A real-time component interface is available for PC-SPAN version 4. With this additional software module, you can develop programs which interface to PC-SPAN in real-time.
For example, suppose a customer requests an order. Using the component interface, your program can call PC-SPAN, specify the updated position that will result from the order, request that the performance bond be calculated, and receive back the updated performance bond requirement -- all with extremely rapid execution times.
The SPAN Risk Manager Clearing software also has a real-time component interface. With this software module, in addition to everything you can do with the component interface to PC-SPAN, you can develop programs which execute the functions of the SPAN Risk Manager Clearing in real-time.
For example, you could programmatically update market prices for futures and physicals, and then recalculate volatilities, theoretical prices and risk arrays, with extremely fast.
This document provides a technical reference to the real-time component interfaces for PC-SPAN, SPAN Risk Manager, and SPAN Risk Manager Clearing.
Below is an example of calling the component interface from Visual C++ code.
#include <stdio.h>
int main(int argc, char* argv[])
{
if(FAILED(::CoInitialize(NULL))) return 1;
ISpanCom* pSpanCom;
if(SUCCEEDED(::CoCreateInstance(CLSID_SpanCom, NULL, CLSCTX_LOCAL_SERVER,
__uuidof(ISpanCom), (LPVOID*)
&pSpanCom)))
{
printf( "Success\n");
// pSpanCom->Load("C:\\cme0216s.par",1,0);
pSpanCom->Release();
}
else printf("Fail\n");
::CoUninitialize();
return 0;
}
short Load(BSTR fileName, boolean replaceExc, boolean useExtLayout);
Description:
Load any SPAN recognized file into PC-SPAN, including SPAN files (*.SPN),
classic "flat-files" (*.PA2), position files (*.txt and *.pos), etc. All position files (*.txt and *.pos)
require corresponding risk parameter files to be already loaded. Positions are loaded into the currently
selected point in time. If this point in time is not present positions are loaded into the first
available point in time.
For more details on supported file formats, click here.
Parameters:
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short Save(BSTR fileName);
Description:
Saves all the information from PC-SPAN into a file.
Parameters:
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short SelectPIT(BSTR busDate, short isSettle, short isFinal, BSTR busTime, BSTR description);
Description:
Selects a specified point in time as current point in time. Once selected, a point in time remains selected until it is reset, a different point in time is selected, or until the point in time is cleared.
Parameters:
Remarks:
If busDate is empty and the isSettle is -1, the rest of the parameters are ignored and first available point in time is selected. If either isSettle or isFinal is set to –1 this parameter and all parameters following it are ignored. If busTime or description is empty it is ignored.
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short SelectPortfolio(BSTR firmCode, BSTR acctCode, BSTR segType);
Description:
Selects specified portfolio as current. This method searches for the specified portfolio in the currently selected point in time. If point in time is not selected it fails.
Parameters:
Remarks:
If all parameters are empty, the first portfolio will be selected. Any combination of parameters may be used.
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
void ResetPIT();
Description:
Sets currently selected point in time to NULL (removes selection). Also resets portfolio selection.
Parameters:
None
Remarks:
When the point in time selection is reset, the point in time is still available. It is merely no longer selected as the active point in time.
Return Value:
None
void ResetPortfolio();
Description:
Sets currently selected portfolio to NULL (removes selection).
Parameters:
None
Remarks:
When this call is made, the portfolio is still available. It is no longer selected as the active portfolio. The point in time selection is not affected by this call.
Return Value:
None
short Calculate();
Description:
Performs SPAN requirements calculations for the currently selected object. If portfolio selection is not NULL it does calculations only for the selected portfolio. If it is NULL and point in time selection is not NULL it does calculations for all portfolios in the selected point in time. If both selected portfolio and selected point in time are NULL it does calculations for all points in time and portfolios loaded into PC-SPAN.
