public PLSerious CalculatePLs(OptionCombination optComb, DateTime calculationDate,
decimal lowPrice, decimal highPrice, decimal interest, double volatility)
{
PLSerious plSerious = new PLSerious();
plSerious.CalculationDate = calculationDate;
plSerious.Volatility = volatility;
decimal interval = (highPrice - lowPrice) / 30;
decimal equityPrice = lowPrice;
while (equityPrice < highPrice + interval)
{
PLPoint plPoint = new PLPoint();
plPoint.EquityPrice = equityPrice;
foreach (OpenOption openOpt in optComb)
{
decimal optPrice = CalcualtePrice(openOpt.Option, equityPrice, interest, calculationDate, volatility);
plPoint.Profit += (optPrice - openOpt.PurchasePrice) * openOpt.ContractNo * 100;
}
plSerious.PLPointSerious.Add(plPoint);
equityPrice += interval;
}
return(plSerious);
}
public void TestCalculatePLs()
{
OptionCombination optComb = new OptionCombination();
OpenOption openOpt = new OpenOption();
openOpt.ContractNo = 10;
openOpt.PurchaseDate = new DateTime(2013, 05, 17);
openOpt.PurchasePrice = 23.75m;
openOpt.Option = new Option()
{
Symbol = "NFLX", IsCall = true, Strike = 250, ExpiryDate = new DateTime(2013, 09, 21)
};
optComb.Options.Add(openOpt);
//openOpt = new OpenOption();
//openOpt.ContractNo = -10;
//openOpt.PurchaseDate = new DateTime(2013, 05, 17);
//openOpt.PurchasePrice = 9.90m;
//openOpt.Option = new Option() { Symbol = "NFLX", IsCall = true, Strike = 300, ExpiryDate = new DateTime(2013, 09, 21) };
//optComb.Options.Add(openOpt);
Calculator calculator = new Calculator();
var plSerious = calculator.CalculatePLs(optComb, new DateTime(2013, 07, 01), 100m, 380m, 0.003m, 0.5);
}