tarf_monte_carlo 3.11 → 3.15.1

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Files changed (5) hide show
  1. checksums.yaml +4 -4
  2. data/.gitignore +0 -0
  3. data/ext/tarf_monte_carlo/tarf_monte_carlo.c +94 -19
  4. data/lib/tarf_monte_carlo/version.rb +2 -2
  5. metadata +2 -2
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data/.gitignore CHANGED
File without changes
data/ext/tarf_monte_carlo/tarf_monte_carlo.c CHANGED
@@ -124,10 +124,22 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
124
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  vs_array[leg] = NUM2DBL( rb_ary_entry(vs, leg) );
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  bs_array[leg] = NUM2DBL( rb_ary_entry(bs, leg) );
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  DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
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- Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
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- CFs_array[leg] = NUM2DBL( rb_ary_entry(CFs, leg) );
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- LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
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- USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
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+ }
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+ // extra tarf structures
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+ if ( KType == PIVOT_POINTS ) {
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+ for (leg = 0; leg < NL; ++leg) {
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+ Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
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+ }
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+ } else if ( KType == COLLAR_POINTS ) {
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+ for (leg = 0; leg < NL; ++leg) {
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+ CFs_array[leg] = NUM2DBL( rb_ary_entry(CFs, leg) );
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+ }
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+ } else if ( KType == DUAL_STRIKE_POINTS ) {
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+ for (leg = 0; leg < NL; ++leg) {
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+ Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
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+ LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
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+ USts_array[leg] = NUM2DBL( rb_ary_entry(USts, leg) );
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+ }
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  }
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  //
@@ -175,27 +187,91 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  Spot = Spot * exp( drift + vSqrdt * eps );
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  Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
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- if ( BS == BUY ) {
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- // profit if spot is higher than market price
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- profit_loss = ( Spot - ( *( Xs_array + leg ) ) );
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+ // Payoff of Dual strike points is independent of direction
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+ if ( KType == DUAL_STRIKE_POINTS ) {
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+ if ( Spot < *( LSts_array + leg ) ) {
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+ profit_loss = Spot - (*( LSts_array + leg ));
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+ } else if(Spot > *( USts_array + leg )){
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+ profit_loss = (*( USts_array + leg ) - Spot);
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+ } else if(Spot >= *( LSts_array + leg ) && (Spot < *(Ps_array + leg))) {
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+ profit_loss = (*( LSts_array + leg )) - Spot;
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+ } else {
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+ profit_loss = Spot - (*( USts_array + leg ));
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+ }
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+ // dash
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+ if ( Spot_dash < *( LSts_array + leg ) ) {
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+ profit_loss_dash = Spot_dash - (*( LSts_array + leg ));
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+ } else if(Spot_dash > *( USts_array + leg )){
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+ profit_loss_dash = (*( USts_array + leg ) - Spot_dash);
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+ } else if(Spot_dash >= *( LSts_array + leg ) && (Spot_dash < *(Ps_array + leg))) {
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+ profit_loss_dash = (*( LSts_array + leg )) - Spot_dash;
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+ } else {
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+ profit_loss_dash = Spot_dash - (*( USts_array + leg ));
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+ }
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+ }
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+ else if ( BS == BUY ) {
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+ if ( KType == PIVOT_POINTS ) {
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+ if ( *( Xs_array + leg ) > Spot && Spot > *( Ps_array + leg ) ) {
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+ profit_loss = 0.0;
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+ } else {
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+ profit_loss = Spot - (*( Xs_array + leg ));
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+ }
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+ // dash
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+ if ( *( Xs_array + leg ) > Spot_dash && Spot_dash > *( Ps_array + leg ) ) {
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+ profit_loss_dash = 0.0;
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+ } else {
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+ profit_loss_dash = Spot_dash - (*( Xs_array + leg ));
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+ }
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+ } else if ( KType == COLLAR_POINTS ) {
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+ if ( *( Xs_array + leg ) > Spot && Spot > *( CFs_array + leg ) ) {
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+ profit_loss = 0.0;
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+ } else if(Spot <= *( CFs_array + leg )){
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+ profit_loss = Spot - (*( CFs_array + leg ));
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+ } else {
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+ profit_loss = Spot - (*( Xs_array + leg ));
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+ }
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+ // dash
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+ if ( *( Xs_array + leg ) > Spot_dash && Spot_dash > *( CFs_array + leg ) ) {
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+ profit_loss_dash = 0.0;
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+ } else if(Spot_dash <= *( CFs_array + leg )){
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+ profit_loss_dash = Spot_dash - (*( CFs_array + leg ));
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+ } else {
