public PLSerious CalculatePLs(OptionCombination optComb, DateTime calculationDate,
decimal lowPrice, decimal highPrice, decimal interest, double volatility)
{
PLSerious plSerious = new PLSerious();
plSerious.CalculationDate = calculationDate;
plSerious.Volatility = volatility;
decimal interval = (highPrice - lowPrice) / 30;
decimal equityPrice = lowPrice;
while (equityPrice < highPrice+interval)
{
PLPoint plPoint = new PLPoint();
plPoint.EquityPrice = equityPrice;
foreach (OpenOption openOpt in optComb)
{
decimal optPrice = CalcualtePrice(openOpt.Option, equityPrice, interest, calculationDate, volatility);
plPoint.Profit += (optPrice - openOpt.PurchasePrice) * openOpt.ContractNo *100;
}
plSerious.PLPointSerious.Add(plPoint);
equityPrice += interval;
}
return plSerious;
}
public PLChartUI(Canvas chart, OptionCombination optComb, double chartWidth)
{
this._chart = chart;
this._optionComb = optComb;
this._chart.Width = chartWidth;
//DrawChart(DateTime.Today.AddMonths(1), 441, 0.02m, 0.40);
}
//public OptionCombination Options
//{
// get
// {
// if (this._optionCombinations==null)
// {
// if (this.OptionCombinationXML.Length > 0)
// {
// var ser = new XmlSerializer(typeof(OptionCombination));
// this._optionCombinations = (OptionCombination)ser.Deserialize(new StringReader(this.OptionCombinationXML));
// }
// }
// return this._optionCombinations;
// }
// set
// {
// this._optionCombinations = value;
// if (this._optionCombinations != null)
// {
// var xs = new XmlSerializer(this._optionCombinations.GetType());
// var xml = new StringWriter();
// xs.Serialize(xml, this._optionCombinations);
// this.OptionCombinationXML = xml.ToString();
// }
// }
//}
public UserOptionComb(OptionComb optComb)
{
this.OptionCombID = optComb.OptionCombID;
this.UserID = optComb.UserID;
this.Name = optComb.Name;
this.OptionCombinationXML = optComb.OptionCombinationXML;
this.Description = optComb.Description;
this.Options = null;
if (!string.IsNullOrEmpty(this.OptionCombinationXML))
{
var ser = new XmlSerializer(typeof(OptionCombination));
this.Options = (OptionCombination)ser.Deserialize(new StringReader(this.OptionCombinationXML));
}
}
public void TestCalculatePLs()
{
OptionCombination optComb = new OptionCombination();
OpenOption openOpt = new OpenOption();
openOpt.ContractNo = 10;
openOpt.PurchaseDate = new DateTime(2013, 05, 17);
openOpt.PurchasePrice = 23.75m;
openOpt.Option = new Option() { Symbol = "NFLX", IsCall = true, Strike = 250, ExpiryDate = new DateTime(2013, 09, 21) };
optComb.Options.Add(openOpt);
//openOpt = new OpenOption();
//openOpt.ContractNo = -10;
//openOpt.PurchaseDate = new DateTime(2013, 05, 17);
//openOpt.PurchasePrice = 9.90m;
//openOpt.Option = new Option() { Symbol = "NFLX", IsCall = true, Strike = 300, ExpiryDate = new DateTime(2013, 09, 21) };
//optComb.Options.Add(openOpt);
Calculator calculator = new Calculator();
var plSerious = calculator.CalculatePLs(optComb, new DateTime(2013, 07, 01), 100m, 380m, 0.003m, 0.5);
}
