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

using Qdp.ComputeService.Data.CommonModels.ValuationParams.Equity;
using Qdp.Pricing.Library.Options.Products.Autocall.Snowball;
using YLErp.BLL.Calculation;
using YLErp.BLL.Calculation.Engine;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.TradeModule;
using YLErp.QdpModule;

namespace YLErp.Modules.CalcModules
{
    /// <summary>
    /// 雪球期权计算测试
    /// </summary>
    [TestClass]
    public class SnowballOptionCalcTest : UnitTestBase
    {
        [TestMethod("雪球期权-行权价和执行价近似相等时计算非常慢")]
        public void SnowballOptionCalcTest1()
        {
            var data = DeserializeFormData<OtcOptionTradeFullFormData>("TradeJson\\SnowballTrade1.txt");

            Assert.IsTrue(data.trades != null && data.trades.Any());

            var tdfull = data.trades.First();
            var tdconv = TradeConverter.ConvertOptionTrade(tdfull);

            var sw = new System.Diagnostics.Stopwatch();
            sw.Start();

            //为解决慢的问题,TradeRiskCalcUtil类加了优化处理方法:OptimizeSpotPrice
            var result = OptionCalculatorV2.GetOptionValueResult(new DateTime(2021, 5, 12), tdconv, new OptionValueCalcRequest(0.04)
            {
                spotPrices = new[] { 6512.0501 },
                vols = new[] { 0.18 },
                pricingRequest = QdpModule.QdpPricingRequest.BASIC_GREEKS
            }, out _);

            sw.Stop();

            Console.WriteLine($"耗时{sw.ElapsedMilliseconds / 1000}秒,pv:{result.Pv}");

            Assert.IsTrue(sw.ElapsedMilliseconds < 10 * 1000);
        }

        [TestMethod("雪球期权计算--海通认为算的不对")]
        public void SnowballOptionCalcTest2()
        {
            var json = ReadResourceFile("TradeJson\\SnowballTrade2.json");
            var td = JsonHelper.Deserialize<trade>(json);
            Assert.IsNotNull(td);
            var result = OptionCalculatorV2.GetOptionValueResult(new DateTime(2021, 5, 28), td, new OptionValueCalcRequest(0)
            {
                spotPrices = new[] { 13660d },
                vols = new[] { 0.254561403508772 }
            }, out _);

            Assert.IsTrue(Math.Abs(Math.Abs(result.Pv) - 213772.8) < 10);
        }

        [TestMethod("雪球期权计算--和Excel模板算的不一致")]
        public void SnowballOptionCalcTest3()
        {
            var optionTrade = QdpTradeBuilder.GetSnowballOptionTrade(new SnowballOptionTradeParam
            {
                annualizedFactor = 1,
                annualizedOptionPayoff = true,
                annualizedPremiumRate = null,
                barrierStatus = "",
                buysell = "Buy",
                callput = Qdp.Pricing.Base.Enums.OptionType.Put,
                coupon = 0.3149,
                couponDayCount = "Act365",
                couponPaymentDateStr = "2022-04-06,2022-05-05,2022-06-06,2022-07-04",
                dividendRate = 0.015,
                dividends = null,
                endDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
                exerciseDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
                exerciseType = null,
                hasNightMarket = false,
                initialSpotPrice = 100,
                isAnnualized = false,
                isFixedCoupon = false,
                isForwardTrade = false,
                isMoneynessOption = false,
                kiBarrier = 120,
                kiOptionType = Qdp.Pricing.Base.Enums.OptionType.CallSpread,
                koBarrier = 100,
                koBarrierAdjustStep = 0,
                koObservationDateStr = "2022-04-06,2022-05-05,2022-06-06,2022-07-04",
                koOptionType = Qdp.Pricing.Base.Enums.OptionType.Coupon,
                koRebate = 0.3149,
                koStrike = -1,
                notional = 1,
                observationDateStr = null,
                optionType = Qdp.Pricing.Base.Enums.OptionType.Put,
                participationRate = 1,
                preciseTimeMode = false,
                principalRate = 0,
                riskFreeRate = 0.015,
                settlementDate = new Qdp.Foundation.Implementations.Date(2022, 7, 4),
                spreadStrikeAtKO = -1,
                spreadStrikeAtMaturity = 100,
                startDate = new Qdp.Foundation.Implementations.Date(2022, 3, 4),
                strike = 120,
                timeToMaturityDays = double.NaN,
                tradeDate = new Qdp.Foundation.Implementations.Date(2022, 3, 4),
                tradeId = "111111",
                underlyingInstrumentType = "Stock",
                underlyingTickers = new[] { "000001.sz" },
                useOptionPayoffAtKO = false,
                useOptionPayoffAtMaturity = true,
                volSurfaceNames = new[] { "2222" }
            }, SnowBallOptionMode.SimpleSnowball);

            var option = optionTrade.Instrument as SimpleSnowball;
            var factory = OptionEngineFactory.GetEngineFactory("SnowBall");
            var engine = factory.GetEngine(null, option.Exercise);

            var tenors = new string[]
           {
                "1D",
                "2M",
                "1Y"
           };

            var strikes = new double[]
            {
                0.95,
                1.0,
                1.05,
            };
            var vols = new double[3, 3];
            var singleVols = new List<SingleVol>();
            for (var i = 0; i < vols.GetLength(0); ++i)
            {
                for (var j = 0; j < vols.GetLength(1); ++j)
                {
                    vols[i, j] = 0.2;
                    singleVols.Add(new SingleVol()
                    {
                        Strike = strikes[j],
                        Expire = tenors[i],
                        Vol = 0.44
                    });
                }
            }

            using var mp = new MarketProxy(new DateTime(2022, 3, 4), 0.015);
            mp.SetVolSurface("2222", new VolatilityImpl { VolTable = singleVols });

            mp.SetStockPrice("000001.sz", 100);

            var _dividendCurveName = Guid.NewGuid().ToString();
            var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(_dividendCurveName, 0.015);
            mp.SetYieldCurve(_dividendCurveName, dividendCurve);

            var pps = new OptionValuationParameters(_dividendCurveName,
                 _dividendCurveName, "2222", "000001.sz");
            var results = optionTrade.CalculateRisks(mp.QdpMarket, Qdp.Pricing.Base.Implementations.PricingRequest.Pv
                , engine, pps);
            Assert.IsTrue(Math.Abs(results.Pv) > 1);
        }
    }
}