public void CalculateMaxLoseTest()
{
Option opt1 = new Option("VXX", OptionRight.CALL, 38, "20171010");
Option opt2 = new Option("VXX", OptionRight.CALL, 41, "20171010");
Price opt1_price = new Price()
{
Ask = 1.85,
Bid = 1.84
};
opt1.CurrentPrice = opt1_price;
Price opt2_price = new Price()
{
Ask = 1.35,
Bid = 1.34
};
opt2.CurrentPrice = opt2_price;
Position pos1 = new Position()
{
Asset = opt1,
AvgCost = 3.598,
Quantity = -1500
};
Position pos2 = new Position()
{
Asset = opt2,
AvgCost = 2.718,
Quantity = 1500
};
BearSpread bear_spread = new BearSpread(pos1, pos2);
if (bear_spread.IsVaildated)
{
var max_lose = bear_spread.CalculateMaxLose();
Assert.IsTrue(bear_spread.MaxLose < -1320);
}
else
{
Assert.Fail();
}
}
