public TestCase(Expression <Func <IReadOnlyList <OptionPosition>, OptionPosition, bool> > expression)
{
Expression = expression;
Name = expression.ToString();
Predicate = expression.Compile();
Legs = new List <OptionPosition>();
_predicate = new Lazy <OptionStrategyLegPredicate>(
() => OptionStrategyLegPredicate.Create(Expression)
);
}
public void CreatesStrikePredicate()
{
var predicate = OptionStrategyLegPredicate.Create(
(legs, p) => p.Strike < legs[0].Strike
);
var position = new OptionPosition(Put[95m], 1);
var positiveSet = new List <OptionPosition> {
new OptionPosition(Put[100m], 1)
};
Assert.IsTrue(predicate.Matches(positiveSet, position));
var negativeSet = new List <OptionPosition> {
new OptionPosition(Put[90m], 1)
};
Assert.IsFalse(predicate.Matches(negativeSet, position));
}
