SinglePnLResult CalculateHedgePnLResult()
{
_tradingDataList.Sort();
bool bAmoutBasis = false;
SinglePnLResult profitAndLossResult = new SinglePnLResult(
HedgingInstKey, "EquityDeltaHedging", TradingDirection.Short, bAmoutBasis, _tradingDataList);
if (EquityVolPredefinedVariables.BLogEnabled)
{
profitAndLossResult.EnableLog();
}
profitAndLossResult.CalculatePnL();
return profitAndLossResult;
}
Dictionary<MarketDataSetKey, IPnLResult> GetSelectedEquityPnLResults(
Dictionary<MarketDataSetKey, IPnLResult> allEquityPnLResults,
Dictionary<DateTime, List<MarketDataSetKey>> selectedEquities)
{
if (selectedEquities.Count == 0)
{
return allEquityPnLResults;
}
Dictionary<MarketDataSetKey, IPnLResult> selectedEquityPnLResults =
new Dictionary<MarketDataSetKey, IPnLResult>();
foreach (KeyValuePair<MarketDataSetKey, IPnLResult> pair in allEquityPnLResults)
{
SinglePnLResult result = pair.Value as SinglePnLResult;
List<RawTradingData> selectedTradingList =
SelectTradingDataList(result.Key, result.TradingDataList, selectedEquities);
if (selectedTradingList.Count == 0)
{
continue;
}
SinglePnLResult selectedResult =
new SinglePnLResult(result.Key, result.Name, result.Direction, true, selectedTradingList);
selectedResult.CostRate = EquityVolPredefinedVariables.CostRate;
if (EquityVolPredefinedVariables.BLogEnabled)
{
selectedResult.EnableLog();
}
selectedResult.CalculatePnL();
selectedEquityPnLResults.Add(pair.Key, selectedResult);
}
return selectedEquityPnLResults;
}