tx · GbGXhbErYH3w1rE5fusFHMgdDQPPVGQ17sticyZjuFW9

3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC:  -0.09000000 Waves

2020.01.10 13:05 [847738] smart account 3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC > SELF 0.00000000 Waves

{
    "type": 13,
    "id": "GbGXhbErYH3w1rE5fusFHMgdDQPPVGQ17sticyZjuFW9",
    "fee": 9000000,
    "feeAssetId": null,
    "timestamp": 1578650689458,
    "version": 1,
    "sender": "3MvQVj21fwPXbyXsrVDV2Sf639TcWTsaxmC",
    "senderPublicKey": "GfU9G8BJcrUfL2H2QthDHbeLHThimafNuKPuDQm9wbzr",
    "proofs": [
        "2kJZDdGXgprPv9CzZWua3J6AaQqs5fQz95qDUAp4DtduxQ7r49Hg2tHbZLb82P54ggXUfnJfL3rW5bpu7T1uQZHM"
    ],
    "script": 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    "chainId": 84,
    "height": 847738,
    "spentComplexity": 0
}

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Diff: 
Old
New
Differences
7
7
 
8
8
 
let E = 2718282
9
9
 
10
-
func coxRossRubinsteinCall (T,S,K,r,sigma,n) = {
10
+
func calculateProjectedPrices (S,up,down) = {
11
+
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
12
+
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
13
+
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
14
+
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
15
+
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
16
+
[firstProjectedPrice, secondProjectedPrice, thirdProjectedPrice, fourthProjectedPrice, fifthProjectedPrice]
17
+
    }
18
+
19
+
20
+
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
21
+
    let n = 4
11
22
 
    let deltaT = fraction(T, FACTOR, (365 * n))
12
23
 
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
13
24
 
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
15
26
 
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
16
27
 
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
17
28
 
    let pDown = (FACTOR - pUp)
18
-
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
19
-
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
20
-
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
21
-
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
22
-
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
23
-
    let firstInnerPrice = if ((firstProjectedPrice > (K * FACTOR)))
24
-
        then (firstProjectedPrice - (K * FACTOR))
29
+
    let projectedPrices = calculateProjectedPrices(S, up, down)
30
+
    let firstInnerPrice = if ((projectedPrices[0] > (K * FACTOR)))
31
+
        then (projectedPrices[0] - (K * FACTOR))
25
32
 
        else 0
26
-
    let secondInnerPrice = if ((secondProjectedPrice > (K * FACTOR)))
27
-
        then (secondProjectedPrice - (K * FACTOR))
33
+
    let secondInnerPrice = if ((projectedPrices[1] > (K * FACTOR)))
34
+
        then (projectedPrices[1] - (K * FACTOR))
28
35
 
        else 0
29
-
    let thirdInnerPrice = if ((thirdProjectedPrice > (K * FACTOR)))
30
-
        then (thirdProjectedPrice - (K * FACTOR))
36
+
    let thirdInnerPrice = if ((projectedPrices[2] > (K * FACTOR)))
37
+
        then (projectedPrices[2] - (K * FACTOR))
31
38
 
        else 0
32
-
    let fourthInnerPrice = if ((fourthProjectedPrice > (K * FACTOR)))
33
-
        then (fourthProjectedPrice - K)
39
+
    let fourthInnerPrice = if ((projectedPrices[3] > (K * FACTOR)))
40
+
        then (projectedPrices[3] - K)
34
41
 
        else 0
35
-
    let fifthInnerPrice = if ((fifthProjectedPrice > (K * FACTOR)))
36
-
        then (fifthProjectedPrice - K)
42
+
    let fifthInnerPrice = if ((projectedPrices[4] > (K * FACTOR)))
43
+
        then (projectedPrices[4] - K)
37
44
 
        else 0
38
45
 
    let firstLevelFirstValue = fraction((fraction(firstInnerPrice, pUp, FACTOR) + fraction(secondInnerPrice, pDown, FACTOR)), df, FACTOR)
39
46
 
    let firstLevelSecondValue = fraction((fraction(secondInnerPrice, pUp, FACTOR) + fraction(thirdInnerPrice, pDown, FACTOR)), df, FACTOR)
50
57
 
51
58
 
52
59
 
@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)])
60
+
func calculatCallPrice (T,S,K,r,sigma) = {
61
+
    let finalValue = coxRossRubinsteinCall(T, S, K, r, sigma)
62
+
    WriteSet([DataEntry("finalValue", finalValue)])
56
63
 
    }
57
64
 
58
65
 

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
-
func coxRossRubinsteinCall (T,S,K,r,sigma,n) = {
10
+
func calculateProjectedPrices (S,up,down) = {
11
+
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
12
+
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
13
+
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
14
+
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
15
+
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
16
+
[firstProjectedPrice, secondProjectedPrice, thirdProjectedPrice, fourthProjectedPrice, fifthProjectedPrice]
17
+
    }
18
+
19
+
20
+
func coxRossRubinsteinCall (T,S,K,r,sigma) = {
21
+
    let n = 4
11
22
 
    let deltaT = fraction(T, FACTOR, (365 * n))
12
23
 
    let sqrtDeltaT = pow(deltaT, FACTORDECIMALS, 5, 1, FACTORDECIMALS, HALFUP)
13
24
 
    let up = pow(E, FACTORDECIMALS, fraction(sigma, sqrtDeltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
14
25
 
