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model.go
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model.go
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// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program. If not, see <http://www.gnu.org/licenses/>.
package risk
import (
"errors"
"code.vegaprotocol.io/vega/core/risk/models"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/libs/num"
)
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
}
}