/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity of shares</param>
/// <returns>The initial margin required for the option (i.e. the equity required to enter a position for this option)</returns>
/// <remarks>
/// We fix the option to 1.5x the initial because of its close coupling with the underlying.
/// The option's contract multiplier is 1x, but might be more sensitive to volatility shocks in the long
/// run when it comes to calculating the different market scenarios attempting to simulate VaR, resulting
/// in a margin greater than the underlying's margin.
/// </remarks>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
var underlyingRequirement = base.GetInitialMarginRequirement(parameters.ForUnderlying()).Value;
var positionSide = parameters.Quantity > 0 ? PositionSide.Long : PositionSide.Short;
return(new InitialMargin(GetMarginRequirement(_futureOption, underlyingRequirement, positionSide)));
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity of shares</param>
/// <returns>The initial margin required for the option (i.e. the equity required to enter a position for this option)</returns>
/// <remarks>
/// We fix the option to 1.5x the initial because of its close coupling with the underlying.
/// The option's contract multiplier is 1x, but might be more sensitive to volatility shocks in the long
/// run when it comes to calculating the different market scenarios attempting to simulate VaR, resulting
/// in a margin greater than the underlying's margin.
/// </remarks>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
return(new InitialMargin(FixedMarginMultiplier
* base.GetInitialMarginRequirement(parameters.ForUnderlying()).Value
));
}
