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model.go
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model.go
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// Copyright (c) 2022 Gobalsky Labs Limited
//
// Use of this software is governed by the Business Source License included
// in the LICENSE.VEGA file and at https://www.mariadb.com/bsl11.
//
// Change Date: 18 months from the later of the date of the first publicly
// available Distribution of this version of the repository, and 25 June 2022.
//
// On the date above, in accordance with the Business Source License, use
// of this software will be governed by version 3 or later of the GNU General
// Public License.
package risk
import (
"errors"
"code.vegaprotocol.io/vega/core/risk/models"
"code.vegaprotocol.io/vega/libs/num"
"code.vegaprotocol.io/vega/core/types"
)
var (
// ErrNilRiskModel ...
ErrNilRiskModel = errors.New("nil risk model")
// ErrUnimplementedRiskModel ...
ErrUnimplementedRiskModel = errors.New("unimplemented risk model")
)
// Model represents a risk model interface.
type Model interface {
CalculateRiskFactors() *types.RiskFactor
DefaultRiskFactors() *types.RiskFactor
PriceRange(price, yearFraction, probability num.Decimal) (minPrice, maxPrice num.Decimal)
ProbabilityOfTrading(currentP, orderP, minP, maxP, yFrac num.Decimal, isBid, applyMinMax bool) num.Decimal
GetProjectionHorizon() num.Decimal
}
// NewModel instantiate a new risk model from a market framework configuration.
func NewModel(prm interface{}, asset string) (Model, error) {
if prm == nil {
return nil, ErrNilRiskModel
}
switch rm := prm.(type) {
case *types.TradableInstrumentLogNormalRiskModel:
return models.NewBuiltinFutures(rm.LogNormalRiskModel, asset)
case *types.TradableInstrumentSimpleRiskModel:
return models.NewSimple(rm.SimpleRiskModel, asset)
default:
return nil, ErrUnimplementedRiskModel
}
}