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+ profit_loss_dash = Spot_dash - (*( Xs_array + leg ));
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+ }
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+ } else {
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  // profit if spot is higher than market price
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- profit_loss_dash = ( Spot_dash - ( *( Xs_array + leg ) ) );
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+ profit_loss = ( Spot - ( *( Xs_array + leg ) ) );
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+ // profit if spot is higher than market price
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+ profit_loss_dash = ( Spot_dash - ( *( Xs_array + leg ) ) );
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+ }
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  } else if ( BS == SELL ) {
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  if ( KType == PIVOT_POINTS ) {
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- if ( Spot <= *( Xs_array + leg ) && Spot < *( Ps_array + leg ) ) {
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- profit_loss = *( Xs_array + leg ) - Spot;
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- } else if ( Spot > *( Xs_array + leg ) && Spot >= *( Ps_array + leg ) ) {
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- profit_loss = *( Xs_array + leg ) - Spot;
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- } else {
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+ if ( *( Xs_array + leg ) < Spot && Spot < *( Ps_array + leg ) ) {
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  profit_loss = 0.0;
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+ } else {
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+ profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
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  }
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  // dash
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- if ( Spot_dash <= *( Xs_array + leg ) && Spot_dash < *( Ps_array + leg ) ) {
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- profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
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- } else if ( Spot_dash > *( Xs_array + leg ) && Spot_dash >= *( Ps_array + leg ) ) {
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- profit_loss_dash = *( Xs_array + leg ) - Spot_dash;
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+ if ( *( Xs_array + leg ) < Spot_dash && Spot_dash < *( Ps_array + leg ) ) {
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+ profit_loss_dash = 0.0;
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+ } else {
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+ profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
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+ }
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+ } else if ( KType == COLLAR_POINTS ) {
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+ if ( *( Xs_array + leg ) < Spot && Spot < *( CFs_array + leg ) ) {
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+ profit_loss = 0.0;
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+ } else if(Spot >= *( CFs_array + leg )){
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+ profit_loss = ( ( *( CFs_array + leg ) ) - Spot );
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  } else {
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+ profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
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+ }
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+ // dash
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+ if ( *( Xs_array + leg ) < Spot_dash && Spot_dash < *( CFs_array + leg ) ) {
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  profit_loss_dash = 0.0;
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+ } else if(Spot_dash >= *( CFs_array + leg )){
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+ profit_loss_dash = ( ( *( CFs_array + leg ) ) - Spot_dash );
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+ } else {
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+ profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
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  }
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  } else {
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  // profit if spot is lower than market price
@@ -225,7 +301,6 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  }
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  }
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  // legs loop end
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-
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  // start from the Knock value
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  double ko_so_far = K, ko_so_far_dash = K;
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  if( KType == ABSOLUTE ) {
@@ -268,7 +343,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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  }
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  }
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  }
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- } else if( KType == POINTS ) {
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+ } else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DUAL_STRIKE_POINTS ) {
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  for( leg = 0; leg < NL; ++leg ) {
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  // simulation normal
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  if ( ko_so_far > 0.0 ) {
data/lib/tarf_monte_carlo/version.rb CHANGED
@@ -1,7 +1,7 @@
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  # gem build tarf_monte_carlo.gemspec
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- # gem push -v tarf_monte_carlo-2.3.gem
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+ # gem push -v tarf_monte_carlo-3.15.1.gem
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  # gem yank tarf_monte_carlo -v 2.3
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  module TarfMonteCarlo
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- VERSION = "3.11"
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+ VERSION = "3.15.1"
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  end
metadata CHANGED
@@ -1,14 +1,14 @@
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  --- !ruby/object:Gem::Specification
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  name: tarf_monte_carlo
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  version: !ruby/object:Gem::Version
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- version: '3.11'
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+ version: 3.15.1
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  platform: ruby
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  authors:
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  - Vivek Routh
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  autorequire:
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  bindir: exe
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  cert_chain: []
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- date: 2020-09-15 00:00:00.000000000 Z
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+ date: 2020-09-16 00:00:00.000000000 Z
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  dependencies:
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  - !ruby/object:Gem::Dependency
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  name: bundler