wehub-resource-sync
307 lines
14 KiB
C#
307 lines
14 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Common.Securities.Futures
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class FuturesExpiryUtilityFunctionsTests
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{
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private HashSet<DateTime> _holidays = FuturesExpiryUtilityFunctions.GetExpirationHolidays(Market.CME, null);
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[TestCase("08/05/2017 00:00:01", 4, "12/05/2017 00:00:01")]
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[TestCase("10/05/2017 00:00:01", 5, "17/05/2017 00:00:01")]
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[TestCase("24/12/2017 00:00:01", 3, "28/12/2017 00:00:01")]
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public void AddBusinessDays_WithPositiveInput_ShouldReturnNthSucceedingBusinessDay(string time, int n, string actual)
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{
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//Arrange
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var inputTime = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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var actualDate = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedDate = FuturesExpiryUtilityFunctions.AddBusinessDays(inputTime, n, _holidays);
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//Assert
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Assert.AreEqual(actualDate, calculatedDate);
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}
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[TestCase("11/05/2017 00:00:01", -2, "09/05/2017 00:00:01")]
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[TestCase("15/05/2017 00:00:01", -3, "10/05/2017 00:00:01")]
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[TestCase("26/12/2017 00:00:01", -5, "18/12/2017 00:00:01")]
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public void AddBusinessDays_WithNegativeInput_ShouldReturnNthPrecedingBusinessDay(string time, int n, string actual)
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{
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//Arrange
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var inputTime = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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var actualDate = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedDate = FuturesExpiryUtilityFunctions.AddBusinessDays(inputTime, n, _holidays);
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//Assert
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Assert.AreEqual(actualDate, calculatedDate);
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}
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[TestCase("08/05/2017 00:00:01", 4, "15/05/2017 00:00:01", "12/05/2017 00:00:01")]
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[TestCase("08/05/2017 00:00:01", 5, "22/05/2017 00:00:01", "15/05/2017 00:00:01", "16/05/2017 00:00:01", "17/05/2017 00:00:01", "18/05/2017 00:00:01", "19/05/2017 00:00:01")]
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[TestCase("24/12/2017 00:00:01", 3, "27/12/2017 00:00:01")]
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public void AddBusinessDays_WithPositiveInput_ShouldReturnNthSucceedingBusinessDay_ExcludingCustomHolidays(string time, int n, string actual, params string[] holidays)
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{
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//Arrange
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var inputTime = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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var actualDate = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedDate = FuturesExpiryUtilityFunctions.AddBusinessDays(
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inputTime,
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n,
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holidays.Select(x => Parse.DateTimeExact(x, "dd/MM/yyyy HH:mm:ss").Date).ToHashSet());
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//Assert
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Assert.AreEqual(actualDate, calculatedDate);
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}
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[TestCase("11/05/2017 00:00:01", -1, "09/05/2017 00:00:01", "10/05/2017 00:00:01")]
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[TestCase("15/05/2017 00:00:01", -1, "10/05/2017 00:00:01", "11/05/2017 00:00:01", "12/05/2017 00:00:01")]
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[TestCase("26/12/2017 00:00:01", -1, "18/12/2017 00:00:01", "25/12/2017 00:00:01", "22/12/2017 00:00:01", "21/12/2017 00:00:01", "20/12/2017 00:00:01", "19/12/2017 00:00:01")]
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public void AddBusinessDays_WithNegativeInput_ShouldReturnNthPrecedingBusinessDay_ExcludingCustomHolidays(string time, int n, string actual, params string[] holidays)
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{
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//Arrange
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var inputTime = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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var actualDate = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedDate = FuturesExpiryUtilityFunctions.AddBusinessDays(
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inputTime,
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n,
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holidays.Select(x => Parse.DateTimeExact(x, "dd/MM/yyyy HH:mm:ss").Date).ToHashSet());
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//Assert
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Assert.AreEqual(actualDate, calculatedDate);
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}
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[TestCase("01/03/2016 00:00:01", 5, "24/03/2016 00:00:00")]
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[TestCase("01/02/2014 00:00:01", 3, "26/02/2014 00:00:00")]
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[TestCase("05/07/2017 00:00:01", 7, "21/07/2017 00:00:00")]
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public void NthLastBusinessDay_WithInputsLessThanDaysInMonth_ShouldReturnNthLastBusinessDay(string time, int numberOfDays, string actual)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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var actualDate = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedDate = FuturesExpiryUtilityFunctions.NthLastBusinessDay(inputDate, numberOfDays, _holidays);
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//Assert
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Assert.AreEqual(actualDate, calculatedDate);
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}
