public void TestGetPrice()
{
var strikePrice = 100;
var underlyingPrice = 90;
var daysUntilExpiration = 230 / 365.0;
var volatility = 0.5;
var interestRate = 0.1;
var d1 = 0.09176057;
var d2 = -0.30514527;
var cdfComputer = Substitute.For <INormalCdfComputer>();
cdfComputer.Compute(Arg.Is <double>(c => Math.Abs(Math.Round(c, 8) - d1) < double.Epsilon)).Returns(0.5365558638);
cdfComputer.Compute(Arg.Is <double>(c => Math.Abs(Math.Round(c, 8) + d1) < double.Epsilon)).Returns(1 - 0.5365558638);
cdfComputer.Compute(Arg.Is <double>(c => Math.Abs(Math.Round(c, 8) - d2) < double.Epsilon)).Returns(0.3801277569);
cdfComputer.Compute(Arg.Is <double>(c => Math.Abs(Math.Round(c, 8) + d2) < double.Epsilon)).Returns(1 - 0.3801277569);
var callParameter = new PricerParameter(OptionType.Call, underlyingPrice, strikePrice, daysUntilExpiration, interestRate, volatility);
var putParameter = new PricerParameter(OptionType.Put, underlyingPrice, strikePrice, daysUntilExpiration, interestRate, volatility);
var pricer = new Pricer(cdfComputer);
var callPrice = Math.Round(pricer.GetPrice(callParameter), 4);
var putPrice = Math.Round(pricer.GetPrice(putParameter), 4);
Assert.That(callPrice, Is.EqualTo(12.5987));
Assert.That(putPrice, Is.EqualTo(16.4917));
}
public void Pricer_UsesSinglePricingStrategy()
{
var pricer = new Pricer(new DummyOffer());
var basket = CreateBasket('A', 'B', 'C', 'D');
var price = pricer.GetPrice(basket);
price.ShouldBe(6M);
}
public void Pricer_Throws_WhenNoStrategy()
{
var pricer = new Pricer();
var basket = CreateBasket('A', 'B', 'C');
Should.Throw <InvalidOperationException>(() => {
pricer.GetPrice(basket);
});
}
public void IfTempLessThan40ThrowExceptionIcecreamShopIsclosed()
{
DateTime date = new DateTime();
var temperature = 37;
//var actual = pricer.GetPrice(date, input);
//Console.WriteLine(actual);
Assert.Throws <System.ArgumentException>(() => pricer.GetPrice(date, temperature));
}
public void MultiBuyOffer_PicksSpecifiedNumberOfSKU()
{
var pricer = new Pricer(
new MultiBuyOffer(new SKU('A'), 3, 10M),
new SingleItemOffer(new SKU('A'), 4M)
);
var price = pricer.GetPrice(CreateBasket('A', 'A', 'A', 'A'));
price.ShouldBe(14M);
}
public void Pricer_GetsLatestOffers()
{
var offers = new List <IOffer>(new[] {
new SingleItemOffer(new SKU('A'), 3M),
new SingleItemOffer(new SKU('B'), 1M)
});
var pricer = new Pricer(() => offers);
var basket = CreateBasket('A', 'B', 'A');
var price1 = pricer.GetPrice(basket);
price1.ShouldBe(7M);
offers.Insert(0, new MultiBuyOffer(new SKU('A'), 2, 5M));
var price2 = pricer.GetPrice(basket);
price2.ShouldBe(6M);
}
private void GetQuote()
{
try
{
var price = _pricer.GetPrice(new PricerParameter(OptionType, UnderlyingPrice, Strike, DaysUntilExpiration / 365.0,
RiskFreeInterestRateInPercent / 100, VolatilityInPercent / 100));
Result.Value = price.ToString("0.0000");
}
catch (Exception)
{
Result.Value = "Internal Error";
}
}
public void Pricer_SortsSKUs()
{
var pricer = new Pricer( //below acts as spy
new AdHocOffer(x => {
x.SKUs.ShouldBeInAnyOrder(); //the direction of the ordering doesn't matter to the strategies,
//as long as they get chance to greedily consume grouped SKUs (which any ordering will do)
x.SKUs.Clear();
return(true);
}));
var basket = CreateBasket('D', 'A', 'C', 'D');
pricer.GetPrice(basket);
}
public void Pricer_UsesMultiplePricingStrategies()
{
var pricer = new Pricer(
CreateOffer('A', 1),
CreateOffer('B', 2),
CreateOffer('C', 3),
CreateOffer('D', 4)
);
var basket = CreateBasket('A', 'A', 'C', 'D');
var price = pricer.GetPrice(basket);
price.ShouldBe(9);
}
public Response <Price> Price(Models.GetPriceRequest request)
{
// in real life scenario Pricer should be injected
var pricerService = new Pricer();
var response = new Response <Price>();
double spot;
try
{
var tradingDates = pricerService.GetTradingDates();
var price = pricerService.GetPrice(new GetPriceRequest
{
IsAdvised = request.IsAdvised
});
spot = price.Strike;
// some fancy logic based on downstream response
if (spot > 1)
{
spot += 0.05;
response.Messages.Add(new Message {
StatusCode = StatusCodes.Warning, Text = "Spot was adjusted"
});
}
response.Result = new Price
{
TradingDates = new TradingDates
{
MaturityDate = tradingDates.MaturityDate,
SettlementDate = tradingDates.SettlementDate
},
Spot = spot,
Id = price.Id
};
}
catch (Exception ex)
{
response.Messages.Add(new Message {
StatusCode = StatusCodes.Error, Text = "Could not retrieve the price"
});
}
return(response);
}
