46 lines
1.1 KiB
Julia
46 lines
1.1 KiB
Julia
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using Genie
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using Statistics
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using ThreadsX
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function v_asian_sample(T, X0, K, r, sd, m)::Float64
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X = X0
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sumX = X
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d = T / m
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for i in 1:m
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X *= exp((r-sd^2/2)*d + sd*sqrt(d)*randn())
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sumX += X
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end
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return exp(-r*T) * max(sumX / (m + 1) - K, 0)
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end
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function v_asian_value(T, X0, K, r, sd, m, max_time)
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result = Float64[]
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start_time = time()
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while time() - start_time < max_time
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append!(result, ThreadsX.map(_ -> v_asian_sample(T, X0, K, r, sd, m), 1:10_000))
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end
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n = length(result)
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mv = mean(result)
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sdv = std(result)
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lo95 = mv - 1.96 * sdv / sqrt(n)
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hi95 = mv + 1.96 * sdv / sqrt(n)
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zero = mean(==(0), result)
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return (; n, mv, sdv, lo95, hi95, zero)
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end
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Genie.config.run_as_server = true
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Genie.Router.route("/", method=POST) do
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message = Genie.Requests.jsonpayload()
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return try
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K = float(message["K"])
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max_time = float(message["max_time"])
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value = v_asian_value(1.0, 50.0, K, 0.05, 0.3, 200, max_time)
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Genie.Renderer.Json.json((status="OK", value=value))
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catch
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Genie.Renderer.Json.json((status="ERROR", value=""))
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end
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end
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Genie.startup()
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