I am trying to create a Spread Sheet to create a exclusive Real Time Managed Futures Data management for a small set of variables(=vanilla Futures contracts); I am looking for refinement of the basic P/L formula (below mentioned) & apply it for a larger Number & Types of contracts, will appreciate comments to REFINE or any schema templates on OOo if any available and completed as a Graduate academic exercise and researched for a larger variety of trading contracts and Instruments to enable Real Time Risk Management.
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NETT P/L per Futures contract = {[(P1~P2)~ [E(+m2m)~E(-m2m)]] - B}
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P1 = price of 1st leg, at time t1
P2 = price of contract closing/ 2nd leg, at later time t2,prior to expiry
E ==> implies Summation(sigma notation)
+m2m ==> means, positive Mark-to-Margin CREDITS prior to time t2
-m2m ==> means, negative Mark-to-Margin DEBITS prior to time t2.
B ==> cumulative brokerage for both legs P1 and P2
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NETT P/L per Futures contract = {[(P1~P2)~ [E(+m2m)~E(-m2m)]] - B}
.....................................................................................
P1 = price of 1st leg, at time t1
P2 = price of contract closing/ 2nd leg, at later time t2,prior to expiry
E ==> implies Summation(sigma notation)
+m2m ==> means, positive Mark-to-Margin CREDITS prior to time t2
-m2m ==> means, negative Mark-to-Margin DEBITS prior to time t2.
B ==> cumulative brokerage for both legs P1 and P2