81 lines
2.4 KiB
Plaintext
81 lines
2.4 KiB
Plaintext
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%From lim@scorpio Tue Mar 8 10:11:36 1994
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% adapted by Thom Fruehwirth for CHRs 930308
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% *************************************
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% CLP(R) Version 1.1 - Example Programs
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% *************************************
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%
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% Algebraic combinations of options transactions
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% heaviside function
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h(X, Y, Z) :- Y < X, Z =:= 0.
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h(X, Y, Z) :- Y >= X, Z =:= 1.
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% ramp function
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r(X, Y, Z) :- Y < X , Z =:= 0.
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r(X, Y, Z) :- Y >= X, Z =:= Y - X.
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% option valuation
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value(Type,Buy_or_Sell,S,C,P,I,X,B,Value) :-
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check_param(S,C,P,I,X,B),
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get_sign(Buy_or_Sell,Sign),
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lookup_option(Type,S,C,P,I,X,B,
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B1,B2,H1,H2,R1,R2),
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h(B1,S,T1),h(B2,S,T2),r(B1,S,T3),r(B2,S,T4),
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Value =:= Sign*(H1*T1 + H2*T2 + R1*T3 + R2*T4).
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% safety check
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check_param(S,C,P,I,X,B) :-
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S >= 0, C >= 0, P >= 0,
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I >= 0, X >= 0, B >= 0 .
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% Buy or sell are just opposite
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get_sign(buy,S) :- S =:= -1.
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get_sign(sell,S) :- S =:= 1.
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% lookup option vector
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lookup_option(Type,S,C,P,I,X,B,B1,B2,H1,H2,R1,R2) :-
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table(Type,S,C,P,I,X,B,B1,B2,H1,H2,R1,R2).
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% Table of values for B1,B2,H1,H2,R1,R2
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% generic format - lookup_table(Type,Pos_neg,S,C,P,I,X,B,B1,B2,H1,H2,R1,R2).
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% where K to R21 are obtained from the table
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% M is a multiplier which is -1 or 1 depending on whether one
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% is buying or selling the option
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table( stock, S, C, P, I, X, B, 0, 0, S*(1+I), 0, -1, 0).
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table( call, S, C, P, I, X, B, 0, X, C*(1+I), 0, 0, -1).
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table( put, S, C, P, I, X, B, 0, X, P*(1+I)-X, 0, 1, -1).
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table( bond, S, C, P, I, X, B, 0, 0, B*(1+I), 0, 0, 0).
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solve1(Wealth, Stockprice) :-
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Wealth =:= Wealth1 + Wealth2,
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X =:= 99,
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P =:= 10, C =:= 10,
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I =:= 0,
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value(put, buy, Stockprice, _, P, I, X, _, Wealth1),
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value(call, buy, Stockprice, C, _, I, X, _, Wealth2).
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% dump([Stockprice, Wealth]).
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solve2(Wealth, Stockprice) :-
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I =:= 0.1, P1 =:= 10, X1 =:= 20,
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value(put, sell, Stockprice, _, P1, I, X1, _, Wealth1),
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P2 =:= 18, X2 =:= 40,
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value(put, buy, Stockprice, _, P2, I, X2, _, Wealth2),
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C3 =:= 15, X3 =:= 60,
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value(call, buy, Stockprice, C3, _, I, X3, _, Wealth3),
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C4 =:= 10, X4 =:= 80,
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value(call, sell, Stockprice, C4, _, I, X4, _, Wealth4),
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Wealth =:= Wealth1 + Wealth2 + Wealth3 + Wealth4.
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% dump([Stockprice, Wealth]).
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go1 :- solve1(Wealth, Stockprice), fail.
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go1.
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go2 :- solve2(Wealth, Stockprice), fail.
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go2.
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?- printf("\n>>> Sample goals: go1/0, go2/0\n", []).
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%=============================================================================
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