Parameters:
None
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
double GetPortfSpanReq(short pbClass, boolean isInitial);
Description:
Returns SPAN requirement calculated for the selected portfolio. If a portfolio is not selected (NULL) or if Calculate has not been called, the return is 0.
Parameters:
Return Value:
double - Returns SPAN requirement calculated for the selected portfolio.
double GetPortfTotalReq(short pbClass, boolean isInitial);
Description:
Returns Total requirement calculated for the selected portfolio. If a portfolio is not selected (NULL) or if Calculate has not been called, the return is 0.
Parameters:
Return Value:
double - Returns Total requirement calculated for the selected portfolio.
double GetCurPortfSpanReq(short pbClass, boolean isInitial, BSTR curCode);
Description:
Returns SPAN requirement calculated for the selected portfolio for the specified currency. If a portfolio is not selected (NULL), or if an invalid curCode is passed, or if Calculate has not been called, the return is 0.
Parameters:
Return Value:
double - Returns SPAN requirement calculated for the selected portfolio for the specified currency.
double GetCurPortfTotalReq(short pbClass, boolean isInitial, BSTR curCode);
Description:
Returns Total requirement calculated for the selected portfolio for the specified currency. If a portfolio is not selected (NULL), or if an invalid curCode is passed, or if Calculate has not been called, the return is 0.
Parameters:
Return Value:
double - Returns Total requirement calculated for the selected portfolio for the specified currency.
void Delete();
Description:
Deletes currently selected object from PC-SPAN. If a portfolio selection has been made, it deletes only the selected portfolio. If it is not selected (NULL) and a point in time selection is selected (NULL) it deletes the selected point in time. If both neither a portfolio or a point in time are selected (both NULL), then the whole contents of the PC-SPAN is deleted.
Parameters:
None
Return Value:
None
double GetPortfLongFutValue();
Description:
Returns long futures value calculated for the selected portfolio. If portfolio is not selected (NULL) it returns 0.
Parameters:
None
Return Value:
double - Returns long futures value for selected portfolio.
double GetPortfShortFutValue();
Description:
Returns short futures value calculated for the selected portfolio. If portfolio is not selected (NULL) it returns 0.
Parameters:
None
Return Value:
double - Returns short futures value for selected portfolio.
double GetPortfLongOptValue();
Description:
Returns long options value calculated for the selected portfolio. If portfolio is not selected (NULL) it returns 0.
Parameters:
None
Return Value:
double - Returns long options value for selected portfolio.
double GetPortfShortOptValue();
Description:
Returns short options value calculated for the selected portfolio. If portfolio is not selected (NULL) it returns 0.
Parameters:
None
Return Value:
double - Returns short options value for selected portfolio.
void SetLogLevel(short processId, short priorityId);
Description:
Use this method to specify logging level for PC-SPAN.
Parameters
| PROC_ID_LOAD_RISK | = 10; |
| PROC_ID_LOAD_POS | = 20; |
| PROC_ID_LOAD_XML | = 30; |
| PROC_ID_OMNIBUS | = 40; |
| PROC_ID_CALC_START | = 51; |
| PROC_ID_CALC_PBOND | = 60; |
| PROC_ID_CALC_SPREAD | = 70; |
| PROC_ID_CALC_LIQ_RISK | = 80; |
| PROC_ID_CALC_DETAIL_START | = 101; |
| PROC_ID_CALC_SPREAD_DETAIL | = 110; |
| PROC_ID_CALC_LIQ_RISK_DETAIL | = 120; |
| PROC_ID_CALC_POS_DETAIL | = 130; |
| PROC_ID_UPPER | = -1; |
| PRIORITY_ID_LOW | = -1; |
| PRIORITY_ID_NORMAL | = 10; |
| PRIORITY_ID_WARNING | = 20; |
| PRIORITY_ID_ERROR | = 30; |
Remarks:
Default values are 0 (processId) and 30 (priorityId - only errors) are logged.
