tarf_monte_carlo 3.14 → 3.15
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- checksums.yaml +4 -4
- data/ext/tarf_monte_carlo/tarf_monte_carlo.c +73 -4
- data/lib/tarf_monte_carlo/version.rb +2 -2
- metadata +2 -2
checksums.yaml
CHANGED
@@ -1,7 +1,7 @@
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---
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SHA256:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 0f33686b3c3246f31356eb1f1cc2161bb1a23a87f305b4a34e370d6c59584180
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data.tar.gz: 3576f3fdb01ab53522ee92926d7536994551cc97503a9497c894b904c06582aa
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SHA512:
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metadata.gz:
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data.tar.gz:
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metadata.gz: 27375bd106d3365323189a6d00ab4398b2d6d94d32fa82ed6ea69dc4d1f050a78d333ce4a694f8fd0a722f5c380b4e76ff946269b6b8cd5f29a02243120cf2d9
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data.tar.gz: 5465e552c843af156e62bccbd1dbe34779c1f9e06f6596b2f142a817c4465299d635a8a1e8e4be0576e64ceae3f4017613209984aed02a2c0e4a2071425b9356
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@@ -136,6 +136,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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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@@ -186,11 +187,63 @@ 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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-
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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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-
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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 ( *( Xs_array + leg ) < Spot && Spot < *( Ps_array + leg ) ) {
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@@ -204,6 +257,22 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
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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
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profit_loss = ( ( *( Xs_array + leg ) ) - Spot );
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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.
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version: '3.15'
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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-
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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
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