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[TestCase("01/03/2016 00:00:00", 45)]
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[TestCase("05/02/2017 00:00:00", 30)]
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public void NthLastBusinessDay_WithInputsMoreThanDaysInMonth_ShouldThrowException(string time, int numberOfDays)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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//Act
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Assert.Throws<ArgumentOutOfRangeException>(() =>
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{
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FuturesExpiryUtilityFunctions.NthLastBusinessDay(inputDate, numberOfDays, _holidays);
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});
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}
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[TestCase("01/01/2016 00:00:01", 1, "01/04/2016 00:00:00")]
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[TestCase("02/01/2019 00:00:01", 1, "02/01/2019 00:00:00")]
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[TestCase("01/01/2019 00:00:01", 1, "01/02/2019 00:00:00")]
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[TestCase("06/01/2019 00:00:01", 1, "06/03/2019 00:00:00")]
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[TestCase("07/01/2019 00:00:01", 5, "07/05/2019 00:00:00")]
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public void NthBusinessDay_ShouldReturnAccurateBusinessDay(string testDate, int nthBusinessDay, string actualDate)
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{
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var inputDate = Parse.DateTimeExact(testDate, "MM/dd/yyyy HH:mm:ss");
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var expectedResult = Parse.DateTimeExact(actualDate, "MM/dd/yyyy HH:mm:ss");
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var actual = FuturesExpiryUtilityFunctions.NthBusinessDay(inputDate, nthBusinessDay, _holidays);
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Assert.AreEqual(expectedResult, actual);
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}
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[TestCase("01/01/2016 00:00:01", 1, "01/05/2016 00:00:00", "01/01/2016 00:00:01", "01/04/2016 00:00:01")]
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[TestCase("02/01/2019 00:00:01", 12, "02/20/2019 00:00:00", "02/18/2019 00:00:01", "02/19/2019 00:00:01")]
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[TestCase("01/01/2019 00:00:01", 1, "01/07/2019 00:00:00", "01/01/2019 00:00:01", "01/02/2019 00:00:01", "01/03/2019 00:00:01", "01/04/2019 00:00:01")]
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public void NthBusinessDay_ShouldReturnAccurateBusinessDay_WithHolidays(string testDate, int nthBusinessDay, string actualDate, params string[] holidayDates)
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{
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var inputDate = Parse.DateTimeExact(testDate, "MM/dd/yyyy HH:mm:ss");
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var expectedResult = Parse.DateTimeExact(actualDate, "MM/dd/yyyy HH:mm:ss");
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var holidays = holidayDates.Select(x => Parse.DateTimeExact(x, "MM/dd/yyyy HH:mm:ss"));
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var actual = FuturesExpiryUtilityFunctions.NthBusinessDay(inputDate, nthBusinessDay, holidayList: holidays);
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Assert.AreEqual(expectedResult, actual);
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}
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[TestCase("01/2015", "16/01/2015 00:00:00")]
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[TestCase("06/2016", "17/06/2016 00:00:00")]
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[TestCase("12/2018", "21/12/2018 00:00:00")]
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public void ThirdFriday_WithNormalMonth_ShouldReturnThirdFriday(string time, string actual)
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{
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//Arrange
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var inputMonth = Parse.DateTimeExact(time, "MM/yyyy");
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var actualFriday = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedFriday = FuturesExpiryUtilityFunctions.ThirdFriday(inputMonth);
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//Assert
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Assert.AreEqual(calculatedFriday, actualFriday);
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}
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[TestCase("04/2017", "19/04/2017 00:00:00")]
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[TestCase("02/2015", "18/02/2015 00:00:00")]
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[TestCase("01/2003", "15/01/2003 00:00:00")]
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public void ThirdWednesday_WithNormalMonth_ShouldReturnThirdWednesday(string time, string actual)
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{
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//Arrange
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var inputMonth = Parse.DateTimeExact(time, "MM/yyyy");
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var actualFriday = Parse.DateTimeExact(actual, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedFriday = FuturesExpiryUtilityFunctions.ThirdWednesday(inputMonth);
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//Assert
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Assert.AreEqual(calculatedFriday, actualFriday);
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}
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[TestCase("07/05/2017 00:00:01")]
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[TestCase("01/01/1998 00:00:01")]
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[TestCase("25/03/2005 00:00:01")]
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public void NotHoliday_ForAHoliday_ShouldReturnFalse(string time)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedValue = FuturesExpiryUtilityFunctions.NotHoliday(inputDate, _holidays);
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//Assert
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Assert.AreEqual(calculatedValue, false);
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}
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[TestCase("08/05/2017 00:00:01")]
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[TestCase("05/04/2007 00:00:01")]
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[TestCase("27/05/2003 00:00:01")]
