tx · B6vGixdeWux2EhVH9x4sKRhaKqn1BKvZaMH83maANtTU 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC: -0.09000000 Waves 2020.01.08 13:37 [844827] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves
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"chainId": 84, "height": 844827, "spentComplexity": 0 } View: original | compacted Prev: D7CfT9yKsXywuKQtPKmKmMUVdt41fcjXkDKYTrUQ8uq5 Next: Hhu3mu6yhFnUbPUMCf1GXtHoFcQRRHuR7N4YYqhTRPa Diff:
Old | New | Differences | |
---|---|---|---|
1 | 1 | {-# STDLIB_VERSION 3 #-} | |
2 | 2 | {-# SCRIPT_TYPE ACCOUNT #-} | |
3 | 3 | {-# CONTENT_TYPE DAPP #-} | |
4 | - | let FACTOR = | |
4 | + | let FACTOR = 100 | |
5 | 5 | ||
6 | - | let FACTORDECIMALS = | |
6 | + | let FACTORDECIMALS = 2 | |
7 | 7 | ||
8 | - | let E = | |
8 | + | let E = 271 | |
9 | 9 | ||
10 | 10 | @Callable(i) | |
11 | 11 | func coxRossRubinsteinCall (T,S,K,r,sigma,n) = { |
Old | New | Differences | |
---|---|---|---|
1 | 1 | {-# STDLIB_VERSION 3 #-} | |
2 | 2 | {-# SCRIPT_TYPE ACCOUNT #-} | |
3 | 3 | {-# CONTENT_TYPE DAPP #-} | |
4 | - | let FACTOR = | |
4 | + | let FACTOR = 100 | |
5 | 5 | ||
6 | - | let FACTORDECIMALS = | |
6 | + | let FACTORDECIMALS = 2 | |
7 | 7 | ||
8 | - | let E = | |
8 | + | let E = 271 | |
9 | 9 | ||
10 | 10 | @Callable(i) | |
11 | 11 | func coxRossRubinsteinCall (T,S,K,r,sigma,n) = { | |
12 | 12 | let deltaT = fraction(T, FACTOR, (365 * n)) | |
13 | 13 | let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP) | |
14 | 14 | let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) | |
15 | 15 | let down = fraction(1, (FACTOR * FACTOR), up) | |
16 | 16 | let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) | |
17 | 17 | let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down)) | |
18 | 18 | let pDown = (FACTOR - pUp) | |
19 | 19 | let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR) | |
20 | 20 | let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR) | |
21 | 21 | let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR) | |
22 | 22 | let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR) | |
23 | 23 | let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR) | |
24 | 24 | let firstInnerPrice = if ((firstProjectedPrice > (K * FACTOR))) | |
25 | 25 | then (firstProjectedPrice - (K * FACTOR)) | |
26 | 26 | else 0 | |
27 | 27 | let secondInnerPrice = if ((secondProjectedPrice > (K * FACTOR))) | |
28 | 28 | then (secondProjectedPrice - (K * FACTOR)) | |
29 | 29 | else 0 | |
30 | 30 | let thirdInnerPrice = if ((thirdProjectedPrice > (K * FACTOR))) | |
31 | 31 | then (thirdProjectedPrice - (K * FACTOR)) | |
32 | 32 | else 0 | |
33 | 33 | let fourthInnerPrice = if ((fourthProjectedPrice > (K * FACTOR))) | |
34 | 34 | then (fourthProjectedPrice - K) | |
35 | 35 | else 0 | |
36 | 36 | let fifthInnerPrice = if ((fifthProjectedPrice > (K * FACTOR))) | |
37 | 37 | then (fifthProjectedPrice - K) | |
38 | 38 | else 0 | |
39 | 39 | let firstLevelFirstValue = ((fraction(firstInnerPrice, pUp, (FACTOR * FACTOR)) + fraction(secondInnerPrice, pDown, (FACTOR * FACTOR))) * df) | |
40 | 40 | let firstLevelSecondValue = ((fraction(secondInnerPrice, pUp, (FACTOR * FACTOR)) + fraction(thirdInnerPrice, pDown, (FACTOR * FACTOR))) * df) | |
41 | 41 | let firstLevelThirdValue = ((fraction(thirdInnerPrice, pUp, (FACTOR * FACTOR)) + fraction(fourthInnerPrice, pDown, (FACTOR * FACTOR))) * df) | |
42 | 42 | let firstLevelFourthValue = ((fraction(fourthInnerPrice, pUp, (FACTOR * FACTOR)) + fraction(fifthInnerPrice, pDown, (FACTOR * FACTOR))) * df) | |
43 | 43 | let secondLevelFirstValue = ((fraction(firstLevelFirstValue, pUp, (FACTOR * FACTOR)) + fraction(firstLevelSecondValue, pDown, (FACTOR * FACTOR))) * df) | |
44 | 44 | let secondLevelSecondValue = ((fraction(firstLevelSecondValue, pUp, (FACTOR * FACTOR)) + fraction(firstLevelThirdValue, pDown, (FACTOR * FACTOR))) * df) | |
45 | 45 | let secondLevelThirdValue = ((fraction(firstLevelThirdValue, pUp, (FACTOR * FACTOR)) + fraction(firstLevelFourthValue, pDown, (FACTOR * FACTOR))) * df) | |
46 | 46 | let thirdLevelFirstValue = ((fraction(secondLevelFirstValue, pUp, (FACTOR * FACTOR)) + fraction(secondLevelSecondValue, pDown, (FACTOR * FACTOR))) * df) | |
47 | 47 | let thirdLevelSecondValue = ((fraction(secondLevelSecondValue, pUp, (FACTOR * FACTOR)) + fraction(secondLevelThirdValue, pDown, (FACTOR * FACTOR))) * df) | |
48 | 48 | let fourthLevel = ((fraction(thirdLevelFirstValue, pUp, (FACTOR * FACTOR)) + fraction(thirdLevelSecondValue, pDown, (FACTOR * FACTOR))) * df) | |
49 | 49 | WriteSet([DataEntry("deltaT", deltaT), DataEntry("sqrtDeltaT", sqrtDeltaT), DataEntry("up", up), DataEntry("down", down), DataEntry("df", df), DataEntry("pUp", pUp), DataEntry("pDown", pDown), DataEntry("firstInnerPrice", firstInnerPrice), DataEntry("secondInnerPrice", secondInnerPrice), DataEntry("thirdInnerPrice", thirdInnerPrice), DataEntry("fourthInnerPrice", fourthInnerPrice), DataEntry("fifthInnerPrice", fifthInnerPrice), DataEntry("firstLevelFirstValue", firstLevelFirstValue), DataEntry("finalValue", fourthLevel)]) | |
50 | 50 | } | |
51 | 51 | ||
52 | 52 |
github/deemru/w8io/873ac7e 24.12 ms ◑![]()