Add unit tests

QuantConnect · Jan 19, 2024 · 2d774f4 · 2d774f4
1 parent dc5f581
commit 2d774f4
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Showing 2 changed files with 396 additions and 6 deletions.
diff --git a/Tests/Algorithm/AlgorithmIndicatorsTests.cs b/Tests/Algorithm/AlgorithmIndicatorsTests.cs
@@ -48,7 +48,8 @@ public void Setup()
 
             _algorithm.SetDateTime(new DateTime(2013, 10, 11, 15, 0, 0));
             _algorithm.AddEquity("SPY");
-            _option = _algorithm.AddOption("SPY").Symbol;
+            _option = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450m, new DateTime(2023, 9, 1));
+            _algorithm.AddOptionContract(_option);
             _algorithm.EnableAutomaticIndicatorWarmUp = true;
         }
 
@@ -95,16 +96,16 @@ public void SharpeRatioIndicatorUsesAlgorithmsRiskFreeRateModelSetAfterIndicator
         public void IVIndicatorUsesAlgorithmsRiskFreeRateModelSetAfterIndicatorRegistration()
         {
             // Register indicator
-            var sharpeRatio = _algorithm.IV(_option);
+            var iv = _algorithm.IV(_option);
 
             // Setup risk free rate model
             var interestRateProviderMock = new Mock<IRiskFreeInterestRateModel>();
             var reference = new DateTime(2023, 11, 21, 10, 0, 0);
             interestRateProviderMock.Setup(x => x.GetInterestRate(reference)).Verifiable();
 
             // Update indicator
-            sharpeRatio.Update(new IndicatorDataPoint(_option, reference, 30m));
-            sharpeRatio.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
+            iv.Update(new IndicatorDataPoint(_option, reference, 30m));
+            iv.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
 
             // Our interest rate provider shouldn't have been called yet since it's hasn't been set to the algorithm
             interestRateProviderMock.Verify(x => x.GetInterestRate(reference), Times.Never);
@@ -113,11 +114,41 @@ public void IVIndicatorUsesAlgorithmsRiskFreeRateModelSetAfterIndicatorRegistrat
             _algorithm.SetRiskFreeInterestRateModel(interestRateProviderMock.Object);
 
             // Update indicator
-            sharpeRatio.Update(new IndicatorDataPoint(_option, reference, 30m));
-            sharpeRatio.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
+            iv.Update(new IndicatorDataPoint(_option, reference, 30m));
+            iv.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
 
             // Our interest rate provider should have been called once by each update
             interestRateProviderMock.Verify(x => x.GetInterestRate(reference), Times.Exactly(2));
         }
+
+        [Test]
+        public void DeltaIndicatorUsesAlgorithmsRiskFreeRateModelSetAfterIndicatorRegistration()
+        {
+            // Register indicator
+            var delta = _algorithm.Delta(_option);
+
+            // Setup risk free rate model
+            var interestRateProviderMock = new Mock<IRiskFreeInterestRateModel>();
+            var reference = new DateTime(2023, 8, 1, 10, 0, 0);
+            interestRateProviderMock.Setup(x => x.GetInterestRate(reference)).Verifiable();
+
+            // Update indicator
+            delta.Update(new IndicatorDataPoint(_option, reference, 30m));
+            delta.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
+
+            // Our interest rate provider shouldn't have been called yet since it's hasn't been set to the algorithm
+            interestRateProviderMock.Verify(x => x.GetInterestRate(reference), Times.Never);
+
+            // Set the interest rate provider to the algorithm
+            _algorithm.SetRiskFreeInterestRateModel(interestRateProviderMock.Object);
+
+            // Update indicator
+            delta.Update(new IndicatorDataPoint(_option, reference.AddDays(1), 30m));
+            delta.Update(new IndicatorDataPoint(Symbols.SPY, reference.AddDays(1), 300m));
+
+            // Our interest rate provider should have been called once by each update
+            // 1 for delta, 2 for IV
+            interestRateProviderMock.Verify(x => x.GetInterestRate(reference.AddDays(1)), Times.Exactly(3));
+        }
     }
 }