From 7caeddb5f1b42a36a4c6c551c6f277f5f552d315 Mon Sep 17 00:00:00 2001 From: alex Date: Sun, 10 Oct 2021 16:12:09 -0700 Subject: [PATCH] fix(add-invariant-last): adds invariant last to new invariant calc --- src/ReplicationMath.ts | 10 ++++++---- 1 file changed, 6 insertions(+), 4 deletions(-) diff --git a/src/ReplicationMath.ts b/src/ReplicationMath.ts index a4fd5ad..5a1339f 100644 --- a/src/ReplicationMath.ts +++ b/src/ReplicationMath.ts @@ -48,9 +48,10 @@ export function getRiskyGivenStableApproximation( reserveStable: number, strike: number, sigma: number, - tau: number + tau: number, + invariantLast = 0 ): number { - const func = reserveRisky => getInvariantApproximation(reserveRisky, reserveStable, strike, sigma, tau) + const func = reserveRisky => getInvariantApproximation(reserveRisky, reserveStable, strike, sigma, tau, invariantLast) const MAX_RISKY = 1 let optimalDeltaOut: number @@ -76,9 +77,10 @@ export function getInvariantApproximation( reserveStable: number, strike: number, sigma: number, - tau: number + tau: number, + invariantLast = 0 ): number { - return reserveStable - getStableGivenRiskyApproximation(reserveRisky, strike, sigma, tau) + return reserveStable - getStableGivenRiskyApproximation(reserveRisky, strike, sigma, tau, invariantLast) } // ===== Precise math =====