Fixes OverflowException in FuturesOptionsMarginModel (QuantConnect#5629)

memorydoor · Jun 5, 2021 · 37473c4 · 37473c4
1 parent 6776617
commit 37473c4
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Showing 2 changed files with 4 additions and 1 deletion.
diff --git a/Common/Securities/FutureOption/FuturesOptionsMarginModel.cs b/Common/Securities/FutureOption/FuturesOptionsMarginModel.cs
@@ -152,7 +152,7 @@ public static int GetMarginRequirement(Option option, decimal underlyingRequirem
                 return (int) maximumValue;
             }
 
-            return (int) (maximumValue / (1 + denominator.SafeDecimalCast()));
+            return (int) (maximumValue / (1 + denominator).SafeDecimalCast());
         }
     }
 }
diff --git a/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs b/Tests/Common/Securities/FutureOptionMarginBuyingPowerModelTests.cs
@@ -241,6 +241,7 @@ public void MarginRequirementsAreSetCorrectly()
         [TestCase(87, 3700, OptionRight.Call, PositionSide.Long, 59375)]
         [TestCase(108.5, 1000, OptionRight.Call, PositionSide.Long, 59375)]
         [TestCase(125, 570, OptionRight.Call, PositionSide.Long, 59375)]
+        [TestCase(1000, 0, OptionRight.Call, PositionSide.Long, 59375)]
 
         // Long Call maintenance
         [TestCase(10, 56000, OptionRight.Call, PositionSide.Long, 47500)]
@@ -252,6 +253,7 @@ public void MarginRequirementsAreSetCorrectly()
         [TestCase(87, 3600, OptionRight.Call, PositionSide.Long, 47500)]
         [TestCase(108.5, 1000, OptionRight.Call, PositionSide.Long, 47500)]
         [TestCase(125, 540, OptionRight.Call, PositionSide.Long, 47500)]
+        [TestCase(1000, 0, OptionRight.Call, PositionSide.Long, 47500)]
 
         // Short Call initial
         [TestCase(10, 59400, OptionRight.Call, PositionSide.Short, 59375)]
@@ -263,6 +265,7 @@ public void MarginRequirementsAreSetCorrectly()
         [TestCase(87, 28960, OptionRight.Call, PositionSide.Short, 59375)]
         [TestCase(108.5, 11373, OptionRight.Call, PositionSide.Short, 59375)]
         [TestCase(125, 3900, OptionRight.Call, PositionSide.Short, 59375)]
+        [TestCase(1000, 0, OptionRight.Call, PositionSide.Short, 59375)]
 
         // Long Put initial
         [TestCase(10, 45, OptionRight.Put, PositionSide.Long, 59375)]