Created
June 12, 2013 20:52
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temp conversion from vbscript to Ruby
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#VBScript | |
#For J = 1 To N | |
#term1 = J * (1 - (-1) ^ J * Exp(-Alpha * L)) / (J ^ 2 * 9.869604401 + Alpha ^ 2 * L ^ 2) | |
#term2 = Exp((-0.5 * implied_volatility ^ 2 * (3.141592654 * J / L) ^ 2 - Beta) * T) | |
#term3 = Sin((3.141592654 * J / L) * Log(Asset_Price / Lower_Strike)) | |
#Value(J) = term1 * term2 * term3 | |
#Agg = Agg + Value(J) | |
#Next J | |
require 'bigdecimal' | |
1.upto(n) do |j| | |
term1 = j * (1 - (-1) ** j * BigMath.exp(-alpha * l, 15) / (j ** 2 * Math::PI ** 2 + alpha ** 2 * l **2) | |
term2 = BigMath.exp(-0.5 * implied_volatility ** 2 * (Math::PI * j / l)) ** 2 - beta) * t, 15) | |
term3 = Math.sin((Math::PI * j / l) * Math.log10(asset_price / lower_strike)) | |
value[j] = term1 * term2 * term3 | |
agg += value[j] | |
end |
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