added unit test for from json

siddharthqs · Oct 29, 2023 · ef2fd21 · ef2fd21
1 parent 25b4ef7
commit ef2fd21
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Showing 6 changed files with 64 additions and 10 deletions.
diff --git a/derivatives/src/core/trade.rs b/derivatives/src/core/trade.rs
@@ -1,4 +1,4 @@
-#[derive(Debug,Clone)]
+#[derive(PartialEq,Debug,Clone)]
 pub enum Transection {
     Buy,
     Sell,

diff --git a/derivatives/src/core/utils.rs b/derivatives/src/core/utils.rs
@@ -6,7 +6,7 @@ use std::f64::consts::{PI, SQRT_2};
 use serde::Serialize;
 use crate::Deserialize;
 
-#[derive(Clone,Debug)]
+#[derive(PartialEq,Clone,Debug)]
 pub enum ContractStyle {
     European,
     American,

diff --git a/derivatives/src/equity/build_contracts.rs b/derivatives/src/equity/build_contracts.rs
@@ -15,7 +15,7 @@ use crate::equity::utils::{Engine};
 use std::collections::BTreeMap;
 
 pub fn build_eq_contracts_from_json(data: Vec<Contract>) -> Vec<Box<EquityOption>> {
-    let derivatives:Vec<Box<EquityOption>> = data.iter().map(|x| EquityOption::equityoption_from_json(x.clone())).collect();
+    let derivatives:Vec<Box<EquityOption>> = data.iter().map(|x| EquityOption::from_json(x.clone())).collect();
     return derivatives;
 }
 pub fn build_volatility_surface(mut contracts:Vec<Box<EquityOption>>) -> VolSurface {

diff --git a/derivatives/src/equity/utils.rs b/derivatives/src/equity/utils.rs
@@ -1,4 +1,4 @@
-#[derive(Clone,Debug)]
+#[derive(PartialEq,Clone,Debug)]
 pub enum Engine{
     BlackScholes,
     MonteCarlo,

diff --git a/derivatives/src/equity/vanila_option.rs b/derivatives/src/equity/vanila_option.rs
@@ -18,12 +18,12 @@ impl Instrument for EquityOption  {
                 value
             }
             Engine::MonteCarlo => {
-                println!("Using MonteCarlo ");
+                println!("Using MonteCarlo Engine ");
                 let value = montecarlo::npv(&self,false);
                 value
             }
             Engine::Binomial => {
-                println!("Using Binomial ");
+                println!("Using Binomial Engine ");
                 let value = binomial::npv(&self);
                 value
             }
@@ -59,7 +59,7 @@ impl EquityOption{
     }
 }
 impl EquityOption {
-    pub fn equityoption_from_json(data: Contract) -> Box<EquityOption> {
+    pub fn from_json(data: Contract) -> Box<EquityOption> {
         let market_data = data.market_data.unwrap();
         let underlying_quote = Quote::new(market_data.underlying_price);
         //TODO: Add term structure
@@ -83,13 +83,20 @@ impl EquityOption {
             Some(x) => x.unwrap(),
             None => 0.0,
         });
+        //let volatility = Some(market_data.volatility);
+        let volatility = match market_data.volatility {
+            Some(x) => {
+                x
+            }
+            None => 0.2
+        };
         let mut option = EquityOption {
             option_type: side,
-            transection: trade::Transection::Buy,
+            transection: Transection::Buy,
             underlying_price: underlying_quote,
             current_price: option_price,
             strike_price: market_data.strike_price,
-            volatility: 0.2,
+            volatility: volatility,
             maturity_date: future_date,
             risk_free_rate: risk_free_rate.unwrap_or(0.0),
             dividend_yield: dividend.unwrap_or(0.0),
@@ -129,3 +136,50 @@ impl EquityOption {
         return Box::new(option);
     }
 }
+
+#[cfg(test)]
+mod tests {
+    //write a unit test for from_json
+    use super::*;
+    use crate::core::utils::{Contract,MarketData};
+    use crate::core::trade::OptionType;
+    use crate::core::trade::Transection;
+    use crate::core::utils::ContractStyle;
+    use crate::core::termstructure::YieldTermStructure;
+    use crate::core::quotes::Quote;
+    use chrono::{Datelike, Local, NaiveDate};
+    #[test]
+    fn test_from_json() {
+        let data = Contract {
+            action: "PV".to_string(),
+            market_data: Some(MarketData {
+                underlying_price: 100.0,
+                strike_price: 100.0,
+                volatility: None,
+                option_price: Some(10.0),
+                risk_free_rate: Some(0.05),
+                dividend: Some(0.0),
+                maturity: "2024-01-01".to_string(),
+                option_type: "C".to_string(),
+                simulation: None
+            }),
+            pricer: "Analytical".to_string(),
+            asset: "".to_string(),
+            style: Some("European".to_string()),
+            rate_data: None
+        };
+        let option = EquityOption::from_json(data);
+        assert_eq!(option.option_type, OptionType::Call);
+        assert_eq!(option.transection, Transection::Buy);
+        assert_eq!(option.underlying_price.value, 100.0);
+        assert_eq!(option.strike_price, 100.0);
+        assert_eq!(option.current_price.value, 10.0);
+        assert_eq!(option.dividend_yield, 0.0);
+        assert_eq!(option.volatility, 0.2);
+        assert_eq!(option.maturity_date, NaiveDate::from_ymd(2024, 1, 1));
+        assert_eq!(option.valuation_date, Local::today().naive_utc());
+        assert_eq!(option.engine, Engine::BlackScholes);
+        assert_eq!(option.style, ContractStyle::European);
+    }
+}
+
diff --git a/derivatives/src/utils/parse_json.rs b/derivatives/src/utils/parse_json.rs
@@ -108,7 +108,7 @@ pub fn process_contract(data: utils::Contract) -> String {
 
     if data.action=="PV" && data.asset=="EQ"{
         //let market_data = data.market_data.clone().unwrap();
-        let option = EquityOption::equityoption_from_json(data.clone());
+        let option = EquityOption::from_json(data.clone());
 
         let contract_output = utils::ContractOutput{pv:option.npv(),delta:option.delta(),gamma:option.gamma(),vega:option.vega(),theta:option.theta(),rho:option.rho(), error: None };
         println!("Theoretical Price ${}", contract_output.pv);