public double CloseExistingPosAndGetFixedPnL(TradeBlotter blotter)
{
double result = PosCalcsRoudning(CalcCurrentPnL(blotter));
Quantity = 0;
return(result);
}
public double CalcCurrentPnL(double price)
{
TradeBlotter tradeBlotter = new TradeBlotter();
tradeBlotter.AskPrice = price;
tradeBlotter.BidPrice = price;
return(CalcCurrentPnL(tradeBlotter));
}
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 void AssignTradeBlotter(TradeBlotter blotter)
{
if (blotter != null)
{
this.blotter = blotter;
}
else
{
throw new BasicModelException("Passed blotter to futures is null: " + blotter);
}
}
public double GetMarketPriceToClose(TradeBlotter blotter)
{
if (Quantity > 0)
{
return(blotter.BidPrice);
}
else if (Quantity < 0)
{
return(blotter.AskPrice);
}
else
{
return(0.0);
}
}
public double CalcCurrentPnL(TradeBlotter blotter)
{
if (Quantity > 0)
{
return(PosCalcsRoudning((blotter.BidPrice - EnterPrice) * Quantity));
}
else if (Quantity < 0)
{
return(PosCalcsRoudning((blotter.AskPrice - EnterPrice) * Quantity));
}
else
{
return(0.0);
}
}
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 double CalculateExpirationPnL(double futPrice)
{
double tempPnL = 0.0;
TradeBlotter tempBlotter = new TradeBlotter();
tempBlotter.AskPrice = futPrice;
tempBlotter.BidPrice = futPrice;
tempPnL += Futures == null ? 0.0 : Futures.Position.CalcCurrentPnL(tempBlotter);
tempPnL += FixedPnL;
foreach (Option opt in Options)
{
tempPnL += GreeksCalculator.CalculateOptionPnLOnExpiration(opt, futPrice);
}
return(tempPnL);
}
public double CalcCurrentPnLInCurrency(TradeBlotter blotter, double step, double stepVal)
{
return(PosCalcsRoudning(CalcCurrentPnL(blotter) / step * stepVal));
}