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public void NotHoliday_ForABusinessDay_ShouldReturnTrue(string time)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(time, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedValue = FuturesExpiryUtilityFunctions.NotHoliday(inputDate, _holidays);
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//Assert
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Assert.AreEqual(calculatedValue, true);
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}
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[TestCase("09/04/2017 00:00:01")]
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[TestCase("02/04/2003 00:00:01")]
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[TestCase("02/03/2002 00:00:01")]
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public void NotPrecededByHoliday_WithNonThursdayWeekday_ShouldThrowException(string day)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(day, "dd/MM/yyyy HH:mm:ss");
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//Act
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Assert.Throws<ArgumentException>(() =>
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{
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FuturesExpiryUtilityFunctions.NotPrecededByHoliday(inputDate, _holidays);
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});
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}
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[TestCase("13/04/2017 00:00:01")]
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[TestCase("14/02/2002 00:00:01")]
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public void NotPrecededByHoliday_ForThursdayWithNoHolidayInFourPrecedingDays_ShouldReturnTrue(string day)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(day, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedOutput = FuturesExpiryUtilityFunctions.NotPrecededByHoliday(inputDate, _holidays);
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//Assert
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Assert.AreEqual(calculatedOutput, true);
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}
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[TestCase("31/03/2016 00:00:01")]
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[TestCase("30/05/2002 00:00:01")]
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public void NotPrecededByHoliday_ForThursdayWithHolidayInFourPrecedingDays_ShouldReturnFalse(string day)
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{
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//Arrange
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var inputDate = Parse.DateTimeExact(day, "dd/MM/yyyy HH:mm:ss");
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//Act
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var calculatedOutput = FuturesExpiryUtilityFunctions.NotPrecededByHoliday(inputDate, _holidays);
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//Assert
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Assert.AreEqual(calculatedOutput, false);
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}
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[TestCase("17/06/2020 00:00:01", DayOfWeek.Friday, 1, "05/06/2020 00:00:00")]
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[TestCase("30/08/2017 00:00:01", DayOfWeek.Monday, 2, "14/08/2017 00:00:00")]
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public void Nth_WeekDay_ShouldReturnCorrectDate(string contractDate, DayOfWeek dayOfWeek, int n, string expectedOutput)
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{
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// Arrange
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var inputDate = Parse.DateTimeExact(contractDate, "dd/MM/yyyy HH:mm:ss");
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var calculated = FuturesExpiryUtilityFunctions.NthWeekday(inputDate, n, dayOfWeek);
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var expected = Parse.DateTimeExact(expectedOutput, "dd/MM/yyyy HH:mm:ss");
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Assert.AreEqual(expected, calculated);
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}
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[TestCase("17/06/2020 00:00:01", DayOfWeek.Friday, -2)]
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[TestCase("30/08/2017 00:00:01", DayOfWeek.Monday, 7)]
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public void Nth_WeekDay_ShouldHandShouldThrowException(string contractDate, DayOfWeek dayOfWeek, int n)
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{
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// Arrange
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var inputDate = Parse.DateTimeExact(contractDate, "dd/MM/yyyy HH:mm:ss");
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//Act
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Assert.Throws<ArgumentOutOfRangeException>(() =>
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{
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FuturesExpiryUtilityFunctions.NthWeekday(inputDate, n, dayOfWeek);
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});
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}
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[TestCase("06/01/2015 00:00:01", DayOfWeek.Friday, "30/01/2015 00:00:00")]
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[TestCase("06/07/2015 00:00:01", DayOfWeek.Thursday, "30/07/2015 00:00:00")]
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[TestCase("06/05/2016 00:00:01", DayOfWeek.Wednesday, "25/05/2016 00:00:00")]
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[TestCase("06/01/2016 00:00:01", DayOfWeek.Friday, "29/01/2016 00:00:00")]
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[TestCase("06/07/2016 00:00:01", DayOfWeek.Thursday, "28/07/2016 00:00:00")]
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[TestCase("06/05/2017 00:00:01", DayOfWeek.Wednesday, "31/05/2017 00:00:00")]
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public void Last_WeekDay_ShouldReturnCorrectDate(string contractDate, DayOfWeek dayOfWeek, string expectedOutput)
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{
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// Arrange
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var inputDate = Parse.DateTimeExact(contractDate, "dd/MM/yyyy HH:mm:ss");
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var calculated = FuturesExpiryUtilityFunctions.LastWeekday(inputDate, dayOfWeek);
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var expected = Parse.DateTimeExact(expectedOutput, "dd/MM/yyyy HH:mm:ss");
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Assert.AreEqual(expected, calculated);
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}
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}
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}
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