Return Value:
None
void LogSave(BSTR fileName);
Description:
Saves PC-SPAN log into the file specified by fileName.
Parameters:
fileName - BSTR - The file name to save the log as.
Return Value:
None
short CreatePortfolio(BSTR firmCode, BSTR acctCode, BSTR segType);
Description:
Creates a new portfolio with specified parameters in the selected point in time and selects it as current. The call will fail if a point in time is not selected. If portfolio with given parameters already exist selects the existing portfolio as current (the call does not create a duplicate one).
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SetPortfAcctType(BSTR acctType, boolean isClearing);
Description:
Sets account type for the selected portfolio. If portfolio is not selected the call will fail. If the specified account type is not found in the organization master database the call will fail. The selected portfolio can not have positions already defined otherwise the call will fail.
Parameters:
| N | - normal |
| M | - member |
| H | - hedge |
| S | - speculator |
| O | - omnibus (speculator) |
| Q | - omnibus (hedge). |
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SetPortfParent(BSTR firmCode, BSTR acctCode, BSTR segType);
Description:
Sets parent portfolio for the selected portfolio by finding a portfolio using the parameters provided. Used only for omnibus accounts. Only omnibus account can be a parent of another portfolio. Only one level of parents is supported. Fails if portfolio is not selected, parent portfolio can not be found or omnibus rules are violated.
Parameters:
Return Value
short - Returns 0 (success) or non-zero (failure).
short SetPortfCurrency(BSTR currencyCode);
Description:
Sets currency for the selected portfolio.
Parameters
Remarks
The call will fail if a portfolio is not selected or if the currency parameter is not defined in the organization master database.
Return Value
short - Returns 0 (success) or non-zero (failure).
BSTR GetPortfCurrency();
Description:
Returns a three-letter ISO code for the currency of the selected portfolio. If a portfolio is not selected or the currency for it is not specified method returns an empty string.
Parameters:
None
Return Value:
BSTR - Returns an ISO code for the selected portfolio currency.
short SetPortfLedgerBalance(double value);
Description:
Sets ledger balance for the selected portfolio. Fails if portfolio is not selected.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
double GetPortfLedgerBalance();
Description:
Returns ledger balance for the selected portfolio. If portfolio is not selected, the call will fail.
Parameters:
None
Return Value:
double - Returns the ledge balance or 0 if no portfolio is selected.
short SavePortfolios(BSTR filename);
Description:
Saves portfolios to a file.
Parameters:
Remarks:
If a portfolio is selected, only the selected portfolio will be saved. If a portfolio is not selected but a point in time is selected, all of the portfolios belonging to the selected point in time will be saved. A portfolio or a point in time must be selected, otherwise the call will fail.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SetPortfOpenTradeEquity(double value);
Description:
Sets open trade equity for the selected portfolio. Fails if portfolio is not selected.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
double GetPortfOpenTradeEquity();
Description:
Returns open trade equity for the selected portfolio. If a portfolio is not selected, the return will be 0.
Parameters:
None
Return Value:
double - Returns open trade equity or 0 if no portfolio is selected.
short SetPortfSecurityOnDeposit(double value);
Description:
Sets security on deposit for the selected portfolio. The call will fail if a portfolio is not selected.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
double GetPortfSecurityOnDeposit();
Description:
Returns security on deposit for the selected portfolio. If a portfolio is not selected returns 0.
Parameters:
None
Return Value:
double - Returns the security on deposit or 0 if no portfolio is selected.
short SetPortfPosition(BSTR exchCmplxAcro, BSTR exchAcro, BSTR pfCode, short pfType, BSTR futPeriod, BSTR optPeriod, boolean isPut, double strike, long totalLong, long totalShort, long intraLong, long intraShort, long interLong, long interShort, long nakedLong, long nakedShort);
Description:
Sets positions in the selected portfolio in the specified contract. If portfolio is not selected or contract can not be found the method will fail.
