tx · BVzM1SfJ1wAeqv6vYHS7zMKZCFmzuK3hZhxCMv9CdKjp

3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC:  -0.09000000 Waves

2020.01.10 20:23 [848179] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves

{
    "type": 13,
    "id": "BVzM1SfJ1wAeqv6vYHS7zMKZCFmzuK3hZhxCMv9CdKjp",
    "fee": 9000000,
    "feeAssetId": null,
    "timestamp": 1578677008616,
    "version": 1,
    "sender": "3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC",
    "senderPublicKey": "GfU9G8BJcrUfL2H2QthDHbeLHThimafNuKPuDQm9wbzr",
    "proofs": [
        "5MzJ9zXA8dQFs63xf43dXUNi4ZDznBS4w5s34p8s1VmXkP28jrjEhoU9m1gvcypwiTR6fUWJzaWs5mzngBet9WH"
    ],
    "script": 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    "chainId": 84,
    "height": 848179,
    "spentComplexity": 0
}

View: original | compacted
Prev: GbGXhbErYH3w1rE5fusFHMgdDQPPVGQ17sticyZjuFW9
Next: none

Diff: 
Old
New
Differences
17
17
 
    }
18
18
 
19
19
 
20
-
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
21
-
    let n = 4
22
-
    let deltaT = fraction(T, FACTOR, (365 * n))
23
-
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
24
-
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
25
-
    let down = fraction(1, (FACTOR * FACTOR), up)
26
-
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
27
-
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
28
-
    let pDown = (FACTOR - pUp)
29
-
    let projectedPrices = calculateProjectedPrices(S, up, down)
20
+
func calculateInnerPrices (projectedPrices,K) = {
30
21
 
    let firstInnerPrice = if ((projectedPrices[0] > (K * FACTOR)))
31
22
 
        then (projectedPrices[0] - (K * FACTOR))
32
23
 
        else 0
42
33
 
    let fifthInnerPrice = if ((projectedPrices[4] > (K * FACTOR)))
43
34
 
        then (projectedPrices[4] - K)
44
35
 
        else 0
45
-
    let firstLevelFirstValue = fraction((fraction(firstInnerPrice, pUp, FACTOR) + fraction(secondInnerPrice, pDown, FACTOR)), df, FACTOR)
46
-
    let firstLevelSecondValue = fraction((fraction(secondInnerPrice, pUp, FACTOR) + fraction(thirdInnerPrice, pDown, FACTOR)), df, FACTOR)
47
-
    let firstLevelThirdValue = fraction((fraction(thirdInnerPrice, pUp, FACTOR) + fraction(fourthInnerPrice, pDown, FACTOR)), df, FACTOR)
48
-
    let firstLevelFourthValue = fraction((fraction(fourthInnerPrice, pUp, FACTOR) + fraction(fifthInnerPrice, pDown, FACTOR)), df, FACTOR)
49
-
    let secondLevelFirstValue = fraction((fraction(firstLevelFirstValue, pUp, FACTOR) + fraction(firstLevelSecondValue, pDown, FACTOR)), df, FACTOR)
50
-
    let secondLevelSecondValue = fraction((fraction(firstLevelSecondValue, pUp, FACTOR) + fraction(firstLevelThirdValue, pDown, FACTOR)), df, FACTOR)
51
-
    let secondLevelThirdValue = fraction((fraction(firstLevelThirdValue, pUp, FACTOR) + fraction(firstLevelFourthValue, pDown, FACTOR)), df, FACTOR)
52
-
    let thirdLevelFirstValue = fraction((fraction(secondLevelFirstValue, pUp, FACTOR) + fraction(secondLevelSecondValue, pDown, FACTOR)), df, FACTOR)
53
-
    let thirdLevelSecondValue = fraction((fraction(secondLevelSecondValue, pUp, FACTOR) + fraction(secondLevelThirdValue, pDown, FACTOR)), df, FACTOR)
54
-
    let fourthLevel = fraction((fraction(thirdLevelFirstValue, pUp, FACTOR) + fraction(thirdLevelSecondValue, pDown, FACTOR)), df, FACTOR)
55
-
    fourthLevel
36
+
[firstInnerPrice, secondInnerPrice, thirdInnerPrice, fourthInnerPrice, fifthInnerPrice]
37
+
    }
38
+
39
+
40
+
func calculatFirstLevel (innerPrices,pUp,pDown,df) = {
41
+
    let firstValue = fraction((fraction(innerPrices[0], pUp, FACTOR) + fraction(innerPrices[1], pDown, FACTOR)), df, FACTOR)
42
+
    let secondValue = fraction((fraction(innerPrices[1], pUp, FACTOR) + fraction(innerPrices[2], pDown, FACTOR)), df, FACTOR)
43
+
    let thirdValue = fraction((fraction(innerPrices[2], pUp, FACTOR) + fraction(innerPrices[3], pDown, FACTOR)), df, FACTOR)
44
+
    let fourthValue = fraction((fraction(innerPrices[3], pUp, FACTOR) + fraction(innerPrices[4], pDown, FACTOR)), df, FACTOR)
45
+
[firstValue, secondValue, thirdValue, fourthValue]
46
+
    }
47
+
48
+
49
+
func calculateSecondLevel (firstLevel,pUp,pDown,df) = {
50
+
    let firstValue = fraction((fraction(firstLevel[0], pUp, FACTOR) + fraction(firstLevel[1], pDown, FACTOR)), df, FACTOR)
51
+
    let secondValue = fraction((fraction(firstLevel[1], pUp, FACTOR) + fraction(firstLevel[2], pDown, FACTOR)), df, FACTOR)
52
+
    let thirdValue = fraction((fraction(firstLevel[2], pUp, FACTOR) + fraction(firstLevel[3], pDown, FACTOR)), df, FACTOR)
53
+
[firstValue, secondValue, thirdValue]
54
+
    }
55
+
56
+
57
+
func calculateThirdLevel (secondLevel,pUp,pDown,df) = {
58
+
    let firstValue = fraction((fraction(secondLevel[0], pUp, FACTOR) + fraction(secondLevel[1], pDown, FACTOR)), df, FACTOR)
59
+
    let secondValue = fraction((fraction(secondLevel[1], pUp, FACTOR) + fraction(secondLevel[2], pDown, FACTOR)), df, FACTOR)
60
+
[firstValue, secondValue]
61
+
    }
62
+
63
+
64
+
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
65
+
    let n = 4
66
+
    let deltaT = fraction(T, FACTOR, (365 * n))
67
+
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
68
+
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
69
+
    let down = fraction(1, (FACTOR * FACTOR), up)
70
+
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
71
+
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
72
+
    let pDown = (FACTOR - pUp)
73
+
    let projectedPrices = calculateProjectedPrices(S, up, down)
74
+
    let innerPrices = calculateInnerPrices(projectedPrices, K)
75
+
    let firstLevel = calculatFirstLevel(innerPrices, pUp, pDown, df)
76
+
    let secondLevel = calculateSecondLevel(firstLevel, pUp, pDown, df)
77
+
    let thirdLevel = calculateThirdLevel(secondLevel, pUp, pDown, df)
78
+
    fraction((fraction(thirdLevel[0], pUp, FACTOR) + fraction(thirdLevel[1], pDown, FACTOR)), df, FACTOR)
56
79
 
