tx · FtYf9Ty9HHTD7KVaQYhuMPj3xVGU8yNYvLSjkGR3KdwC

3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC:  -0.09000000 Waves

2020.01.08 14:32 [844882] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves

{
    "type": 13,
    "id": "FtYf9Ty9HHTD7KVaQYhuMPj3xVGU8yNYvLSjkGR3KdwC",
    "fee": 9000000,
    "feeAssetId": null,
    "timestamp": 1578483156529,
    "version": 1,
    "sender": "3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC",
    "senderPublicKey": "GfU9G8BJcrUfL2H2QthDHbeLHThimafNuKPuDQm9wbzr",
    "proofs": [
        "5nEWxf617LweR9h7ogVgsTXWGcSgedHh7v116X6KyeX3gP6puQs5pPtPm5mo7DiJFyJwhc4GXrtSGApeXYfz67pw"
    ],
    "script": 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    "chainId": 84,
    "height": 844882,
    "spentComplexity": 0
}

View: original | compacted
Prev: kjoLnBMSUCg7zaFd97oiHKG2BB2PLaFAAzwwVu9pLkh
Next: GbGXhbErYH3w1rE5fusFHMgdDQPPVGQ17sticyZjuFW9

Diff: 
Old
New
Differences
7
7
 
8
8
 
let E = 2718282
9
9
 
10
-
@Callable(i)
11
10
 
func coxRossRubinsteinCall (T,S,K,r,sigma,n) = {
12
11
 
    let deltaT = fraction(T, FACTOR, (365 * n))
13
12
 
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
46
45
 
    let thirdLevelFirstValue = fraction((fraction(secondLevelFirstValue, pUp, FACTOR) + fraction(secondLevelSecondValue, pDown, FACTOR)), df, FACTOR)
47
46
 
    let thirdLevelSecondValue = fraction((fraction(secondLevelSecondValue, pUp, FACTOR) + fraction(secondLevelThirdValue, pDown, FACTOR)), df, FACTOR)
48
47
 
    let fourthLevel = fraction((fraction(thirdLevelFirstValue, pUp, FACTOR) + fraction(thirdLevelSecondValue, pDown, FACTOR)), df, FACTOR)
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)])
48
+
    fourthLevel
49
+
    }
50
+
51
+
52
+
@Callable(i)
53
+
func calculatCallPrice (T,S,K,r,sigma,n) = {
54
+
    let finalValue = coxRossRubinsteinCall(T, S, K, r, sigma, n)
55
+
    WriteSet([DataEntry("deltaT", 0), DataEntry("sqrtDeltaT", 0), DataEntry("up", 0), DataEntry("down", 0), DataEntry("df", 0), DataEntry("pUp", 0), DataEntry("pDown", 0), DataEntry("firstInnerPrice", 0), DataEntry("secondInnerPrice", 0), DataEntry("thirdInnerPrice", 0), DataEntry("fourthInnerPrice", 0), DataEntry("fifthInnerPrice", 0), DataEntry("firstLevelFirstValue", 0), DataEntry("finalValue", finalValue)])
50
56
 
