public void PnLIsDeferredForROACCalculationsIfNoCapitalIsUsed()
{
var pos = new Position(_instrument);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
pos.GetPnL(10, 1);
Assert.AreEqual(1 + (10d / (10 * 100)), pos.ROAC);
}
public void ROACValueIsCorrectWithCashTransactions()
{
var pos = new Position(_instrument);
var o = new Order
{
Quantity = 100,
Price = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddOrder(o);
var c = new CashTransaction
{
Amount = 10,
Instrument = _instrument,
FXRateToBase = 1
};
pos.AddCashTransaction(c);
pos.GetPnL(10, 1);
Assert.AreEqual(1.01, pos.ROAC);
}
