnowballOptionCalcTest1()
        {
            var ValueDate = new Date(2019, 11, 26);
            var maturityDate = new Date(2020, 2, 24);
            const double SPOT = 3899;
            const double NOTIONAL = 1000000.0 / SPOT;

            var tradeId = Guid.NewGuid().ToString();

            var tdParam = new AutocallOptionTradeParam
            {
                annualizedFactor = 1,
                annualizedOptionPayoff = false,
                barrierStatus = null,
                buysell = null,
                callput = OptionType.Put,
                coupon = 0.05,
                couponBarrier = 1.05,
                couponDayCount = "Act365",
                couponPayAtMaturity = false,
                dividendRate = 0.01,
                dividends = null,
                endDate = maturityDate,
                exerciseDate = maturityDate,
                exerciseType = "European",
                happenedObservations = null,
                hasNightMarket = false,
                //includeCouponAfterKI = true,
                initialSpotPrice = SPOT,
                isAnnualized = false,
                isFixedCoupon = false,
                isForwardTrade = false,
                isMoneynessOption = true,
                kiBarrier = 1.05,
                kiOptionType = "Call",
                koBarrier = 0.8,
                koObservationDateStr = "",
                notional = NOTIONAL,
                observationDateStr = "",
                participationRate = 1,
                preciseTimeMode = false,
                principalRate = 0,
                riskFreeRate = 0.05,
                settlementDate = maturityDate,
                strike = 1,
                startDate = ValueDate,
                timeToMaturityDays = double.NaN,
                tradeDate = ValueDate,
                tradeId = tradeId,
                underlyingInstrumentType = ConsGlobal.InstrumentType.Stock,
                underlyingTickers = new[] { "AAA9999" },
                volSurfaceNames = new[] { tradeId }
            };

            using var market = new MarketProxy(ValueDate, 0.05);
            market.SetStockPrice("AAA9999", SPOT);
            market.SetVolSurface(tradeId, 0.2);

            var val = TradeRiskCalcUtil.GetAutocallOptionValue(market, new OptionCalcParam<AutocallOptionTradeParam>(tdParam)
            {
                CalcDeltaT1 = false,
                calcScenario = Enums.CalcScenarioEnum.Pricing,
                engineName = null,
                pricingRequest = PricingRequest.Pv,
                quadratureFastMode = false,
                spotPrices = new[] { SPOT }
            });

            //Assert.IsTrue(Math.Abs(val.Pv / -32652.810546875 - 1) < 0.01);

            Assert.AreEqual((-32785 / val.Pv) - 1, 0, 1e-3);
        }

        [TestMethod("看跌凤凰")]
        public void TestPhoenixPriceOfDownAndOut()
        {
            var ValueDate = new Date(2019, 11, 26);
            var maturityDate = new Date(2020, 2, 24);
            var Calendar = CalendarImpl.Get("chn");
            IDayCount DayCount = new Bus252();
            var InstrumentType = Qdp.Pricing.Base.Enums.InstrumentType.Stock;
            const double VOL = 0.2;
            const double SPOT = 3899;
            const double RISK_FREE_RATE = 0.05;
            const double DIVIDEND_RATE = 0.01;
            const double NOTIONAL = 1000000.0 / SPOT;

            var market = QdpTestHelper.CreateMarket(ValueDate, VOL, SPOT, RISK_FREE_RATE, DIVIDEND_RATE);
            var newEngine = new QuadAutoCallEngine();
            var mcEngine = new GbmMonteCarloEngine(1000000, 1e-3, 1e-6, 1);

            var option2 = new AutoCall(
                startDate: ValueDate,
                maturityDate: maturityDate,
                koBarrier: 0.8,
                kiBarrier: 1.05,
                couponBarrier: 1.05,
                coupon: 0.05,
                couponPayAtMaturity: false,
                includeCouponAfterKI: true,
                optionParticipationRate: 1.0,
                koObsDates: QdpTestHelper.GenerateObservationDates(Calendar, ValueDate, maturityDate, new Term("1M"), BusinessDayConvention.Following),
                kiObsDates: null,
                observationDates: QdpTestHelper.GenerateObservationDates(Calendar, ValueDate, maturityDate),
                notional: NOTIONAL,
                initialSpotPrice: SPOT,
                underlyingType: InstrumentType,
                calendar: Calendar,
                dayCount: DayCount,
                payoffCcy: CurrencyCode.CNY,
                settlementCcy: CurrencyCode.CNY,
                exerciseDates: new Date[] { maturityDate },
                exercise: OptionExercise.European,
                optionType: OptionType.Put,
                barrierType: BarrierType.DownAndOut,
                strike: 1.0,
                spreadStrike: 1.1,
                annualizedOptionPayoff: false,
                isMoneynessOption: true,
                kiOptionType: OptionType.Call);

            var json = Newtonsoft.Json.JsonConvert.SerializeObject(option2);

            var mcPv2 = mcEngine.Calculate(option2, market, PricingRequest.Pv).Pv;
            Assert.IsTrue(Math.Abs((mcPv2 / -32652.810546875) - 1) < 0.01);

            var newPv2 = newEngine.Calculate(option2, market, PricingRequest.Pv).Pv;
            Assert.AreEqual((-32737.653776411829 / newPv2) - 1, 0, 1e-3);
        }
    }
}