public void FiltersExpiryRange()
{
var time = new DateTime(2016, 02, 26);
var underlying = new Tick { Value = 10m, Time = time };
var filter = new StrikeExpiryOptionFilter(0, 0, TimeSpan.FromDays(3), TimeSpan.FromDays(7));
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(0)), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(1)), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(2)), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(3)), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(4)), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(5)), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(6)), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(7)), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(8)), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, time.AddDays(9)), // 9
};
var filtered = filter.Filter(symbols, underlying).ToList();
Assert.AreEqual(5, filtered.Count);
Assert.AreEqual(symbols[3], filtered[0]);
Assert.AreEqual(symbols[4], filtered[1]);
Assert.AreEqual(symbols[5], filtered[2]);
Assert.AreEqual(symbols[6], filtered[3]);
Assert.AreEqual(symbols[7], filtered[4]);
}
public void FiltersStrikeRange()
{
var expiry = new DateTime(2016, 03, 04);
var underlying = new Tick { Value = 10m, Time = new DateTime(2016, 02, 26) };
var filter = new StrikeExpiryOptionFilter(-2, 3, TimeSpan.Zero, TimeSpan.MaxValue);
var symbols = new[]
{
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 2, expiry), // 0
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 5, expiry), // 1
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 7, expiry), // 2
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 8, expiry), // 3
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 9, expiry), // 4
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 10, expiry), // 5
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 11, expiry), // 6
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 12, expiry), // 7
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 15, expiry), // 8
Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Put, 20, expiry), // 9
};
var filtered = filter.Filter(symbols, underlying).ToList();
Assert.AreEqual(5, filtered.Count);
Assert.AreEqual(symbols[3], filtered[0]);
Assert.AreEqual(symbols[4], filtered[1]);
Assert.AreEqual(symbols[5], filtered[2]);
Assert.AreEqual(symbols[6], filtered[3]);
Assert.AreEqual(symbols[7], filtered[4]);
}
