static int sync_current_delta(struct sb *sb, enum unify_flags unify_flag)
{
struct delta_ref *delta_ref;
unsigned delta;
int err = 0;
#if TUX3_FLUSHER == TUX3_FLUSHER_SYNC
down_write(&sb->delta_lock);
#endif
/* Get delta that have to write */
delta_ref = delta_get(sb);
#ifdef UNIFY_DEBUG
delta_ref->unify_flag = unify_flag;
#endif
delta = delta_ref->delta;
delta_put(sb, delta_ref);
trace("delta %u", delta);
/* Make sure the delta transition was done for current delta */
err = wait_for_transition(sb, delta);
if (err)
return err;
assert(delta_after_eq(sb->staging_delta, delta));
/* Wait until committing the current delta */
err = wait_for_commit(sb, delta);
assert(err || delta_after_eq(sb->committed_delta, delta));
#if TUX3_FLUSHER == TUX3_FLUSHER_SYNC
up_write(&sb->delta_lock);
#endif
return err;
}
/* Critical value complex chooser option */
static double CriticalValueChooser(
double S,
double Xc,
double Xp,
double T,
double Tc,
double Tp,
double r,
double b,
double v)
{
double Sv, ci, Pi, dc, dp, yi, di;
const double epsilon = 0.001;
assert_valid_price(S);
assert_valid_time(T);
Sv = S;
ci = gbs_call(Sv, Xc, Tc - T, r, b, v);
Pi = gbs_put (Sv, Xp, Tp - T, r, b, v);
dc = delta_call(Sv, Xc, Tc - T, r, b, v);
dp = delta_put (Sv, Xp, Tp - T, r, b, v);
yi = ci - Pi;
di = dc - dp;
/* Newton-Raphson search process */
while (fabs(yi) > epsilon) {
Sv = Sv - (yi) / di;
ci = gbs_call(Sv, Xc, Tc - T, r, b, v);
Pi = gbs_put (Sv, Xp, Tp - T, r, b, v);
dc = delta_call(Sv, Xc, Tc - T, r, b, v);
dp = delta_put (Sv, Xp, Tp - T, r, b, v);
yi = ci - Pi;
di = dc - dp;
}
return Sv;
}
