zszq-trs/UnitTestProject/Modules/SwapModule/GreeksRiskFactorTests.cs

using System.Collections.Generic;
using Microsoft.VisualStudio.TestTools.UnitTesting;
using YLErp.BLL.Calculation.V2;
using YLErp.BLL.Calculation.V2.Parameter;

namespace UnitTestProject.Modules.SwapModule
{
    /// <summary>
    /// RiskFactor（② 风险因子抽象）+ ParameterBase.Clone 的纯单测（Layer A，无 DB / QDP）。
    /// 用假 reprice 委托验证：克隆类型保持、字典深拷、三类因子落点正确、波动率因子施于非期权参数抛异常，
    /// 以及经 BuildPvFunction 喂入 GreeksBumpCalculator 后 DeltaR / Delta / Vega / BumpPv1Bp 数值正确（线性函数精确）。
    /// </summary>
    [TestClass]
    public class GreeksRiskFactorTests
    {
        // —— Clone 行为与类型保持 ——

        [TestMethod]
        public void Clone_PreservesRuntimeType_And_CopiesOptionFields()
        {
            var src = new VanillaOptionParameter
            {
                Volatility = 0.2,
                RiskFreeRate = 0.03,
                SpotPrices = new Dictionary<string, double> { { "X", 100 } }
            };
            ParameterBase clone = src.Clone();
            // MemberwiseClone 必须保留运行时类型，否则 ValueCalculator 内 parameter as VanillaOptionParameter 会 cast 成 null
            Assert.IsInstanceOfType(clone, typeof(VanillaOptionParameter));
            Assert.AreEqual(0.2, ((BaseOptionParameter)clone).Volatility);
            Assert.AreEqual(100, clone.SpotPrices["X"]);
        }

        [TestMethod]
        public void Clone_DeepCopiesSpotPrices_So_Bump_Does_Not_Pollute_Original()
        {
            var src = new ParameterBase
            {
                SpotPrices = new Dictionary<string, double> { { "X", 100 } }
            };
            ParameterBase clone = src.Clone();
            clone.SpotPrices["X"] = 999; // 改克隆体
            Assert.AreEqual(100, src.SpotPrices["X"], "原参数的 SpotPrices 不应被克隆体的 bump 污染");
        }

        // —— 三类因子 ApplyTo 落点正确 ——

        [TestMethod]
        public void RateFactor_ApplyTo_Sets_RiskFreeRate()
        {
            var p = new ParameterBase();
            RiskFactor.Rate("CNY-OIS-2Y").ApplyTo(p, 0.025m);
            Assert.AreEqual(0.025, p.RiskFreeRate);
        }

        [TestMethod]
        public void PriceFactor_ApplyTo_Sets_SpotPrices_By_TargetKey()
        {
            var p = new ParameterBase();
            RiskFactor.Price("000300.SH").ApplyTo(p, 3500m);
            Assert.AreEqual(3500, p.SpotPrices["000300.SH"]);
        }

        [TestMethod]
        public void VolFactor_ApplyTo_On_OptionParameter_Sets_Volatility()
        {
            var p = new BaseOptionParameter();
            RiskFactor.Volatility("X").ApplyTo(p, 0.18m);
            Assert.AreEqual(0.18, p.Volatility);
        }

        [TestMethod]
        [ExpectedException(typeof(System.InvalidOperationException))]
        public void VolFactor_ApplyTo_On_PlainParameter_Throws()
        {
            // 波动率不在 ParameterBase 基类上，只能施于期权参数
            RiskFactor.Volatility("X").ApplyTo(new ParameterBase(), 0.1m);
        }

        // —— 端到端：假 reprice 验证 中心差分 / 1bp 数值正确（线性函数精确） ——

        [TestMethod]
        public void RateFactor_Through_Engine_DeltaR_Equals_Slope()
        {
            var baseParam = new ParameterBase { RiskFreeRate = 0.03 };
            Func<ParameterBase, decimal> reprice = p => (decimal)((p.RiskFreeRate ?? 0) * 1000); // PV = 1000 * r
            var factor = RiskFactor.Rate("r");                       // 标准步长：绝对 1bp
            Func<decimal, decimal> pv = factor.BuildPvFunction(reprice, baseParam);

            var calc = new GreeksBumpCalculator();
            decimal deltaR = calc.DeltaR(pv, 0.03m, factor.Shift);   // 中心差分对线性函数精确
            Assert.AreEqual(1000m, deltaR, 1e-4m);

            decimal bump1bp = calc.BumpPv1Bp(pv, 0.03m);             // 前向 1bp PV 差
            Assert.AreEqual(1000m * 0.0001m, bump1bp, 1e-9m);
        }

        [TestMethod]
        public void PriceFactor_Through_Engine_Delta_Equals_One()
        {
            var baseParam = new ParameterBase
            {
                SpotPrices = new Dictionary<string, double> { { "X", 100 } }
            };
            Func<ParameterBase, decimal> reprice = p => (decimal)p.SpotPrices["X"]; // PV = S
            var factor = RiskFactor.Price("X");                      // 标准步长：相对 1% → ε = 1
            Func<decimal, decimal> pv = factor.BuildPvFunction(reprice, baseParam);

            var calc = new GreeksBumpCalculator();
            decimal delta = calc.Delta(pv, 100m, factor.Shift);      // (101 - 99) / 2 = 1 精确
            Assert.AreEqual(1m, delta, 1e-6m);
        }

        [TestMethod]
        public void VolFactor_Through_Engine_Vega_Equals_Slope()
        {
            var baseParam = new BaseOptionParameter { Volatility = 0.2 };
            Func<ParameterBase, decimal> reprice = p => (decimal)(((BaseOptionParameter)p).Volatility ?? 0) * 50; // PV = 50 * σ
            var factor = RiskFactor.Volatility("X");                 // 标准步长：绝对 1bp vol
            Func<decimal, decimal> pv = factor.BuildPvFunction(reprice, baseParam);

            var calc = new GreeksBumpCalculator();
            decimal vega = calc.Vega(pv, 0.2m, factor.Shift);       // 中心差分对线性函数精确
            Assert.AreEqual(50m, vega, 1e-4m);
        }
    }
}