public void calculatePortfolioTotalsTest()
{
Calculator calculator = new Calculator();
Portfolio portfolio = new Portfolio();
List<Position> positions = new List<Position>();
Position position1 = new Position();
position1.SecLastPrice = 102;
position1.SecPrevClosePrice = 100;
position1.ExecPrice = 100;
position1.Quantity = 10;
position1.DailyPnL = 20;
position1.TotalPnL = 120;
Position position2 = new Position();
position2.SecLastPrice = 102;
position2.SecPrevClosePrice = 100;
position2.ExecPrice = 100;
position2.Quantity = 10;
position2.DailyPnL = 10;
position2.TotalPnL = 240;
positions.Add(position1);
positions.Add(position2);
portfolio.positions = positions;
portfolio = calculator.calculatePortfolioTotals(portfolio);
Assert.AreEqual(portfolio.portfolioTotalPnL, 360);
Assert.AreEqual(portfolio.portfolioDailyPnL, 30);
}
// Calculates the Daily PnL
public Position calculateDailyPnL(Position position)
{
// Daily PnL = Yesterday's Close price - current price
decimal yestClosePrice = position.SecPrevClosePrice;
decimal latestPrice = position.SecLastPrice;
position.DailyPnL = latestPrice - yestClosePrice;
return position;
}
// Calculates the Total PnL since purchase of the position
public Position calculateTotalPnL(Position position)
{
decimal executionPrice = position.ExecPrice;
int positionSize = position.Quantity;
decimal positionLast = position.SecLastPrice;
position.TotalPnL = (positionLast * positionSize) - (executionPrice * positionSize);
return position;
}
public void calculateDailyPnLTest()
{
Calculator calculator = new Calculator();
Position position = new Position();
position.SecLastPrice = 102;
position.SecPrevClosePrice = 100;
position= calculator.calculateDailyPnL(position);
Assert.AreEqual(position.DailyPnL ,2);
}
public void calculateTotalPnLTest()
{
Calculator calculator = new Calculator();
Position position = new Position();
position.SecLastPrice = 102;
position.SecPrevClosePrice = 100;
position.ExecPrice = 100;
position.Quantity = 10;
position.SecLastPrice = 120;
position = calculator.calculateTotalPnL(position);
Assert.AreEqual(position.TotalPnL, 200);
}