142 lines
4.2 KiB
JavaScript
142 lines
4.2 KiB
JavaScript
"use strict";
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var optionResults;
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$(document).ready(function() {
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$("#option-terms").on("submit", function(e) {
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//
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e.preventDefault();
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sendRequest();
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})
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});
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function serializeForm(id) {
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//
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return $(id).serializeArray()
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.reduce(function(a, x) { a[x.name] = x.value; return a; }, {});
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}
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function sendRequest() {
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//
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var inputData = serializeForm("#option-terms");
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// Get the right data-types
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inputData.ExpiryDate = new Date(inputData.ExpiryDate).toJSON();
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inputData.OptType = parseInt(inputData.OptType);
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inputData.Rfr = parseFloat(inputData.Rfr);
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inputData.Sims = parseInt(inputData.Sims);
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inputData.Spot = parseFloat(inputData.Spot);
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inputData.Strike = parseFloat(inputData.Strike);
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inputData.ValueDate = new Date(inputData.ValueDate).toJSON();
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inputData.Vol = parseFloat(inputData.impliedVol);
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// Send request
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var startTime;
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$.ajax({
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type: "POST",
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url: "http://localhost:8080",
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data: JSON.stringify(inputData),
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beforeSend: function(request, settings) {
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startTime = new Date().getTime();
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},
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success: function(e) {
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optionResults = e;
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updateTable();
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updateGraph();
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let requestTime = new Date().getTime() - startTime;
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console.log("Request time(s):", requestTime / 1000);
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},
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});
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}
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function updateTable() {
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// TODO
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$("#results-table > tbody > tr").each(function(idx, el) {
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$($(el).children()[1])[0].innerText =
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optionResults["ClosedForm"][$($(el).children()[0]).text()].toFixed(4);
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$($(el).children()[2])[0].innerText =
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optionResults["MonteCarlo"][$($(el).children()[0]).text()].toFixed(4);
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});
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}
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function updateGraph() {
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// TODO
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var strippedData = optionResults.MonteCarlo.Levels.map(function(i) {
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return Number(i.toFixed(0));
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});
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// Count the elements
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var counts = {};
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var minY = 0;
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for (var i=0; i<strippedData.length; i++) {
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var num = strippedData[i];
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counts[num] = counts[num] ? counts[num] + 1 : 1;
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}
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var summaryData = [];
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Object.keys(counts).forEach( function(key) {
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summaryData.push({'key': key, 'value': counts[key]});
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});
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var margin = {top: 10, right: 20, bottom: 20, left: 40},
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width = 500 - margin.left - margin.right,
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height = 300 - margin.top - margin.bottom;
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$("#right-upper").empty();
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var svg = d3.select("#right-upper").append("svg")
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.attr("width", width + margin.left + margin.right)
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.attr("height", height + margin.top + margin.bottom)
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.append("g")
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.attr("transform", "translate(" + margin.left + "," + margin.top + ")");
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var x = d3.scaleLinear()
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.range([0, width]);
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var y = d3.scaleLinear()
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.range([height, 0]);
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x.domain([0, Math.max.apply(null, strippedData)]).nice();
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var maxY = Object.values(counts).sort((prev, next) => next - prev)[0];
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y.domain([0, maxY]).nice();
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svg.selectAll(".bin")
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.data(summaryData)
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.enter().append("line")
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.attr("class", "bin")
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.attr("x1", function(d) { return x(d.key) })
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.attr("x2", function(d) { return x(d.key) })
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.attr("y1", height)
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.attr("y2", function(d) { return y(d.value ) });
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svg.append("g")
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.attr("class", "x axis")
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.attr("transform", "translate(0," + height + ")")
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.call(d3.axisBottom()
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.scale(x));
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svg.append("g")
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.attr("class", "y axis")
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.call(d3.axisLeft()
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.scale(y));
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var logNormalLine = d3.line()
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.x(function(d, i) { return x(d); })
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.y(function(d) { return logNormal(d, 100, 0.4); })
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.curve(d3.curveBasis);
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svg.append("g")
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.attr("d", logNormalLine(d3.range(x.domain()[0], x.domain()[1], 1)))
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.attr("stroke", "blue")
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.attr("stroke-width", 2)
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.attr("fill", "none")
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}
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function logNormal(x, mean, stddev) {
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var y = (1 / (x * Math.sqrt(2 * Math.PI * Math.pow(stddev, 2)))) * Math.pow(Math.E, - (Math.pow(Math.log(x) - mean, 2) / (2 * Math.pow(stddev, 2))));
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// console.log('logNormal', x, mean, stddev, y);
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y = isFinite(y) ? y : 0;
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return y;
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}
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