Parameters:
| 1 | - physical |
| 2 | - debt |
| 3 | - stock |
| 11 | - future |
| 12 | - equivalence debt |
| 14 | - forward |
| 15 | - interest rate swap |
| 16 | - E-Debt |
| 17 | - credit rate swap |
| 21 | - option on physical |
| 22 | - option on future |
| 23 | - option on equity |
| 31 | - combination |
| 41 | - option on combination |
Remarks:
If number of positions specified is inconsistent totalLong < intraLong + intraShort or totalShort < intraShort + interShort, then method fails. If a portfolio hasn't been selected, the method will fail.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short ChangePortfPosition(BSTR exchCmplxAcro, BSTR exchAcro, BSTR pfCode, short pfType, BSTR futPeriod, BSTR optPeriod, boolean isPut, double strike, long totalLong, long totalShort, long intraLong, long intraShort, long interLong, long interShort, long nakedLong, long nakedShort);
Description:
Modifies positions in the selected portfolio in the specified contract. If portfolio is not selected or contract can not be found method fails.
Parameters:
| 1 | - physical |
| 2 | - debt |
| 3 | - stock |
| 11 | - future |
| 12 | - equivalence debt |
| 14 | - forward |
| 15 | - interest rate swap |
| 16 | - E-Debt |
| 17 | - credit rate swap |
| 21 | - option on physical |
| 22 | - option on future |
| 23 | - option on equity |
| 31 | - combination |
| 41 | - option on combination |
Remarks:
If number of positions specified is inconsistent totalLong < intraLong + intraShort or totalShort < intraShort + interShort, then method fails. If a portfolio hasn't been selected, the method will fail.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SavePositions(BSTR fileName);
Description:
Saves positions for the selected object into the file, specified by fileName.
Parameters:
Remarks:
If selected portfolio is not NULL saves only positions for selected portfolio. If selected portfolio is NULL, but selected point in time is not saves positions for all portfolios in the selected point in time. If both selected portfolio and selected point in time are NULL method fails.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SaveCDSPositions(BSTR fileName);
Description:
Credit editions of SPAN only. Saves CDS positions for the selected object in to the file specified by fileName.
Parameters:
Remarks:
This call is applicable to PC-Credit only. If selected portfolio is not NULL saves only positions for selected portfolio. If selected portfolio is NULL, but selected point in time is not saves positions for all portfolios in the selected point in time. If both selected portfolio and selected point in time are NULL method fails.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short LoadStream(SAFEARRAY(BYTE) data);
Description:
Similar to the Load method, this method will load document passed directly in through the data parameter byte array. This method can bypass the need to save a newly constructed document to disk for the sole purpose of loading it in to SPAN.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SelectExchangeComplex(BSTR excAcro);
Description:
Selects specified exchange complex as current. excAcro is an acronym used to identify exchange complex. A Point In Time should be already selected prior to calling this method. Call to this method automatically resets BFCC and product family selection.
Parameters:
excAcro - BSTR - The exchange complex to select.
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SelectBFCC(BSTR ccCode);
Description:
Selects specified BFCC as current. Exchange Complex should be already selected prior to calling this method. Call to this method automatically resets product family selection.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short SelectProductFamily(BSTR exchCode, BSTR pfCode, short pfType);
Description:
Selects specified product family as current.
Parameters:
| 1 | - physical |
| 2 | - debt |
| 3 | - stock |
| 11 | - future |
| 12 | - equivalence debt |
| 14 | - forward |
| 15 | - interest rate swap |
| 16 | - E-Debt |
| 17 | - credit rate swap |
| 21 | - option on physical |
| 22 | - option on future |
| 23 | - option on equity |
| 31 | - combination |
| 41 | - option on combination |
Remarks:
BFCC should be already selected prior to calling this method.
