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BlockPo / BlockPo-to-Tradelayer

Incubation Repo for the TradeLayer protocol, 0.2.0
http://www.tradelayer.org
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Option Settlement Logic #189

Closed patrickdugan closed 1 year ago

patrickdugan commented 4 years ago

We chain counter-parties together using the same settlement algo that we use for swaps and futures but in the CalculatePNL function we use:

if "call"

SettlementPNL = if(settlement_price<strike){0-entry}else{(settlement_price - strike)-entry};

If "put"

SettlementPNL = if(settlement_price>strike){0-entry)else{(strike - settlement_price)-entry};