    }
57
80
 
58
81
 

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
10
 
func calculateProjectedPrices (S,up,down) = {
11
11
 
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
12
12
 
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
13
13
 
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
14
14
 
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
15
15
 
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
16
16
 
[firstProjectedPrice, secondProjectedPrice, thirdProjectedPrice, fourthProjectedPrice, fifthProjectedPrice]
17
17
 
    }
18
18
 
19
19
 
20
-
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
21
-
    let n = 4
22
-
    let deltaT = fraction(T, FACTOR, (365 * n))
23
-
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
24
-
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
25
-
    let down = fraction(1, (FACTOR * FACTOR), up)
26
-
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
27
-
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
28
-
    let pDown = (FACTOR - pUp)
29
-
    let projectedPrices = calculateProjectedPrices(S, up, down)
20
+
func calculateInnerPrices (projectedPrices,K) = {
30
21
 
    let firstInnerPrice = if ((projectedPrices[0] > (K * FACTOR)))
31
22
 
        then (projectedPrices[0] - (K * FACTOR))
32
23
 
        else 0
33
24
 
    let secondInnerPrice = if ((projectedPrices[1] > (K * FACTOR)))
34
25
 
        then (projectedPrices[1] - (K * FACTOR))
35
26
 
        else 0
36
27
 
    let thirdInnerPrice = if ((projectedPrices[2] > (K * FACTOR)))
37
28
 
        then (projectedPrices[2] - (K * FACTOR))
38
29
 
        else 0
39
30
 
    let fourthInnerPrice = if ((projectedPrices[3] > (K * FACTOR)))
40
31
 
        then (projectedPrices[3] - K)
41
32
 
        else 0
42
33
 
    let fifthInnerPrice = if ((projectedPrices[4] > (K * FACTOR)))
43
34
 
        then (projectedPrices[4] - K)
44
35
 
        else 0
45
-
    let firstLevelFirstValue = fraction((fraction(firstInnerPrice, pUp, FACTOR) + fraction(secondInnerPrice, pDown, FACTOR)), df, FACTOR)
46
-
    let firstLevelSecondValue = fraction((fraction(secondInnerPrice, pUp, FACTOR) + fraction(thirdInnerPrice, pDown, FACTOR)), df, FACTOR)
47
-
    let firstLevelThirdValue = fraction((fraction(thirdInnerPrice, pUp, FACTOR) + fraction(fourthInnerPrice, pDown, FACTOR)), df, FACTOR)
48
-
    let firstLevelFourthValue = fraction((fraction(fourthInnerPrice, pUp, FACTOR) + fraction(fifthInnerPrice, pDown, FACTOR)), df, FACTOR)
49
-
    let secondLevelFirstValue = fraction((fraction(firstLevelFirstValue, pUp, FACTOR) + fraction(firstLevelSecondValue, pDown, FACTOR)), df, FACTOR)
50
-
    let secondLevelSecondValue = fraction((fraction(firstLevelSecondValue, pUp, FACTOR) + fraction(firstLevelThirdValue, pDown, FACTOR)), df, FACTOR)
51
-
    let secondLevelThirdValue = fraction((fraction(firstLevelThirdValue, pUp, FACTOR) + fraction(firstLevelFourthValue, pDown, FACTOR)), df, FACTOR)
52
-
    let thirdLevelFirstValue = fraction((fraction(secondLevelFirstValue, pUp, FACTOR) + fraction(secondLevelSecondValue, pDown, FACTOR)), df, FACTOR)
53
-
