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Former Member
Jul 11, 2011 at 10:58 AM

Unrealized Gain / Loss for Option on Index Future

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Hi,

I have a requirement that the unrealized gain / loss for option on index future should be calculated as below:

- Short position - the difference between acquisition value and market value (units x market price) is always an unrealized loss

- Long position - the difference between acquisition value and market value is always an unrealized gain

The standard configuration provides a different result as it takes into account whether the difference between acquisition vlaue and market value is positive or negative. This needs to be ignored.

Did anyone have a similar requirement and would know how this could be configured, if it is possible with configuration at all.

Product category is 750 (listed options), american options, future style.

Position management procedure:

One Step price valuation

Write up rule: write up to market value / present value

Write down rule: write down to market value / present value

Thanks for your input.

Regards

Barbara