Implemented get_max_long for a post-netting world#569
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jalextowle merged 7 commits intoinfinite-chocolatefrom Aug 25, 2023
Merged
Implemented get_max_long for a post-netting world#569jalextowle merged 7 commits intoinfinite-chocolatefrom
get_max_long for a post-netting world#569jalextowle merged 7 commits intoinfinite-chocolatefrom
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well done, just a couple of nits
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Fixes: #228, #464, #503, #536.
This PR implements a
get_max_longfunction that gets the maximum long that a trader can open. We check the upper endpoint and then use Newton's method to iteratively approximate the maximum long that satisfies our solvency constraint and the trader's budget.