dekun
87 lines
2.9 KiB
Python
87 lines
2.9 KiB
Python
"""hub_perp_options_calc_lib 永期对冲测算."""
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import unittest
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from lib.hub.hub_perp_options_calc_lib import calc_perp_options_hedge
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class HubPerpOptionsCalcTests(unittest.TestCase):
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def test_example_1800_50_15_100(self):
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data, err = calc_perp_options_hedge(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=15,
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move_mode="points",
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move_value=50,
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perp_leverage=10,
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option_leverage=100,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertEqual(data["prem_per_coin"], 18.0)
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self.assertEqual(data["perp_gross_u"], 50.0)
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# fee = (1800+1850)*0.0005 = 1.825
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self.assertAlmostEqual(data["perp_fee_u"], 1.825, places=6)
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self.assertAlmostEqual(data["premium_budget_u"], 33.175, places=6)
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self.assertAlmostEqual(data["opt_coins"], 33.175 / 18.0, places=6)
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self.assertAlmostEqual(data["opt_sheets"], data["opt_coins"] / 0.01, places=4)
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self.assertAlmostEqual(data["case_a"]["net_u"], 15.0, places=6)
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# B: opt_net = coins*50 - coins*18 = coins*32; portfolio = opt_net - 50
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coins = data["opt_coins"]
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self.assertAlmostEqual(data["case_b"]["opt_net_u"], coins * 32.0, places=6)
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self.assertAlmostEqual(data["case_b"]["portfolio_net_u"], coins * 32.0 - 50.0, places=6)
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self.assertAlmostEqual(data["perp_margin_u"], 180.0, places=6)
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self.assertTrue(data["capital_ok"])
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def test_pct_mode(self):
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data, err = calc_perp_options_hedge(
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base="BTC",
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spot=100000,
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capital_usdt=5000,
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target_profit_u=100,
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move_mode="pct",
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move_value=1,
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perp_leverage=5,
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option_leverage=50,
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ct_mult=0.01,
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)
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self.assertIsNone(err)
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assert data is not None
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self.assertAlmostEqual(data["move_points"], 1000.0, places=6)
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self.assertAlmostEqual(data["perp_gross_u"], 1000.0, places=6)
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self.assertAlmostEqual(data["prem_per_coin"], 2000.0, places=6)
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def test_budget_too_small(self):
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data, err = calc_perp_options_hedge(
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base="ETH",
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spot=1800,
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capital_usdt=3000,
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target_profit_u=60,
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move_mode="points",
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move_value=50,
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perp_leverage=10,
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option_leverage=100,
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)
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self.assertIsNone(data)
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self.assertIn("无法开期权", err or "")
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def test_bad_base(self):
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data, err = calc_perp_options_hedge(
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base="SOL",
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spot=100,
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capital_usdt=1000,
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target_profit_u=10,
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move_mode="points",
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move_value=5,
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perp_leverage=5,
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option_leverage=20,
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)
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self.assertIsNone(data)
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self.assertIsNotNone(err)
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if __name__ == "__main__":
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unittest.main()
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