wehub-resource-sync
440 lines
24 KiB
C#
440 lines
24 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using QuantConnect.Tests.Engine;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.Option;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class FutureOptionMarginBuyingPowerModelTests
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{
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[Test]
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public void MarginWithNoFutureOptionHoldings()
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{
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const decimal price = 2300m;
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var time = new DateTime(2020, 10, 14);
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var expDate = new DateTime(2021, 3, 19);
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var tz = TimeZones.NewYork;
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
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var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m, new DateTime(2021, 3, 19));
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var optionSecurity = new Option(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = price, Time = time });
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optionSecurity.Underlying.Holdings.SetHoldings(1.5m, 1);
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var futureBuyingPowerModel = new FutureMarginModel(security: optionSecurity.Underlying);
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var futureOptionBuyingPowerModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
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// we don't hold FOPs!
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Assert.AreEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
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Assert.AreNotEqual(0m, futureBuyingPowerModel.GetMaintenanceMargin(optionSecurity.Underlying));
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Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetInitialMarginRequirement(optionSecurity, 10));
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}
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[Test]
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public void MarginWithFutureAndFutureOptionHoldings()
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{
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const decimal price = 2300m;
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var time = new DateTime(2020, 10, 14);
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var expDate = new DateTime(2021, 3, 19);
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var tz = TimeZones.NewYork;
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
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var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
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new DateTime(2021, 3, 19));
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var optionSecurity = new Option(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying.SetMarketPrice(new Tick {Value = price, Time = time});
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optionSecurity.Holdings.SetHoldings(1.5m, 1);
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optionSecurity.Underlying.Holdings.SetHoldings(1.5m, 1);
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var futureOptionBuyingPowerModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
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Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
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}
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[Test]
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public void MarginWithFutureOptionHoldings()
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{
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const decimal price = 2300m;
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var time = new DateTime(2020, 10, 14);
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var expDate = new DateTime(2021, 3, 19);
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var tz = TimeZones.NewYork;
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
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var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
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new DateTime(2021, 3, 19));
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var optionSecurity = new Option(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = price, Time = time });
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optionSecurity.Holdings.SetHoldings(1.5m, 1);
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var futureBuyingPowerModel = new FutureMarginModel(security: optionSecurity.Underlying);
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var futureOptionBuyingPowerModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
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Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
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Assert.AreEqual(0, futureBuyingPowerModel.GetMaintenanceMargin(optionSecurity.Underlying));
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}
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[Test]
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public void OptionExerciseWhenFullyInvested()
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{
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var algorithm = new AlgorithmStub();
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algorithm.SetFinishedWarmingUp();
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var backtestingTransactionHandler = new BacktestingTransactionHandler();
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using var brokerage = new BacktestingBrokerage(algorithm);
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algorithm.Transactions.SetOrderProcessor(backtestingTransactionHandler);
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backtestingTransactionHandler.Initialize(algorithm, brokerage, new TestResultHandler());
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try
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{
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const decimal price = 2600m;
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var time = new DateTime(2020, 10, 14);
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var expDate = new DateTime(2021, 3, 19);
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
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var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
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new DateTime(2021, 3, 19));
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var optionSecurity = algorithm.AddOptionContract(symbol);
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optionSecurity.Underlying = algorithm.AddFutureContract(future);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = price, Time = time });
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optionSecurity.SetMarketPrice(new Tick { Value = 150, Time = time });
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optionSecurity.Holdings.SetHoldings(1.5m, 10);
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algorithm.SetDateTime(time.AddHours(14)); // 10am
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var ticket = algorithm.ExerciseOption(optionSecurity.Symbol, 10, true);
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// Process orders
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backtestingTransactionHandler.ProcessSynchronousEvents();