    let down = fraction(1, (FACTOR * FACTOR), up)
15
26
 
    let df = pow(E, FACTORDECIMALS, fraction(-(r), deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP)
16
27
 
    let pUp = fraction((pow(E, FACTORDECIMALS, fraction(r, deltaT, 100), FACTORDECIMALS, FACTORDECIMALS, HALFUP) - down), FACTOR, (up - down))
17
28
 
    let pDown = (FACTOR - pUp)
18
-
    let firstProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
19
-
    let secondProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
20
-
    let thirdProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 2, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
21
-
    let fourthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 1, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 3, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
22
-
    let fifthProjectedPrice = fraction(((S * pow(up, FACTORDECIMALS, 0, 0, FACTORDECIMALS, HALFUP)) * pow(down, FACTORDECIMALS, 4, 0, FACTORDECIMALS, HALFUP)), 1, FACTOR)
23
-
    let firstInnerPrice = if ((firstProjectedPrice > (K * FACTOR)))
24
-
        then (firstProjectedPrice - (K * FACTOR))
29
+
    let projectedPrices = calculateProjectedPrices(S, up, down)
30
+
    let firstInnerPrice = if ((projectedPrices[0] > (K * FACTOR)))
31
+
        then (projectedPrices[0] - (K * FACTOR))
25
32
 
        else 0
26
-
    let secondInnerPrice = if ((secondProjectedPrice > (K * FACTOR)))
27
-
        then (secondProjectedPrice - (K * FACTOR))
33
+
    let secondInnerPrice = if ((projectedPrices[1] > (K * FACTOR)))
34
+
        then (projectedPrices[1] - (K * FACTOR))
28
35
 
        else 0
29
-
    let thirdInnerPrice = if ((thirdProjectedPrice > (K * FACTOR)))
30
-
        then (thirdProjectedPrice - (K * FACTOR))
36
+
    let thirdInnerPrice = if ((projectedPrices[2] > (K * FACTOR)))
37
+
        then (projectedPrices[2] - (K * FACTOR))
31
38
 
        else 0
32
-
    let fourthInnerPrice = if ((fourthProjectedPrice > (K * FACTOR)))
33
-
        then (fourthProjectedPrice - K)
39
+
    let fourthInnerPrice = if ((projectedPrices[3] > (K * FACTOR)))
40
+
        then (projectedPrices[3] - K)
34
41
 
        else 0
35
-
    let fifthInnerPrice = if ((fifthProjectedPrice > (K * FACTOR)))
36
-
        then (fifthProjectedPrice - K)
42
+
    let fifthInnerPrice = if ((projectedPrices[4] > (K * FACTOR)))
43
+
        then (projectedPrices[4] - K)
37
44
 
        else 0
38
45
 
    let firstLevelFirstValue = fraction((fraction(firstInnerPrice, pUp, FACTOR) + fraction(secondInnerPrice, pDown, FACTOR)), df, FACTOR)
39
46
 
    let firstLevelSecondValue = fraction((fraction(secondInnerPrice, pUp, FACTOR) + fraction(thirdInnerPrice, pDown, FACTOR)), df, FACTOR)
40
47
 
    let firstLevelThirdValue = fraction((fraction(thirdInnerPrice, pUp, FACTOR) + fraction(fourthInnerPrice, pDown, FACTOR)), df, FACTOR)
41
48
 
    let firstLevelFourthValue = fraction((fraction(fourthInnerPrice, pUp, FACTOR) + fraction(fifthInnerPrice, pDown, FACTOR)), df, FACTOR)
42
49
 
    let secondLevelFirstValue = fraction((fraction(firstLevelFirstValue, pUp, FACTOR) + fraction(firstLevelSecondValue, pDown, FACTOR)), df, FACTOR)
43
50
 
    let secondLevelSecondValue = fraction((fraction(firstLevelSecondValue, pUp, FACTOR) + fraction(firstLevelThirdValue, pDown, FACTOR)), df, FACTOR)
44
51
 
    let secondLevelThirdValue = fraction((fraction(firstLevelThirdValue, pUp, FACTOR) + fraction(firstLevelFourthValue, pDown, FACTOR)), df, FACTOR)
45
52
 
    let thirdLevelFirstValue = fraction((fraction(secondLevelFirstValue, pUp, FACTOR) + fraction(secondLevelSecondValue, pDown, FACTOR)), df, FACTOR)
46
53
 
    let thirdLevelSecondValue = fraction((fraction(secondLevelSecondValue, pUp, FACTOR) + fraction(secondLevelThirdValue, pDown, FACTOR)), df, FACTOR)
47
54
 
    let fourthLevel = fraction((fraction(thirdLevelFirstValue, pUp, FACTOR) + fraction(thirdLevelSecondValue, pDown, FACTOR)), df, FACTOR)
48
55
 
    fourthLevel
49
56
 
    }
50
57
 
51
58
 
52
59
 
@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)])
60
+
func calculatCallPrice (T,S,K,r,sigma) = {
61
+
    let finalValue = coxRossRubinsteinCall(T, S, K, r, sigma)
62
+
    WriteSet([DataEntry("finalValue", finalValue)])
56
63
 
    }
57
64
 
58
65
 

github/deemru/w8io/6500d08 
62.01 ms ◑