    }
51
57
 
52
58
 

Full: 
Old
New
Differences
1
1
 
{-# STDLIB_VERSION 3 #-}
2
2
 
{-# SCRIPT_TYPE ACCOUNT #-}
3
3
 
{-# CONTENT_TYPE DAPP #-}
4
4
 
let FACTOR = 1000000
5
5
 
6
6
 
let FACTORDECIMALS = 6
7
7
 
8
8
 
let E = 2718282
9
9
 
10
-
@Callable(i)
11
10
 
func coxRossRubinsteinCall (T,S,K,r,sigma,n) = {
12
11
 
    let deltaT = fraction(T, FACTOR, (365 * n))
13
12
 
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
14
13
 
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
15
14
 
    let down = fraction(1, (FACTOR * FACTOR), up)
16
15
 
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
17
16
 
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
18
17
 
    let pDown = (FACTOR - pUp)
19
18
 
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
20
19
 
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
21
20
 
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
22
21
 
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
23
22
 
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
24
23
 
    let firstInnerPrice = if ((firstProjectedPrice > (K * FACTOR)))
25
24
 
        then (firstProjectedPrice - (K * FACTOR))
26
25
 
        else 0
27
26
 
    let secondInnerPrice = if ((secondProjectedPrice > (K * FACTOR)))
28
27
 
        then (secondProjectedPrice - (K * FACTOR))
29
28
 
        else 0
30
29
 
    let thirdInnerPrice = if ((thirdProjectedPrice > (K * FACTOR)))
31
30
 
        then (thirdProjectedPrice - (K * FACTOR))
32
31
 
        else 0
33
32
 
    let fourthInnerPrice = if ((fourthProjectedPrice > (K * FACTOR)))
34
33
 
        then (fourthProjectedPrice - K)
35
34
 
        else 0
36
35
 
    let fifthInnerPrice = if ((fifthProjectedPrice > (K * FACTOR)))
37
36
 
        then (fifthProjectedPrice - K)
38
37
 
        else 0
39
38
 
    let firstLevelFirstValue = fraction((fraction(firstInnerPrice, pUp, FACTOR) + fraction(secondInnerPrice, pDown, FACTOR)), df, FACTOR)
40
39
 
    let firstLevelSecondValue = fraction((fraction(secondInnerPrice, pUp, FACTOR) + fraction(thirdInnerPrice, pDown, FACTOR)), df, FACTOR)
41
40
 
    let firstLevelThirdValue = fraction((fraction(thirdInnerPrice, pUp, FACTOR) + fraction(fourthInnerPrice, pDown, FACTOR)), df, FACTOR)
42
41
 
    let firstLevelFourthValue = fraction((fraction(fourthInnerPrice, pUp, FACTOR) + fraction(fifthInnerPrice, pDown, FACTOR)), df, FACTOR)
43
42
 
    let secondLevelFirstValue = fraction((fraction(firstLevelFirstValue, pUp, FACTOR) + fraction(firstLevelSecondValue, pDown, FACTOR)), df, FACTOR)
44
43
 
    let secondLevelSecondValue = fraction((fraction(firstLevelSecondValue, pUp, FACTOR) + fraction(firstLevelThirdValue, pDown, FACTOR)), df, FACTOR)
45
44
 
    let secondLevelThirdValue = fraction((fraction(firstLevelThirdValue, pUp, FACTOR) + fraction(firstLevelFourthValue, pDown, FACTOR)), df, FACTOR)
46
45
 
    let thirdLevelFirstValue = fraction((fraction(secondLevelFirstValue, pUp, FACTOR) + fraction(secondLevelSecondValue, pDown, FACTOR)), df, FACTOR)
47
46
 
    let thirdLevelSecondValue = fraction((fraction(secondLevelSecondValue, pUp, FACTOR) + fraction(secondLevelThirdValue, pDown, FACTOR)), df, FACTOR)
48
47
 
    let fourthLevel = fraction((fraction(thirdLevelFirstValue, pUp, FACTOR) + fraction(thirdLevelSecondValue, pDown, FACTOR)), df, FACTOR)
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)])
48
+
    fourthLevel
49
+
    }
50
+
51
+
52
+
@Callable(i)
53
+
func calculatCallPrice (T,S,K,r,sigma,n) = {
54
+
    let finalValue = coxRossRubinsteinCall(T, S, K, r, sigma, n)
55
+
    WriteSet([DataEntry("deltaT", 0), DataEntry("sqrtDeltaT", 0), DataEntry("up", 0), DataEntry("down", 0), DataEntry("df", 0), DataEntry("pUp", 0), DataEntry("pDown", 0), DataEntry("firstInnerPrice", 0), DataEntry("secondInnerPrice", 0), DataEntry("thirdInnerPrice", 0), DataEntry("fourthInnerPrice", 0), DataEntry("fifthInnerPrice", 0), DataEntry("firstLevelFirstValue", 0), DataEntry("finalValue", finalValue)])
50
56
 
    }
51
57
 
52
58
 

github/deemru/w8io/873ac7e 
112.87 ms ◑