public void ThrowsIfSecurityIsNotOption()
{
Assert.Throws <ArgumentException>(() =>
{
_ = new OptionPriceModelPriceGenerator(_underlying);
});
}
public void ThrowsIfSecurityIsNull()
{
Assert.Throws <ArgumentNullException>(() =>
{
_ = new OptionPriceModelPriceGenerator(null);
});
}
public void WarmedUpIfNotQLOptionPriceModel()
{
_option.PriceModel = Mock.Of <IOptionPriceModel>();
var blackScholesModel = new OptionPriceModelPriceGenerator(_option);
Assert.True(blackScholesModel.WarmedUp);
}
public void ReturnsNewPrice()
{
var priceModelMock = new Mock <IOptionPriceModel>();
priceModelMock
.Setup(s => s.Evaluate(It.IsAny <Security>(), It.IsAny <Slice>(), It.IsAny <OptionContract>()))
.Returns(new OptionPriceModelResult(1000, new Greeks()));
_option.PriceModel = priceModelMock.Object;
var randomPriceGenerator = new OptionPriceModelPriceGenerator(_option);
Assert.AreEqual(1000, randomPriceGenerator.NextValue(50, new DateTime(2020, 1, 1)));
}
public void WarmedUpSameQLOptionPriceModel(bool warmUp)
{
var volatilityModel = new Mock <IQLUnderlyingVolatilityEstimator>();
volatilityModel.SetupGet(s => s.IsReady).Returns(warmUp);
_option.PriceModel = new QLOptionPriceModel(process => new AnalyticEuropeanEngine(process),
volatilityModel.Object,
null,
null);
var blackScholesModel = new OptionPriceModelPriceGenerator(_option);
Assert.AreEqual(warmUp, blackScholesModel.WarmedUp);
}
