[R-SIG-Finance] Possible bug in blotter

[Brian G. Peterson]

On 12/22/2010 04:30 AM, Wolfgang Wu wrote:
> thank you for the explanation. I understand this now. However consider a
> different example where the security is now a futures contract with a multiplier
> of 2. Then blotter will produce a wrong End.Eq. (See example code) I suspect the
> Con.Mult column in the first row of the portfolio object is set wrongly and is
> causing the problem.  Would you agree?

The first row doesn't have anything to do with it.  That row has a zero 
value, and is only there to initialize things.

It does appear that your example highlights a problem in the multiplier 
being applied to one of the Avg.Cost columns in the $posPL slot.

We'll investigate and fix.  Thanks for the report.

Regards,

   - Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock