tarf_monte_carlo 3.15.1 → 3.18

checksums.yaml

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

@@ -28,9 +28,19 @@
 #define ABSOLUTE 1 // knockout by absolute
 #define POINTS 2 // knockout by points
 #define LEGS 3 // knockout by legs
+
 #define PIVOT_POINTS 4
 #define COLLAR_POINTS 5
-#define DUAL_STRIKE_POINTS 6
+#define DOUBLE_STRIKE_POINTS 6
+
+#define PIVOT_ABSOLUTE 7
+#define COLLAR_ABSOLUTE 8
+#define DOUBLE_STRIKE_ABSOLUTE 9
+
+#define PIVOT_LEGS 10
+#define COLLAR_LEGS 11
+#define DOUBLE_STRIKE_LEGS 12
+
 #define DATAPOINTS 200 // data for plotting
 #define INTERVAL 50
 #define SIM_LIMIT 196 // 196 + 4 = 200 simulations nedded
@@ -88,6 +98,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
   int KType             = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("knockout_type")) );
   double S              = NUM2DBL( rb_hash_aref(MCInputs, rb_str_new2("spot_rate")) );
   int Ko_compare_mult   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("multiplier")) );
+  int ConvertNotional   = NUM2INT( rb_hash_aref(MCInputs, rb_str_new2("convert_notional")) );
 
   // assign leg specific attributes
   double *pvs_pos     = ( double* ) malloc( SCount * sizeof(double) );
@@ -126,15 +137,15 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     DFs_array[leg] = NUM2DBL( rb_ary_entry(DFs, leg) );
   }
   // extra tarf structures
-  if ( KType == PIVOT_POINTS )  {
+  if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS )  {
     for (leg = 0; leg < NL; ++leg) {
       Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
     }
-  } else if ( KType == COLLAR_POINTS ) {
+  } else if ( KType == COLLAR_POINTS || KType == COLLAR_ABSOLUTE || KType == COLLAR_LEGS ) {
     for (leg = 0; leg < NL; ++leg) {
       CFs_array[leg] = NUM2DBL( rb_ary_entry(CFs, leg) );
     }
-  } else if ( KType == DUAL_STRIKE_POINTS ) {
+  } else if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS) {
     for (leg = 0; leg < NL; ++leg) {
       Ps_array[leg] = NUM2DBL( rb_ary_entry(Ps, leg) );
       LSts_array[leg] = NUM2DBL( rb_ary_entry(LSts, leg) );
@@ -188,15 +199,23 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
       Spot_dash = Spot_dash * exp( drift + vSqrdt * eps_dash );
 
