/// <summary>
/// Gets the margin currently alloted to the specified holding.
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the option</returns>
/// <remarks>
/// We fix the option to 1.5x the maintenance 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 MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
var underlyingRequirement = base.GetMaintenanceMargin(parameters.ForUnderlying(parameters.Quantity));
var positionSide = parameters.Quantity > 0 ? PositionSide.Long : PositionSide.Short;
return(GetMarginRequirement(_futureOption, underlyingRequirement, positionSide));
}
/// <summary>
/// Gets the margin currently alloted to the specified holding.
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the option</returns>
/// <remarks>
/// We fix the option to 1.5x the maintenance 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 MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
return(base.GetMaintenanceMargin(parameters.ForUnderlying(parameters.Quantity)) * FixedMarginMultiplier);
}