Help with fold function when subscript is used together

[yiwang]

I wrote the following code, the goal is to

find the target call price where the probability of reaching the price is less than 0.3, or prob otm is > 0.7.

The problem is at the

# Use fold to simulate finding the strike price
# Use fold to simulate finding the strike price
def otm_strike_call = fold index = atm_strike to atm_strike + 10 do
if 1 - PopTargetPrice(index, timeToExpirationHours, iv) > prob_otm_threshold then index else index;


it complains "no such variable: index"

I feel like the root cause has something to do with the subscript, but I need the subscript to perform complex math computation.

input daysToExpiration = 0;
input closeTime = 1100;

def iv = if(IsNaN(imp_volatility()), iv[1], imp_volatility());
def westTime = closeTime + 300;
def timeToExpirationHours = SecondsTillTime(westTime) / 3600 + 24 * daysToExpiration;

script PopTargetPrice {
    # Input parameters
    input targetPrice = 0;
    input timeToExpirationHours = 0;
    input impliedVolatility = 0.2;
    # Calculate the current price and standard deviation
    def currentPrice = close;
    def timeToExpiration = timeToExpirationHours / 24 / 365;  # Convert hours to years
    def stdDev = currentPrice * impliedVolatility * Sqrt(timeToExpiration);  # Standard deviation of price movement

    # Z-Score Calculation
    def zScore = AbsValue(targetPrice - currentPrice) / stdDev;

    # Approximation of the cumulative distribution using a simplified approach (no Erf)
    def CDF = 1 / (1 + Exp(-1.65451 * zScore));

    # Return the probability
    plot result = 1  - CDF;
}

def prob_otm_threshold = 0.7;
def atm_strike = round(close(), 0);

# Use `fold` to simulate finding the strike price
def otm_strike_call = fold index = atm_strike to atm_strike + 10 do 
    if 1 - PopTargetPrice(index, timeToExpirationHours, iv) > prob_otm_threshold then index else index;

Any ideas to fix it?

Thanks!

 

[Joshua]

Correct, you can not reference a Script{} in a Fold's DO expression. You might be able to in the FROM or TO, if my memory serves me correctly, but that's besides the point. Generally what you have to do is perform the entire calculation in one huge nested parenthetical within a Fold, or you could just hardcode the script reference on 10 different lines and then compare the results. It's really inconvenient, but it's possible.