trading.h File Reference

#include "config.h"
#include "piecewiselinear/piecewiselinear.h"
#include "spot.h"
#include "portfolio.h"

Go to the source code of this file.

Functions
void	ensure_solvent (PiecewiseLinear &portfolios, const Spot &spot)
void	include_solvent_portfolios (PiecewiseLinear &portfolios, const Spot &spot)
PiecewiseLinear	portfolios_that_can_afford (const Portfolio &portfolio, const Spot &spot)
int	soluble (const Portfolio &portfolio, const Spot &spot)
PiecewiseLinear	solvency_cone (const Spot &spot)
void	untangle_restriction (Portfolio &portfolio, const PiecewiseLinear &portfolios, const Spot &spot)

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Detailed Description

Utility functions for trading and solvency.

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Function Documentation

void ensure_solvent	(	PiecewiseLinear &	portfolios,
		const Spot &	spot
	)		[inline]

Restricts a set of portfolios to ensure that they are solvent.

Parameters:

portfolios	Piecewise linear function forming lower bound of collection of portfolios
spot	Current spot price

void include_solvent_portfolios	(	PiecewiseLinear &	portfolios,
		const Spot &	spot
	)		[inline]

Enlarges a set of portfolios to contain all solvent portfolios

Parameters:

portfolios	Piecewise linear function forming lower bound of collection of portfolios
spot	Current spot price

PiecewiseLinear portfolios_that_can_afford	(	const Portfolio &	portfolio,
		const Spot &	spot
	)		[inline]

Returns a piecewise linear convex function whose epigraph is the portfolios from which one can afford portfolio at the price spot.

int soluble	(	const Portfolio &	portfolio,
		const Spot &	spot
	)		[inline]

Checks whether portfolio can be converted into a nonnegative amount of cash when the current share price is spot.

PiecewiseLinear solvency_cone

(

const Spot &

spot

)

[inline]

Returns a piecewise linear convex function whose epigraph is the solvency cone.

void untangle_restriction	(	Portfolio &	portfolio,
		const PiecewiseLinear &	portfolios,
		const Spot &	spot
	)		[inline]

Adjusts portfolio, which is assumed to be in the epigraph of portfolios.restrict(-spot.ask(), -spot.bid()) (this is not tested!), in a self-financing way so that it is in the epigraph of portfolios.