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Assert.AreEqual(OrderStatus.Filled, ticket.Status);
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}
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finally
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{
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backtestingTransactionHandler.Exit();
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}
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}
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[Test]
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public void MarginRequirementsAreSetCorrectly()
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{
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var expDate = new DateTime(2021, 3, 19);
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var tz = TimeZones.NewYork;
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
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var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
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new DateTime(2021, 3, 19));
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var futureSecurity = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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futureSecurity
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);
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var futureMarginModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = 1500, Time = new DateTime(2001, 01, 07) });
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var initialIntradayMarginRequirement = futureMarginModel.InitialIntradayMarginRequirement;
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var maintenanceIntradayMarginRequirement = futureMarginModel.MaintenanceIntradayMarginRequirement;
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var initialOvernightMarginRequirement = futureMarginModel.MaintenanceOvernightMarginRequirement;
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var maintenanceOvernightMarginRequirement = futureMarginModel.InitialOvernightMarginRequirement;
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Assert.AreNotEqual(0, initialIntradayMarginRequirement);
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Assert.AreNotEqual(0, maintenanceIntradayMarginRequirement);
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Assert.AreNotEqual(0, initialOvernightMarginRequirement);
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Assert.AreNotEqual(0, maintenanceOvernightMarginRequirement);
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}
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// Long Call initial
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[TestCase(10, 70000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(23.5, 69000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(30.5, 68000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(55, 50000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(66, 30000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(72, 17000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(87, 3700, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(108.5, 1000, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(125, 570, OptionRight.Call, PositionSide.Long, 59375)]
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[TestCase(1000, 0, OptionRight.Call, PositionSide.Long, 59375)]
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// Long Call maintenance
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[TestCase(10, 56000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(23.5, 55000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(30.5, 54000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(55, 40000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(66, 24000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(72, 14000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(87, 3600, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(108.5, 1000, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(125, 540, OptionRight.Call, PositionSide.Long, 47500)]
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[TestCase(1000, 0, OptionRight.Call, PositionSide.Long, 47500)]
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// Short Call initial
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[TestCase(10, 59400, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(23.5, 59680, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(30.5, 59750, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(55, 56712, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(66, 48134, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(72, 43492, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(87, 28960, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(108.5, 11373, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(125, 3900, OptionRight.Call, PositionSide.Short, 59375)]
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[TestCase(1000, 0, OptionRight.Call, PositionSide.Short, 59375)]
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// Long Put initial
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[TestCase(10, 45, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(18, 171, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(26.5, 537, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(37.5, 1920, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(47.5, 6653, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(69.5, 48637, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(83, 59201, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(108, 60000, OptionRight.Put, PositionSide.Long, 59375)]
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[TestCase(152, 59475, OptionRight.Put, PositionSide.Long, 59375)]
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// Long Put maintenance
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[TestCase(10, 45, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(18, 171, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(26.5, 537, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(37.5, 1920, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(47.5, 6653, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(69.5, 38910, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(83, 47361, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(108, 48000, OptionRight.Put, PositionSide.Long, 47500)]
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[TestCase(152, 47580, OptionRight.Put, PositionSide.Long, 47500)]
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// Short Put initial
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[TestCase(10, 23729, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(18, 33859, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(26.5, 40000, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(37.5, 52714, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(47.5, 58414, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(69.5, 72647, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(83, 73160, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(108, 71782, OptionRight.Put, PositionSide.Short, 59375)]
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[TestCase(152, 70637, OptionRight.Put, PositionSide.Short, 59375)]
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public void MarginRequirementCrudeOil(decimal strike, double expected, OptionRight optionRight, PositionSide positionSide, decimal underlyingRequirement)
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{
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var tz = TimeZones.NewYork;
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var expDate = new DateTime(2021, 3, 19);
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Energy.CrudeOilWTI;
