wehub-resource-sync
55 lines
2.2 KiB
C#
55 lines
2.2 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities.Option;
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using System;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class FedRateQLRiskFreeRateEstimatorTests
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{
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[TestCase("20200306", 0.0175)] // Friday
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[TestCase("20200307", 0.0175)] // Saturday, use Friday's value
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[TestCase("20200308", 0.0175)] // Sunday, use Friday's value
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[TestCase("20200310", 0.0175)] // Tuesday
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public void Estimate(string dateString, decimal rate)
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{
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var spx = Symbols.SPX;
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var tz = TimeZones.NewYork;
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var optionSymbol = Symbol.CreateOption(spx.Value, spx.ID.Market, OptionStyle.European, OptionRight.Put, 4200,
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new DateTime(2021, 1, 15));
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var evaluationDate = Parse.DateTimeExact(dateString, "yyyyMMdd");
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// setting up
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var equity = OptionPriceModelTests.GetEquity(spx, 100m, 0.25m, tz);
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var option = OptionPriceModelTests.GetOption(optionSymbol, equity, tz);
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var tick = new Tick { Time = evaluationDate, Value = 10m };
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// get the risk free rate
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var estimator = new FedRateQLRiskFreeRateEstimator();
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var result = estimator.Estimate(option,
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new Slice(evaluationDate, new List<BaseData> { tick }, evaluationDate),
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new OptionContract(option));
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Assert.AreEqual(rate, result);
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}
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}
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}
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