    let thirdLevelSecondValue = fraction((fraction(secondLevelSecondValue, pUp, FACTOR) + fraction(secondLevelThirdValue, pDown, FACTOR)), df, FACTOR)
54
-
    let fourthLevel = fraction((fraction(thirdLevelFirstValue, pUp, FACTOR) + fraction(thirdLevelSecondValue, pDown, FACTOR)), df, FACTOR)
55
-
    fourthLevel
36
+
[firstInnerPrice, secondInnerPrice, thirdInnerPrice, fourthInnerPrice, fifthInnerPrice]
37
+
    }
38
+
39
+
40
+
func calculatFirstLevel (innerPrices,pUp,pDown,df) = {
41
+
    let firstValue = fraction((fraction(innerPrices[0], pUp, FACTOR) + fraction(innerPrices[1], pDown, FACTOR)), df, FACTOR)
42
+
    let secondValue = fraction((fraction(innerPrices[1], pUp, FACTOR) + fraction(innerPrices[2], pDown, FACTOR)), df, FACTOR)
43
+
    let thirdValue = fraction((fraction(innerPrices[2], pUp, FACTOR) + fraction(innerPrices[3], pDown, FACTOR)), df, FACTOR)
44
+
    let fourthValue = fraction((fraction(innerPrices[3], pUp, FACTOR) + fraction(innerPrices[4], pDown, FACTOR)), df, FACTOR)
45
+
[firstValue, secondValue, thirdValue, fourthValue]
46
+
    }
47
+
48
+
49
+
func calculateSecondLevel (firstLevel,pUp,pDown,df) = {
50
+
    let firstValue = fraction((fraction(firstLevel[0], pUp, FACTOR) + fraction(firstLevel[1], pDown, FACTOR)), df, FACTOR)
51
+
    let secondValue = fraction((fraction(firstLevel[1], pUp, FACTOR) + fraction(firstLevel[2], pDown, FACTOR)), df, FACTOR)
52
+
    let thirdValue = fraction((fraction(firstLevel[2], pUp, FACTOR) + fraction(firstLevel[3], pDown, FACTOR)), df, FACTOR)
53
+
[firstValue, secondValue, thirdValue]
54
+
    }
55
+
56
+
57
+
func calculateThirdLevel (secondLevel,pUp,pDown,df) = {
58
+
    let firstValue = fraction((fraction(secondLevel[0], pUp, FACTOR) + fraction(secondLevel[1], pDown, FACTOR)), df, FACTOR)
59
+
    let secondValue = fraction((fraction(secondLevel[1], pUp, FACTOR) + fraction(secondLevel[2], pDown, FACTOR)), df, FACTOR)
60
+
[firstValue, secondValue]
61
+
    }
62
+
63
+
64
+
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
65
+
    let n = 4
66
+
    let deltaT = fraction(T, FACTOR, (365 * n))
67
+
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
68
+
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
69
+
    let down = fraction(1, (FACTOR * FACTOR), up)
70
+
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
71
+
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
72
+
    let pDown = (FACTOR - pUp)
73
+
    let projectedPrices = calculateProjectedPrices(S, up, down)
74
+
    let innerPrices = calculateInnerPrices(projectedPrices, K)
75
+
    let firstLevel = calculatFirstLevel(innerPrices, pUp, pDown, df)
76
+
    let secondLevel = calculateSecondLevel(firstLevel, pUp, pDown, df)
77
+
    let thirdLevel = calculateThirdLevel(secondLevel, pUp, pDown, df)
78
+
    fraction((fraction(thirdLevel[0], pUp, FACTOR) + fraction(thirdLevel[1], pDown, FACTOR)), df, FACTOR)
56
79
 
    }
57
80
 
58
81
 
59
82
 
@Callable(i)
60
83
 
func calculatCallPrice (T,S,K,r,sigma) = {
61
84
 
    let finalValue = coxRossRubinsteinCall(T, S, K, r, sigma)
62
85
 
    WriteSet([DataEntry("finalValue", finalValue)])
63
86
 
    }
64
87
 
65
88
 

github/deemru/w8io/3ef1775 
49.29 ms ◑