public static void ComputeBookRisk(BookPosition pos, InstrumentPosition instruPos)
{
pos.Delta += instruPos.Delta;
pos.StickyDelta += instruPos.StickyDelta;
pos.Gamma += instruPos.Gamma;
pos.Vega += instruPos.Vega;
pos.Theta += instruPos.Theta;
}
public static void ComputeBookPosition(BookPosition pos, InstrumentPosition instruPos)
{
pos.RealisedPnl += instruPos.RealisedPnl;
pos.YtdRealisedPnl += instruPos.YtdRealisedPnl;
pos.UnrealisedPnl += instruPos.UnrealisedPnl;
pos.FairUnrealisedPnl += instruPos.FairUnrealisedPnl;
if (instruPos.InstruType == "OPTION")
{
pos.Cash += instruPos.RealisedPnl - instruPos.Value * instruPos.AvgPrice;
}
if (instruPos.InstruType == "FUTURE")
{
pos.Cash += instruPos.RealisedPnl;
}
}