Calculate the total position as of a given date by applying a specified set of filters

Enums

PositionError

Errors related to position calculation

Functions

calc_delta_position

Given a PortfolioPosition, calculate changes to position by a given set of transactions.

calc_position

Calculate the total position since inception caused by a given set of transactions.

calculate_position_and_pnl

Calculate position and P&L since for list of transactions. All transaction with cash flow dates before the given date are taken into account and valued using the latest available quote before midnight of that date.

calculate_position_for_period

Calculate position and P&L changes for a given range of dates. The date range is inclusive, i.e. all transactions with cash flow dates on or after start and on or before end a taken into account. The initial positions at start are valued with the latest quotes before that date, the final position is valued with the latest quotes before the date after end. With this method, P&L is additive, i.e. adding the P&L figures of directly succeeding date periods should sum up to the P&L of the joined period.

Module finql::portfolio

Structs

Enums

Functions