public UnlTradingData CalculateWhatIf(double ivChange, int daysLeftChange)
{
IVChange = ivChange;
DaysLeftChange = daysLeftChange;
var positionList = UnlManager.PositionsDataBuilder.PositionDataDic.Values;
List <BnSCalculationData> bnSCalculationDataList = new List <BnSCalculationData>();
BnSCalcHelpper bnSCalcHelpper = new BnSCalcHelpper();
foreach (OptionsPositionData position in positionList)
{
BnSCalculationData bnSCalculationData =
bnSCalcHelpper.CalculateValuesByBnS(position.OptionData, DaysLeftChange, IVChange);
bnSCalculationData.Position = position.Position;
bnSCalculationDataList.Add(bnSCalculationData);
}
WhatIfPositionsSummaryData =
new PositionsSummaryData
{
CostTotal = bnSCalculationDataList.Sum(pd => pd.Cost),
DeltaTotal = bnSCalculationDataList.Sum(pd => pd.DeltaTotal),
GammaTotal = bnSCalculationDataList.Sum(pd => pd.GammaTotal),
ThetaTotal = bnSCalculationDataList.Sum(pd => pd.ThetaTotal),
VegaTotal = bnSCalculationDataList.Sum(pd => pd.VegaTotal),
MarketValue = bnSCalculationDataList.Sum(pd => pd.PositionPrice),
Shorts = bnSCalculationDataList.Where(pd => pd.Position < 0).Sum(pd => Abs(pd.Position)),
Longs = bnSCalculationDataList.Where(pd => pd.Position > 0).Sum(pd => pd.Position),
IVWeightedAvg = bnSCalculationDataList.Sum(pd => pd.ImpliedVolatilitiesForCalc * pd.Quantity) /
bnSCalculationDataList.Sum(pd => pd.Quantity)
};
WhatIfUnlTradingData.PositionsSummaryData = WhatIfPositionsSummaryData;
return(WhatIfUnlTradingData);
}
public PositionsDataBuilder(ManagedSecurity managedSecurity,
UNLManager unlManager)
: base(managedSecurity, unlManager)
{
PositionDataDic = new Dictionary <string, OptionsPositionData>();
OptionsManager = unlManager.OptionsManager;
Logger.DebugFormat("{0}.OptionsManager created. Thread name: {1}.", Symbol, Thread.CurrentThread.Name);
PositionsSummaryData = new PositionsSummaryData();
if (UnlTradingData != null)
{
UnlTradingData.PositionsSummaryData = PositionsSummaryData;
}
}
