webcab.lib.finance.futures
Class DailyReporting

java.lang.Object
  |
  +--webcab.lib.finance.futures.DailyReporting

All Implemented Interfaces:

Serializable

public class DailyReporting

extends Object

implements Serializable

Within this class we consider methods related to the daily reporting and management of a futures trading account. This includes margin requirements, daily P&L, total equity and excess margin.

See Also:

Serialized Form

Constructor Summary

DailyReporting()
Creates a new instance.

Method Summary

int	aggregatePosition(int shortContracts, int longContracts) Calculates the aggregate number of futures contracts held.
double	excessMargin(double marginRequired, double totalEquity) Calculates the excess margin within a trading account.
double	exchange(double balance, double exchangeRate) Converts a cash balance into another currency.
double	margin(double price, double contractsHeld, double contractSize, double maintenanceRate) Calculates the margin required on a (long or short) futures position.
double	markToMarket(double firstDaysPrice, double secondDaysPrice, double contractsHeld, double contractSize) Calculates the over night mark-to-market P&L from a futures position.
double	priceAdjustment(double price, double adjustment) This function allows for price adjustments of the futures contract.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

DailyReporting

public DailyReporting()

Creates a new instance.

Method Detail

aggregatePosition

public int aggregatePosition(int shortContracts,
                             int longContracts)
                      throws DailyReportingDemoException

Calculates the aggregate number of futures contracts held.

Parameters:

shortContracts - the number of future contracts sold short

longContracts - the number of future contracts brought

DailyReportingDemoException

margin

public double margin(double price,
                     double contractsHeld,
                     double contractSize,
                     double maintenanceRate)
              throws DailyReportingDemoException

Calculates the margin required on a (long or short) futures position.

Parameters:

price - the present price of the underlying asset

contractsHeld - the total aggregate number of futures contracts held.

contractSize - the amount of the underlying asset which must be delivered against one contract

maintenanceRate - in percent of the value of the underlying assets which need to be deposited with the future broker as margin for the outstanding futures contract in decimal format (i.e. 1 percent = 0.01)

DailyReportingDemoException

markToMarket

public double markToMarket(double firstDaysPrice,
                           double secondDaysPrice,
                           double contractsHeld,
                           double contractSize)
                    throws DailyReportingDemoException

Calculates the over night mark-to-market P&L from a futures position.

Parameters:

firstDaysPrice - the closing price on the first day

secondDaysPrice - the closing price on the second day

contractSize - the amount of the underlying asset which must be delivered for one contract held

contractsHeld - aggregate number of future contracts held

DailyReportingDemoException

excessMargin

public double excessMargin(double marginRequired,
                           double totalEquity)
                    throws DailyReportingDemoException

Calculates the excess margin within a trading account.

Parameters:

marginRequired - the margin required to support the present positions

totalEquity - the total amount of equity within the account

DailyReportingDemoException

exchange

public double exchange(double balance,
                       double exchangeRate)
                throws DailyReportingDemoException

Converts a cash balance into another currency.

Parameters:

balance - the cash balance in the base currency

exchangeRate - the exchange rate between the two currencies

DailyReportingDemoException

priceAdjustment

public double priceAdjustment(double price,
                              double adjustment)
                       throws DailyReportingDemoException

This function allows for price adjustments of the futures contract. This may occur when dividends are paid or there is a change in capital structure.

Parameters:

price - the price of the futures contract

adjustment - the absolute price adjustment of the futures contract

DailyReportingDemoException