tx · 35iEdLhH26eRDAJ9ugEsz7pyjKPvDo3yeqaLwyj15oka 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC: -0.09000000 Waves 2020.01.07 16:28 [843546] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves
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Old | New | Differences | |
---|---|---|---|
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 | - | let pUp = | |
17 | + | let pUp = fraction(pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP), down, (up - down)) | |
18 | 18 | let pDown = (1 - pUp) | |
19 | - | WriteSet([DataEntry("deltaT", deltaT), DataEntry("sqrtDeltaT", sqrtDeltaT), DataEntry("up", up), DataEntry("down", down), DataEntry("df", df)]) | |
19 | + | WriteSet([DataEntry("deltaT", deltaT), DataEntry("sqrtDeltaT", sqrtDeltaT), DataEntry("up", up), DataEntry("down", down), DataEntry("df", df), DataEntry("pUp", pUp)]) | |
20 | 20 | } | |
21 | 21 | ||
22 | 22 |
Old | New | Differences | |
---|---|---|---|
1 | 1 | {-# STDLIB_VERSION 3 #-} | |
2 | 2 | {-# SCRIPT_TYPE ACCOUNT #-} | |
3 | 3 | {-# CONTENT_TYPE DAPP #-} | |
4 | 4 | let FACTOR = 100000000 | |
5 | 5 | ||
6 | 6 | let FACTORDECIMALS = 8 | |
7 | 7 | ||
8 | 8 | let E = 271828182 | |
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 | - | let pUp = | |
17 | + | let pUp = fraction(pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP), down, (up - down)) | |
18 | 18 | let pDown = (1 - pUp) | |
19 | - | WriteSet([DataEntry("deltaT", deltaT), DataEntry("sqrtDeltaT", sqrtDeltaT), DataEntry("up", up), DataEntry("down", down), DataEntry("df", df)]) | |
19 | + | WriteSet([DataEntry("deltaT", deltaT), DataEntry("sqrtDeltaT", sqrtDeltaT), DataEntry("up", up), DataEntry("down", down), DataEntry("df", df), DataEntry("pUp", pUp)]) | |
20 | 20 | } | |
21 | 21 | ||
22 | 22 |
github/deemru/w8io/3ef1775 39.85 ms ◑