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var future = Symbol.CreateFuture(ticker, Market.NYMEX, expDate);
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var symbol = Symbol.CreateOption(future, Market.NYMEX, OptionStyle.American, optionRight, strike,
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new DateTime(2021, 3, 19));
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var futureSecurity = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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futureSecurity
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);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = 60, Time = new DateTime(2001, 01, 07) });
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var marginRequirement = FuturesOptionsMarginModel.GetMarginRequirement(optionSecurity, underlyingRequirement, positionSide);
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Log.Debug($"Side {positionSide}. Right {optionRight}. Strike {strike}. Margin: {marginRequirement}");
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Assert.AreEqual(expected, marginRequirement, (double)underlyingRequirement * 0.30d);
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}
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// Long Call initial
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[TestCase(1300, 154000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(1755, 97000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(1805, 84000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(1900, 55000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(2040, 24000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(2100, 16000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(2295, 5000, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(3000, 740, OptionRight.Call, PositionSide.Long, 112729)]
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[TestCase(4000, 180, OptionRight.Call, PositionSide.Long, 112729)]
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public void MarginRequirementGold(decimal strike, double expected, OptionRight optionRight, PositionSide positionSide, decimal underlyingRequirement)
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{
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var tz = TimeZones.NewYork;
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var expDate = new DateTime(2021, 3, 19);
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Metals.Gold;
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var future = Symbol.CreateFuture(ticker, Market.COMEX, expDate);
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var symbol = Symbol.CreateOption(future, Market.COMEX, OptionStyle.American, optionRight, strike,
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new DateTime(2021, 3, 19));
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var futureSecurity = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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futureSecurity
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);
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optionSecurity.Underlying.SetMarketPrice(new Tick { Value = 1887, Time = new DateTime(2001, 01, 07) });
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var marginRequirement = FuturesOptionsMarginModel.GetMarginRequirement(optionSecurity, underlyingRequirement, positionSide);
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Log.Debug($"Side {positionSide}. Right {optionRight}. Strike {strike}. Margin: {marginRequirement}");
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Assert.AreEqual(expected, marginRequirement, (double)underlyingRequirement * 0.30d);
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}
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// Long Call initial
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[TestCase(2200, 16456, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(3200, 15582, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(3500, 14775, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(3570, 14310, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(4190, 7128, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(4370, 4089, OptionRight.Call, PositionSide.Long, 15632)]
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[TestCase(4900, 233, OptionRight.Call, PositionSide.Long, 15632)]
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// Short Call initial
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[TestCase(2200, 17069, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(3200, 16716, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(3500, 16409, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(3570, 16222, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(4190, 14429, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(4370, 13003, OptionRight.Call, PositionSide.Short, 15632)]
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[TestCase(4900, 6528, OptionRight.Call, PositionSide.Short, 15632)]
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public void MarginRequirementEs(decimal strike, double expected, OptionRight optionRight, PositionSide positionSide, decimal underlyingRequirement)
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{
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var tz = TimeZones.NewYork;
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var expDate = new DateTime(2021, 3, 19);
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// For this symbol we dont have any history, but only one date and margins line
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var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
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var future = Symbol.CreateFuture(ticker, Market.Globex, expDate);
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var symbol = Symbol.CreateOption(future, Market.Globex, OptionStyle.American, optionRight, strike,
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new DateTime(2021, 3, 19));
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|
|
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var futureSecurity = new Future(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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|
ErrorCurrencyConverter.Instance,
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|
RegisteredSecurityDataTypesProvider.Null
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|
);
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var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
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SecurityExchangeHours.AlwaysOpen(tz),
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|
new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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|
ErrorCurrencyConverter.Instance,
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|
RegisteredSecurityDataTypesProvider.Null,
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|
new SecurityCache(),
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|
futureSecurity
|
|
);
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|
optionSecurity.Underlying.SetMarketPrice(new Tick { Value = 4172, Time = new DateTime(2001, 01, 07) });
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|
var marginRequirement = FuturesOptionsMarginModel.GetMarginRequirement(optionSecurity, underlyingRequirement, positionSide);
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|
|
|
Log.Debug($"Side {positionSide}. Right {optionRight}. Strike {strike}. Margin: {marginRequirement}");
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|
Assert.AreEqual(expected, marginRequirement, (double)underlyingRequirement * 0.30d);
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|
}
|
|
}
|
|
}
|