public double CalculatePositionCurPnL()
{
double tempPnL = 0.0;
if (Futures == null && Options.Count == 0)
{
return(tempPnL);
}
if (Futures == null)
{
tempPnL += (FixedPnL / Options[0].PriceStep * Options[0].PriceStepValue);
}
else
{
tempPnL += Futures.Position.CalcCurrentPnLInCurrency(Futures.GetTradeBlotter(), Futures.PriceStep, Futures.PriceStepValue);
tempPnL += (FixedPnL / Futures.PriceStep * Futures.PriceStepValue);
}
foreach (Option opt in Options)
{
tempPnL += opt.Position.CalcCurrentPnLInCurrency(opt.GetTradeBlotter(), opt.PriceStep, opt.PriceStepValue);
}
return(tempPnL);
}
public static Futures GetFakeFutures(double enterFutPrice, int futPosition, TradeBlotter blotter, double priceStep, double priceVal)
{
Futures fut = new Futures("", DateTime.Now, 0.0, 0.0, priceStep, priceVal);
fut.AssignTradeBlotter(blotter);
fut.Position.Quantity = futPosition;
fut.Position.EnterPrice = enterFutPrice;
return(fut);
}
public double CalculatePositionPnL()
{
double tempPnL = 0.0;
tempPnL += Futures == null ? 0.0 : Futures.Position.CalcCurrentPnL(Futures.GetTradeBlotter());
tempPnL += FixedPnL;
foreach (Option opt in Options)
{
tempPnL += opt.Position.CalcCurrentPnL(opt.GetTradeBlotter());
}
return(tempPnL);
}
public double GetCurrentPrice()
{
double price = 0.0;
if (Options.Count > 0)
{
price = Options[0].Futures.GetTradeBlotter().AskPrice;
}
else if (Futures != null)
{
price = Futures.GetTradeBlotter().AskPrice;
}
return(price);
}
public Option(Futures futures, OptionType optionType, double strike, double marginRequirementCover, double marginRequirementNotCover, double marginRequirementBuyer, string ticker, double priceStep, double priceStepValue, DateTime expirationDate, double remainingDays)
{
this.Futures = futures;
this.MarginRequirementCover = marginRequirementCover;
this.MarginRequirementNotCover = marginRequirementNotCover;
this.MarginRequirementBuyer = marginRequirementBuyer;
this.PriceStep = priceStep;
this.PriceStepValue = priceStepValue;
this.ExpirationDate = expirationDate;
this.Ticker = ticker;
this.OptionType = optionType;
this.RemainingDays = Math.Abs(remainingDays) < 0.0001 ? 0.4 : remainingDays; // HARDCORE 0.4
this.Strike = strike;
this.Position = new Position();
}
public static Option GetFakeOption(OptionType type, double strike, double enterOptPrice,
double remainingDays, int optPosition, TradeBlotter futBlotter, TradeBlotter optBlotter, double priceStep, double priceVal)
{
Futures fut = Futures.GetFakeFutures(0.0, 0, futBlotter, priceStep, priceVal);
Option option = new Option(fut, type, strike, 0.0, 0.0, 0.0, "", priceStep, priceVal, DateTime.Now, remainingDays);
option.AssignTradeBlotter(optBlotter);
option.Position.EnterPrice = enterOptPrice;
option.Position.Quantity = optPosition;
option.UpdateAllGreeksTogether();
return(option);
}
public bool GetCurrentPriceIfPossible(out double price)
{
price = 0.0;
bool result = false;
if (Options.Count > 0)
{
price = Options[0].Futures.GetTradeBlotter().AskPrice;
result = true;
}
else if (Futures != null)
{
price = Futures.GetTradeBlotter().AskPrice;
result = true;
}
return(result);
}
public void AddFutures(Futures futures)
{
if (Futures == null)
{
Futures = futures;
}
else
{
if (Futures.Position.Quantity == futures.Position.Quantity * -1)
{
FixedPnL += Futures.Position.CloseExistingPosAndGetFixedPnL(futures.Position.EnterPrice);
Futures = null;
}
else
{
Futures.Position.AddToExistingPos(futures.Position.EnterPrice, futures.Position.Quantity);
}
}
}
private double CalculatePositionsAbsDelta_GO(List <Option> options, Futures fut, double worstPrice, double worstVola)
{
double result = 0.0;
double tempDelta;
foreach (Option opt in options)
{
tempDelta = GreeksCalculator.CalculateDelta(
opt.OptionType,
worstPrice,
opt.Strike, opt.RemainingDays,
GreeksCalculator.DAYS_IN_YEAR,
worstVola) * opt.Position.Quantity;
result += tempDelta;
}
if (fut != null)
{
result += fut.Position.Quantity;
}
return(-Math.Abs(result));
}