tx · GRgPbJqGMCxnkiVVf8bmf3xgv3wTg3t1mpQpFUsrigRC 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC: -0.09000000 Waves 2020.01.07 15:51 [843511] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves
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Old | New | Differences | |
---|---|---|---|
6 | 6 | @Callable(i) | |
7 | 7 | func coxRossRubinsteinCall (T,S,K,r,sigma,n) = { | |
8 | 8 | let e = 271828 | |
9 | - | let deltaT = fraction( | |
9 | + | let deltaT = fraction(T, 100000, (365 * n)) | |
10 | 10 | let sqrtDeltaT = pow(deltaT, 5, 5, 1, 8, HALFUP) | |
11 | 11 | let up = pow(e, 5, (sigma * sqrtDeltaT), 8, 8, HALFUP) | |
12 | 12 | let down = (1 / up) |
Old | New | Differences | |
---|---|---|---|
1 | 1 | {-# STDLIB_VERSION 3 #-} | |
2 | 2 | {-# SCRIPT_TYPE ACCOUNT #-} | |
3 | 3 | {-# CONTENT_TYPE DAPP #-} | |
4 | 4 | ||
5 | 5 | ||
6 | 6 | @Callable(i) | |
7 | 7 | func coxRossRubinsteinCall (T,S,K,r,sigma,n) = { | |
8 | 8 | let e = 271828 | |
9 | - | let deltaT = fraction( | |
9 | + | let deltaT = fraction(T, 100000, (365 * n)) | |
10 | 10 | let sqrtDeltaT = pow(deltaT, 5, 5, 1, 8, HALFUP) | |
11 | 11 | let up = pow(e, 5, (sigma * sqrtDeltaT), 8, 8, HALFUP) | |
12 | 12 | let down = (1 / up) | |
13 | 13 | let df = pow(e, 5, ((-(r) / 100) * deltaT), 8, 8, HALFUP) | |
14 | 14 | let pUp = ((pow(e, 5, ((r / 100) * deltaT), 8, 8, HALFUP) * down) / (up - down)) | |
15 | 15 | let pDown = (1 - pUp) | |
16 | 16 | WriteSet([DataEntry("deltaT", deltaT)]) | |
17 | 17 | } | |
18 | 18 | ||
19 | 19 |
github/deemru/w8io/873ac7e 18.04 ms ◑![]()