public void ExpiryFunctionsReturnExpectedResults(string futureTicker, string market, DateTime expected)
{
var future = Symbol.Create(futureTicker, SecurityType.Future, market);
var futureOption = Symbol.CreateOption(future, market, default(OptionStyle), default(OptionRight), default(decimal), SecurityIdentifier.DefaultDate);
var december = new DateTime(2020, 12, 1);
var actual = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(futureOption, december);
Assert.AreEqual(expected, actual);
}
[TestCase("GC", Market.COMEX, 11, 1)] // No mapping is done for this Symbol as expected, although rules exist.
public void FutureContractMonthDelta(string futureTicker, string market, int expiryMonth, int expectedDelta)
{
var contractMonth = new DateTime(2020, 12, 1);
var future = Symbol.Create(futureTicker, SecurityType.Future, market);
var option = Symbol.CreateOption(
future,
market,
default(OptionStyle),
default(OptionRight),
default(decimal),
SecurityIdentifier.DefaultDate);
var futureOptionExpiry = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(option, contractMonth);
Assert.AreEqual(expectedDelta, contractMonth.Month - futureOptionExpiry.Month);
}
public void GetUnderlyingSymbolFromFutureOption(string futureTicker, string market, int year, int month, int day, int fopContractYear, int fopContractMonth, bool nullExpected)
{
var optionTicker = FuturesOptionsSymbolMappings.Map(futureTicker);
var expectedFuture = Symbol.CreateFuture(futureTicker, market, new DateTime(year, month, day));
var canonicalFutureOption = Symbol.CreateOption(expectedFuture, market, default(OptionStyle), default(OptionRight), default(decimal), SecurityIdentifier.DefaultDate);
var futureContractMonthDelta = FuturesExpiryUtilityFunctions.GetDeltaBetweenContractMonthAndContractExpiry(futureTicker, expectedFuture.ID.Date);
var futureContractMonth = expectedFuture.ID.Date.AddMonths(futureContractMonthDelta);
var futuresOptionsExpiration = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(canonicalFutureOption, futureContractMonth);
var actualFuture = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(optionTicker, market, futuresOptionsExpiration, new DateTime(2021, 1, 1));
if (nullExpected)
{
// There were no futures that appeared on the or subsequent contract months from the future option.
Assert.IsNull(actualFuture);
}
else
{
Assert.AreEqual(expectedFuture, actualFuture);
}
}