Return Value:
short - Returns 0 (success) or non-zero (failure).
void ResetExchangeComplex();
Description:
Sets currently selected exchange complex to NULL (removes selection). Also resets BFCC and Product Family selection.
Parameters:
None
Return Value:
None
void ResetBFCC();
Description:
Sets currently selected BFCC to NULL (removes selection). Also resets Product Family selection.
Parameters:
None
Return Value:
None
void ResetProductFamily();
Description:
Sets currently selected product family to NULL (removes selection).
Parameters:
None
Return Value:
None
short CalcImpliedVolatility(boolean flatCabVol);
Description:
Calculates Implied Volatilities for selected object. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short CalcCallPutAverage(boolean outMoney, boolean acceptZero);
Description:
Does Call/Put Averaging for selected object. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short CalcSeriesVolatility(boolean useZero, double minExpTime, short maxIn, short maxOut, short minAccept);
Description:
Calculates Series Level Volatilities for selected object. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
Return Value:
short - Returns 0 (success) or non-zero (failure).
short CalcPrice(short meth, boolean resetAll);
Description:
Calculates Theoretical Prices for selected object. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
| 1 | - Use option/series level volatility |
| 2 | - Use option level volatility only |
| 3 | - Use series level volatility only |
Return Value:
short - Returns 0 (success) or non-zero (failure).
short CalcRiskArray(short meth, short limitMeth, boolean useTheorPrice);
Description:
Calculates Risk Arrays for selected object. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
| 1 | - Use option/series level volatility |
| 2 | - Use option level volatility only |
| 3 | - Use series level volatility only |
| 0 | - Regular limit |
| 1 | - Limit Loss Option |
| 2 | - Limit Gain Option |
| 3 | - Limit Option |
| 4 | - Limit Range |
| 5 | - Limit Loss Option Range |
| 6 | - Limit Gain Option Range |
| 7 | - Limit Option Range |
Return Value:
short - Returns 0 (success) or non-zero (failure).
void UpdatePrice(double value, short meth);
Description:
Use this method to Update Prices. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update price using value and one of the methods below.
Parameters:
| 0 | (SET) - Set price to value. |
| 1 | (CHG) - Change price by value |
| 2 | (PCNT) - Change price by value % |
Return Value:
None
void UpdateVolatility(double value, short meth);
Description:
Use this method to Update Volatilities. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update volatilities using value and one of the methods below.
Parameters:
| 0 | (SET) - Set volatility to value. |
| 1 | (CHG) - Change volatility by value |
| 2 | (PCNT) - Change volatility by value % |
Return Value:
None
void UpdatePriceScan(double value, short meth);
Description:
Use this method to Update Price Scans. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update price scans using value and one of the methods below.
Parameters:
| 0 | (SET) - Set price scan to value. |
| 1 | (CHG) - Change price scan by value |
| 2 | (PCNT) - Change price scan by value % |
Return Value:
None
void UpdateVolScan(double value, short meth);
Description:
Use this method to Update Volatility Scans. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update volatility scans using value and one of the methods below.
Parameters:
| 0 | (SET) - Set volatility scan to value. |
| 1 | (CHG) - Change volatility scan by value |
| 2 | (PCNT) - Change volatility scan by value % |
Return Value:
None
void UpdateRiskFreeRate(double value, short meth);
Description:
Use this method to Update Risk-Free Rates. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update risk free rates using value and one of the methods below.
Parameters:
| 0 | (SET) - Set risk free rate to value. |
| 1 | (CHG) - Change risk free rate by value |
| 2 | (PCNT) - Change risk free rate by value % |
Return Value:
None
void UpdateDividendYield(double value, short meth);
Description:
Use this method to Update Dividend Yields. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update dividend yields using value and one of the methods below.
