tarf_monte_carlo 2.2 → 2.3

checksums.yaml

@@ -1,7 +1,7 @@
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data/ext/tarf_monte_carlo/tarf_monte_carlo.c

@@ -28,6 +28,7 @@
 #define ABSOLUTE 1 // knockout by absolute
 #define POINTS 2 // knockout by points
 #define LEGS 3 // knockout by legs
+#define DATAPOINTS 200 // data for plotting
 
 // Defining a space for information and references
 // about the module to be stored internally
@@ -64,6 +65,7 @@ VALUE method_box_muller( VALUE self ) {
 // main method for running monte carlo simulation from sidekiq worker/outside method
 VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   VALUE MCInputs = rb_ary_shift(args);
+  rb_p("MC Inputs: ")
   rb_p(MCInputs);
 
   // seed value for rand() function
@@ -110,6 +112,22 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
   }
 
+  //
+  // first create a 1-D array of pointers, and then, for each array entry, create another 1-D array.
+  //
+  int metric;
+  double **metrics;
+  metrics = ( double** ) malloc( DATAPOINTS * sizeof(double*) );
+  for( metric = 0; metric < DATAPOINTS; metric++ ) {
+    metrics[metric] = ( double* ) malloc( NL * sizeof(double) );
+  }
+  for(metric = 0; metric < DATAPOINTS; metric++) {
+    for(leg = 0; leg < ML; leg++) {
+      metrics[metric][leg] = 0.0;
+    }
+  }
+  int point_pos = 0;
+
   // run simulations loop
   for( sim_count = 0; sim_count < SCount; sim_count += 2 ) {
     // initial spot rate for each iteration would be current spot rate
@@ -134,7 +152,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       eps = NUM2DBL( method_box_muller( self ) );
       eps_dash = eps * -1;
 
-      //NOTE: NEED NOT RUN THIS ON EVERY SIMULATION
       // main formula of MC simulation
       drift   = ( ( *( bs_array + leg ) ) - 0.5 * pow( ( *( vs_array + leg ) ), 2 ) ) * ( *( Ts_array + leg ) );
       vSqrdt  = ( *( vs_array + leg ) ) * sqrt( *( Ts_array + leg ) );
@@ -158,6 +175,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       sim[leg] = profit_loss;
       sim_dash[leg] = profit_loss_dash;
 
+      //
+      // Store spot and spot dash
+      //
+      if( (sim_count + 1) % 50 == 0 ) {
+        metrics[ point_pos ][ leg ] = Spot;
+        metrics[ point_pos + 2 ][ leg ] = Spot_dash;
+      }
+
       // if excuted UNCHAINED method
       // always use the current spot rate
       if ( MCType == UNCHAINED ) {
@@ -272,6 +297,14 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     // take sum of positive and negative payoffs and calculate pvs
     double sim_pos_sum = 0.0, sim_neg_sum = 0.0, sim_dash_pos_sum = 0.0, sim_dash_neg_sum = 0.0;
     for( leg = 0; leg < NL; ++leg ) {
+      //
+      // store and send whichever payoff you want
+      //
+      if( (sim_count + 1) % 50 == 0 ) {
+        metrics[ point_pos + 1 ][ leg ] = sim_pos[leg];
+        metrics[ point_pos + 3 ][ leg ] = sim_dash_pos[leg];
+      }
+
       sim_pos_sum += sim_pos[leg] * ( *( DFs_array + leg ) );
       sim_neg_sum += sim_neg[leg] * ( *( DFs_array + leg ) );
       sim_dash_pos_sum += sim_dash_pos[leg] * ( *( DFs_array + leg ) );
@@ -283,15 +316,26 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     pvs_pos[sim_count + 1]  = sim_dash_pos_sum;
     pvs_neg[sim_count]      = sim_neg_sum;
     pvs_neg[sim_count + 1]  = sim_dash_neg_sum;
+
+    //
+    // increment metric storing point by 4
+    //
+    if( (sim_count + 1) % 50 == 0 ) {
+      point_pos += 4;
+    }
   }
 
+  //
   // sum all final +ve and -ve payoffs
+  //
   for(sim_count = 0; sim_count < SCount; ++sim_count) {
     pvs_pos_sum += *(pvs_pos + sim_count);
     pvs_neg_sum += *(pvs_neg + sim_count);
   }
 
+  //
   // free dynamically alloted heap memory
+  //
   free(pvs_pos);
   free(pvs_neg);
   free(Ls_array);
@@ -302,11 +346,34 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   free(bs_array);
   free(DFs_array);
 
+  //
   // return both payoffs
+  //
+  VALUE final_metrics = rb_ary_new();
+  for(metric = 0; metric < DATAPOINTS; metric++) {
+    VALUE leg_metrics = rb_ary_new();
+
+    for(leg = 0; leg < NL; leg++) {
+      rb_ary_push( leg_metrics, DBL2NUM( metrics[metric][leg] ) );
+    }
+
+    rb_ary_push(final_metrics, leg_metrics);
+  }
+
   VALUE final_pvs = rb_hash_new();
   rb_hash_aset(final_pvs, rb_str_new2("positive_pv"), DBL2NUM( pvs_pos_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("negative_pv"), DBL2NUM( pvs_neg_sum / SCount ));
   rb_hash_aset(final_pvs, rb_str_new2("total_pv"), DBL2NUM( (pvs_neg_sum + pvs_pos_sum) / SCount ));
+  rb_hash_aset(final_pvs, rb_str_new2("metrics"), final_metrics);
+
+  //
+  // free your arrays from memory once you're done using them
+  //
+  for(metric = 0; metric < DATAPOINTS; metric++) {
+    free( metrics[metric] );
+  }
+  free(metrics);
+
   return final_pvs;
 }
 

data/lib/tarf_monte_carlo/version.rb

@@ -1,7 +1,7 @@
 # gem build tarf_monte_carlo.gemspec
-# gem push -v tarf_monte_carlo-2.1.gem
-# gem yank tarf_monte_carlo -v 2.1
+# gem push -v tarf_monte_carlo-2.3.gem
+# gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "2.2"
+  VERSION = "2.3"
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: '2.2'
+  version: '2.3'
 platform: ruby
 authors:
 - Vivek Routh