       // Payoff of Dual strike points is independent of direction
-      if ( KType == DUAL_STRIKE_POINTS ) {
+      if ( KType == DOUBLE_STRIKE_POINTS || KType == DOUBLE_STRIKE_ABSOLUTE || KType == DOUBLE_STRIKE_LEGS ) {
         if ( Spot < *( LSts_array + leg ) ) {
           profit_loss = Spot - (*( LSts_array + leg ));
         } else if(Spot > *( USts_array + leg )){
           profit_loss = (*( USts_array + leg ) - Spot);
         } else if(Spot >= *( LSts_array + leg ) && (Spot < *(Ps_array + leg)))  {
-          profit_loss = (*( LSts_array + leg )) - Spot;
+          profit_loss = Spot - (*( LSts_array + leg ));
         } else {
-          profit_loss = Spot - (*( USts_array + leg ));
+          profit_loss = (*( USts_array + leg )) - Spot;
+        }
+
+        if (ConvertNotional == 1){
+          if(Spot < *( Ps_array + leg )){
+            Ns_array[leg] = *(Ns_array + leg) / *( LSts_array + leg );
+          } else {
+            Ns_array[leg] = *(Ns_array + leg) / *( USts_array + leg );
+          }
         }
         // dash
         if ( Spot_dash < *( LSts_array + leg ) ) {
@@ -204,13 +223,12 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
         } else if(Spot_dash > *( USts_array + leg )){
           profit_loss_dash = (*( USts_array + leg ) - Spot_dash);
         } else if(Spot_dash >= *( LSts_array + leg ) && (Spot_dash < *(Ps_array + leg)))  {
-          profit_loss_dash = (*( LSts_array + leg )) - Spot_dash;
+          profit_loss_dash = Spot_dash - (*( LSts_array + leg ));
         } else {
-          profit_loss_dash = Spot_dash - (*( USts_array + leg ));
+          profit_loss_dash = (*( USts_array + leg )) - Spot_dash;
         }
-      }
-      else if ( BS == BUY ) {
-        if ( KType == PIVOT_POINTS ) {
+      } else if ( BS == BUY ) {
+        if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS ) {
           if ( *( Xs_array + leg ) > Spot && Spot > *( Ps_array + leg ) ) {
             profit_loss = 0.0;
           } else {
@@ -222,7 +240,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           } else {
             profit_loss_dash = Spot_dash - (*( Xs_array + leg ));
           }
-        } else if ( KType == COLLAR_POINTS ) {
+        } else if ( KType == COLLAR_POINTS || KType == COLLAR_ABSOLUTE || KType == COLLAR_LEGS ) {
           if ( *( Xs_array + leg ) > Spot && Spot > *( CFs_array + leg ) ) {
             profit_loss = 0.0;
           } else if(Spot <= *( CFs_array + leg )){
@@ -245,7 +263,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           profit_loss_dash = ( Spot_dash - ( *( Xs_array + leg ) ) );
         }
       } else if ( BS == SELL ) {
-        if ( KType == PIVOT_POINTS ) {
+        if ( KType == PIVOT_POINTS || KType == PIVOT_ABSOLUTE || KType == PIVOT_LEGS ) {
           if ( *( Xs_array + leg ) < Spot && Spot < *( Ps_array + leg ) ) {
             profit_loss = 0.0;
           } else {
@@ -257,7 +275,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           } else {
             profit_loss_dash = ( ( *( Xs_array + leg ) ) - Spot_dash );
           }
-        } else if ( KType == COLLAR_POINTS ) {
+        } else if ( KType == COLLAR_POINTS || KType == COLLAR_ABSOLUTE || KType == COLLAR_LEGS ) {
           if ( *( Xs_array + leg ) < Spot && Spot < *( CFs_array + leg ) ) {
             profit_loss = 0.0;
           } else if(Spot >= *( CFs_array + leg )){
@@ -303,7 +321,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
     // legs loop end
     // start from the Knock value
     double ko_so_far = K, ko_so_far_dash = K;
-    if( KType == ABSOLUTE ) {
+    if( KType == ABSOLUTE || KType == PIVOT_ABSOLUTE || KType == COLLAR_ABSOLUTE || KType == DOUBLE_STRIKE_ABSOLUTE ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
         if( ko_so_far > 0.0 ) {
@@ -343,7 +361,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           }
         }
       }
-    } else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DUAL_STRIKE_POINTS ) {
+    } else if( KType == POINTS || KType == PIVOT_POINTS || KType == COLLAR_POINTS || KType == DOUBLE_STRIKE_POINTS ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
         if ( ko_so_far > 0.0 ) {
@@ -377,7 +395,7 @@ VALUE method_run_monte_carlo( VALUE self, VALUE args ) {
           }
         }
       }
-    } else if( KType == LEGS ) {
+    } else if( KType == LEGS || KType == PIVOT_LEGS || KType == COLLAR_LEGS || KType == DOUBLE_STRIKE_LEGS ) {
       for( leg = 0; leg < NL; ++leg ) {
         // simulation normal
         if ( ko_so_far > 0.0 ) {

data/lib/tarf_monte_carlo/version.rb

@@ -1,7 +1,7 @@
 # gem build tarf_monte_carlo.gemspec
-# gem push -v tarf_monte_carlo-3.15.1.gem
+# gem push -v tarf_monte_carlo-3.17.gem
 # gem yank tarf_monte_carlo -v 2.3
 
 module TarfMonteCarlo
-  VERSION = "3.15.1"
+  VERSION = "3.18"
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: tarf_monte_carlo
 version: !ruby/object:Gem::Version
-  version: 3.15.1
+  version: '3.18'
 platform: ruby
 authors:
 - Vivek Routh
 autorequire: 
 bindir: exe
 cert_chain: []
-date: 2020-09-16 00:00:00.000000000 Z
+date: 2020-09-24 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: bundler