protected Money calculateCurrencyGain(IFundPositionTx posTx, IsOpenClose isOpen)
{
Money gain = null;
if (!posTx.DoNotRealize)
{
// calculate the gain caused by the foreign currency
if (!this.InstrumentCurrency.IsBase && isOpen != IsOpenClose.Open)
{
Money realisedAmount = null;
if (isOpen == IsOpenClose.Close)
realisedAmount = posTx.BookValueIC;
else // if (isOpen == IsOpenClose.Both)
realisedAmount = Money.Multiply(posTx.BookValueIC, (Size.Quantity / posTx.Size.Quantity), true);
if (posTx.ExchangeRate - AvgOpenExRate != 0)
{
gain = realisedAmount.Convert(posTx.ExchangeRate - AvgOpenExRate, InstrumentCurrency.BaseCurrency, 7);
RealisedCurrencyGain = Money.Add(RealisedCurrencyGain, gain, true);
RealisedCurrencyGainToDate = Money.Add(RealisedCurrencyGainToDate, gain, true);
}
}
}
return gain;
}
protected void getPosTxInfo(IFundPositionTx posTx, out InstrumentSize newSize, out IsOpenClose isOpen)
{
isOpen = IsOpenClose.Close;
newSize = InstrumentSize.Add(posTx.Size, Size, true);
// Determine if it is opening or closing
if (Size == null || Size.IsZero)
isOpen = IsOpenClose.Open;
else if (newSize.Sign != Size.Sign && newSize.IsNotZero)
isOpen = IsOpenClose.Both;
// short position -> gets larger
else if (!Size.Sign && newSize.Sign == Size.Sign && newSize.Abs() > Size.Abs())
isOpen = IsOpenClose.Open;
else
{
if (IsSecurityValuationMutation)
{
if (posTx.Side == Side.Sell || posTx.Side == Side.XO)
isOpen = IsOpenClose.Close;
else
isOpen = IsOpenClose.Open;
}
else
{
// Cash -> just check the effect of the transaction
if (Size.Sign == posTx.Size.Sign)
isOpen = IsOpenClose.Open;
else
isOpen = IsOpenClose.Close;
}
}
}
protected void calculateBookStuff(IFundPositionTx posTx, IsOpenClose isOpen, InstrumentSize newSize, Money realisedAmount, Money baseRealisedAmount)
{
// Book Value & AvgOpenExRate
if (isOpen == IsOpenClose.Close)
{
if (!posTx.DoNotRealize)
{
Money oldBookValue = BookValue;
Money oldBookValueIC = BookValueIC;
if (Size.IsNotZero && newSize.IsNotZero)
{
BookValueIC = Money.Add(Money.Add(BookValueIC, posTx.BookValueIC, true), realisedAmount, true);
if (newSize.IsZero && BookValueIC.IsNotZero) BookValueIC = BookValueIC.ZeroedAmount();
//BookValue = Money.Add(Money.Add(BookValue, posTx.BookValue, true), baseRealisedAmount, true);
BookValue = Money.Add(BookValue, posTx.Size.CalculateAmount(this.BookPrice), true);
if (newSize.IsZero && BookValue.IsNotZero) BookValue = BookValue.ZeroedAmount();
}
else
{
BookValueIC = BookValueIC.Clone(0M);
BookValue = BookValue.Clone(0M);
}
BookChange = Money.Add(BookChange, Money.Subtract(BookValue, oldBookValue, true), true);
BookChangeIC = Money.Add(BookChangeIC, Money.Subtract(BookValueIC, oldBookValueIC, true), true);
}
else
{
BookChange = BookValue.Clone(0M);
BookChangeIC = BookValueIC.Clone(0M);
}
}
else if (isOpen == IsOpenClose.Open)
{
Money bookChange = posTx.BookValue;
BookChange = Money.Add(BookChange, bookChange, true);
BookValue = Money.Add(BookValue, bookChange, true);
Money bookChangeIC = posTx.BookValueIC;
BookChangeIC = Money.Add(BookChangeIC, bookChangeIC, true);
BookValueIC = Money.Add(BookValueIC, bookChangeIC, true);
if (newSize.IsNotZero)
{
BookPrice = Money.Divide(BookValue, newSize, true);
if (Size != null)
{
// for a conversion the avg ExRate does not change
if (!posTx.IsConversion)
{
if (!InstrumentCurrency.IsBase)
{
Money currentCostAmount = Size.CalculateAmount(CostPrice, true);
Money totalAmtIC = Money.Add(currentCostAmount, posTx.BookValueIC, true);
//Money totalAmt = Money.Add(Money.Convert(Money.Multiply(Size, CostPrice, true), (1M / AvgOpenExRate), InstrumentCurrency.BaseCurrency, true), posTx.BookValue, true);
Money totalAmt = Money.Add(currentCostAmount.ConvertToBase((1M / AvgOpenExRate), true), posTx.BookValue, true);
AvgOpenExRate = totalAmtIC.Quantity / totalAmt.Quantity;
}
else
AvgOpenExRate = 1M;
}
}
else
AvgOpenExRate = posTx.ExchangeRate;
}
}
else // IsOpenClose.Both
{
// if swap -> take the price from the Tx
if (posTx.Price.Underlying.IsBase)
BookPrice = posTx.Price;
else
BookPrice = posTx.Price.Convert((1 / posTx.ExchangeRate), posTx.Price.Underlying.BaseCurrency);
// In Instrument currency
Money bookChange = newSize.CalculateAmount(posTx.Price, true);
BookChangeIC = bookChange;
BookValueIC = bookChange;
// Convert to Base Currency
if (!((ICurrency)bookChange.Underlying).IsBase)
bookChange = bookChange.Convert(1 / posTx.ExchangeRate, ((ICurrency)bookChange.Underlying).BaseCurrency, 7);
BookChange = bookChange;
BookValue = bookChange;
AvgOpenExRate = Math.Round(posTx.ExchangeRate, 7);
}
}
