public void ProfitCorrectlyCalculatedAfterReversing()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
decimal newFxRate = 1.36m;
int newQuantity = -2000;
var transaction2 = new FXTransaction
{
Quantity = newQuantity,
Proceeds = newFxRate * newQuantity,
Cost = -newFxRate * newQuantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction2);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.RealizedPnL);
pos.Update(newFxRate);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.TotalPnL);
}
public void RealizedProfitsWithUpdateBetweenTradesCalculatedCorrectly()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
decimal newFxRate = 1.36m;
pos.Update(newFxRate);
Assert.AreEqual(quantity * (newFxRate - fxRate), pos.TotalPnL);
int newQuantity = -1000;
decimal newFxRate2 = 1.37m;
var transaction2 = new FXTransaction
{
Quantity = newQuantity,
Proceeds = newFxRate2 * newQuantity,
Cost = -newFxRate2 * newQuantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction2);
Assert.AreEqual(-newQuantity * (newFxRate2 - fxRate), pos.RealizedPnL);
}
public void QuantityAndPriceReflectAddedTransactions()
{
var pos = new CurrencyPosition(_currency);
decimal fxRate = 1.35m;
int quantity = 1000;
var transaction1 = new FXTransaction
{
Quantity = quantity,
Proceeds = fxRate * quantity,
Cost = -fxRate * quantity,
FXCurrency = _currency
};
pos.AddFXTransaction(transaction1);
Assert.AreEqual(quantity, pos.Quantity);
Assert.AreEqual(fxRate, pos.CostBasis);
Assert.AreEqual(fxRate, pos.PriorPeriodCostBasis);
}