Parameters:
| 0 | (SET) - Set dividend yield to value. |
| 1 | (CHG) - Change dividend yield by value |
| 2 | (PCNT) - Change dividend yield by value % |
Return Value:
None
void UpdateTimeToExpiration(double value, short meth);
Description:
Use this method to Update Times to Expiration. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update time to expiration using value and one of the methods below.
Parameters:
| 0 | (SET) - Set time to expiration to value. |
| 1 | (CHG) - Change time to expiration by value |
| 2 | (PCNT) - Change time to expiration by value % |
Return Value:
None
short UpdateCDSValue(short valueType, double value, short meth);
Description:
Use this method to Update credit default swap values. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time. It will update a credit default swap value using value and one of the methods below.
Parameters:
| 1 | - Systematic shock - Applies to combined commodity level |
| 2 | - Convergence shock (IG_COMP) - Applies to Exchange Complex level |
| 3 | - Divergence shock (HY_COMP) - Applies to Exchange Complex level |
| 5 | - Sector shock - Applies to combined commodity level |
| 0 | (SET) - Set dividend yield to value. |
| 1 | (CHG) - Change dividend yield by value |
| 2 | (PCNT) - Change dividend yield by value % |
Return Value:
short - Returns 0 (a value was successfully updated) or non-zero (failure).
short SetStartPeriod(BSTR periodCode);
Description:
Filters the start period of the selected product family
Parameters:
Remarks:
A product family must be selected. The start period code will be cleared when a blank string is passed, or if one of the following methods is called: ResetPeriods, SelectPIT, ResetPIT, Delete, SelectExchangeComplex, SelectBFCC, SelectProductFamily, ResetExchangeComplex, ResetBFCC, or ResetProductFamily
Return Value:
short - Returns 0 (success) or non-zero (failure - PF not selected).
short SetEndPeriod(BSTR periodCode);
Description:
Filters the end period of the selected product family
Parameters:
Remarks:
A product family must be selected. The end period code will be cleared when a blank string is passed, or if one of the following methods is called: ResetPeriods, SelectPIT, ResetPIT, Delete, SelectExchangeComplex, SelectBFCC, SelectProductFamily, ResetExchangeComplex, ResetBFCC, or ResetProductFamily
Return Value:
short - Returns 0 (success) or non-zero (failure - PF not selected).
void ResetPeriods();
Description:
Reset the start period and end period filters
Parameters:
None
Return Value:
None
short CopyPIT(BSTR description, BSTR busDate, short isSettle, short isFinal, BSTR busTime);
Description:
Use this method to copy Point In Time. This method creates new Point In Time object exactly matching the selected Point In Time. Attributes of the newly created Point In Time will be changed using parameters specified for the method. If Point In Time with these attributes already exists an error will be generated. Point In Time should be selected prior to using this method. If no Point In Time is selected an error will be generated. This method does not affect selected Point In Time.
Parameters:
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
void DoMarketObservation();
Description:
Calculate a marked to market observation on the currently selected point in time.
Parameters:
None
Return Value:
None
void ResetMarketPrices();
Description:
Reset a marked to market observation on the selected point in time.
Parameters:
None
Return Value:
None
double GetPortfMTMFut();
Description:
Returns the marked to market future position on the selected portfolio.
Parameters:
None
Return Value:
double - the marked to market future position, or 0 if a portfolio is not selected
double GetPortfMTMPrem();
Description:
Returns the marked to market amount for premium style positions on the selected portfolio.
Parameters:
None
Return Value:
double - the marked to market option premium, or 0 if a portfolio is not selected
double GetPortfMTMTFut();
Description:
Returns the marked to market future style open trades on the selected portfolio.
Parameters:
None
Return Value:
double - the marked to market future trade, or 0 if a portfolio is not selected
double GetPortfMTMTPrem();
Description:
Returns the marked to market amount for premium style open trades on the selected portfolio.
Parameters:
None
Return Value:
double - the marked to market option premium trade, or 0 if a portfolio is not selected
double GetPortfUnrealizedPL();
Description:
Returns the unrealized P/L for the selected portfolio.
