Question

I receive a FIX message for a trade Allocation, where Price is given in cents (ZAR / 100), but commission is given in Rands. These values are represented by the constants. When I run this calculation, commPerc1 shows a value of 0.099999999999999978, and commPerc2 shows 0.1. These values look to differ by x10, yet with the check of calculating back to Rands, both commRands1 and commRands2 show very similar values of 336.4831554 and 336.48315540000004 respectively.

private const double Price = 5708.91;
private const double Qty = 5894;
private const double AbsComm = 336.4831554;

static void Main()
{

    double commCents = AbsComm * 100;
    double commPerc1 = commCents / (Qty * Price) * 100;
    double commRands1 = (Qty * Price) * (commPerc1 / 100) / 100;

    double commPerc2 = (AbsComm / (Qty * (Price / 100))) * 100;
    double commRands2 = (Qty * Price) * (commPerc2 / 100) / 100;
}

PLEASE NOTE:
I am dealing with legacy code here where a conversion to decimal would involve several changes and QA, so right now I have to accept double.

Answer 1

Don’t use double for financial calculations, use decimal instead. Floating point numbers are OK for physical, measured values, where the value is never exact anyway. But for financial calculations you’re working with exact values, you can’t afford errors due to floating point representations. That’s what decimal is made for:

The Decimal value type is appropriate for financial calculations requiring large numbers of significant integral and fractional digits and no round-off errors.

(from MSDN)