Parameters:
None
Return Value:
double - the unrealized P/L, or 0 if a portfolio is not selected
double GetPortfRealizedPLOpen();
Description:
Returns the realized P/L on open trades for the selected portfolio.
Parameters:
None
Return Value:
double - the realized open P/L, or 0 if a portfolio is not selected
double GetPortfRealizedPLLiq();
Description:
Returns the realized P/L for liquid dated trades on the selected portfolio.
Parameters:
None
Return Value:
double - the realized P/L liquidity, or 0 if a portfolio is not selected
short SaveRegistryTo(BSTR fileName);
Description:
Saves the trade registry to a specified location.
Parameters:
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short ApplyWhatIf(BSTR fileName, boolean doCalc);
Description:
Use this method to apply what-if scenario stored in the XML file fileName to the selected Point In Time. If Point In Time is not selected or file is not found, has incorrect format or is empty an error will be generated. Typical sequence of actions before using this command would include creation of a copy of a particular Point In Time. What-if scenario is applied to this copy:
Parameters:
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short CalcValues();
Description:
Calculate margin requirement. It works on the lowest level object already selected (portfolio or point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
None
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short CalcGreeks(short meth);
Description:
Calculate greeks. It works on the lowest level object already selected (product family, bfcc, exchange complex, point in time). If point in time is not selected it will work on all loaded points in time.
Parameters:
| 1 | - Use option/series level volatility |
| 2 | - Use option level volatility only |
| 3 | - Use series level volatility only |
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short ReplicateBasePrices();
Description:
Replicate base prices. It works on the lowest level object already selected (exchange complex or point in time). If neither an exchange complex nor a point in time is selected, the call will fail.
Parameters:
None
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short ApplyVolatilitySkew(short meth);
Description:
Skew volitility curve folowing a particular skew method. It works on the lowest level object already selected (exchange complex or point in time). If neither an exchange complex nor a point in time is selected, the call will fail.
Parameters:
| 0 | - Shifts the curve horizontally only |
| 1 | - Shifts the curve horizontally, vertical shift by Call/Put |
| 2 | - Shifts the curve horizontally, vertical shift by closest at the money or the average of Call/Put |
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short PostTrade(BSTR timeStamp, long tradeId, BSTR exchCmplxAcro, BSTR exchAcro, BSTR pfCode, short pfType, BSTR futPeriod, BSTR optPeriod, boolean isPut, double strike, double price, long tradeQty);
Description:
Post a trade to the selected portfolio. If a portfolio isn't selected, the call will fail. After a trade is posted to the portfolio, margin will be recalculated.
Parameters:
| 1 | - physical |
| 2 | - debt |
| 3 | - stock |
| 11 | - future |
| 12 | - equivalence debt |
| 14 | - forward |
| 15 | - interest rate swap |
| 16 | - E-Debt |
| 17 | - credit rate swap |
| 21 | - option on physical |
| 22 | - option on future |
| 23 | - option on equity |
| 31 | - combination |
| 41 | - option on combination |
Return Value:
short - Return value can be 0 (success) or non-zero (failure).
short ResetPrices(short prodType);
Description:
Reset prices for a given product type. It works on the lowest level object already selected (portfolio or point in time). If neither an exchange complex nor a point in time is selected, the call will fail.
Parameters:
| -1 | - All future based products |
| -2 | - All Option based products |
| 1 | - physical |
| 2 | - debt |
| 3 | - stock |
| 11 | - future |
| 12 | - equivalence debt |
| 14 | - forward |
| 15 | - interest rate swap |
| 16 | - E-Debt |
| 17 | - credit rate swap |
| 21 | - option on physical |
| 22 | - option on future |
| 23 | - option on equity |
| 31 | - combination |
| 41 | - option on combination |
Return Value:
short - Return value can be 0 (success) or non-zero (failure).